Document And Entity Information
Document And Entity Information - USD ($) | 12 Months Ended | ||
Dec. 31, 2015 | Mar. 04, 2016 | Jun. 30, 2015 | |
Document and Entity Information [Abstract] | |||
Document Type | 10-K | ||
Amendment Flag | false | ||
Document Period End Date | Dec. 31, 2015 | ||
Document Fiscal Year Focus | 2,015 | ||
Document Fiscal Period Focus | FY | ||
Entity Registrant Name | Ellington Financial LLC | ||
Entity Central Index Key | 1,411,342 | ||
Current Fiscal Year End Date | --12-31 | ||
Entity Filer Category | Accelerated Filer | ||
Entity Common Stock, Shares Outstanding | 33,048,486 | ||
Entity Well-known Seasoned Issuer | No | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Public Float | $ 562,133,078 |
Consolidated Balance Sheet
Consolidated Balance Sheet - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 | |
ASSETS | |||
Cash and cash equivalents | $ 183,909 | $ 114,140 | |
Restricted Cash | 4,857 | 0 | |
Investments, financial derivatives, and repurchase agreements: | |||
Investments, at fair value (Cost – $1,672,400 and $2,122,326) | 1,661,118 | 2,172,082 | |
Financial derivatives–assets, at fair value (Net cost – $163,943 and $61,560) | [1] | 162,905 | 80,029 |
Repurchase agreements, at fair value (Cost – $105,329 and $172,001) | [1] | 105,700 | 172,001 |
Total investments, financial derivatives, and repurchase agreements | 1,929,723 | 2,424,112 | |
Due from brokers | 141,605 | 146,965 | |
Receivable for securities sold and financial derivatives | 705,748 | 1,237,592 | |
Interest and principal receivable | 20,444 | 20,611 | |
Other assets | 5,269 | 1,935 | |
Total Assets | 2,991,555 | 3,945,355 | |
Investments and financial derivatives: | |||
Investments sold short, at fair value (Proceeds – $731,048 and $1,290,091) | 728,747 | 1,291,370 | |
Financial derivatives–liabilities, at fair value (Net proceeds – $56,200 and $33,555) | [1] | 60,472 | 66,116 |
Total investments and financial derivatives | 789,219 | 1,357,486 | |
Reverse repurchase agreements | [1] | 1,174,189 | 1,669,433 |
Due to brokers | 114,797 | 22,224 | |
Payable for securities purchased and financial derivatives | 165,365 | 98,747 | |
Securitized debt, at fair value (Proceeds – $0 and $749) | 0 | 774 | |
Accounts payable and accrued expenses | 3,626 | 2,798 | |
Base management fee payable | 2,773 | 2,963 | |
Interest and dividends payable | 1,806 | 2,386 | |
Other Liabilities | 828 | 0 | |
Total Liabilities | 2,252,603 | 3,156,811 | |
Total Equity | 738,952 | 788,544 | |
TOTAL LIABILITIES AND EQUITY | $ 2,991,555 | $ 3,945,355 | |
Commitments and contingencies (Note 15) | |||
ANALYSIS OF EQUITY: | |||
Common shares, no par value, 100,000,000 shares authorized; (33,126,012 and 33,449,678 shares issued and outstanding) | $ 722,360 | $ 772,811 | |
Additional paid-in capital – LTIP units | 9,689 | 9,344 | |
Total Shareholders' Equity | 732,049 | 782,155 | |
Non-controlling interests | 6,903 | 6,389 | |
Total Equity | $ 738,952 | $ 788,544 | |
PER SHARE INFORMATION: | |||
Common shares (in usd per share) | [2] | $ 22.10 | $ 23.38 |
[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, 2015, 2014, and 2013, shareholders' equity per share would be $21.80, $23.09, and $23.99, respectively. |
Consolidated Balance Sheet (Par
Consolidated Balance Sheet (Parenthetical) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2014 | |
Statement of Financial Position [Abstract] | ||
Investments at value, cost | $ 1,672,400 | $ 2,122,326 |
Financial derivatives–assets, at fair value Net cost | 163,943 | 61,560 |
Repurchase agreements, cost | 105,329 | 172,001 |
Investments sold short at value, proceeds | (731,048) | (1,290,091) |
Financial derivatives-liabilities, at fair value Net proceeds | (56,200) | (33,555) |
Securitized debt proceeds | $ 0 | $ (749) |
Common stock, par value | ||
Common stock, shares authorized | 100,000,000 | 100,000,000 |
Common stock, shares issued | 33,126,012 | 33,449,678 |
Common stock, shares outstanding | 33,126,012 | 33,449,678 |
Consolidated Condensed Schedule
Consolidated Condensed Schedule Of Investments (Long Investments) - USD ($) shares in Thousands | 12 Months Ended | ||||
Dec. 31, 2015 | Dec. 31, 2014 | ||||
Schedule of Investments [Line Items] | |||||
Fair Value | $ 1,661,118,000 | $ 2,172,082,000 | |||
Investment Owned, at Cost | $ 1,672,400,000 | $ 2,122,326,000 | |||
Percentage collaterallized by GNRCMO certificates | 100.00% | 100.00% | |||
Fair value of loans held in related party trust | $ 3,800,000 | ||||
Non-performing loans, maturity date not applicable | 22,600,000 | $ 11,300,000 | |||
Mortgage Loans in Process of Foreclosure, Amount | $ 5,900,000 | ||||
Unrated But Agency-Guaranteed [Member] | |||||
Schedule of Investments [Line Items] | |||||
Long investment holdings as a percentage of stockholders' equity | 143.52% | 163.60% | |||
Long Investment A Rating [Member] | |||||
Schedule of Investments [Line Items] | |||||
Long investment holdings as a percentage of stockholders' equity | 0.32% | 0.98% | |||
Long Investment BBB Rating [Member] | |||||
Schedule of Investments [Line Items] | |||||
Long investment holdings as a percentage of stockholders' equity | 1.07% | 5.62% | |||
Long Investment BB Rating [Member] | |||||
Schedule of Investments [Line Items] | |||||
Long investment holdings as a percentage of stockholders' equity | 34.89% | 80.65% | |||
Long Investment Unrated Rating [Member] | |||||
Schedule of Investments [Line Items] | |||||
Long investment holdings as a percentage of stockholders' equity | 44.99% | 24.61% | |||
Principal And Interest - Fixed Rate Agency Securities [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 124.31% | [1],[2],[3],[4] | 147.82% | [5],[6],[7],[8],[9] | |
Fair Value | $ 918,562,000 | [1],[3],[4] | $ 1,165,642,000 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (30 Year) 4.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 160,391,000 | [1],[3],[4] | $ 176,029,000 | [5],[7],[8],[9] | |
Rate | 4.00% | [1],[3],[4] | 4.00% | [5],[7],[8],[9] | |
Fair Value | $ 170,500,000 | [1],[3],[4] | $ 188,912,000 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (30 Year) 4.00% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | 2042-09 | [1],[3],[4] | 2042-09 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (30 Year) 4.00% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | 2045-08 | [1],[3],[4] | 2045-01 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (30 Year) 4.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 128,637,000 | [1],[3],[4] | $ 191,734,000 | [5],[7],[8],[9] | |
Rate | 4.00% | [1],[3],[4] | 4.00% | [5],[7],[8],[9] | |
Fair Value | $ 136,894,000 | [1],[3],[4] | $ 206,080,000 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (30 Year) 4.00% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | 2042-08 | [1],[3],[4] | 2042-04 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (30 Year) 4.00% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | 2045-10 | [1],[3],[4] | 2045-01 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (30 Year) 4.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 110,746,000 | [1],[3],[4] | $ 171,291,000 | [5],[7],[8],[9] | |
Rate | 4.50% | [1],[3],[4] | 4.50% | [5],[7],[8],[9] | |
Fair Value | $ 120,785,000 | [1],[3],[4] | $ 187,748,000 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (30 Year) 4.50% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | 2041-10 | [1],[3],[4] | 2041-10 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (30 Year) 4.50% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | 2045-10 | [1],[3],[4] | 2045-01 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (30 Year) 3.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 72,425,000 | [1],[3],[4] | $ 63,040,000 | [5],[7],[8],[9] | |
Rate | 3.50% | [1],[3],[4] | 3.50% | [5],[7],[8],[9] | |
Fair Value | $ 74,959,000 | [1],[3],[4] | $ 65,989,000 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (30 Year) 3.50% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | 2042-10 | [1],[3],[4] | 2042-10 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (30 Year) 3.50% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | 2045-10 | [1],[3],[4] | 2044-11 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (30 Year) 5.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 54,658,000 | [1],[3],[4] | $ 93,720,000 | [5],[7],[8],[9] | |
Rate | 5.00% | [1],[3],[4] | 5.00% | [5],[7],[8],[9] | |
Fair Value | $ 60,473,000 | [1],[3],[4] | $ 104,347,000 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (30 Year) 5.00% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | 2035-10 | [1],[3],[4] | 2035-10 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (30 Year) 5.00% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | 2044-12 | [1],[3],[4] | 2044-12 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (15 Year) 3.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 45,792,000 | [1],[3],[4] | $ 84,478,000 | [5],[7],[8],[9] | |
Rate | 3.50% | [1],[3],[4] | 3.50% | [5],[7],[8],[9] | |
Fair Value | $ 48,211,000 | [1],[3],[4] | $ 89,707,000 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (15 Year) 3.50% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | 2028-03 | [1],[3],[4] | 2028-03 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (15 Year) 3.50% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | 2030-10 | [1],[3],[4] | 2029-12 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (30 Year) 4.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 42,655,000 | [1],[3],[4] | $ 71,332,000 | [5],[7],[8],[9] | |
Rate | 4.50% | [1],[3],[4] | 4.50% | [5],[7],[8],[9] | |
Fair Value | $ 46,365,000 | [1],[3],[4] | $ 78,285,000 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (30 Year) 4.50% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | 2043-09 | [1],[3],[4] | 2043-09 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (30 Year) 4.50% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | 2045-10 | [1],[3],[4] | 2044-12 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (30 Year) 4.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [1],[3],[4] | $ 31,481,000 | |||
Rate | [1],[3],[4] | 4.00% | |||
Fair Value | [1],[3],[4] | $ 33,620,000 | |||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (30 Year) 4.00% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | [1],[3],[4] | 2045-06 | |||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (30 Year) 4.00% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | [1],[3],[4] | 2045-10 | |||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (30 Year) 3.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 29,417,000 | [1],[3],[4] | $ 53,456,000 | [5],[7],[8],[9] | |
Rate | 3.50% | [1],[3],[4] | 3.50% | [5],[7],[8],[9] | |
Fair Value | $ 30,458,000 | [1],[3],[4] | $ 55,840,000 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (30 Year) 3.50% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | 2042-01 | [1],[3],[4] | 2042-01 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (30 Year) 3.50% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | 2045-10 | [1],[3],[4] | 2045-01 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (15 Year) 3.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 21,705,000 | [1],[3],[4] | $ 21,139,000 | [5],[7],[8],[9] | |
Rate | 3.50% | [1],[3],[4] | 3.50% | [5],[7],[8],[9] | |
Fair Value | $ 22,848,000 | [1],[3],[4] | $ 22,410,000 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (15 Year) 3.50% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | 2028-09 | [1],[3],[4] | 2028-09 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (15 Year) 3.50% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | 2030-09 | [1],[3],[4] | 2029-09 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (30 Year) 4.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [1],[3],[4] | $ 15,056,000 | |||
Rate | [1],[3],[4] | 4.50% | |||
Fair Value | [1],[3],[4] | $ 16,328,000 | |||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (30 Year) 4.50% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | [1],[3],[4] | 2045-08 | |||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (30 Year) 4.50% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | [1],[3],[4] | 2045-09 | |||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (15 Year) 3.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [1],[3],[4] | $ 13,060,000 | |||
Rate | [1],[3],[4] | 3.00% | |||
Fair Value | [1],[3],[4] | $ 13,500,000 | |||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (15 Year) 3.00% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | [1],[3],[4] | 2030-04 | |||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (15 Year) 3.00% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | [1],[3],[4] | 2030-10 | |||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (15 Year) 4.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 11,558,000 | [1],[3],[4] | $ 14,283,000 | [5],[7],[8],[9] | |
Rate | 4.00% | [1],[3],[4] | 4.00% | [5],[7],[8],[9] | |
Fair Value | $ 12,284,000 | [1],[3],[4] | $ 15,211,000 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (15 Year) 4.00% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | 2026-06 | [1],[3],[4] | 2026-06 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (15 Year) 4.00% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | 2029-12 | [1],[3],[4] | 2029-12 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) 4.56% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [1],[3],[4] | $ 8,154,000 | |||
Rate | [1],[3],[4] | 4.56% | |||
Maturity | [1],[3],[4] | 2065-01 | |||
Fair Value | [1],[3],[4] | $ 8,850,000 | |||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (Other) 5.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 7,799,000 | [1],[3],[4] | $ 8,424,000 | [5],[7],[8],[9] | |
Rate | 5.00% | [1],[3],[4] | 5.00% | [5],[7],[8],[9] | |
Fair Value | $ 8,680,000 | [1],[3],[4] | $ 9,497,000 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (Other) 5.00% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | 2043-09 | [1],[3],[4] | 2043-09 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (Other) 5.00% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | 2044-01 | [1],[3],[4] | 2044-01 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (Other) 3.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 8,221,000 | [1],[3],[4] | $ 7,402,000 | [5],[7],[8],[9] | |
Rate | 3.50% | [1],[3],[4] | 3.50% | [5],[7],[8],[9] | |
Fair Value | $ 8,508,000 | [1],[3],[4] | $ 7,678,000 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (Other) 3.50% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | 2030-02 | [1],[3],[4] | 2043-04 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (Other) 3.50% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | 2043-06 | [1],[3],[4] | 2043-06 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) 4.68% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 6,705,000 | [1],[3],[4] | $ 4,131,000 | [5],[7],[8],[9] | |
Rate | 4.68% | [1],[3],[4] | 4.68% | [5],[7],[8],[9] | |
Maturity | [5],[7],[8],[9] | 2064-09 | |||
Fair Value | $ 7,280,000 | [1],[3],[4] | $ 4,647,000 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) 4.68% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | [1],[3],[4] | 2063-11 | |||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) 4.68% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | [1],[3],[4] | 2064-09 | |||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) 4.61% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 6,196,000 | [1],[3],[4] | $ 6,883,000 | [5],[7],[8],[9] | |
Rate | 4.61% | [1],[3],[4] | 4.61% | [5],[7],[8],[9] | |
Fair Value | $ 6,734,000 | [1],[3],[4] | $ 7,738,000 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) 4.61% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | 2064-06 | [1],[3],[4] | 2064-06 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) 4.61% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | 2064-11 | [1],[3],[4] | 2064-11 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) 4.59% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 6,041,000 | [1],[3],[4] | $ 5,945,000 | [5],[7],[8],[9] | |
Rate | 4.59% | [1],[3],[4] | 4.59% | [5],[7],[8],[9] | |
Maturity | 2064-11 | [1],[3],[4] | 2064-11 | [5],[7],[8],[9] | |
Fair Value | $ 6,565,000 | [1],[3],[4] | $ 6,695,000 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (20 Year) 4.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 6,114,000 | [1],[3],[4] | $ 6,663,000 | [5],[7],[8],[9] | |
Rate | 4.00% | [1],[3],[4] | 4.00% | [5],[7],[8],[9] | |
Fair Value | $ 6,558,000 | [1],[3],[4] | $ 7,213,000 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (20 Year) 4.00% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | 2033-11 | [1],[3],[4] | 2033-11 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (20 Year) 4.00% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | 2033-12 | [1],[3],[4] | 2033-12 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (30 Year) 3.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 6,256,000 | [1],[3],[4] | $ 20,140,000 | [5],[7],[8],[9] | |
Rate | 3.00% | [1],[3],[4] | 3.00% | [5],[7],[8],[9] | |
Fair Value | $ 6,266,000 | [1],[3],[4] | $ 20,425,000 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (30 Year) 3.00% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | 2043-01 | [1],[3],[4] | 2043-01 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (30 Year) 3.00% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | 2043-02 | [1],[3],[4] | 2043-05 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (15 Year) 3.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 5,859,000 | [1],[3],[4] | $ 2,990,000 | [5],[7],[8],[9] | |
Rate | 3.00% | [1],[3],[4] | 3.00% | [5],[7],[8],[9] | |
Maturity | [5],[7],[8],[9] | 2028-03 | |||
Fair Value | $ 6,054,000 | [1],[3],[4] | $ 3,114,000 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (15 Year) 3.00% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | [1],[3],[4] | 2028-03 | |||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (15 Year) 3.00% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | [1],[3],[4] | 2030-04 | |||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) 4.62% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [1],[3],[4] | $ 4,888,000 | |||
Rate | [1],[3],[4] | 4.62% | |||
Maturity | [1],[3],[4] | 2063-12 | |||
Fair Value | [1],[3],[4] | $ 5,285,000 | |||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (30 Year) 5.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 4,713,000 | [1],[3],[4] | $ 5,131,000 | [5],[7],[8],[9] | |
Rate | 5.50% | [1],[3],[4] | 5.50% | [5],[7],[8],[9] | |
Maturity | 2039-10 | [1],[3],[4] | 2039-10 | [5],[7],[8],[9] | |
Fair Value | $ 5,248,000 | [1],[3],[4] | $ 5,741,000 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (15 Year) 4.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 4,564,000 | [1],[3],[4] | $ 5,916,000 | [5],[7],[8],[9] | |
Rate | 4.50% | [1],[3],[4] | 4.50% | [5],[7],[8],[9] | |
Maturity | 2026-04 | [1],[3],[4] | 2026-04 | [5],[7],[8],[9] | |
Fair Value | $ 4,914,000 | [1],[3],[4] | $ 6,232,000 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) 4.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [1],[3],[4] | $ 3,764,000 | |||
Rate | [1],[3],[4] | 4.50% | |||
Maturity | [1],[3],[4] | 2061-07 | |||
Fair Value | [1],[3],[4] | $ 4,057,000 | |||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) 4.75% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 3,748,000 | [1],[3],[4] | $ 4,181,000 | [5],[7],[8],[9] | |
Rate | 4.75% | [1],[3],[4] | 4.75% | [5],[7],[8],[9] | |
Maturity | 2061-01 | [1],[3],[4] | 2061-01 | [5],[7],[8],[9] | |
Fair Value | $ 3,877,000 | [1],[3],[4] | $ 4,457,000 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) 4.63% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 3,406,000 | [1],[3],[4] | $ 3,809,000 | [5],[7],[8],[9] | |
Rate | 4.63% | [1],[3],[4] | 4.63% | [5],[7],[8],[9] | |
Maturity | 2064-10 | [1],[3],[4] | 2064-10 | [5],[7],[8],[9] | |
Fair Value | $ 3,704,000 | [1],[3],[4] | $ 4,295,000 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (30 Year) 3.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [1],[3],[4] | $ 3,402,000 | |||
Rate | [1],[3],[4] | 3.50% | |||
Maturity | [1],[3],[4] | 2045-04 | |||
Fair Value | [1],[3],[4] | $ 3,551,000 | |||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) 4.80% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 3,376,000 | [1],[3],[4] | $ 3,680,000 | [5],[7],[8],[9] | |
Rate | 4.80% | [1],[3],[4] | 4.80% | [5],[7],[8],[9] | |
Maturity | 2061-02 | [1],[3],[4] | 2061-02 | [5],[7],[8],[9] | |
Fair Value | $ 3,504,000 | [1],[3],[4] | $ 3,933,000 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) 4.49% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 3,129,000 | [1],[3],[4] | $ 3,300,000 | [5],[7],[8],[9] | |
Rate | 4.49% | [1],[3],[4] | 4.49% | [5],[7],[8],[9] | |
Maturity | 2064-11 | [1],[3],[4] | 2064-11 | [5],[7],[8],[9] | |
Fair Value | $ 3,376,000 | [1],[3],[4] | $ 3,698,000 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) 5.49% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 2,966,000 | [1],[3],[4] | $ 3,487,000 | [5],[7],[8],[9] | |
Rate | 5.49% | [1],[3],[4] | 5.49% | [5],[7],[8],[9] | |
Maturity | 2060-04 | [1],[3],[4] | 2060-04 | [5],[7],[8],[9] | |
Fair Value | $ 3,151,000 | [1],[3],[4] | $ 3,811,000 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (Other) 4.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 2,780,000 | [1],[3],[4] | $ 2,836,000 | [5],[7],[8],[9] | |
Rate | 4.50% | [1],[3],[4] | 4.50% | [5],[7],[8],[9] | |
Maturity | 2044-05 | [1],[3],[4] | 2044-05 | [5],[7],[8],[9] | |
Fair Value | $ 3,031,000 | [1],[3],[4] | $ 3,131,000 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) 4.64% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [1],[3],[4] | $ 2,680,000 | |||
Rate | [1],[3],[4] | 4.64% | |||
Maturity | [1],[3],[4] | 2065-03 | |||
Fair Value | [1],[3],[4] | $ 2,924,000 | |||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (Other) 3.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 2,788,000 | [1],[3],[4] | $ 3,027,000 | [5],[7],[8],[9] | |
Rate | 3.00% | [1],[3],[4] | 3.00% | [5],[7],[8],[9] | |
Maturity | 2028-06 | [1],[3],[4] | 2028-06 | [5],[7],[8],[9] | |
Fair Value | $ 2,880,000 | [1],[3],[4] | $ 3,139,000 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (30 Year) 6.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 2,533,000 | [1],[3],[4] | $ 2,794,000 | [5],[7],[8],[9] | |
Rate | 6.00% | [1],[3],[4] | 6.00% | [5],[7],[8],[9] | |
Fair Value | $ 2,866,000 | [1],[3],[4] | $ 3,164,000 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (30 Year) 6.00% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | 2039-09 | [1],[3],[4] | 2039-09 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (30 Year) 6.00% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | 2040-02 | [1],[3],[4] | 2040-02 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) 5.54% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 2,469,000 | [1],[3],[4] | $ 2,931,000 | [5],[7],[8],[9] | |
Rate | 5.54% | [1],[3],[4] | 5.54% | [5],[7],[8],[9] | |
Maturity | 2060-02 | [1],[3],[4] | 2060-02 | [5],[7],[8],[9] | |
Fair Value | $ 2,598,000 | [1],[3],[4] | $ 3,177,000 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) 5.51% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 2,326,000 | [1],[3],[4] | $ 2,668,000 | [5],[7],[8],[9] | |
Rate | 5.51% | [1],[3],[4] | 5.51% | [5],[7],[8],[9] | |
Maturity | 2060-02 | [1],[3],[4] | 2060-02 | [5],[7],[8],[9] | |
Fair Value | $ 2,479,000 | [1],[3],[4] | $ 2,919,000 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (15 Year) 4.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 1,988,000 | [1],[3],[4] | $ 2,561,000 | [5],[7],[8],[9] | |
Rate | 4.00% | [1],[3],[4] | 4.00% | [5],[7],[8],[9] | |
Maturity | 2029-02 | [1],[3],[4] | 2029-02 | [5],[7],[8],[9] | |
Fair Value | $ 2,121,000 | [1],[3],[4] | $ 2,728,000 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (30 Year) 6.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 1,608,000 | [1],[3],[4] | $ 1,849,000 | [5],[7],[8],[9] | |
Rate | 6.00% | [1],[3],[4] | 6.00% | [5],[7],[8],[9] | |
Fair Value | $ 1,807,000 | [1],[3],[4] | $ 2,084,000 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (30 Year) 6.00% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | 2039-04 | [1],[3],[4] | 2039-04 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (30 Year) 6.00% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | 2040-05 | [1],[3],[4] | 2040-05 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (20 Year) 4.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 1,352,000 | [1],[3],[4] | $ 1,510,000 | [5],[7],[8],[9] | |
Rate | 4.50% | [1],[3],[4] | 4.50% | [5],[7],[8],[9] | |
Maturity | 2033-12 | [1],[3],[4] | 2033-12 | [5],[7],[8],[9] | |
Fair Value | $ 1,471,000 | [1],[3],[4] | $ 1,652,000 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (30 Year) 3.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 1,139,000 | [1],[3],[4] | $ 10,130,000 | [5],[7],[8],[9] | |
Rate | 3.00% | [1],[3],[4] | 3.00% | [5],[7],[8],[9] | |
Maturity | [1],[3],[4] | 2043-07 | |||
Fair Value | $ 1,140,000 | [1],[3],[4] | $ 10,271,000 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (30 Year) 3.00% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | [5],[7],[8],[9] | 2043-01 | |||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (30 Year) 3.00% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | [5],[7],[8],[9] | 2043-04 | |||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (30 Year) 5.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 879,000 | [1],[3],[4] | $ 1,298,000 | [5],[7],[8],[9] | |
Rate | 5.00% | [1],[3],[4] | 5.00% | [5],[7],[8],[9] | |
Maturity | 2044-07 | [1],[3],[4] | 2044-07 | [5],[7],[8],[9] | |
Fair Value | $ 964,000 | [1],[3],[4] | $ 1,444,000 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (30 Year) 5.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 689,000 | [1],[3],[4] | $ 851,000 | [5],[7],[8],[9] | |
Rate | 5.50% | [1],[3],[4] | 5.50% | [5],[7],[8],[9] | |
Maturity | 2033-08 | [1],[3],[4] | 2033-08 | [5],[7],[8],[9] | |
Fair Value | $ 764,000 | [1],[3],[4] | $ 954,000 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (Other) 4.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 126,000 | [1],[3],[4] | $ 245,000 | [5],[7],[8],[9] | |
Rate | 4.00% | [1],[3],[4] | 4.00% | [5],[7],[8],[9] | |
Maturity | 2037-06 | [1],[3],[4] | 2037-06 | [5],[7],[8],[9] | |
Fair Value | $ 130,000 | [1],[3],[4] | $ 260,000 | [5],[7],[8],[9] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (Other) 4.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [5],[7],[8],[9] | $ 2,238,000 | |||
Rate | [5],[7],[8],[9] | 4.00% | |||
Fair Value | [5],[7],[8],[9] | $ 2,398,000 | |||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (Other) 4.00% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | [5],[7],[8],[9] | 2043-07 | |||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools (Other) 4.00% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | [5],[7],[8],[9] | 2044-10 | |||
Principal And Interest - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association Pools (Other) 4.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [5],[7],[8],[9] | $ 5,526,000 | |||
Rate | [5],[7],[8],[9] | 4.50% | |||
Maturity | [5],[7],[8],[9] | 2044-02 | |||
Fair Value | [5],[7],[8],[9] | $ 6,108,000 | |||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) 4.66% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [5],[7],[8],[9] | $ 3,458,000 | |||
Rate | [5],[7],[8],[9] | 4.66% | |||
Maturity | [5],[7],[8],[9] | 2063-01 | |||
Fair Value | [5],[7],[8],[9] | $ 3,792,000 | |||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) 4.67% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [5],[7],[8],[9] | $ 3,290,000 | |||
Rate | [5],[7],[8],[9] | 4.67% | |||
Maturity | [5],[7],[8],[9] | 2061-10 | |||
Fair Value | [5],[7],[8],[9] | $ 3,551,000 | |||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (Other) 4.65% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [5],[7],[8],[9] | $ 1,079,000 | |||
Rate | [5],[7],[8],[9] | 4.65% | |||
Maturity | [5],[7],[8],[9] | 2061-11 | |||
Fair Value | [5],[7],[8],[9] | $ 1,167,000 | |||
Interest Only - Fixed Rate Agency Securities [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 1.00% | [1],[2],[3],[4] | 1.20% | [5],[6],[7],[8],[9] | |
Fair Value | $ 7,403,000 | [1],[3],[4] | $ 9,441,000 | [5],[7],[8],[9] | |
Interest Only - Fixed Rate Agency Securities [Member] | Government National Mortgage Association 5.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [1],[3],[4] | $ 8,681,000 | |||
Rate | [1],[3],[4] | 5.50% | |||
Maturity | [1],[3],[4] | 2043-11 | |||
Fair Value | [1],[3],[4] | $ 1,603,000 | |||
Interest Only - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association 5.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 11,249,000 | [1],[3],[4] | $ 17,397,000 | [5],[7],[8],[9] | |
Rate | 5.00% | [1],[3],[4] | 5.00% | [5],[7],[8],[9] | |
Fair Value | $ 1,425,000 | [1],[3],[4] | $ 1,899,000 | [5],[7],[8],[9] | |
Interest Only - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association 5.00% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | 2036-01 | [1],[3],[4] | 2036-01 | [5],[7],[8],[9] | |
Interest Only - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association 5.00% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | 2040-05 | [1],[3],[4] | 2040-05 | [5],[7],[8],[9] | |
Interest Only - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association 4.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 8,889,000 | [1],[3],[4] | $ 30,581,000 | [5],[7],[8],[9] | |
Rate | 4.50% | [1],[3],[4] | 4.50% | [5],[7],[8],[9] | |
Fair Value | $ 963,000 | [1],[3],[4] | $ 3,946,000 | [5],[7],[8],[9] | |
Interest Only - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association 4.50% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | 2020-12 | [1],[3],[4] | 2020-12 | [5],[7],[8],[9] | |
Interest Only - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association 4.50% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | 2043-05 | [1],[3],[4] | 2043-06 | [5],[7],[8],[9] | |
Interest Only - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation 3.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 5,977,000 | [1],[3],[4] | $ 6,935,000 | [5],[7],[8],[9] | |
Rate | 3.50% | [1],[3],[4] | 3.50% | [5],[7],[8],[9] | |
Maturity | 2032-12 | [1],[3],[4] | 2032-12 | [5],[7],[8],[9] | |
Fair Value | $ 869,000 | [1],[3],[4] | $ 1,001,000 | [5],[7],[8],[9] | |
Interest Only - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation 5.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 4,884,000 | [1],[3],[4] | $ 7,621,000 | [5],[7],[8],[9] | |
Rate | 5.00% | [1],[3],[4] | 5.00% | [5],[7],[8],[9] | |
Maturity | 2040-03 | [1],[3],[4] | 2040-03 | [5],[7],[8],[9] | |
Fair Value | $ 519,000 | [1],[3],[4] | $ 815,000 | [5],[7],[8],[9] | |
Interest Only - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association 3.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 3,909,000 | [1],[3],[4] | $ 4,691,000 | [5],[7],[8],[9] | |
Rate | 3.00% | [1],[3],[4] | 3.00% | [5],[7],[8],[9] | |
Maturity | 2041-09 | [1],[3],[4] | 2041-09 | [5],[7],[8],[9] | |
Fair Value | $ 421,000 | [1],[3],[4] | $ 554,000 | [5],[7],[8],[9] | |
Interest Only - Fixed Rate Agency Securities [Member] | Government National Mortgage Association 4.75% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 2,019,000 | [1],[3],[4] | $ 2,142,000 | [5],[7],[8],[9] | |
Rate | 4.75% | [1],[3],[4] | 4.75% | [5],[7],[8],[9] | |
Maturity | 2040-07 | [1],[3],[4] | 2040-07 | [5],[7],[8],[9] | |
Fair Value | $ 378,000 | [1],[3],[4] | $ 461,000 | [5],[7],[8],[9] | |
Interest Only - Fixed Rate Agency Securities [Member] | Government National Mortgage Association 6.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [1],[3],[4] | $ 1,544,000 | |||
Rate | [1],[3],[4] | 6.00% | |||
Maturity | [1],[3],[4] | 2038-06 | |||
Fair Value | [1],[3],[4] | $ 330,000 | |||
Interest Only - Fixed Rate Agency Securities [Member] | Government National Mortgage Association 5.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [1],[3],[4] | $ 3,782,000 | |||
Rate | [1],[3],[4] | 5.00% | |||
Maturity | [1],[3],[4] | 2037-05 | |||
Fair Value | [1],[3],[4] | $ 311,000 | |||
Interest Only - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association 5.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 1,651,000 | [1],[3],[4] | $ 2,242,000 | [5],[7],[8],[9] | |
Rate | 5.50% | [1],[3],[4] | 5.50% | [5],[7],[8],[9] | |
Maturity | 2040-10 | [1],[3],[4] | 2040-10 | [5],[7],[8],[9] | |
Fair Value | $ 239,000 | [1],[3],[4] | $ 285,000 | [5],[7],[8],[9] | |
Interest Only - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association 4.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 1,346,000 | [1],[3],[4] | $ 1,826,000 | [5],[7],[8],[9] | |
Rate | 4.00% | [1],[3],[4] | 4.00% | [5],[7],[8],[9] | |
Maturity | 2039-05 | [1],[3],[4] | 2039-05 | [5],[7],[8],[9] | |
Fair Value | $ 219,000 | [1],[3],[4] | $ 287,000 | [5],[7],[8],[9] | |
Interest Only - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation 5.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 1,109,000 | [1],[3],[4] | $ 1,609,000 | [5],[7],[8],[9] | |
Rate | 5.50% | [1],[3],[4] | 5.50% | [5],[7],[8],[9] | |
Maturity | 2039-01 | [1],[3],[4] | 2039-01 | [5],[7],[8],[9] | |
Fair Value | $ 126,000 | [1],[3],[4] | $ 193,000 | [5],[7],[8],[9] | |
TBA - Fixed Rate Agency Securities [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 13.26% | [1],[2],[3],[4] | 9.18% | [5],[6],[7],[8],[9] | |
Current Principal/Notional Amount | $ 94,602,000 | $ 71,598,000 | |||
Fair Value | 98,009,000 | [1],[3],[4] | 72,410,000 | [5],[7],[8],[9] | |
TBA - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association (30 Year) 4.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [1],[3],[4] | $ 40,262,000 | |||
Rate | [1],[3],[4] | 4.00% | |||
Maturity | [1],[3],[4] | 2016-01 | |||
Fair Value | [1],[3],[4] | $ 42,607,000 | |||
TBA - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation (30 Year) 3.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [1],[3],[4] | $ 26,600,000 | |||
Rate | [1],[3],[4] | 3.50% | |||
Maturity | [1],[3],[4] | 2016-01 | |||
Fair Value | [1],[3],[4] | $ 27,394,000 | |||
TBA - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation (30 Year) 3.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [1],[3],[4] | $ 15,040,000 | |||
Rate | [1],[3],[4] | 3.00% | |||
Maturity | [1],[3],[4] | 2016-01 | |||
Fair Value | [1],[3],[4] | $ 15,022,000 | |||
TBA - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association (15 Year) 2.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [1],[3],[4] | $ 9,800,000 | |||
Rate | [1],[3],[4] | 2.50% | |||
Maturity | 2016-01 | ||||
Fair Value | [1],[3],[4] | $ 9,879,000 | |||
TBA - Fixed Rate Agency Securities [Member] | Government National Mortgage Association (30 Year) 4.50% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [1],[3],[4] | $ 2,200,000 | |||
Rate | [1],[3],[4] | 4.50% | |||
Maturity | [1],[3],[4] | 2016-01 | |||
Fair Value | [1],[3],[4] | $ 2,364,000 | |||
TBA - Fixed Rate Agency Securities [Member] | Government National Mortgage Association (30 year) 4.00% [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [1],[3],[4] | $ 700,000 | |||
Rate | [1],[3],[4] | 4.00% | |||
Maturity | [1],[3],[4] | 2016-01 | |||
Fair Value | [1],[3],[4] | $ 743,000 | |||
TBA - Fixed Rate Agency Securities [Member] | Federal National Mortgage Association (30 Year) [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [5],[7],[8],[9] | $ 44,478,000 | |||
Rate | [5],[7],[8],[9] | 3.00% | |||
Maturity | [5],[7],[8],[9] | 2015-01 | |||
Fair Value | [5],[7],[8],[9] | $ 45,015,000 | |||
TBA - Fixed Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation (30 Year) [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [5],[7],[8],[9] | $ 27,120,000 | |||
Rate | [5],[7],[8],[9] | 3.00% | |||
Maturity | [5],[7],[8],[9] | 2015-01 | |||
Fair Value | [5],[7],[8],[9] | $ 27,395,000 | |||
Fixed Rate Agency Securities [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 138.57% | [1],[2],[3],[4] | 158.20% | [5],[6],[7],[8],[9] | |
Fair Value | $ 1,023,974,000 | [1],[3],[4] | $ 1,247,493,000 | [5],[7],[8],[9] | |
Investment Owned, at Cost | $ 1,023,479,000 | [1],[3],[4] | $ 1,230,414,000 | [5],[7],[8],[9] | |
Principal And Interest - Floating Rate Agency Securities [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 2.58% | [1],[2],[3],[4] | 2.62% | [5],[6],[7],[8],[9] | |
Fair Value | $ 19,091,000 | [1],[3],[4] | $ 20,647,000 | [5],[7],[8],[9] | |
Principal And Interest - Floating Rate Agency Securities [Member] | Federal National Mortgage Association Pools [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | 9,490,000 | [1],[3],[4] | 6,265,000 | [5],[7],[8],[9] | |
Fair Value | $ 9,990,000 | [1],[3],[4] | $ 6,692,000 | [5],[7],[8],[9] | |
Principal And Interest - Floating Rate Agency Securities [Member] | Federal National Mortgage Association Pools [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Rate | 2.05% | [1],[3],[4] | 5.04% | [5],[7],[8],[9] | |
Maturity | 2035-09 | [1],[3],[4] | 2035-09 | [5],[7],[8],[9] | |
Principal And Interest - Floating Rate Agency Securities [Member] | Federal National Mortgage Association Pools [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Rate | 6.04% | [1],[3],[4] | 6.05% | [5],[7],[8],[9] | |
Maturity | 2045-05 | [1],[3],[4] | 2037-09 | [5],[7],[8],[9] | |
Principal And Interest - Floating Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 6,287,000 | [1],[3],[4] | $ 9,737,000 | [5],[7],[8],[9] | |
Fair Value | $ 6,625,000 | [1],[3],[4] | $ 10,282,000 | [5],[7],[8],[9] | |
Principal And Interest - Floating Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Rate | 2.61% | [1],[3],[4] | 2.36% | [5],[7],[8],[9] | |
Maturity | 2037-06 | [1],[3],[4] | 2037-06 | [5],[7],[8],[9] | |
Principal And Interest - Floating Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation Pools [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Rate | 5.94% | [1],[3],[4] | 5.94% | [5],[7],[8],[9] | |
Maturity | 2044-05 | [1],[3],[4] | 2044-05 | [5],[7],[8],[9] | |
Principal And Interest - Floating Rate Agency Securities [Member] | Government National Mortgage Association Pools [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 2,349,000 | [1],[3],[4] | $ 3,404,000 | [5],[7],[8],[9] | |
Rate | 2.55% | [1],[3],[4] | 2.47% | [5],[7],[8],[9] | |
Maturity | 2064-11 | [1],[3],[4] | 2064-11 | [5],[7],[8],[9] | |
Fair Value | $ 2,476,000 | [1],[3],[4] | $ 3,673,000 | [5],[7],[8],[9] | |
Interest Only - Floating Rate Agency Securities [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 2.37% | [1],[2],[3],[4] | 2.78% | [5],[6],[7],[8],[9] | |
Fair Value | $ 17,515,000 | [1],[3],[4] | $ 21,944,000 | [5],[7],[8],[9] | |
Interest Only - Floating Rate Agency Securities [Member] | Government National Mortgage Association [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | 203,125,000 | [1],[3],[4] | 183,794,000 | [5],[7],[8],[9] | |
Fair Value | $ 12,186,000 | [1],[3],[4] | $ 13,591,000 | [5],[7],[8],[9] | |
Interest Only - Floating Rate Agency Securities [Member] | Government National Mortgage Association [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Rate | 0.43% | [1],[3],[4] | 0.40% | [5],[7],[8],[9] | |
Maturity | 2042-11 | [1],[3],[4] | 2042-11 | [5],[7],[8],[9] | |
Interest Only - Floating Rate Agency Securities [Member] | Government National Mortgage Association [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Rate | 6.35% | [1],[3],[4] | 6.58% | [5],[7],[8],[9] | |
Maturity | 2063-10 | [1],[3],[4] | 2063-10 | [5],[7],[8],[9] | |
Interest Only - Floating Rate Agency Securities [Member] | Federal National Mortgage Association [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 18,517,000 | [1],[3],[4] | $ 28,251,000 | [5],[7],[8],[9] | |
Fair Value | $ 2,718,000 | [1],[3],[4] | $ 4,508,000 | [5],[7],[8],[9] | |
Interest Only - Floating Rate Agency Securities [Member] | Federal National Mortgage Association [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Rate | 5.50% | [1],[3],[4] | 5.50% | [5],[7],[8],[9] | |
Maturity | 2033-06 | [1],[3],[4] | 2035-04 | [5],[7],[8],[9] | |
Interest Only - Floating Rate Agency Securities [Member] | Federal National Mortgage Association [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Rate | 7.13% | [1],[3],[4] | 6.58% | [5],[7],[8],[9] | |
Maturity | 2041-12 | [1],[3],[4] | 2043-07 | [5],[7],[8],[9] | |
Interest Only - Floating Rate Agency Securities [Member] | Resecuritization of Government National Mortgage Association [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 20,272,000 | [1],[3],[4],[10] | $ 21,145,000 | [5],[7],[8],[9],[11] | |
Rate | 4.31% | [1],[3],[4],[10] | 4.34% | [5],[7],[8],[9],[11] | |
Maturity | 2060-08 | [1],[3],[4],[10] | 2060-08 | [5],[7],[8],[9],[11] | |
Fair Value | $ 1,486,000 | [1],[3],[4],[10] | $ 1,973,000 | [5],[7],[8],[9],[11] | |
Interest Only - Floating Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | 6,446,000 | [1],[3],[4] | 13,048,000 | [5],[7],[8],[9] | |
Fair Value | $ 1,125,000 | [1],[3],[4] | $ 1,872,000 | [5],[7],[8],[9] | |
Interest Only - Floating Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Rate | 5.67% | [1],[3],[4] | 5.84% | [5],[7],[8],[9] | |
Maturity | 2036-03 | [1],[3],[4] | 2036-03 | [5],[7],[8],[9] | |
Interest Only - Floating Rate Agency Securities [Member] | Federal Home Loan Mortgage Corporation [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Rate | 6.30% | [1],[3],[4] | 6.47% | [5],[7],[8],[9] | |
Maturity | 2039-08 | [1],[3],[4] | 2039-08 | [5],[7],[8],[9] | |
Floating Rate Agency Securities [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 4.95% | [1],[2],[3],[4] | 5.40% | [5],[6],[7],[8],[9] | |
Fair Value | $ 36,606,000 | [1],[3],[4] | $ 42,591,000 | [5],[7],[8],[9] | |
Investment Owned, at Cost | $ 36,192,000 | [1],[3],[4] | $ 41,787,000 | [5],[7],[8],[9] | |
Agency Securities [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 143.52% | [1],[2],[3],[4] | 163.60% | [5],[6],[7],[8],[9] | |
Fair Value | $ 1,060,580,000 | [1],[3],[4] | $ 1,290,084,000 | [5],[7],[8],[9] | |
Investment Owned, at Cost | $ 1,059,671,000 | [1],[3],[4] | $ 1,272,201,000 | [5],[7],[8],[9] | |
Principal And Interest - Private Label Securities [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 38.20% | [2],[3],[4] | 76.95% | [6],[7],[8],[9] | |
Fair Value | $ 282,301,000 | [3],[4] | $ 606,757,000 | [7],[8],[9] | |
Investment Owned, at Cost | $ 280,475,000 | [3],[4] | $ 571,834,000 | [7],[8],[9] | |
Principal And Interest - Private Label Securities [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 32.11% | [2],[3],[4] | 71.67% | [6],[7],[8],[9] | |
Fair Value | $ 237,325,000 | [3],[4] | $ 565,117,000 | [7],[8],[9] | |
Investment Owned, at Cost | $ 229,780,000 | [3],[4] | $ 526,764,000 | [7],[8],[9] | |
Principal And Interest - Private Label Securities [Member] | Europe [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 6.09% | [2],[3],[4] | 5.28% | [6],[7],[8],[9] | |
Fair Value | $ 44,976,000 | [3],[4] | $ 41,640,000 | [7],[8],[9] | |
Investment Owned, at Cost | 50,695,000 | [3],[4] | 45,070,000 | [7],[8],[9] | |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Mortgage-related Commercial [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | 84,045,000 | [3],[4] | 117,877,000 | [7],[8],[9] | |
Fair Value | 24,456,000 | [3],[4] | 39,240,000 | [7],[8],[9] | |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Mortgage-related Commercial [Member] | Europe [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | 7,821,000 | [3],[4] | 12,784,000 | [7],[8],[9] | |
Fair Value | 7,812,000 | [3],[4] | 12,837,000 | [7],[8],[9] | |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | 380,261,000 | [3],[4] | 799,083,000 | [7],[8],[9] | |
Fair Value | 212,869,000 | [3],[4] | 525,877,000 | [7],[8],[9] | |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Mortgage-related Residential [Member] | Europe [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | 50,851,000 | [3],[4] | 33,294,000 | [7],[8],[9] | |
Fair Value | $ 37,164,000 | [3],[4] | $ 28,803,000 | [7],[8],[9] | |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Minimum [Member] | Mortgage-related Commercial [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Rate | 3.00% | [3],[4] | 3.00% | [7],[8],[9] | |
Maturity | 2045-07 | [3],[4] | 2045-07 | [7],[8],[9] | |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Minimum [Member] | Mortgage-related Commercial [Member] | Europe [Member] | |||||
Schedule of Investments [Line Items] | |||||
Rate | 0.00% | [3],[4] | 0.00% | [7],[8],[9] | |
Maturity | 2017-06 | [3],[4] | 2015-07 | [7],[8],[9] | |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Rate | 0.00% | [3],[4] | 0.00% | [7],[8],[9] | |
Maturity | 2019-05 | [3],[4] | 2019-05 | [7],[8],[9] | |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Minimum [Member] | Mortgage-related Residential [Member] | Europe [Member] | |||||
Schedule of Investments [Line Items] | |||||
Rate | 0.00% | [3],[4] | 0.34% | [7],[8],[9] | |
Maturity | 2025-06 | [3],[4] | 2038-08 | [7],[8],[9] | |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Maximum [Member] | Mortgage-related Commercial [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Rate | 4.40% | [3],[4] | 5.40% | [7],[8],[9] | |
Maturity | 2048-02 | [3],[4] | 2049-12 | [7],[8],[9] | |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Maximum [Member] | Mortgage-related Commercial [Member] | Europe [Member] | |||||
Schedule of Investments [Line Items] | |||||
Rate | 11.00% | [3],[4] | 12.25% | [7],[8],[9] | |
Maturity | 2019-06 | [3],[4] | 2024-03 | [7],[8],[9] | |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Rate | 9.35% | [3],[4] | 9.35% | [7],[8],[9] | |
Maturity | 2046-09 | [3],[4] | 2047-07 | [7],[8],[9] | |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Maximum [Member] | Mortgage-related Residential [Member] | Europe [Member] | |||||
Schedule of Investments [Line Items] | |||||
Rate | 5.32% | [3],[4] | 4.41% | [7],[8],[9] | |
Maturity | 2050-03 | [3],[4] | 2061-01 | [7],[8],[9] | |
Principal Only - Private Label Securities [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 0.51% | [2],[3],[4] | 0.41% | [6],[7],[8],[9] | |
Fair Value | $ 3,749,000 | [3],[4] | $ 3,248,000 | [7],[8],[9] | |
Investment Owned, at Cost | 3,024,000 | [3],[4] | 2,737,000 | [7],[8],[9] | |
Principal Only - Private Label Securities [Member] | Various Issuer [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 5,800,000 | [3],[4] | $ 5,800,000 | [7],[8],[9] | |
Rate | 0.00% | [3],[4] | 0.00% | [7],[8],[9] | |
Maturity | 2030-08 | [3],[4] | 2030-08 | [7],[8],[9] | |
Fair Value | $ 3,749,000 | [3],[4] | $ 3,248,000 | [7],[8],[9] | |
Interest Only - Private Label Securities [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 0.41% | [2],[3],[4] | 0.31% | [6],[7],[8],[9] | |
Fair Value | $ 3,012,000 | [3],[4] | $ 2,423,000 | [7],[8],[9] | |
Investment Owned, at Cost | 2,110,000 | [3],[4] | 1,602,000 | [7],[8],[9] | |
Interest Only - Private Label Securities [Member] | Various Issuer [Member] | Mortgage-related Commercial [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | 27,254,000 | [3],[4] | 17,666,000 | [7],[8],[9] | |
Fair Value | 1,877,000 | [3],[4] | 1,234,000 | [7],[8],[9] | |
Interest Only - Private Label Securities [Member] | Various Issuer [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | 41,097,000 | [3],[4] | 47,557,000 | [7],[8],[9] | |
Fair Value | $ 1,135,000 | [3],[4] | $ 1,189,000 | [7],[8],[9] | |
Interest Only - Private Label Securities [Member] | Various Issuer [Member] | Minimum [Member] | Mortgage-related Commercial [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Rate | 1.43% | [3],[4] | 1.42% | [7],[8],[9] | |
Maturity | 2047-10 | [3],[4] | 2047-10 | [7],[8],[9] | |
Interest Only - Private Label Securities [Member] | Various Issuer [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Rate | 0.50% | [3],[4] | 0.50% | [7],[8],[9] | |
Maturity | 2044-06 | [3],[4] | 2044-06 | [7],[8],[9] | |
Interest Only - Private Label Securities [Member] | Various Issuer [Member] | Maximum [Member] | Mortgage-related Commercial [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Rate | 1.57% | [3],[4] | 1.45% | [7],[8],[9] | |
Maturity | 2048-02 | [3],[4] | 2047-12 | [7],[8],[9] | |
Interest Only - Private Label Securities [Member] | Various Issuer [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Rate | 2.00% | [3],[4] | 2.00% | [7],[8],[9] | |
Maturity | 2047-09 | [3],[4] | 2047-09 | [7],[8],[9] | |
Other Private Label Securities [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 0.00% | [2],[3],[4] | 0.00% | [6],[7],[8],[9] | |
Fair Value | $ 0 | [3],[4] | $ 0 | [7],[8],[9] | |
Investment Owned, at Cost | 273,000 | [3],[4] | 302,000 | [7],[8],[9] | |
Other Private Label Securities [Member] | Various Issuer [Member] | Mortgage-related Commercial [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 0 | [3],[4] | $ 0 | [7],[8],[9] | |
Rate | 0.00% | [3],[4] | 0.00% | [7],[8],[9] | |
Fair Value | $ 0 | [3],[4] | $ 0 | [7],[8],[9] | |
Other Private Label Securities [Member] | Various Issuer [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 100,882,000 | [3],[4] | $ 111,629,000 | [7],[8],[9] | |
Rate | 0.00% | [3],[4] | 0.00% | [7],[8],[9] | |
Maturity | 2037-06 | [3],[4] | 2037-06 | [7],[8],[9] | |
Fair Value | $ 0 | [3],[4] | $ 0 | [7],[8],[9] | |
Other Private Label Securities [Member] | Various Issuer [Member] | Minimum [Member] | Mortgage-related Commercial [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | 2045-07 | [3],[4] | 2045-07 | [7],[8],[9] | |
Other Private Label Securities [Member] | Various Issuer [Member] | Maximum [Member] | Mortgage-related Commercial [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Maturity | 2048-02 | [3],[4] | 2047-10 | [7],[8],[9] | |
Private Label Securities [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 39.12% | [2],[3],[4] | 77.67% | [6],[7],[8],[9] | |
Fair Value | $ 289,062,000 | [3],[4] | $ 612,428,000 | [7],[8],[9] | |
Investment Owned, at Cost | $ 285,882,000 | [3],[4] | $ 576,475,000 | [7],[8],[9] | |
Mortgage-Backed Securities [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 182.64% | [2],[3],[4] | 241.27% | [6],[7],[8],[9] | |
Fair Value | $ 1,349,642,000 | [3],[4] | $ 1,902,512,000 | [7],[8],[9] | |
Investment Owned, at Cost | $ 1,345,553,000 | [3],[4] | $ 1,848,676,000 | [7],[8],[9] | |
Collateralized Loan Obligations [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 6.22% | [2],[3],[4] | 15.47% | [6],[7],[8],[9] | |
Fair Value | $ 45,974,000 | [3],[4] | $ 121,994,000 | [7],[8],[9] | |
Investment Owned, at Cost | $ 52,576,000 | [3],[4] | $ 124,562,000 | [7],[8],[9] | |
Collateralized Loan Obligations [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 2.86% | [2],[3],[4] | 13.05% | [6],[7],[8],[9] | |
Fair Value | $ 21,120,000 | [3],[4] | $ 102,883,000 | [7],[8],[9] | |
Investment Owned, at Cost | $ 26,341,000 | [3],[4] | $ 104,547,000 | [7],[8],[9] | |
Collateralized Loan Obligations [Member] | Europe [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 3.36% | [2],[3],[4] | 2.42% | [6],[7],[8],[9] | |
Fair Value | $ 24,854,000 | [3],[4] | $ 19,111,000 | [7],[8],[9] | |
Investment Owned, at Cost | 26,235,000 | [3],[4] | 20,015,000 | [7],[8],[9] | |
Collateralized Loan Obligations [Member] | Various Issuer [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | 67,640,000 | [3],[4] | 128,188,000 | [7],[8],[9] | |
Fair Value | 21,120,000 | [3],[4] | 102,883,000 | [7],[8],[9] | |
Collateralized Loan Obligations [Member] | Various Issuer [Member] | Europe [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | 35,472,000 | [3],[4] | 19,786,000 | [7],[8],[9] | |
Fair Value | $ 24,854,000 | [3],[4] | $ 19,111,000 | [7],[8],[9] | |
Collateralized Loan Obligations [Member] | Various Issuer [Member] | Minimum [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Rate | 0.00% | [3],[4] | 0.00% | [7],[8],[9] | |
Maturity | 2016-05 | [3],[4] | 2017-02 | [7],[8],[9] | |
Collateralized Loan Obligations [Member] | Various Issuer [Member] | Minimum [Member] | Europe [Member] | |||||
Schedule of Investments [Line Items] | |||||
Rate | 0.00% | [3],[4] | 1.73% | [7],[8],[9] | |
Maturity | 2022-01 | [3],[4] | 2017-03 | [7],[8],[9] | |
Collateralized Loan Obligations [Member] | Various Issuer [Member] | Maximum [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Rate | 9.15% | [3],[4] | 9.73% | [7],[8],[9] | |
Maturity | 2068-09 | [3],[4] | 2068-09 | [7],[8],[9] | |
Collateralized Loan Obligations [Member] | Various Issuer [Member] | Maximum [Member] | Europe [Member] | |||||
Schedule of Investments [Line Items] | |||||
Rate | 4.43% | [3],[4] | 4.00% | [7],[8],[9] | |
Maturity | 2056-12 | [3],[4] | 2023-03 | [7],[8],[9] | |
Consumer loans and asset-backed securities backed by consumer loans [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 15.61% | [2],[3],[4],[12] | 3.08% | [6],[7],[8],[9],[13] | |
Fair Value | $ 115,376,000 | [3],[4],[12] | $ 24,294,000 | [7],[8],[9],[13] | |
Investment Owned, at Cost | $ 115,624,000 | [3],[4],[12] | $ 24,824,000 | [7],[8],[9],[13] | |
Consumer loans and asset-backed securities backed by consumer loans [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 15.22% | [2],[3],[4],[12] | 2.59% | [6],[7],[8],[9],[13] | |
Fair Value | $ 112,471,000 | [3],[4],[12] | $ 20,434,000 | [7],[8],[9],[13] | |
Investment Owned, at Cost | $ 112,840,000 | [3],[4],[12] | $ 20,549,000 | [7],[8],[9],[13] | |
Consumer loans and asset-backed securities backed by consumer loans [Member] | Europe [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 0.39% | [2],[3],[4],[12] | 0.49% | [6],[7],[8],[9],[13] | |
Fair Value | $ 2,905,000 | [3],[4],[12] | $ 3,860,000 | [7],[8],[9],[13] | |
Investment Owned, at Cost | 2,784,000 | [3],[4],[12] | 4,275,000 | [7],[8],[9],[13] | |
Consumer loans and asset-backed securities backed by consumer loans [Member] | Various Issuer [Member] | Consumer [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | 109,763,000 | [3],[4],[12],[14] | 17,624,000 | [7],[8],[9],[13] | |
Fair Value | 112,471,000 | [3],[4],[12],[14] | 20,434,000 | [7],[8],[9],[13] | |
Consumer loans and asset-backed securities backed by consumer loans [Member] | Various Issuer [Member] | Consumer [Member] | Europe [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 2,163,000 | [3],[4],[12] | $ 3,860,000 | [7],[8],[9],[13] | |
Rate | 0.00% | [3],[4],[12] | 0.00% | [7],[8],[9],[13] | |
Maturity | 2024-08 | [3],[4],[12] | 2024-08 | [7],[8],[9],[13] | |
Fair Value | $ 2,905,000 | [3],[4],[12] | $ 3,860,000 | [7],[8],[9],[13] | |
Consumer loans and asset-backed securities backed by consumer loans [Member] | Various Issuer [Member] | Minimum [Member] | Consumer [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Rate | 5.50% | [3],[4],[12],[14] | 0.00% | [7],[8],[9],[13] | |
Maturity | 2016-01 | [3],[4],[12],[14] | 2015-06 | [7],[8],[9],[13] | |
Consumer loans and asset-backed securities backed by consumer loans [Member] | Various Issuer [Member] | Maximum [Member] | Consumer [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Rate | 49.00% | [3],[4],[12],[14] | 49.00% | [7],[8],[9],[13] | |
Maturity | 2020-12 | [3],[4],[12],[14] | 2019-07 | [7],[8],[9],[13] | |
Corporate Debt [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 3.66% | [2],[3],[4] | 5.41% | [6],[7],[8],[9] | |
Fair Value | $ 27,028,000 | [3],[4] | $ 42,708,000 | [7],[8],[9] | |
Investment Owned, at Cost | $ 34,786,000 | [3],[4] | 43,585,000 | [7],[8],[9] | |
Corporate Debt [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | [2],[3],[4] | 2.50% | |||
Fair Value | [3],[4] | $ 18,452,000 | |||
Investment Owned, at Cost | [3],[4] | $ 25,815,000 | |||
Corporate Debt [Member] | Europe [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | [2],[3],[4] | 1.16% | |||
Fair Value | [3],[4] | $ 8,576,000 | |||
Investment Owned, at Cost | [3],[4] | 8,971,000 | |||
Corporate Debt [Member] | Various Issuer [Member] | Basic Materials [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | $ 5,720,000 | [3],[4] | $ 5,440,000 | [7],[8],[9] | |
Rate | 11.75% | [3],[4] | 9.00% | [7],[8],[9] | |
Maturity | 2019-01 | [3],[4] | 2019-11 | [7],[8],[9] | |
Fair Value | $ 889,000 | [3],[4] | $ 5,114,000 | [7],[8],[9] | |
Corporate Debt [Member] | Various Issuer [Member] | Communications [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [7],[8],[9] | 15,255,000 | |||
Fair Value | [7],[8],[9] | 14,671,000 | |||
Corporate Debt [Member] | Various Issuer [Member] | Communications [Member] | Europe [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [3],[4] | $ 7,885,000 | |||
Rate | [3],[4] | 14.00% | |||
Maturity | [3],[4] | 2018-10 | |||
Fair Value | [3],[4] | $ 8,083,000 | |||
Corporate Debt [Member] | Various Issuer [Member] | Consumer [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | 3,985,000 | [3],[4] | 6,543,000 | [7],[8],[9] | |
Fair Value | 1,282,000 | [3],[4] | 5,867,000 | [7],[8],[9] | |
Corporate Debt [Member] | Various Issuer [Member] | Consumer [Member] | Europe [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [3],[4] | $ 16,443,000 | |||
Rate | [3],[4] | 0.00% | |||
Maturity | [3],[4] | 2016-12 | |||
Fair Value | [3],[4] | $ 493,000 | |||
Corporate Debt [Member] | Various Issuer [Member] | Diversified [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [7],[8],[9] | $ 2,793,000 | |||
Rate | [7],[8],[9] | 7.50% | |||
Maturity | [7],[8],[9] | 2020-05 | |||
Fair Value | [7],[8],[9] | $ 2,779,000 | |||
Corporate Debt [Member] | Various Issuer [Member] | Energy [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | 14,193,000 | [3],[4] | 7,475,000 | [7],[8],[9] | |
Fair Value | 2,459,000 | [3],[4] | 5,877,000 | [7],[8],[9] | |
Corporate Debt [Member] | Various Issuer [Member] | Financial [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [3],[4] | $ 54,000 | |||
Rate | [3],[4] | 10.25% | |||
Maturity | [3],[4] | 2023-08 | |||
Fair Value | [3],[4] | $ 52,000 | |||
Corporate Debt [Member] | Various Issuer [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | 14,250,000 | [3],[4] | $ 8,500,000 | [7],[8],[9] | |
Rate | [7],[8],[9] | 15.00% | |||
Maturity | [7],[8],[9] | 2019-10 | |||
Fair Value | $ 13,770,000 | [3],[4] | $ 8,400,000 | [7],[8],[9] | |
Corporate Debt [Member] | Various Issuer [Member] | Minimum [Member] | Communications [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Rate | [7],[8],[9] | 7.75% | |||
Maturity | [7],[8],[9] | 2016-12 | |||
Corporate Debt [Member] | Various Issuer [Member] | Minimum [Member] | Consumer [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Rate | 0.00% | [3],[4] | 5.25% | [7],[8],[9] | |
Maturity | 2020-05 | [3],[4] | 2016-06 | [7],[8],[9] | |
Corporate Debt [Member] | Various Issuer [Member] | Minimum [Member] | Energy [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Rate | 6.50% | [3],[4] | 7.00% | [7],[8],[9] | |
Maturity | 2018-09 | [3],[4] | 2017-01 | [7],[8],[9] | |
Corporate Debt [Member] | Various Issuer [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Rate | [3],[4] | 15.00% | |||
Maturity | [3],[4] | 2017-12 | |||
Corporate Debt [Member] | Various Issuer [Member] | Maximum [Member] | Communications [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Rate | [7],[8],[9] | 14.00% | |||
Maturity | [7],[8],[9] | 2019-06 | |||
Corporate Debt [Member] | Various Issuer [Member] | Maximum [Member] | Consumer [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Rate | 10.00% | [3],[4] | 11.50% | [7],[8],[9] | |
Maturity | 2020-07 | [3],[4] | 2021-09 | [7],[8],[9] | |
Corporate Debt [Member] | Various Issuer [Member] | Maximum [Member] | Energy [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Rate | 12.25% | [3],[4] | 12.25% | [7],[8],[9] | |
Maturity | 2020-02 | [3],[4] | 2019-06 | [7],[8],[9] | |
Corporate Debt [Member] | Various Issuer [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Rate | [3],[4] | 20.00% | |||
Maturity | [3],[4] | 2019-10 | |||
Mortgage Loans [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 11.97% | [2],[3],[4],[12] | 7.08% | [6],[7],[8],[9],[13] | |
Fair Value | $ 88,488,000 | [3],[4],[12] | $ 55,791,000 | [7],[8],[9],[13] | |
Investment Owned, at Cost | 89,009,000 | [3],[4],[12] | 55,664,000 | [7],[8],[9],[13] | |
Mortgage Loans [Member] | Various Issuer [Member] | Mortgage-related Commercial [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | 77,556,000 | [3],[4],[12],[15] | 32,519,000 | [7],[8],[9],[13],[16] | |
Fair Value | 66,399,000 | [3],[4],[12],[15] | 28,309,000 | [7],[8],[9],[13],[16] | |
Mortgage Loans [Member] | Various Issuer [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | 30,267,000 | [3],[4],[12],[17] | $ 44,336,000 | [7],[8],[9],[13] | |
Rate | [7],[8],[9],[13] | 0.00% | |||
Fair Value | $ 22,089,000 | [3],[4],[12],[17] | $ 27,482,000 | [7],[8],[9],[13] | |
Mortgage Loans [Member] | Various Issuer [Member] | Minimum [Member] | Mortgage-related Commercial [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Rate | 2.54% | [3],[4],[12],[15] | 0.00% | [7],[8],[9],[13],[16] | |
Maturity | 2016-04 | [3],[4],[12],[15] | 2015-01 | [7],[8],[9],[13],[16] | |
Mortgage Loans [Member] | Various Issuer [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Rate | [3],[4],[12],[17] | 1.00% | |||
Maturity | 2021-07 | [3],[4],[12],[17] | 2018-02 | [7],[8],[9],[13] | |
Mortgage Loans [Member] | Various Issuer [Member] | Maximum [Member] | Mortgage-related Commercial [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Rate | 12.00% | [3],[4],[12],[15] | 10.00% | [7],[8],[9],[13],[16] | |
Maturity | 2045-07 | [3],[4],[12],[15] | 2017-11 | [7],[8],[9],[13],[16] | |
Mortgage Loans [Member] | Various Issuer [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Rate | [3],[4],[12],[17] | 13.50% | |||
Maturity | 2055-09 | [3],[4],[12],[17] | 2054-10 | [7],[8],[9],[13] | |
Real Estate Owned [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 1.70% | [2],[3],[4],[12],[18] | 1.10% | [6],[7],[8],[9],[13],[19] | |
Fair Value | $ 12,522,000 | [3],[4],[12],[18] | $ 8,635,000 | [7],[8],[9],[13],[19] | |
Investment Owned, at Cost | 12,254,000 | [3],[4],[12],[18] | 8,748,000 | [7],[8],[9],[13],[19] | |
Real Estate Owned [Member] | Single-Family Houses [Member] | Real estate-related [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Fair Value | $ 4,090,000 | [3],[4],[12],[18] | $ 6,591,000 | [7],[8],[9],[13],[19] | |
Number of Real Estate Properties | 28 | [3],[4],[12],[18] | 50 | [7],[8],[9],[13],[19] | |
Real Estate Owned [Member] | Commercial Property [Member] | Real estate-related [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Fair Value | $ 8,432,000 | [3],[4],[12],[18] | $ 2,044,000 | [7],[8],[9],[13],[19] | |
Number of Real Estate Properties | 2 | [3],[4],[12],[18] | 1 | [7],[8],[9],[13],[19] | |
Private Corporate Equity Investments [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 2.99% | [2],[3],[4] | 1.84% | [6],[7],[8],[9] | |
Fair Value | $ 22,088,000 | [3],[4] | $ 14,512,000 | [7],[8],[9] | |
Investment Owned, at Cost | $ 22,598,000 | [3],[4] | 14,717,000 | [7],[8],[9] | |
Private Corporate Equity Investments [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | [2],[3],[4] | 2.99% | |||
Fair Value | [3],[4] | $ 22,088,000 | |||
Investment Owned, at Cost | [3],[4] | $ 22,598,000 | |||
Private Corporate Equity Investments [Member] | Europe [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | [2],[3],[4] | 0.00% | |||
Fair Value | [3],[4] | $ 0 | |||
Private Corporate Equity Investments [Member] | Non-Exchange Traded Corporate Equity [Member] | Consumer [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Fair Value | $ 3,032,000 | [3],[4] | $ 2,090,000 | [7],[8],[9] | |
Investment Owned, Balance, Shares | 1,592 | [3],[4] | 32 | [7],[8],[9] | |
Private Corporate Equity Investments [Member] | Non-Exchange Traded Corporate Equity [Member] | Consumer [Member] | Europe [Member] | |||||
Schedule of Investments [Line Items] | |||||
Fair Value | [3],[4] | $ 0 | |||
Investment Owned, Balance, Shares | [3],[4] | 125 | |||
Private Corporate Equity Investments [Member] | Non-Exchange Traded Corporate Equity [Member] | Diversified [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Fair Value | $ 2,389,000 | [3],[4] | $ 770,000 | [7],[8],[9] | |
Investment Owned, Balance, Shares | 160 | [3],[4] | 56 | [7],[8],[9] | |
Private Corporate Equity Investments [Member] | Non-Exchange Traded Corporate Equity [Member] | Technology [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Fair Value | [3],[4] | $ 741,000 | |||
Investment Owned, Balance, Shares | [3],[4] | 99 | |||
Private Corporate Equity Investments [Member] | Non-Exchange Traded Preferred Equity Investment in Commercial Mortgage-related Private Partnership | Mortgage-related Commercial [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Fair Value | $ 7,687,000 | [3],[4] | $ 6,241,000 | [7],[8],[9] | |
Investment Owned, Balance, Shares | 8,171 | [3],[4] | 6,241 | [7],[8],[9] | |
Private Corporate Equity Investments [Member] | Non-controlling Interest in Mortgage-related Private Partnership [Member] | Mortgage-related Commercial [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Fair Value | $ 2,871,000 | [3],[4] | $ 2,673,000 | [7],[8],[9] | |
Private Corporate Equity Investments [Member] | Non-Exchange Traded Preferred Equity Investment in Mortgage Originators [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Fair Value | $ 4,325,000 | [3],[4] | $ 2,500,000 | [7],[8],[9] | |
Investment Owned, Balance, Shares | 9,482 | [3],[4] | 7,657 | [7],[8],[9] | |
Private Corporate Equity Investments [Member] | Non-Exchange Traded Equity Investment in Mortgage Originator | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Fair Value | $ 1,043,000 | [3],[4] | $ 238,000 | [7],[8],[9] | |
Investment Owned, Balance, Shares | 7,479 | [3],[4] | 728 | [7],[8],[9] | |
US Treasury Securities [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | [6],[7],[8],[9] | 0.21% | |||
Fair Value | [7],[8],[9] | $ 1,636,000 | |||
Investment Owned, at Cost | [7],[8],[9] | 1,550,000 | |||
US Treasury Securities [Member] | US Treasury Bond Securities [Member] | Government [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [7],[8],[9] | $ 1,560,000 | |||
Rate | [7],[8],[9] | 3.00% | |||
Maturity | [7],[8],[9] | 2044-11 | |||
Fair Value | [7],[8],[9] | $ 1,636,000 | |||
Long Investments [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 224.79% | [2],[3],[4] | 275.46% | [6],[7],[8],[9] | |
Fair Value | $ 1,661,118,000 | [3],[4] | $ 2,172,082,000 | [7],[8],[9] | |
Investment Owned, at Cost | $ 1,672,400,000 | [3],[4] | $ 2,122,326,000 | [7],[8],[9] | |
Long Investments [Member] | Government National Mortgage Association [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 18.91% | 9.33% | |||
Long Investments [Member] | Federal National Mortgage Association [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 77.17% | 100.30% | |||
Long Investments [Member] | Federal Home Loan Mortgage Corporation [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 47.44% | 53.97% | |||
[1] | At December 31, 2015, 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 77.17%, 47.44%, and 18.91% of equity, respectively. | ||||
[2] | Classification percentages are based on Total Equity. | ||||
[3] | See Note 2 and Note 3 in Notes to Consolidated Financial Statements. | ||||
[4] | 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 of EquityUnrated but Agency-Guaranteed 143.52%A/A/A 0.32%Baa/BBB/BBB 1.07%Ba/BB/BB or below 34.89%Unrated 44.99% | ||||
[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] | Classification percentages are based on Total Equity. | ||||
[7] | Conformed to current period presentation. | ||||
[8] | See Note 2 and Note 3 in Notes to Consolidated Financial Statements. | ||||
[9] | 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% | ||||
[10] | Private trust 100% backed by interest in Government National Mortgage Association collateralized mortgage obligation certificates. | ||||
[11] | Private trust 100% backed by interest in Government National Mortgage Association collateralized mortgage obligation certificates. | ||||
[12] | Loans and real estate owned are beneficially owned by the Company through participation certificates in the various trusts that hold such investments. | ||||
[13] | Loans and real estate owned are beneficially owned by the Company through participation certificates in the various trusts that hold such investments. | ||||
[14] | Includes investments in participation certificates related to loans held in a trust owned by a related party of Ellington Financial Management LLC. Through its participation certificates, the Company has beneficial interests in the cash flows of the underlying loans held by the trust. At December 31, 2015 loans held in the related party trust for which the Company has beneficial interests in the residual cash flows, totaled $3.8 million. | ||||
[15] | Includes non-performing commercial loans in the amount of $22.6 million whereby principal and/or interest is past due and a maturity date is not applicable. | ||||
[16] | 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. | ||||
[17] | As of December 31, 2015, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $5.9 million. | ||||
[18] | Number of properties not shown in thousands, represents actual number of properties owned. | ||||
[19] | Number of properties not shown in thousands, represents actual number of properties owned. |
Consolidated Condensed Schedul5
Consolidated Condensed Schedule Of Investments (Repurchase Agreements) - USD ($) $ in Thousands | 12 Months Ended | ||||
Dec. 31, 2015 | Dec. 31, 2014 | ||||
Schedule of Investments [Line Items] | |||||
Fair value repurchase agreements | [1] | $ 105,700 | $ 172,001 | ||
Repurchase agreements, cost | 105,329 | 172,001 | |||
Repurchase Agreements [Member] | |||||
Schedule of Investments [Line Items] | |||||
Fair value repurchase agreements | $ 105,700 | [2],[3] | $ 172,001 | [4],[5],[6] | |
Investment owned as a percentage of equity | 14.30% | [2],[3],[7] | 21.81% | [4],[5],[6],[8] | |
Repurchase agreements, cost | $ 105,329 | [2],[3] | $ 172,001 | [4],[5],[6] | |
Repurchase Agreements [Member] | Bank of America Securities Collateralized by Par Value $19,570 U.S. Treasury Note, Coupon 1.63% Maturity Date 2020-11 [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [2],[3] | 19,472 | |||
Securities collateralized by par value | [2],[3] | $ 19,570 | |||
Coupon rate on underlying collateral | [2],[3] | 1.63% | |||
Maturity date of securities | [2],[3] | 2020-11 | |||
Rate | [2],[3] | (0.25%) | |||
Investments maturity date | [2],[3] | 2016-01 | |||
Fair value repurchase agreements | [2],[3] | $ 19,472 | |||
Repurchase Agreements [Member] | Barclays Capital Inc. Collateralized by Par Value $14,941 Sovereign Government Bond, Coupon 0.25% Maturity Date 2018-04 [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [2],[3] | 15,296 | |||
Securities collateralized by par value | [2],[3] | $ 14,941 | |||
Coupon rate on underlying collateral | [2],[3] | 0.25% | |||
Maturity date of securities | [2],[3] | 2018-04 | |||
Rate | [2],[3] | (0.48%) | |||
Investments maturity date | [2],[3] | 2016-01 | |||
Fair value repurchase agreements | [2],[3] | $ 15,295 | |||
Repurchase Agreements [Member] | Bank of America Securities Collateralized By Par Value $15,000 U.S. Treasury Note Coupon 2.00% Maturity Date 2025-02 [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [2],[3] | 14,756 | |||
Securities collateralized by par value | [2],[3] | $ 15,000 | |||
Coupon rate on underlying collateral | [2],[3] | 2.00% | |||
Maturity date of securities | [2],[3] | 2025-02 | |||
Rate | [2],[3] | 0.35% | |||
Investments maturity date | [2],[3] | 2016-01 | |||
Fair value repurchase agreements | [2],[3] | $ 14,756 | |||
Repurchase Agreements [Member] | Deutsche Bank Securities Collateralized By Par Value $13,200 U.S. Treasury Note Coupon 2.25% Maturity Date 2025-11 [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [2],[3] | 13,200 | |||
Securities collateralized by par value | [2],[3] | $ 13,200 | |||
Coupon rate on underlying collateral | [2],[3] | 2.25% | |||
Maturity date of securities | [2],[3] | 2025-11 | |||
Rate | [2],[3] | (1.00%) | |||
Investments maturity date | [2],[3] | 2016-01 | |||
Fair value repurchase agreements | [2],[3] | $ 13,200 | |||
Repurchase Agreements [Member] | Bank of America Securities Collateralized By Par Value $8,250 U.S. Treasury Note, Coupon 1.75% Maturity Date 2020-12 [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [2],[3] | 8,240 | |||
Securities collateralized by par value | [2],[3] | $ 8,250 | |||
Coupon rate on underlying collateral | [2],[3] | 1.75% | |||
Maturity date of securities | [2],[3] | 2020-12 | |||
Rate | [2],[3] | 0.40% | |||
Investments maturity date | [2],[3] | 2016-01 | |||
Fair value repurchase agreements | [2],[3] | $ 8,240 | |||
Repurchase Agreements [Member] | Barclays Capital Inc. Collateralized By Par Value $7.050 Sovereign Government Bond, Coupon 2.75% Maturity Date 2019-04 [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [2],[3] | 7,905 | |||
Securities collateralized by par value | [2],[3] | $ 7,050 | |||
Coupon rate on underlying collateral | [2],[3] | 2.75% | |||
Maturity date of securities | [2],[3] | 2019-04 | |||
Rate | [2],[3] | (0.48%) | |||
Investments maturity date | [2],[3] | 2016-01 | |||
Fair value repurchase agreements | [2],[3] | $ 7,905 | |||
Repurchase Agreements [Member] | Bank of America Securities Collateralized By Par Value $5,000 U.S. Treasury Note, Coupon 1.25% Maturity Date 2018-10 [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [2],[3] | 5,000 | |||
Securities collateralized by par value | [2],[3] | $ 5,000 | |||
Coupon rate on underlying collateral | [2],[3] | 1.25% | |||
Maturity date of securities | [2],[3] | 2018-10 | |||
Rate | [2],[3] | 0.30% | |||
Investments maturity date | [2],[3] | 2016-01 | |||
Fair value repurchase agreements | [2],[3] | $ 5,000 | |||
Repurchase Agreements [Member] | Bank of America Securities Collateralized By Par Value $4,000 U.S. Treasury Note Coupon 1.63% Maturity Date 2020-06 [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [2],[3] | 3,980 | |||
Securities collateralized by par value | [2],[3] | $ 4,000 | |||
Coupon rate on underlying collateral | [2],[3] | 1.63% | |||
Maturity date of securities | [2],[3] | 2020-06 | |||
Rate | [2],[3] | 0.40% | |||
Investments maturity date | [2],[3] | 2016-01 | |||
Fair value repurchase agreements | [2],[3] | $ 3,980 | |||
Repurchase Agreements [Member] | Bank of America Securities Collateralized By Par Value $4,000 U.S. Treasury Note Coupon 1.50% Maturity Date 2020-05 [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [2],[3] | 3,965 | |||
Securities collateralized by par value | [2],[3] | $ 4,000 | |||
Coupon rate on underlying collateral | [2],[3] | 1.50% | |||
Maturity date of securities | [2],[3] | 2020-05 | |||
Rate | [2],[3] | 0.40% | |||
Investments maturity date | [2],[3] | 2016-01 | |||
Fair value repurchase agreements | [2],[3] | $ 3,965 | |||
Repurchase Agreements [Member] | Bank of America Securities Collateralized By Par Value $4,000 U.S. Treasury Note Coupon 1.38% Maturity Date 2020-03 [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [2],[3] | 3,960 | |||
Securities collateralized by par value | [2],[3] | $ 4,000 | |||
Coupon rate on underlying collateral | [2],[3] | 1.38% | |||
Maturity date of securities | [2],[3] | 2020-03 | |||
Rate | [2],[3] | 0.40% | |||
Investments maturity date | [2],[3] | 2016-01 | |||
Fair value repurchase agreements | [2],[3] | $ 3,960 | |||
Repurchase Agreements [Member] | Bank of America Securities Collateralized by Par Value $3,200 U.S. Treasury Note, Coupon 2.25% Maturity Date 2024-11 [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [2],[3] | 3,204 | |||
Securities collateralized by par value | [2],[3] | $ 3,200 | |||
Coupon rate on underlying collateral | [2],[3] | 2.25% | |||
Maturity date of securities | [2],[3] | 2024-11 | |||
Rate | [2],[3] | 0.40% | |||
Investments maturity date | [2],[3] | 2016-01 | |||
Fair value repurchase agreements | [2],[3] | $ 3,204 | |||
Repurchase Agreements [Member] | Bank of America Securities Collateralized By Par Value $2,000 U.S. Treasury Note Coupon 2.00% Maturity Date 2022-07 [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [2],[3] | 2,008 | |||
Securities collateralized by par value | [2],[3] | $ 2,000 | |||
Coupon rate on underlying collateral | [2],[3] | 2.00% | |||
Maturity date of securities | [2],[3] | 2022-07 | |||
Rate | [2],[3] | 0.35% | |||
Investments maturity date | [2],[3] | 2016-01 | |||
Fair value repurchase agreements | [2],[3] | $ 2,008 | |||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized By Par Value $1,916 Sovereign Government Bond, Coupon 4.00% Maturity Date 2016-09 [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [2],[3] | 1,985 | |||
Securities collateralized by par value | [2],[3] | $ 1,916 | |||
Coupon rate on underlying collateral | [2],[3] | 4.00% | |||
Maturity date of securities | [2],[3] | 2016-09 | |||
Rate | [2],[3] | 0.38% | |||
Investments maturity date | [2],[3] | 2016-01 | |||
Fair value repurchase agreements | [2],[3] | $ 1,985 | |||
Repurchase Agreements [Member] | Bank of America Securities Collateralized By Par Value $2,000 U.S. Treasury Note Coupon 1.25% Maturity Date 2020-01 [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [2],[3] | 1,978 | |||
Securities collateralized by par value | [2],[3] | $ 2,000 | |||
Coupon rate on underlying collateral | [2],[3] | 1.25% | |||
Maturity date of securities | [2],[3] | 2020-01 | |||
Rate | [2],[3] | 0.25% | |||
Investments maturity date | [2],[3] | 2016-01 | |||
Fair value repurchase agreements | [2],[3] | $ 1,977 | |||
Repurchase Agreements [Member] | CS First Boston Collateralized By Par Value $560 Exchange-Traded Corporate Debt Coupon 10.00% Maturity Date 2020-06 [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [2],[3] | 417 | |||
Securities collateralized by par value | [2],[3] | $ 560 | |||
Coupon rate on underlying collateral | [2],[3] | 10.00% | |||
Maturity date of securities | [2],[3] | 2020-06 | |||
Rate | [2],[3] | (3.25%) | |||
Investments maturity date | [2],[3] | 2016-01 | |||
Fair value repurchase agreements | [2],[3] | $ 417 | |||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized By Par Value $560 Exchange-Traded Corporate Debt Coupon 11.00% Maturity Date 2020-03 [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [2],[3] | 336 | |||
Securities collateralized by par value | [2],[3] | $ 560 | |||
Coupon rate on underlying collateral | [2],[3] | 11.00% | |||
Maturity date of securities | [2],[3] | 2020-03 | |||
Rate | [2],[3] | (0.75%) | |||
Investments maturity date | [2],[3] | 2016-01 | |||
Fair value repurchase agreements | [2],[3] | $ 336 | |||
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 | [4],[5],[6] | 122,256 | |||
Securities collateralized by par value | [4],[5],[6] | $ 122,870 | |||
Coupon rate on underlying collateral | [4],[5],[6] | 1.50% | |||
Maturity date of securities | [4],[5],[6] | 2019-11 | |||
Rate | [4],[5],[6] | (0.22%) | |||
Investments maturity date | [4],[5],[6] | 2015-01 | |||
Fair value repurchase agreements | [4],[5],[6] | $ 122,256 | |||
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 | [4],[5],[6] | 13,090 | |||
Securities collateralized by par value | [4],[5],[6] | $ 11,508 | |||
Coupon rate on underlying collateral | [4],[5],[6] | 2.75% | |||
Maturity date of securities | [4],[5],[6] | 2019-04 | |||
Rate | [4],[5],[6] | (0.10%) | |||
Investments maturity date | [4],[5],[6] | 2015-01 | |||
Fair value repurchase agreements | [4],[5],[6] | $ 13,090 | |||
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 | [4],[5],[6] | 9,712 | |||
Securities collateralized by par value | [4],[5],[6] | $ 8,390 | |||
Coupon rate on underlying collateral | [4],[5],[6] | 3.75% | |||
Maturity date of securities | [4],[5],[6] | 2018-10 | |||
Rate | [4],[5],[6] | (0.10%) | |||
Investments maturity date | [4],[5],[6] | 2015-01 | |||
Fair value repurchase agreements | [4],[5],[6] | $ 9,712 | |||
Repurchase Agreements [Member] | Bank of America Collateralized By Par Value $7,410 US Treasury Note Coupon 2.25% Maturity Date 2024-11 [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [4],[5],[6] | 7,465 | |||
Securities collateralized by par value | [4],[5],[6] | $ 7,410 | |||
Coupon rate on underlying collateral | [4],[5],[6] | 2.25% | |||
Maturity date of securities | [4],[5],[6] | 2024-11 | |||
Rate | [4],[5],[6] | (0.22%) | |||
Investments maturity date | [4],[5],[6] | 2015-01 | |||
Fair value repurchase agreements | [4],[5],[6] | $ 7,465 | |||
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 | [4],[5],[6] | 6,888 | |||
Securities collateralized by par value | [4],[5],[6] | $ 6,393 | |||
Coupon rate on underlying collateral | [4],[5],[6] | 4.00% | |||
Maturity date of securities | [4],[5],[6] | 2016-09 | |||
Rate | [4],[5],[6] | 0.15% | |||
Investments maturity date | [4],[5],[6] | 2015-01 | |||
Fair value repurchase agreements | [4],[5],[6] | $ 6,888 | |||
Repurchase Agreements [Member] | Pierpont Securities LLC Collateralized By Par Value $5,000 US Treasury Note Coupon 1.25% Maturity Date 2018-10 [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [4],[5],[6] | 4,975 | |||
Securities collateralized by par value | [4],[5],[6] | $ 5,000 | |||
Coupon rate on underlying collateral | [4],[5],[6] | 1.25% | |||
Maturity date of securities | [4],[5],[6] | 2018-10 | |||
Rate | [4],[5],[6] | (0.10%) | |||
Investments maturity date | [4],[5],[6] | 2015-01 | |||
Fair value repurchase agreements | [4],[5],[6] | $ 4,975 | |||
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 | [4],[5],[6] | 3,379 | |||
Securities collateralized by par value | [4],[5],[6] | $ 3,354 | |||
Coupon rate on underlying collateral | [4],[5],[6] | 2.25% | |||
Maturity date of securities | [4],[5],[6] | 2024-11 | |||
Rate | [4],[5],[6] | (0.25%) | |||
Investments maturity date | [4],[5],[6] | 2015-01 | |||
Fair value repurchase agreements | [4],[5],[6] | $ 3,379 | |||
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 | [4],[5],[6] | 2,173 | |||
Securities collateralized by par value | [4],[5],[6] | $ 2,000 | |||
Coupon rate on underlying collateral | [4],[5],[6] | 3.13% | |||
Maturity date of securities | [4],[5],[6] | 2044-08 | |||
Rate | [4],[5],[6] | (0.30%) | |||
Investments maturity date | [4],[5],[6] | 2015-01 | |||
Fair value repurchase agreements | [4],[5],[6] | $ 2,173 | |||
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 | [4],[5],[6] | 2,063 | |||
Securities collateralized by par value | [4],[5],[6] | $ 1,827 | |||
Coupon rate on underlying collateral | [4],[5],[6] | 2.75% | |||
Maturity date of securities | [4],[5],[6] | 2019-04 | |||
Rate | [4],[5],[6] | (0.10%) | |||
Investments maturity date | [4],[5],[6] | 2015-01 | |||
Fair value repurchase agreements | [4],[5],[6] | $ 2,063 | |||
[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] | In general, securities received pursuant to repurchase agreements were delivered to counterparties in short sale transactions. | ||||
[3] | See Note 2 and Note 3 in Notes to Consolidated Financial Statements. | ||||
[4] | Conformed to current period presentation. | ||||
[5] | In general, securities received pursuant to repurchase agreements were delivered to counterparties in short sale transactions. | ||||
[6] | See Note 2 and Note 3 in Notes to Consolidated Financial Statements. | ||||
[7] | Classification percentages are based on Total Equity. | ||||
[8] | Classification percentages are based on Total Equity. |
Consolidated Condensed Schedul6
Consolidated Condensed Schedule Of Investments (Investments Sold Short) - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | ||||
Dec. 31, 2015 | Dec. 31, 2014 | ||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Investments sold short, at fair value- | $ (728,747) | $ (1,291,370) | |||
Proceeds from investments sold short | $ (731,048) | $ (1,290,091) | |||
TBA - Fixed Rate Agency Securities Sold Short [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Investment Sold, Not yet Purchased, Percent of Equity | (82.93%) | [1],[2],[3] | (153.39%) | [4],[5],[6],[7] | |
Current Principal/Notional Amount | $ (580,992) | $ (1,135,218) | |||
Investments sold short, at fair value- | (612,777) | [1],[3] | (1,209,539) | [4],[6],[7] | |
Proceeds from investments sold short | $ (612,749) | [1],[3] | $ (1,205,876) | [4],[6],[7] | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Investment Sold, Not yet Purchased, Percent of Equity | (57.51%) | (121.95%) | |||
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 | (23.25%) | (31.44%) | |||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Government National Mortgage Association [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Investment Sold, Not yet Purchased, Percent of Equity | (2.17%) | ||||
Government debt sold short [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Investment Sold, Not yet Purchased, Percent of Equity | (15.43%) | [2],[3] | (7.02%) | [5],[6],[7] | |
Investments sold short, at fair value- | $ (114,051) | [3] | $ (55,315) | [6],[7] | |
Proceeds from investments sold short | $ (115,745) | [3] | $ (56,610) | [6],[7] | |
Corporate Debt Sold Short [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Investment Sold, Not yet Purchased, Percent of Equity | [2],[3] | (0.06%) | |||
Investments sold short, at fair value- | [3] | $ (448) | |||
Proceeds from investments sold short | [3] | $ (676) | |||
Common Stock Sold Short [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Investment Sold, Not yet Purchased, Percent of Equity | (0.20%) | [2],[3] | (3.36%) | [5],[6],[7] | |
Investments sold short, at fair value- | $ (1,471) | [3] | $ (26,516) | [6],[7] | |
Proceeds from investments sold short | $ (1,878) | [3] | $ (27,605) | [6],[7] | |
Securities Sold Short - Securities Sold, Not Yet Purchased [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Investment Sold, Not yet Purchased, Percent of Equity | (98.62%) | [2],[3] | (163.77%) | [5],[6],[7] | |
Investments sold short, at fair value- | $ (728,747) | [3] | $ (1,291,370) | [6],[7] | |
Proceeds from investments sold short | $ (731,048) | [3] | $ (1,290,091) | [6],[7] | |
North America [Member] | Government debt sold short [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Investment Sold, Not yet Purchased, Percent of Equity | (12.11%) | [2],[3] | (3.14%) | [5],[6],[7] | |
Investments sold short, at fair value- | $ (89,489) | [3] | $ (24,709) | [6],[7] | |
Proceeds from investments sold short | $ (89,735) | [3] | $ (24,602) | [6],[7] | |
Europe [Member] | Government debt sold short [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Investment Sold, Not yet Purchased, Percent of Equity | (3.32%) | [2],[3] | (3.88%) | [5],[6],[7] | |
Investments sold short, at fair value- | $ (24,562) | [3] | $ (30,606) | [6],[7] | |
Proceeds from investments sold short | (26,010) | [3] | (32,008) | [6],[7] | |
Mortgage-related Residential [Member] | North America [Member] | 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 | $ (110,327) | [1],[3] | $ (123,117) | [4],[6],[7] | |
Rate | 4.00% | [1],[3] | 4.00% | [4],[6],[7] | |
Investments maturity date | 2016-01 | [1],[3] | 2015-01 | [4],[6],[7] | |
Investments sold short, at fair value- | $ (116,593) | [1],[3] | $ (131,254) | [4],[6],[7] | |
Mortgage-related Residential [Member] | North America [Member] | 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 | $ (79,210) | [1],[3] | $ (48,800) | [4],[6],[7] | |
Rate | 4.50% | [1],[3] | 4.50% | [4],[6],[7] | |
Investments maturity date | 2016-01 | [1],[3] | 2015-02 | [4],[6],[7] | |
Investments sold short, at fair value- | $ (85,553) | [1],[3] | $ (52,889) | [4],[6],[7] | |
Mortgage-related Residential [Member] | North America [Member] | 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 | $ (69,760) | [1],[3] | $ (146,580) | [4],[6],[7] | |
Rate | 3.50% | [1],[3] | 3.50% | [4],[6],[7] | |
Investments maturity date | 2016-01 | [1],[3] | 2015-01 | [4],[6],[7] | |
Investments sold short, at fair value- | $ (73,054) | [1],[3] | $ (154,837) | [4],[6],[7] | |
Mortgage-related Residential [Member] | North America [Member] | 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 | $ (51,970) | [1],[3] | $ (54,100) | [4],[6],[7] | |
Rate | 5.00% | [1],[3] | 5.00% | [4],[6],[7] | |
Investments maturity date | 2016-01 | [1],[3] | 2015-02 | [4],[6],[7] | |
Investments sold short, at fair value- | $ (57,214) | [1],[3] | $ (59,698) | [4],[6],[7] | |
Mortgage-related Residential [Member] | North America [Member] | 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 | $ (48,200) | [1],[3] | $ (213,928) | [4],[6],[7] | |
Rate | 4.00% | [1],[3] | 4.00% | [4],[6],[7] | |
Investments maturity date | 2016-02 | [1],[3] | 2015-01 | [4],[6],[7] | |
Investments sold short, at fair value- | $ (50,911) | [1],[3] | $ (228,376) | [4],[6],[7] | |
Mortgage-related Residential [Member] | North America [Member] | 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 | $ (43,842) | [1],[3] | $ (205,082) | [4],[6],[7] | |
Rate | 3.50% | [1],[3] | 3.50% | [4],[6],[7] | |
Investments maturity date | 2016-01 | [1],[3] | 2015-01 | [4],[6],[7] | |
Investments sold short, at fair value- | $ (45,233) | [1],[3] | $ (213,870) | [4],[6],[7] | |
Mortgage-related Residential [Member] | North America [Member] | 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 | $ (37,140) | [1],[3] | $ (38,360) | [4],[6],[7] | |
Rate | 3.00% | [1],[3] | 3.00% | [4],[6],[7] | |
Investments maturity date | 2016-01 | [1],[3] | 2015-01 | [4],[6],[7] | |
Investments sold short, at fair value- | $ (38,264) | [1],[3] | $ (39,870) | [4],[6],[7] | |
Mortgage-related Residential [Member] | North America [Member] | 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 | $ (21,881) | [1],[3] | $ (36,081) | [4],[6],[7] | |
Rate | 4.50% | [1],[3] | 4.50% | [4],[6],[7] | |
Investments maturity date | 2016-01 | [1],[3] | 2015-01 | [4],[6],[7] | |
Investments sold short, at fair value- | $ (23,577) | [1],[3] | $ (39,111) | [4],[6],[7] | |
Mortgage-related Residential [Member] | North America [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 3.00% [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Current Principal/Notional Amount | [1],[3] | $ (23,600) | |||
Rate | [1],[3] | 3.00% | |||
Investments maturity date | [1],[3] | 2016-02 | |||
Investments sold short, at fair value- | [1],[3] | $ (23,555) | |||
Mortgage-related Residential [Member] | North America [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 3.50% 201602 [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Current Principal/Notional Amount | [1],[3] | $ (17,600) | |||
Rate | [1],[3] | 3.50% | |||
Investments maturity date | [1],[3] | 2016-02 | |||
Investments sold short, at fair value- | [1],[3] | $ (18,120) | |||
Mortgage-related Residential [Member] | North America [Member] | 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 | $ (16,510) | [1],[3] | $ (4,100) | [4],[6],[7] | |
Rate | 3.00% | [1],[3] | 3.00% | [4],[6],[7] | |
Investments maturity date | 2016-01 | [1],[3] | 2015-01 | [4],[6],[7] | |
Investments sold short, at fair value- | $ (17,018) | [1],[3] | $ (4,256) | [4],[6],[7] | |
Mortgage-related Residential [Member] | North America [Member] | 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 | $ (13,980) | [1],[3] | $ (20,300) | [4],[6],[7] | |
Rate | 3.50% | [1],[3] | 3.50% | [4],[6],[7] | |
Investments maturity date | 2016-01 | [1],[3] | 2015-01 | [4],[6],[7] | |
Investments sold short, at fair value- | $ (14,618) | [1],[3] | $ (21,429) | [4],[6],[7] | |
Mortgage-related Residential [Member] | North America [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 3.00% 2016-01 [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Current Principal/Notional Amount | [1],[3] | $ (13,742) | |||
Rate | [1],[3] | 3.00% | |||
Investments maturity date | [1],[3] | 2016-01 | |||
Investments sold short, at fair value- | [1],[3] | $ (13,743) | |||
Mortgage-related Residential [Member] | North America [Member] | 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 | $ (11,170) | [1],[3] | $ (7,900) | [4],[6],[7] | |
Rate | 4.00% | [1],[3] | 4.00% | [4],[6],[7] | |
Investments maturity date | 2016-01 | [1],[3] | 2015-02 | [4],[6],[7] | |
Investments sold short, at fair value- | $ (11,629) | [1],[3] | $ (8,365) | [4],[6],[7] | |
Mortgage-related Residential [Member] | North America [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Government National Mortgage Association (30 year) 4.00% [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Current Principal/Notional Amount | [1],[3] | $ (10,150) | |||
Rate | [1],[3] | 4.00% | |||
Investments maturity date | [1],[3] | 2016-01 | |||
Investments sold short, at fair value- | [1],[3] | $ (10,782) | |||
Mortgage-related Residential [Member] | North America [Member] | 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] | $ (6,860) | [4],[6],[7] | |
Rate | 5.50% | [1],[3] | 5.50% | [4],[6],[7] | |
Investments maturity date | 2016-01 | [1],[3] | 2015-01 | [4],[6],[7] | |
Investments sold short, at fair value- | $ (7,646) | [1],[3] | $ (7,673) | [4],[6],[7] | |
Mortgage-related Residential [Member] | North America [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Government National Mortgage Association (30 Year) 3.50% [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Current Principal/Notional Amount | [1],[3] | $ (5,050) | |||
Rate | [1],[3] | 3.50% | |||
Investments maturity date | [1],[3] | 2016-01 | |||
Investments sold short, at fair value- | [1],[3] | $ (5,267) | |||
Mortgage-related Residential [Member] | North America [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 4.50% 2015-01 [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Current Principal/Notional Amount | [4],[6],[7] | $ (92,080) | |||
Rate | [4],[6],[7] | 4.50% | |||
Investments maturity date | [4],[6],[7] | 2015-01 | |||
Investments sold short, at fair value- | [4],[6],[7] | $ (99,968) | |||
Mortgage-related Residential [Member] | North America [Member] | 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 | [4],[6],[7] | $ (48,150) | |||
Rate | [4],[6],[7] | 5.00% | |||
Investments maturity date | [4],[6],[7] | 2015-01 | |||
Investments sold short, at fair value- | [4],[6],[7] | $ (53,193) | |||
Mortgage-related Residential [Member] | North America [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation (30 Year) 4.00% 2015-02 [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Current Principal/Notional Amount | [4],[6],[7] | $ (26,400) | |||
Rate | [4],[6],[7] | 4.00% | |||
Investments maturity date | [4],[6],[7] | 2015-02 | |||
Investments sold short, at fair value- | [4],[6],[7] | $ (28,071) | |||
Mortgage-related Residential [Member] | North America [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 4.00% 201502 [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Current Principal/Notional Amount | [4],[6],[7] | $ (21,840) | |||
Rate | [4],[6],[7] | 4.00% | |||
Investments maturity date | [4],[6],[7] | 2015-02 | |||
Investments sold short, at fair value- | [4],[6],[7] | $ (23,255) | |||
Mortgage-related Residential [Member] | North America [Member] | 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 | [4],[6],[7] | $ (15,850) | |||
Rate | [4],[6],[7] | 2.50% | |||
Investments maturity date | [4],[6],[7] | 2015-01 | |||
Investments sold short, at fair value- | [4],[6],[7] | $ (16,140) | |||
Mortgage-related Residential [Member] | North America [Member] | 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 | [4],[6],[7] | $ (14,020) | |||
Rate | [4],[6],[7] | 3.50% | |||
Investments maturity date | [4],[6],[7] | 2015-01 | |||
Investments sold short, at fair value- | [4],[6],[7] | $ (14,579) | |||
Mortgage-related Residential [Member] | North America [Member] | 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 | [4],[6],[7] | $ (6,000) | |||
Rate | [4],[6],[7] | 5.00% | |||
Investments maturity date | [4],[6],[7] | 2015-01 | |||
Investments sold short, at fair value- | [4],[6],[7] | $ (6,622) | |||
Mortgage-related Residential [Member] | North America [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (15 Year) 4.00% 2015-01 [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Current Principal/Notional Amount | [4],[6],[7] | $ (3,270) | |||
Rate | [4],[6],[7] | 4.00% | |||
Investments maturity date | [4],[6],[7] | 2015-01 | |||
Investments sold short, at fair value- | [4],[6],[7] | $ (3,465) | |||
Mortgage-related Residential [Member] | North America [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation (30 Year) 5.50% 2015-01 [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Current Principal/Notional Amount | [4],[6],[7] | $ (1,300) | |||
Rate | [4],[6],[7] | 5.50% | |||
Investments maturity date | [4],[6],[7] | 2015-01 | |||
Investments sold short, at fair value- | [4],[6],[7] | $ (1,453) | |||
Mortgage-related Residential [Member] | North America [Member] | TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation (15 Year) 4.00% 2015-01 [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Current Principal/Notional Amount | [4],[6],[7] | $ (1,100) | |||
Rate | [4],[6],[7] | 4.00% | |||
Investments maturity date | [4],[6],[7] | 2015-01 | |||
Investments sold short, at fair value- | [4],[6],[7] | $ (1,165) | |||
Government [Member] | North America [Member] | Government debt sold short [Member] | US Treasury Notes Securities [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Current Principal/Notional Amount | (90,120) | [3] | (22,485) | [6],[7] | |
Investments sold short, at fair value- | $ (89,489) | [3] | (22,560) | [6],[7] | |
Government [Member] | North America [Member] | Government debt sold short [Member] | US Treasury Bond Securities [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Current Principal/Notional Amount | [6],[7] | $ (2,000) | |||
Rate | [6],[7] | 3.13% | |||
Investments maturity date | [6],[7] | 2044-08 | |||
Investments sold short, at fair value- | [6],[7] | $ (2,149) | |||
Government [Member] | North America [Member] | Government debt sold short [Member] | Minimum [Member] | US Treasury Notes Securities [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Rate | 1.25% | [3] | 1.25% | [6],[7] | |
Investments maturity date | 2018-10 | [3] | 2018-10 | [6],[7] | |
Government [Member] | North America [Member] | Government debt sold short [Member] | Maximum [Member] | US Treasury Notes Securities [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Rate | 2.25% | [3] | 2.25% | [6],[7] | |
Investments maturity date | 2025-08 | [3] | 2024-11 | [6],[7] | |
Government [Member] | Europe [Member] | Government debt sold short [Member] | Sovereign Debt Securities [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Current Principal/Notional Amount | $ (23,907) | [3] | $ (28,118) | [6],[7] | |
Investments sold short, at fair value- | $ (24,562) | [3] | $ (30,606) | [6],[7] | |
Government [Member] | Europe [Member] | Government debt sold short [Member] | Minimum [Member] | Sovereign Debt Securities [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Rate | 0.25% | [3] | 2.75% | [6],[7] | |
Investments maturity date | 2016-09 | [3] | 2016-09 | [6],[7] | |
Government [Member] | Europe [Member] | Government debt sold short [Member] | Maximum [Member] | Sovereign Debt Securities [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Rate | 4.00% | [3] | 4.00% | [6],[7] | |
Investments maturity date | 2019-04 | [3] | 2019-04 | [6],[7] | |
Energy [Member] | North America [Member] | Corporate Debt Sold Short [Member] | Various Issuer [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Current Principal/Notional Amount | [3] | $ (1,120) | |||
Investments sold short, at fair value- | [3] | $ (448) | |||
Energy [Member] | North America [Member] | Corporate Debt Sold Short [Member] | Minimum [Member] | Various Issuer [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Rate | [3] | 10.00% | |||
Investments maturity date | [3] | 2020-03 | |||
Energy [Member] | North America [Member] | Corporate Debt Sold Short [Member] | Maximum [Member] | Various Issuer [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Rate | [3] | 11.00% | |||
Investments maturity date | [3] | 2020-06 | |||
Energy [Member] | North America [Member] | Common Stock Sold Short [Member] | Exchange Traded Equity [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Investments sold short, at fair value- | [3] | $ (1,471) | |||
Investment Sold, Not yet Purchased, Balance, Shares | [3] | (306) | |||
Financial [Member] | North America [Member] | Common Stock Sold Short [Member] | Publicly Traded Real Estate Investment Trusts [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Investments sold short, at fair value- | [6],[7] | $ (26,516) | |||
Investment Sold, Not yet Purchased, Balance, Shares | [6],[7] | (2,986) | |||
[1] | At December 31, 2015, the Company's short investments guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, and the Government National Mortgage Association, represented 57.51%, 23.25%, and 2.17% of equity, respectively. | ||||
[2] | Classification percentages are based on Total Equity. | ||||
[3] | See Note 2 and Note 3 in Notes to Consolidated Financial Statements. | ||||
[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] | Classification percentages are based on Total Equity. | ||||
[6] | Conformed to current period presentation. | ||||
[7] | See Note 2 and Note 3 in Notes to Consolidated Financial Statements. |
Consolidated Condensed Schedul7
Consolidated Condensed Schedule Of Investments (Financial Derivatives) | 12 Months Ended | ||||
Dec. 31, 2015USD ($)contracts | Dec. 31, 2014USD ($)contracts | ||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | [1] | $ 162,905,000 | $ 80,029,000 | ||
Derivative Liabilities | [1] | (60,472,000) | (66,116,000) | ||
Net cost | 163,943,000 | 61,560,000 | |||
Net proceeds | (56,200,000) | $ (33,555,000) | |||
Written Options on U.S. Treasury Futures [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Number of contracts | contracts | 110 | ||||
Eurodollar Future [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Future contract notional | $ 1,000,000 | $ 1,000,000 | |||
Future contract | contracts | 1 | 1 | |||
Long US Treasury Note Futures [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Number of contracts | contracts | 343 | 1,346 | |||
Financial Derivatives - Assets [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | $ 162,905,000 | [2] | $ 80,029,000 | [3],[4] | |
Net cost | $ 163,934,000 | [2] | $ 61,560,000 | [3],[4] | |
Financial Derivative Assets, Percent of Net Assets | 22.05% | [2],[5] | 10.15% | [3],[4],[6] | |
Financial Derivatives - Assets [Member] | Affiliates of Bank of America [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Financial Derivative Assets, Percent of Net Assets | 6.01% | ||||
Financial Derivatives - Assets [Member] | Swap [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | $ 159,423,000 | [2],[7] | $ 77,795,000 | [3],[4] | |
Net cost | $ 161,193,000 | [2],[7] | $ 59,299,000 | [3],[4] | |
Financial Derivative Assets, Percent of Net Assets | 21.58% | [2],[5],[7] | 9.87% | [3],[4],[6] | |
Financial Derivatives - Assets [Member] | Futures [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | $ 32,000 | [2] | $ 261,000 | [3],[4] | |
Financial Derivative Assets, Percent of Net Assets | 0.01% | [2],[5] | 0.03% | [3],[4],[6] | |
Financial Derivatives - Assets [Member] | Options [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | $ 2,162,000 | [2] | $ 989,000 | [3],[4] | |
Net cost | $ 2,600,000 | [2] | $ 2,161,000 | [3],[4] | |
Financial Derivative Assets, Percent of Net Assets | 0.29% | [2],[5] | 0.13% | [3],[4],[6] | |
Financial Derivatives - Assets [Member] | Forwards [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | $ 1,138,000 | [2] | $ 884,000 | [3],[4] | |
Financial Derivative Assets, Percent of Net Assets | 0.15% | [2],[5] | 0.11% | [3],[4],[6] | |
Financial Derivatives - Assets [Member] | Warrant [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | $ 150,000 | [2] | $ 100,000 | [3],[4] | |
Net cost | $ 150,000 | [2] | $ 100,000 | [3],[4] | |
Financial Derivative Assets, Percent of Net Assets | 0.02% | [2],[5] | 0.01% | [3],[4],[6] | |
Financial Derivatives - Liabilities [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liabilities | $ (60,472,000) | [2] | $ (66,116,000) | [3],[4] | |
Investment owned as a percentage of equity | (8.18%) | [2],[5] | (8.39%) | [3],[4],[6] | |
Net proceeds | $ (56,200,000) | [2] | $ (33,555,000) | [3],[4] | |
Financial Derivatives - Liabilities [Member] | Affiliates of JP Morgan [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Investment owned as a percentage of equity | (6.32%) | (5.18%) | |||
Financial Derivatives - Liabilities [Member] | Swap [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liabilities | $ (58,163,000) | [2],[7] | $ (65,616,000) | [3],[4],[8] | |
Investment owned as a percentage of equity | (7.87%) | [2],[5],[7] | (8.32%) | [3],[4],[6],[8] | |
Net proceeds | $ (53,679,000) | [2],[7] | $ (33,400,000) | [3],[4],[8] | |
Financial Derivatives - Liabilities [Member] | Futures [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liabilities | $ (528,000) | [2] | $ (81,000) | [3],[4] | |
Investment owned as a percentage of equity | (0.07%) | [2],[5] | (0.01%) | [3],[4],[6] | |
Financial Derivatives - Liabilities [Member] | Options [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liabilities | $ (1,760,000) | [2] | $ (283,000) | [3],[4] | |
Investment owned as a percentage of equity | (0.24%) | [2],[5] | (0.04%) | [3],[4],[6] | |
Net proceeds | $ (2,521,000) | [2] | $ (155,000) | [3],[4] | |
Financial Derivatives - Liabilities [Member] | Forwards [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liabilities | $ (13,000) | [2] | $ (136,000) | [3],[4] | |
Investment owned as a percentage of equity | 0.00% | [2],[5] | (0.02%) | [3],[4],[6] | |
Financial Derivatives - Liabilities [Member] | Mortgage Loan Purchase Commitments [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liabilities | [2] | $ (8,000) | |||
Investment owned as a percentage of equity | [2],[5] | 0.00% | |||
Put Option [Member] | Written Options on U.S. Treasury Futures [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Number of contracts | contracts | 39 | ||||
Call Option [Member] | Written Options on U.S. Treasury Futures [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Number of contracts | contracts | 39 | ||||
Interest Rate Risk [Member] | Financial Derivatives - Liabilities [Member] | Mortgage Loan Purchase Commitments [Member] | Mortgage-related Residential [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liability, Notional Amount | [2],[9] | $ 7,713,000 | |||
Derivative Liabilities | [2],[9] | $ (8,000) | |||
Interest Rate Risk [Member] | Financial Derivatives - Liabilities [Member] | Mortgage Loan Purchase Commitments [Member] | Mortgage-related Residential [Member] | Minimum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2],[9] | 2016-01 | |||
Interest Rate Risk [Member] | Financial Derivatives - Liabilities [Member] | Mortgage Loan Purchase Commitments [Member] | Mortgage-related Residential [Member] | Maximum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2],[9] | 2016-02 | |||
Equity Market Risk [Member] | Financial Derivatives - Assets [Member] | Warrant [Member] | North America [Member] | Mortgage-related Residential [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | $ 150,000 | [2],[10] | $ 100,000 | [3],[4],[11] | |
Derivative Asset, Notional Amount | 1,555,000 | [2],[10] | 1,554,000 | [3],[4],[11] | |
Long [Member] | Financial Derivatives - Assets [Member] | Total Return Swaps [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | [2],[7] | 85,000 | |||
Long [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Bonds [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liabilities | [3],[4],[8],[12] | (2,706,000) | |||
Long [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liabilities | [2],[7] | (4,662,000) | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Bond Indices [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | [3],[4],[12] | 35,865,000 | |||
Derivative Asset, Notional Amount | [3],[4],[12] | $ 311,983,000 | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Bond Indices [Member] | Minimum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [3],[4],[12] | 2017-12 | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Bond Indices [Member] | Maximum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [3],[4],[12] | 2019-12 | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Total Return Swaps [Member] | North America [Member] | Communications [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | [2],[7],[13] | 49,000 | |||
Derivative Asset, Notional Amount | [2],[7],[13] | $ 3,836,000 | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Total Return Swaps [Member] | North America [Member] | Communications [Member] | Minimum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2],[7],[13] | 2016-03 | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Total Return Swaps [Member] | North America [Member] | Communications [Member] | Maximum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2],[7],[13] | 2016-12 | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Total Return Swaps [Member] | North America [Member] | Consumer [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | [2],[7],[13] | $ 31,000 | |||
Derivative Asset, Notional Amount | [2],[7],[13] | $ 4,880,000 | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Total Return Swaps [Member] | North America [Member] | Consumer [Member] | Minimum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2],[7],[13] | 2016-03 | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Total Return Swaps [Member] | North America [Member] | Consumer [Member] | Maximum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2],[7],[13] | 2017-01 | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Total Return Swaps [Member] | North America [Member] | Energy [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2],[7],[13] | 2016-10 | |||
Derivative Asset | [2],[7],[13] | $ 5,000 | |||
Derivative Asset, Notional Amount | [2],[7],[13] | $ 729,000 | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Indices [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2],[7],[14] | 2037-12 | |||
Derivative Asset | $ 56,000 | [2],[7],[14] | $ 61,000 | [3],[4],[12] | |
Derivative Asset, Notional Amount | 1,468,000 | [2],[7],[14] | $ 3,734,000 | [3],[4],[12] | |
Long [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Indices [Member] | Minimum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [3],[4],[12] | 2037-12 | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Indices [Member] | Maximum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [3],[4],[12] | 2063-05 | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaption [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | [3],[4],[15] | $ 625,000 | |||
Derivative Asset, Notional Amount | [3],[4],[15] | $ 364,400,000 | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaption [Member] | Minimum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [3],[4],[15] | 2015-01 | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaption [Member] | Maximum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [3],[4],[15] | 2015-03 | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Bond Indices [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liability, Notional Amount | [3],[4],[8],[12] | $ 3,756,000 | |||
Range of expiration dates | [3],[4],[8],[12] | 2017-12 | |||
Derivative Liabilities | [3],[4],[8],[12] | $ (1,231,000) | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Bonds [Member] | North America [Member] | Communications [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liability, Notional Amount | [3],[4],[8],[12] | $ 500,000 | |||
Range of expiration dates | [3],[4],[8],[12] | 2019-09 | |||
Derivative Liabilities | [3],[4],[8],[12] | $ (172,000) | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Bonds [Member] | North America [Member] | Consumer [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liability, Notional Amount | [3],[4],[8],[12] | $ 3,498,000 | |||
Range of expiration dates | [3],[4],[8],[12] | 2019-06 | |||
Derivative Liabilities | [3],[4],[8],[12] | $ (2,283,000) | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Bonds [Member] | North America [Member] | Energy [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liability, Notional Amount | [3],[4],[8],[12] | $ 430,000 | |||
Range of expiration dates | [3],[4],[8],[12] | 2019-12 | |||
Derivative Liabilities | [3],[4],[8],[12] | $ (251,000) | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | North America [Member] | Financial [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liability, Notional Amount | [2],[7],[13] | $ 2,646,000 | |||
Range of expiration dates | [2],[7],[13] | 2016-09 | |||
Derivative Liabilities | [2],[7],[13] | $ (10,000) | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | North America [Member] | Basic Materials [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liability, Notional Amount | [2],[7],[13] | $ 6,477,000 | |||
Range of expiration dates | [2],[7],[13] | 2016-03 | |||
Derivative Liabilities | [2],[7],[13] | $ (822,000) | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | North America [Member] | Communications [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liability, Notional Amount | [2],[7],[13] | 11,009,000 | |||
Derivative Liabilities | [2],[7],[13] | $ (2,581,000) | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | North America [Member] | Communications [Member] | Minimum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2],[7],[13] | 2016-03 | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | North America [Member] | Communications [Member] | Maximum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2],[7],[13] | 2016-08 | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | North America [Member] | Consumer [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liability, Notional Amount | [2],[7],[13] | $ 4,983,000 | |||
Derivative Liabilities | [2],[7],[13] | $ (143,000) | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | North America [Member] | Consumer [Member] | Minimum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2],[7],[13] | 2016-06 | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | North America [Member] | Consumer [Member] | Maximum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2],[7],[13] | 2016-08 | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | North America [Member] | Energy [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liability, Notional Amount | [2],[7],[13] | $ 4,076,000 | |||
Derivative Liabilities | [2],[7],[13] | $ (812,000) | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | North America [Member] | Energy [Member] | Minimum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2],[7],[13] | 2016-04 | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | North America [Member] | Energy [Member] | Maximum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2],[7],[13] | 2016-08 | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | North America [Member] | Diversified [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liability, Notional Amount | [2],[7],[13] | $ 2,765,000 | |||
Range of expiration dates | [2],[7],[13] | 2016-03 | |||
Derivative Liabilities | [2],[7],[13] | $ (171,000) | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | North America [Member] | Industrial [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liability, Notional Amount | [2],[7],[13] | $ 1,000,000 | |||
Range of expiration dates | [2],[7],[13] | 2016-03 | |||
Derivative Liabilities | [2],[7],[13] | $ (39,000) | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | North America [Member] | Technology [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liability, Notional Amount | [2],[7],[13] | $ 2,650,000 | |||
Range of expiration dates | [2],[7],[13] | 2017-01 | |||
Derivative Liabilities | [2],[7],[13] | $ (84,000) | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Asset Backed Indices [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liability, Notional Amount | 4,458,000 | [2],[7],[14] | 17,113,000 | [3],[4],[8],[12] | |
Derivative Liabilities | $ (365,000) | [2],[7],[14] | $ (4,248,000) | [3],[4],[8],[12] | |
Long [Member] | Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Asset Backed Indices [Member] | Minimum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | 2052-10 | [2],[7],[14] | 2049-03 | [3],[4],[8],[12] | |
Long [Member] | Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Asset Backed Indices [Member] | Maximum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | 2063-05 | [2],[7],[14] | 2052-10 | [3],[4],[8],[12] | |
Long [Member] | Credit Risk [Member] | Put Option [Member] | Financial Derivatives - Assets [Member] | Options on Credit Default Swaps on Corporate Bond Indices [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2],[16] | 2016-03 | |||
Derivative Asset | [2],[16] | $ 2,050,000 | |||
Derivative Asset, Notional Amount | [2],[16] | 138,000,000 | |||
Long [Member] | Interest Rate Risk [Member] | Financial Derivatives - Assets [Member] | Interest Rate Swaps [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | 7,254,000 | [2],[7],[17] | $ 23,243,000 | [3],[4],[18] | |
Derivative Asset, Notional Amount | $ 545,232,000 | [2],[7],[17] | $ 1,017,067,000 | [3],[4],[18] | |
Long [Member] | Interest Rate Risk [Member] | Financial Derivatives - Assets [Member] | Interest Rate Swaps [Member] | Minimum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | 2016-12 | [2],[7],[17] | 2016-07 | [3],[4],[18] | |
Long [Member] | Interest Rate Risk [Member] | Financial Derivatives - Assets [Member] | Interest Rate Swaps [Member] | Maximum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | 2045-12 | [2],[7],[17] | 2044-12 | [3],[4],[18] | |
Long [Member] | Interest Rate Risk [Member] | Financial Derivatives - Assets [Member] | US Treasury Note Futures [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | 2016-03 | [2],[19] | 2015-03 | [3],[4],[20] | |
Derivative Asset | $ 2,000 | [2],[19] | $ 162,000 | [3],[4],[20] | |
Derivative Asset, Notional Amount | $ 6,300,000 | [2],[19] | 109,300,000 | [3],[4],[20] | |
Long [Member] | Interest Rate Risk [Member] | Financial Derivatives - Assets [Member] | Options on U.S. Treasury Futures [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | [3],[4],[21] | 20,000 | |||
Derivative Asset, Notional Amount | [3],[4],[21] | $ 11,000,000 | |||
Long [Member] | Interest Rate Risk [Member] | Financial Derivatives - Assets [Member] | Options on U.S. Treasury Futures [Member] | Minimum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [3],[4],[21] | 2015-02 | |||
Long [Member] | Interest Rate Risk [Member] | Financial Derivatives - Assets [Member] | Options on U.S. Treasury Futures [Member] | Maximum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [3],[4],[21] | 2015-03 | |||
Long [Member] | Interest Rate Risk [Member] | Financial Derivatives - Assets [Member] | Eurodollar Future [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | 2017-06 | [2],[22] | 2017-06 | [3],[4],[23] | |
Derivative Asset | $ 17,000 | [2],[22] | $ 7,000 | [3],[4],[23] | |
Derivative Asset, Notional Amount | 23,000,000 | [2],[22] | 11,000,000 | [3],[4],[23] | |
Long [Member] | Interest Rate Risk [Member] | Financial Derivatives - Assets [Member] | Written Payer Swaption [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | [3],[4],[24] | 344,000 | |||
Derivative Asset, Notional Amount | [3],[4],[24] | $ 822,800,000 | |||
Long [Member] | Interest Rate Risk [Member] | Financial Derivatives - Assets [Member] | Written Payer Swaption [Member] | Minimum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [3],[4],[24] | 2015-01 | |||
Long [Member] | Interest Rate Risk [Member] | Financial Derivatives - Assets [Member] | Written Payer Swaption [Member] | Maximum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [3],[4],[24] | 2015-06 | |||
Long [Member] | Interest Rate Risk [Member] | Financial Derivatives - Liabilities [Member] | Interest Rate Swaps [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liability, Notional Amount | 129,975,000 | [2],[7],[17] | $ 230,410,000 | [3],[4],[8],[18] | |
Derivative Liabilities | $ (278,000) | [2],[7],[17] | $ (678,000) | [3],[4],[8],[18] | |
Long [Member] | Interest Rate Risk [Member] | Financial Derivatives - Liabilities [Member] | Interest Rate Swaps [Member] | Minimum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | 2016-10 | [2],[7],[17] | 2016-10 | [3],[4],[8],[18] | |
Long [Member] | Interest Rate Risk [Member] | Financial Derivatives - Liabilities [Member] | Interest Rate Swaps [Member] | Maximum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | 2045-12 | [2],[7],[17] | 2044-12 | [3],[4],[8],[18] | |
Long [Member] | Interest Rate Risk [Member] | Financial Derivatives - Liabilities [Member] | US Treasury Note Futures [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liability, Notional Amount | $ 37,700,000 | [2],[19] | $ 50,600,000 | [3],[4],[20] | |
Range of expiration dates | 2016-03 | [2],[19] | 2015-03 | [3],[4],[20] | |
Derivative Liabilities | $ (235,000) | [2],[19] | $ (13,000) | [3],[4],[20] | |
Long [Member] | Interest Rate Risk [Member] | Financial Derivatives - Liabilities [Member] | Purchased Straddle Swaption [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liability, Notional Amount | [2],[25] | $ 8,400,000 | |||
Range of expiration dates | [2],[25] | 2018-11 | |||
Derivative Liabilities | [2],[25] | $ (31,000) | |||
Long [Member] | Interest Rate Risk [Member] | Financial Derivatives - Liabilities [Member] | Written Payer Swaption [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liability, Notional Amount | [3],[4],[24] | $ 260,000,000 | |||
Range of expiration dates | [3],[4],[24] | 2015-03 | |||
Derivative Liabilities | [3],[4],[24] | $ (137,000) | |||
Long [Member] | Interest Rate Risk [Member] | Put Option [Member] | Financial Derivatives - Assets [Member] | Options on U.S. Treasury Futures [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2],[26] | 2016-02 | |||
Derivative Asset | [2],[26] | $ 61,000 | |||
Derivative Asset, Notional Amount | [2],[26] | $ 3,900,000 | |||
Long [Member] | Interest Rate Risk [Member] | Call Option [Member] | Financial Derivatives - Assets [Member] | Options on U.S. Treasury Futures [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2],[26] | 2016-02 | |||
Derivative Asset | [2],[26] | $ 51,000 | |||
Derivative Asset, Notional Amount | [2],[26] | 3,900,000 | |||
Long [Member] | Equity Market Risk [Member] | Financial Derivatives - Assets [Member] | Total Return Swaps [Member] | North America [Member] | Financial [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [3],[4],[27] | 2015-06 | |||
Derivative Asset | [3],[4],[27] | $ 8,000 | |||
Derivative Asset, Notional Amount | [3],[4],[27] | 875,000 | |||
Long [Member] | Equity Market Risk [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | North America [Member] | Financial [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liability, Notional Amount | $ 21,635,000 | [2],[7],[28] | 72,075,000 | [3],[4],[8],[27] | |
Range of expiration dates | [2],[7],[28] | 2016-11 | |||
Derivative Liabilities | $ 0 | [2],[7],[28] | $ (21,000) | [3],[4],[8],[27] | |
Long [Member] | Equity Market Risk [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | North America [Member] | Financial [Member] | Minimum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [3],[4],[8],[27] | 2015-01 | |||
Long [Member] | Equity Market Risk [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | North America [Member] | Financial [Member] | Maximum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [3],[4],[8],[27] | 2016-11 | |||
Long [Member] | Equity Market Risk [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | North America [Member] | Energy [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liability, Notional Amount | [2],[7],[28] | $ 35,000 | |||
Range of expiration dates | [2],[7],[28] | 2017-07 | |||
Derivative Liabilities | [2],[7],[28] | $ 0 | |||
Long [Member] | Currency risk [Member] | Financial Derivatives - Liabilities [Member] | Forwards [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liability, Notional Amount | $ 2,734,000 | [2],[29] | $ 9,518,000 | [3],[4],[30] | |
Range of expiration dates | 2016-03 | [2],[29] | 2015-03 | [3],[4],[30] | |
Derivative Liabilities | $ (13,000) | [2],[29] | $ (136,000) | [3],[4],[30] | |
Short [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Bonds [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liabilities | [2],[7],[31] | (683,000) | |||
Short [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liabilities | [2],[7] | 0 | |||
Short [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Bond Indices [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | [2],[7],[31] | 1,891,000 | |||
Derivative Asset, Notional Amount | [2],[7],[31] | $ (15,208,000) | |||
Short [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Bond Indices [Member] | Minimum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2],[7],[31] | 2017-12 | |||
Short [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Bond Indices [Member] | Maximum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2],[7],[31] | 2019-12 | |||
Short [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Securities [Member] | North America [Member] | Mortgage-related Residential [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | $ 6,332,000 | [2],[7],[31] | 11,387,000 | [3],[4],[32] | |
Derivative Asset, Notional Amount | $ (8,967,000) | [2],[7],[31] | $ (17,691,000) | [3],[4],[32] | |
Short [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Securities [Member] | North America [Member] | Mortgage-related Residential [Member] | Minimum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | 2034-09 | [2],[7],[31] | 2034-09 | [3],[4],[32] | |
Short [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Securities [Member] | North America [Member] | Mortgage-related Residential [Member] | Maximum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | 2035-12 | [2],[7],[31] | 2036-05 | [3],[4],[32] | |
Short [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Bonds [Member] | North America [Member] | Consumer [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2],[7],[31] | 2019-12 | |||
Derivative Asset | [2],[7],[31] | $ 10,000 | |||
Derivative Asset, Notional Amount | [2],[7],[31] | (590,000) | |||
Short [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Indices [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | 5,354,000 | [2],[7],[31] | $ 1,820,000 | [3],[4],[32] | |
Derivative Asset, Notional Amount | $ (95,589,000) | [2],[7],[31] | $ (50,981,000) | [3],[4],[32] | |
Short [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Indices [Member] | Minimum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | 2046-05 | [2],[7],[31] | 2046-05 | [3],[4],[32] | |
Short [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Indices [Member] | Maximum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | 2063-05 | [2],[7],[31] | 2052-10 | [3],[4],[32] | |
Short [Member] | Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Bond Indices [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liability, Notional Amount | $ (1,001,913,000) | [2],[7],[31] | $ (352,945,000) | [3],[4],[8],[32] | |
Derivative Liabilities | $ (47,298,000) | [2],[7],[31] | $ (27,357,000) | [3],[4],[8],[32] | |
Short [Member] | Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Bond Indices [Member] | Minimum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | 2016-12 | [2],[7],[31] | 2016-12 | [3],[4],[8],[32] | |
Short [Member] | Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Bond Indices [Member] | Maximum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | 2020-12 | [2],[7],[31] | 2019-12 | [3],[4],[8],[32] | |
Short [Member] | Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Asset Backed Securities [Member] | North America [Member] | Mortgage-related Residential [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liability, Notional Amount | $ (3,209,000) | [2],[7],[31] | $ (3,000,000) | [3],[4],[8],[32] | |
Range of expiration dates | [3],[4],[8],[32] | 2035-03 | |||
Derivative Liabilities | $ (221,000) | [2],[7],[31] | $ (239,000) | [3],[4],[8],[32] | |
Short [Member] | Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Asset Backed Securities [Member] | North America [Member] | Mortgage-related Residential [Member] | Minimum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2],[7],[31] | 2034-10 | |||
Short [Member] | Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Asset Backed Securities [Member] | North America [Member] | Mortgage-related Residential [Member] | Maximum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2],[7],[31] | 2035-03 | |||
Short [Member] | Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Bonds [Member] | North America [Member] | Financial [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liability, Notional Amount | [2],[7],[31] | $ (4,000,000) | |||
Range of expiration dates | [2],[7],[31] | 2020-03 | |||
Derivative Liabilities | [2],[7],[31] | $ (99,000) | |||
Short [Member] | Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Bonds [Member] | North America [Member] | Consumer [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liability, Notional Amount | (8,780,000) | [2],[7],[31] | (5,970,000) | [3],[4],[8],[32] | |
Derivative Liabilities | $ (584,000) | [2],[7],[31] | $ (247,000) | [3],[4],[8],[32] | |
Short [Member] | Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Bonds [Member] | North America [Member] | Consumer [Member] | Minimum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | 2019-09 | [2],[7],[31] | 2019-09 | [3],[4],[8],[32] | |
Short [Member] | Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Bonds [Member] | North America [Member] | Consumer [Member] | Maximum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | 2020-12 | [2],[7],[31] | 2019-12 | [3],[4],[8],[32] | |
Short [Member] | Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Asset Backed Indices [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liability, Notional Amount | [3],[4],[8],[32] | $ (20,050,000) | |||
Range of expiration dates | [3],[4],[8],[32] | 2063-05 | |||
Derivative Liabilities | [3],[4],[8],[32] | $ (162,000) | |||
Short [Member] | Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaption [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liability, Notional Amount | [3],[4],[33] | $ (25,900,000) | |||
Range of expiration dates | [3],[4],[33] | 2018-03 | |||
Derivative Liabilities | [3],[4],[33] | $ (146,000) | |||
Short [Member] | Credit Risk [Member] | Put Option [Member] | Financial Derivatives - Liabilities [Member] | Options on Credit Default Swaps on Corporate Bond Indices [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liability, Notional Amount | [2],[34] | $ (171,750,000) | |||
Derivative Liabilities | [2],[34] | $ (720,000) | |||
Short [Member] | Credit Risk [Member] | Put Option [Member] | Financial Derivatives - Liabilities [Member] | Options on Credit Default Swaps on Corporate Bond Indices [Member] | Minimum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2],[34] | 2016-02 | |||
Short [Member] | Credit Risk [Member] | Put Option [Member] | Financial Derivatives - Liabilities [Member] | Options on Credit Default Swaps on Corporate Bond Indices [Member] | Maximum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2],[34] | 2016-03 | |||
Short [Member] | Credit Risk [Member] | Call Option [Member] | Financial Derivatives - Liabilities [Member] | Options on Credit Default Swaps on Corporate Bond Indices [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liability, Notional Amount | [2],[35] | $ (273,100,000) | |||
Derivative Liabilities | [2],[35] | $ (884,000) | |||
Short [Member] | Credit Risk [Member] | Call Option [Member] | Financial Derivatives - Liabilities [Member] | Options on Credit Default Swaps on Corporate Bond Indices [Member] | Minimum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2],[35] | 2016-01 | |||
Short [Member] | Credit Risk [Member] | Call Option [Member] | Financial Derivatives - Liabilities [Member] | Options on Credit Default Swaps on Corporate Bond Indices [Member] | Maximum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2],[35] | 2016-02 | |||
Short [Member] | Interest Rate Risk [Member] | Financial Derivatives - Assets [Member] | Interest Rate Swaps [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | $ 2,689,000 | [2],[7],[36] | 5,411,000 | [3],[4],[37] | |
Derivative Asset, Notional Amount | $ (608,365,000) | [2],[7],[36] | $ (627,931,000) | [3],[4],[37] | |
Short [Member] | Interest Rate Risk [Member] | Financial Derivatives - Assets [Member] | Interest Rate Swaps [Member] | Minimum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | 2016-12 | [2],[7],[36] | 2016-10 | [3],[4],[37] | |
Short [Member] | Interest Rate Risk [Member] | Financial Derivatives - Assets [Member] | Interest Rate Swaps [Member] | Maximum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | 2045-12 | [2],[7],[36] | 2044-12 | [3],[4],[37] | |
Short [Member] | Interest Rate Risk [Member] | Financial Derivatives - Assets [Member] | Eurodollar Future [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2],[22] | 2016-12 | |||
Derivative Asset | $ 13,000 | [2],[22] | $ 92,000 | [3],[4],[23] | |
Derivative Asset, Notional Amount | (90,000,000) | [2],[22] | $ (520,000,000) | [3],[4],[23] | |
Short [Member] | Interest Rate Risk [Member] | Financial Derivatives - Assets [Member] | Eurodollar Future [Member] | Minimum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [3],[4],[23] | 2015-09 | |||
Short [Member] | Interest Rate Risk [Member] | Financial Derivatives - Assets [Member] | Eurodollar Future [Member] | Maximum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [3],[4],[23] | 2017-09 | |||
Short [Member] | Interest Rate Risk [Member] | Financial Derivatives - Liabilities [Member] | Interest Rate Swaps [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liability, Notional Amount | (518,235,000) | [2],[7],[36] | $ (1,024,716,000) | [3],[4],[8],[37] | |
Derivative Liabilities | $ (4,656,000) | [2],[7],[36] | $ (28,727,000) | [3],[4],[8],[37] | |
Short [Member] | Interest Rate Risk [Member] | Financial Derivatives - Liabilities [Member] | Interest Rate Swaps [Member] | Minimum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | 2016-01 | [2],[7],[36] | 2015-03 | [3],[4],[8],[37] | |
Short [Member] | Interest Rate Risk [Member] | Financial Derivatives - Liabilities [Member] | Interest Rate Swaps [Member] | Maximum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | 2046-01 | [2],[7],[36] | 2044-11 | [3],[4],[8],[37] | |
Short [Member] | Interest Rate Risk [Member] | Financial Derivatives - Liabilities [Member] | Eurodollar Future [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liability, Notional Amount | $ (306,000,000) | [2],[22] | $ (179,000,000) | [3],[4],[23] | |
Derivative Liabilities | $ (293,000) | [2],[22] | $ (68,000) | [3],[4],[23] | |
Short [Member] | Interest Rate Risk [Member] | Financial Derivatives - Liabilities [Member] | Eurodollar Future [Member] | Minimum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | 2016-03 | [2],[22] | 2015-03 | [3],[4],[23] | |
Short [Member] | Interest Rate Risk [Member] | Financial Derivatives - Liabilities [Member] | Eurodollar Future [Member] | Maximum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | 2017-09 | [2],[22] | 2015-06 | [3],[4],[23] | |
Short [Member] | Interest Rate Risk [Member] | Financial Derivatives - Liabilities [Member] | Written Payer Swaption [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liability, Notional Amount | [3],[4],[38] | $ (10,200,000) | |||
Range of expiration dates | [3],[4],[38] | 2015-01 | |||
Derivative Liabilities | [3],[4],[38] | $ 0 | |||
Short [Member] | Interest Rate Risk [Member] | Financial Derivatives - Liabilities [Member] | Written Straddle Swaption [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liability, Notional Amount | [2],[25] | $ (13,100,000) | |||
Derivative Liabilities | [2],[25] | $ (125,000) | |||
Short [Member] | Interest Rate Risk [Member] | Financial Derivatives - Liabilities [Member] | Written Straddle Swaption [Member] | Minimum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2] | 2016-01 | |||
Short [Member] | Interest Rate Risk [Member] | Financial Derivatives - Liabilities [Member] | Written Straddle Swaption [Member] | Maximum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2] | 2016-06 | |||
Short [Member] | Equity Market Risk [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | North America [Member] | Financial [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liability, Notional Amount | [2],[7],[28] | $ (4,048,000) | |||
Range of expiration dates | [2],[7],[28] | 2017-03 | |||
Derivative Liabilities | [2],[7],[28] | $ 0 | |||
Short [Member] | Equity Market Risk [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | North America [Member] | Energy [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liability, Notional Amount | [2],[7],[28] | $ (58,000) | |||
Range of expiration dates | [2],[7],[28] | 2017-07 | |||
Derivative Liabilities | [2],[7],[28] | $ 0 | |||
Short [Member] | Currency risk [Member] | Financial Derivatives - Assets [Member] | Forwards [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | 2016-03 | [2],[39] | 2015-03 | [3],[4],[40] | |
Derivative Asset | $ 1,138,000 | [2],[39] | $ 884,000 | [3],[4],[40] | |
Derivative Asset, Notional Amount | $ (95,326,000) | [2],[39] | (35,849,000) | [3],[4],[40] | |
Short [Member] | Currency risk [Member] | Financial Derivatives - Liabilities [Member] | Forwards [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liability, Notional Amount | [3],[4],[40] | $ (117,000) | |||
Range of expiration dates | [3],[4],[40] | 2015-03 | |||
Derivative Liabilities | [3],[4],[40] | $ 0 | |||
CDX.NA.HY 25 35-100 [Member] | Long [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Bond Indices [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2],[7],[14] | 2020-12 | |||
Derivative Asset | [2],[7],[14] | $ 81,758,000 | |||
Derivative Asset, Notional Amount | [2],[7],[14] | $ 442,140,000 | |||
ITRX EUR XOVER 24 5Y 35-100 [Member] | Long [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Bond Indices [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2],[7],[14] | 2020-12 | |||
Derivative Asset | [2],[7],[14] | $ 46,716,000 | |||
Derivative Asset, Notional Amount | [2],[7],[14] | 229,954,000 | |||
Other Credit Default Swaps on Corporate Bond Indices [Member] | Long [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Bond Indices [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | [2],[7],[14] | 7,278,000 | |||
Derivative Asset, Notional Amount | [2],[7],[14] | $ 121,730,000 | |||
Other Credit Default Swaps on Corporate Bond Indices [Member] | Long [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Bond Indices [Member] | Minimum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2],[7],[14] | 2018-06 | |||
Other Credit Default Swaps on Corporate Bond Indices [Member] | Long [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Bond Indices [Member] | Maximum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2],[7],[14] | 2020-06 | |||
[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] | Conformed to current period presentation. | ||||
[4] | See Note 2 and Note 3 in Notes to Consolidated Financial Statements. | ||||
[5] | Classification percentages are based on Total Equity. | ||||
[6] | Classification percentages are based on Total Equity. | ||||
[7] | The following table shows the Company's swap assets and liabilities by dealer as a percentage of Total EquityDealer/Parent Company Asset/Liability Percent of EquityAffiliates of Bank of America Financial derivatives—asset 6.01 %Affiliates of JP Morgan Financial derivatives—liability (6.32)% | ||||
[8] | 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)% | ||||
[9] | Notional value represents principal balance of mortgage loan purchase commitments. Actual loan purchases are contingent upon successful loan closings in accordance with agreed-upon parameters. | ||||
[10] | Notional value represents number of warrants. | ||||
[11] | Notional value represents number of warrants. | ||||
[12] | For long credit default swaps, the Company sold protection. | ||||
[13] | Notional value represents outstanding principal balance on underlying corporate debt. | ||||
[14] | For long credit default swaps, the Company sold protection. | ||||
[15] | 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. | ||||
[16] | 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. | ||||
[17] | For long interest rate swap contracts, the Company pays a floating rate and receives a fixed rate. | ||||
[18] | For long interest rate swap contracts, the Company pays a floating rate and receives a fixed rate. | ||||
[19] | Notional value represents the total face amount of U.S. Treasury Notes underlying all contracts held; as of December 31, 2015, 343 long futures contracts were held. | ||||
[20] | 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. | ||||
[21] | 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. | ||||
[22] | Every $1,000,000 in notional value represents one contract. | ||||
[23] | Every $1,000,000 in notional value represents one contract. | ||||
[24] | 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. | ||||
[25] | Represents the combination of a written payer swaption and a written receiver swaption on the same underlying swap. | ||||
[26] | Represents the option on the part of the Company to enter into a futures contract with a counterparty; as of December 31, 2015, 39 put options and 39 call options contracts were held. | ||||
[27] | Notional value represents number of underlying shares times the closing price of the underlying security. | ||||
[28] | Notional value represents number of underlying shares times the closing price of the underlying security. | ||||
[29] | Notional value represents U.S. Dollars to be paid by the Company at the maturity of the forward contract. | ||||
[30] | Notional value represents U.S. Dollars to be paid by the Company at the maturity of the forward contract. | ||||
[31] | For short credit default swaps, the Company purchased protection. | ||||
[32] | For short credit default swaps, the Company purchased protection. | ||||
[33] | 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 pay a fixed rate and receive credit protection payments. | ||||
[34] | 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. | ||||
[35] | 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 pay a fixed rate and receive credit protection payments. | ||||
[36] | For short interest rate swap contracts, the Company pays a fixed rate and receives a floating rate. | ||||
[37] | For short interest rate swap contracts, the Company pays a fixed rate and receives a floating rate. | ||||
[38] | 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. | ||||
[39] | Notional value represents U.S. Dollars to be received by the Company at the maturity of the forward contract. | ||||
[40] | Notional value represents U.S. Dollars to be received by the Company at the maturity of the forward contract. |
Consolidated Statement Of Opera
Consolidated Statement Of Operations - USD ($) $ in Thousands | 12 Months Ended | ||||
Dec. 31, 2015 | Dec. 31, 2014 | [1] | Dec. 31, 2013 | [1] | |
INVESTMENT INCOME | |||||
Interest income | $ 101,783 | $ 93,533 | $ 85,740 | ||
Other income | 2,813 | 318 | 0 | ||
Total investment income | 104,596 | 93,851 | 85,740 | ||
EXPENSES | |||||
Base management fee | 11,493 | 10,751 | 9,115 | ||
Incentive fee | 0 | 1,400 | 8,366 | ||
Interest expense | 12,112 | 9,927 | 11,025 | ||
Other investment related expenses | 5,612 | 4,689 | 496 | ||
Professional fees | 3,129 | 2,795 | 1,783 | ||
Administration fees | 1,355 | 1,231 | 1,133 | ||
Compensation expense | 1,508 | 1,182 | 1,721 | ||
Insurance expense | 641 | 734 | 706 | ||
Directors' fees and expenses | 259 | 271 | 253 | ||
Share-based LTIP expense | 393 | 267 | 179 | ||
Other expenses | 1,918 | 1,853 | 1,308 | ||
Total expenses | 38,420 | 35,100 | 36,085 | ||
NET INVESTMENT INCOME | 66,176 | 58,751 | 49,655 | ||
Net realized gain (loss) on: | |||||
Investments | 34,384 | 16,859 | 39,485 | ||
Financial derivatives, excluding currency forwards | (15,096) | (12,841) | (21,479) | ||
Financial derivatives-currency forwards | 4,738 | 1,630 | 0 | ||
Foreign currency transactions | (3,073) | (1,486) | (4) | ||
Total net realized gain (loss) on investments, financial derivatives, and foreign currency transactions | 20,953 | 4,162 | 18,002 | ||
Change in net unrealized gain (loss) on: | |||||
Investments | (56,869) | 6,258 | (1,819) | ||
Financial derivatives, excluding currency forwards | 9,498 | (9,058) | 13,520 | ||
Financial derivatives-currency forwards | 377 | 786 | (38) | ||
Foreign currency translation | (1,706) | (950) | 42 | ||
Total Change in Net Unrealized Gain Loss On Investments, Financial derivatives, and Foreign currency translation | (48,700) | (2,964) | 11,705 | ||
NET REALIZED AND CHANGE IN NET UNREALIZED GAIN (LOSS) ON INVESTMENTS, FINANCIAL DERIVATIVES, AND FOREIGN CURRENCY TRANSACTIONS/TRANSLATION | (27,747) | 1,198 | 29,707 | ||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | 38,429 | 59,949 | 79,362 | ||
Net Income (Loss) Attributable to Noncontrolling Interest | 340 | 782 | 838 | ||
Net Income (Loss) Attributable to Parent | $ 38,089 | $ 59,167 | $ 78,524 | ||
NET INCREASE IN SHAREHOLDERS' EQUITY RESULTING FROM OPERATIONS PER SHARE: | |||||
Basic and Diluted (in usd per share) | $ 1.13 | $ 2.09 | $ 3.28 | ||
[1] | Conformed to current period presentation. |
Consolidated Statement Of Chang
Consolidated Statement Of Changes In Equity - USD ($) $ in Thousands | Total | Parent [Member] | Noncontrolling Interest [Member] | ||
Stockholders' Equity Attributable to Parent at Dec. 31, 2012 | $ 506,355 | ||||
Stockholders' Equity Attributable to Noncontrolling Interest at Dec. 31, 2012 | $ 0 | ||||
Stockholders' Equity, Including Portion Attributable to Noncontrolling Interest at Dec. 31, 2012 | $ 506,355 | ||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | |||||
Net investment income | [1] | 49,655 | |||
Net realized gain (loss) on investments, financial derivatives, and foreign currency transactions | [1] | 18,002 | |||
Change in net unrealized gain (loss) on investments, financial derivatives, and foreign currency translation | [1] | 11,705 | |||
Net Income (Loss) Attributable to Parent | 78,524 | [1] | 78,524 | ||
Net Income (Loss) Attributable to Noncontrolling Interest | 838 | [1] | 838 | ||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | [1] | 79,362 | |||
CHANGE IN EQUITY RESULTING FROM TRANSACTIONS | |||||
Proceeds from the issuance of shares | [2] | 125,600 | 125,600 | ||
Shares issued in connection with incentive fee payment | 1,262 | 1,262 | |||
Contributions from non-controlling interests | 5,880 | 5,880 | |||
Dividends | [3] | (92,067) | [4] | (91,256) | (811) |
Distributions to non-controlling interest | (260) | (260) | |||
Adjustment to non-controlling interest | 0 | 0 | 0 | ||
Adjustments to Additional Paid in Capital, Stock Issued, Issuance Costs | (262) | (262) | |||
Shares repurchased | 0 | 0 | |||
Share-based LTIP awards | 179 | 178 | 1 | ||
Net increase (decrease) in equity from transactions | 40,332 | 35,522 | 4,810 | ||
Net increase (decrease) in equity | 119,694 | 114,046 | 5,648 | ||
Stockholders' Equity Attributable to Parent at Dec. 31, 2013 | 620,401 | ||||
Stockholders' Equity Attributable to Noncontrolling Interest at Dec. 31, 2013 | 5,648 | ||||
Stockholders' Equity, Including Portion Attributable to Noncontrolling Interest at Dec. 31, 2013 | 626,049 | ||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | |||||
Net investment income | [1] | 58,751 | |||
Net realized gain (loss) on investments, financial derivatives, and foreign currency transactions | [1] | 4,162 | |||
Change in net unrealized gain (loss) on investments, financial derivatives, and foreign currency translation | [1] | (2,964) | |||
Net Income (Loss) Attributable to Parent | 59,167 | [1] | 59,167 | ||
Net Income (Loss) Attributable to Noncontrolling Interest | 782 | [1] | 782 | ||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | [1] | 59,949 | |||
CHANGE IN EQUITY RESULTING FROM TRANSACTIONS | |||||
Proceeds from the issuance of shares | [2] | 188,400 | 188,400 | ||
Shares issued in connection with incentive fee payment | 449 | 449 | |||
Contributions from non-controlling interests | 1,793 | 1,793 | |||
Dividends | [3] | (86,449) | [4] | (85,796) | (653) |
Distributions to non-controlling interest | (1,667) | (1,667) | |||
Adjustment to non-controlling interest | 0 | (484) | 484 | ||
Adjustments to Additional Paid in Capital, Stock Issued, Issuance Costs | (247) | (247) | |||
Shares repurchased | 0 | 0 | |||
Share-based LTIP awards | 267 | 265 | 2 | ||
Net increase (decrease) in equity from transactions | 102,546 | 102,587 | (41) | ||
Net increase (decrease) in equity | 162,495 | 161,754 | 741 | ||
Stockholders' Equity Attributable to Parent at Dec. 31, 2014 | 782,155 | 782,155 | |||
Stockholders' Equity Attributable to Noncontrolling Interest at Dec. 31, 2014 | 6,389 | 6,389 | |||
Stockholders' Equity, Including Portion Attributable to Noncontrolling Interest at Dec. 31, 2014 | 788,544 | ||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | |||||
Net investment income | 66,176 | ||||
Net realized gain (loss) on investments, financial derivatives, and foreign currency transactions | 20,953 | ||||
Change in net unrealized gain (loss) on investments, financial derivatives, and foreign currency translation | (48,700) | ||||
Net Income (Loss) Attributable to Parent | 38,089 | 38,089 | |||
Net Income (Loss) Attributable to Noncontrolling Interest | 340 | 340 | |||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | 38,429 | ||||
CHANGE IN EQUITY RESULTING FROM TRANSACTIONS | |||||
Proceeds from the issuance of shares | [2] | 0 | 0 | ||
Shares issued in connection with incentive fee payment | 0 | 0 | |||
Contributions from non-controlling interests | 2,153 | 2,153 | |||
Dividends | [3] | (83,460) | [4] | (82,940) | (520) |
Distributions to non-controlling interest | (1,468) | (1,468) | |||
Adjustment to non-controlling interest | 0 | (6) | 6 | ||
Adjustments to Additional Paid in Capital, Stock Issued, Issuance Costs | 0 | 0 | |||
Shares repurchased | (5,639) | (5,639) | |||
Share-based LTIP awards | 393 | 390 | 3 | ||
Net increase (decrease) in equity from transactions | (88,021) | (88,195) | 174 | ||
Net increase (decrease) in equity | (49,592) | (50,106) | 514 | ||
Stockholders' Equity Attributable to Parent at Dec. 31, 2015 | 732,049 | $ 732,049 | |||
Stockholders' Equity Attributable to Noncontrolling Interest at Dec. 31, 2015 | 6,903 | $ 6,903 | |||
Stockholders' Equity, Including Portion Attributable to Noncontrolling Interest at Dec. 31, 2015 | $ 738,952 | ||||
[1] | Conformed to current period presentation. | ||||
[2] | For the year ended December 31, 2014 proceeds from the issuance of shares is net of an underwriters' discount of $3.0 million. | ||||
[3] | For the years ended December 31, 2015, 2014, and 2013, dividends totaling $2.45, $3.08, and $3.83, respectively, per common share and convertible unit outstanding, were declared and paid. | ||||
[4] | The Company pays quarterly dividends in arrears, so a portion of the dividends paid in each calendar year relate to the prior year's earnings. |
Consolidated Statement Of Cha10
Consolidated Statement Of Changes In Equity (Parenthetical) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Statement of Stockholders' Equity [Abstract] | |||
Dividends (in usd per share) | $ 2.45 | $ 3.08 | $ 3.83 |
Underwriting Discount | $ 3 |
Consolidated Statement Of Cash
Consolidated Statement Of Cash Flows - USD ($) $ in Thousands | 12 Months Ended | ||||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |||
INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS: | |||||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | $ 38,429 | $ 59,949 | [1] | $ 79,362 | [1] |
Reconciliation of the net increase in equity resulting from operations to net cash provided by (used in) operating activities: | |||||
Net realized (gain) loss on investments, financial derivatives, and foreign currency transactions | (23,454) | (6,008) | (18,002) | ||
Change in net unrealized (gain) loss on investments and financial derivatives, and foreign currency translation | 48,649 | 3,564 | (11,663) | ||
Amortization of premiums and accretion of discounts (net) | 21,815 | (9,131) | (18,619) | ||
Purchase of investments | (3,381,699) | (5,298,446) | (2,224,370) | ||
Proceeds from disposition of investments | 3,570,304 | 4,755,862 | 1,713,538 | ||
Proceeds from principal payments of investments | 284,166 | 186,094 | 190,720 | ||
Proceeds from investments sold short | 1,461,459 | 1,606,561 | 947,556 | ||
Repurchase of investments sold short | (2,031,578) | (1,215,239) | (702,846) | ||
Payments made to open financial derivatives | (331,643) | (61,080) | (25,624) | ||
Proceeds received to close financial derivatives | 301,902 | 85,572 | 42,643 | ||
Proceeds received to open financial derivatives | 114,201 | 87,441 | 39,822 | ||
Payments made to close financial derivatives | (174,313) | (130,389) | (46,419) | ||
Shares issued in connection with incentive fee payment | 0 | 449 | 1,262 | ||
Share-based LTIP expense | 393 | 267 | [1] | 179 | [1] |
(Increase) decrease in assets: | |||||
Repurchase agreements | 66,301 | (144,039) | (14,312) | ||
Receivable for securities sold and financial derivatives | 531,844 | (354,587) | (256,086) | ||
Due from brokers | 5,360 | (64,394) | (59,827) | ||
Interest and principal receivable | 167 | (13,780) | (1,112) | ||
Restricted cash | (4,857) | 0 | 0 | ||
Other assets | (3,295) | (565) | (1,095) | ||
Increase (decrease) in liabilities: | |||||
Due to brokers | 92,573 | 2,462 | (11,192) | ||
Payable for securities purchased and financial derivatives | 66,618 | (94,300) | 135,714 | ||
Accounts payable and accrued expenses | 846 | 1,205 | (75) | ||
Incentive fee payable | 0 | (3,091) | (4,252) | ||
Other liabilities | 828 | 0 | (903) | ||
Interest and dividends payable | (580) | 865 | 789 | ||
Base management fee payable | (190) | 599 | 430 | ||
Net cash provided by (used in) operating activities | 654,246 | (604,159) | (244,382) | ||
Cash flows provided by (used in) financing activities: | |||||
Proceeds from the issuance of shares | 0 | 188,400 | 125,600 | ||
Contributions from non-controlling interests | 2,153 | 1,793 | 5,880 | ||
Shares repurchased | (5,639) | 0 | 0 | ||
Offering costs paid | (56) | (288) | (444) | ||
Dividends paid | (83,460) | (86,449) | (92,067) | ||
Distributions to non-controlling Interest | (1,468) | (1,667) | (260) | ||
Principal payments on securitized debt | (763) | (246) | (370) | ||
Borrowings under Reverse Repurchase Agreements | 9,758,474 | 23,414,375 | [2] | 3,286,194 | [2] |
Repayments of reverse repurchase agreements | (10,253,718) | (22,981,108) | [2] | (2,955,746) | [2] |
Net cash provided by (used in) financing activities | (584,477) | 534,810 | 368,787 | ||
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS | 69,769 | (69,349) | 124,405 | ||
CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD | 114,140 | 183,489 | 59,084 | ||
CASH AND CASH EQUIVALENTS, END OF PERIOD | 183,909 | 114,140 | 183,489 | ||
Supplemental disclosure of cash flow information: | |||||
Interest paid | 12,112 | 9,544 | 10,389 | ||
Shares issued in connection with incentive fee payment (non-cash) | 0 | 449 | 1,262 | ||
Share-based LTIP awards (non-cash) | 393 | 267 | [1] | 179 | [1] |
Aggregate TBA trade activity (buys sells) (non-cash) | $ 36,357,456 | $ 30,136,820 | $ 24,946,079 | ||
[1] | Conformed to current period presentation. | ||||
[2] | Conformed to current period presentation. |
Organization and Investment Obj
Organization and Investment Objective | 12 Months Ended |
Dec. 31, 2015 | |
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 intercompany 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, collateralized loan obligations, or "CLOs," consumer loans and asset-backed securities, or "ABS," backed by consumer and commercial assets, 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 an SEC-registered investment adviser and a registered commodity pool operator that serves as the Manager to the Company pursuant to the terms of its sixth amended and restated 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 Company's Board of Directors ("Board of Directors"). |
Significant Accounting Policies
Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2015 | |
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 meets the definition of an investment company under ASC 946 . ASC 946 requires, among other things, that investments be reported at fair value in the financial statements. Additionally under ASC 946 the Company generally will not consolidate its interest in any company other than in its subsidiaries that qualify as investment companies under ASC 946. The consolidated financial statements include the accounts of the Company, the Operating Partnership, and its subsidiaries. All intercompany 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 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 and 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, distressed corporate debt, and total return swaps on distressed corporate debt, in each case where there is less price transparency. Also included in this category are residential and commercial mortgage loans, consumer loans, non-listed equities, and private corporate debt and equity 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. ASC 820 prioritizes the various inputs that management uses to measure fair value with the highest priority to inputs that are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets (Level 1) and the lowest priority to inputs that are unobservable and significant to the fair value measurement (Level 3). 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 mortgage-backed securities, or "MBS," including To Be Announced MBS, or "TBAs," CLOs, and distressed corporate debt and equity 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 CLOs are generally classified as either Level 2 or Level 3 based on analysis of available market data such as recent trades and executable bids. The Company's investments in distressed corporate debt are in the form of loans as well as total return swaps on loans. Valuations are typically based on prices of the underlying loans received from widely used third-party pricing services. These investments as well as related non-listed equity investments are generally designated as Level 3 assets. 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, when available, 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 and non-QM residential mortgage loans are valued using matrix pricing. Cash flow assumptions typically include projected default and prepayment rates and loss severities, 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. In valuing its derivatives, the Company also considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each derivative agreement. Investments in private operating entities, such as mortgage originators, are valued based on available metrics, such as relevant market multiples and comparable company valuations, and company specific-financial data including actual and projected results. These investments are designated as Level 3 assets. The Company's repurchase agreements are carried at fair value based on their contractual amounts as the debt is short-term in nature. The Company's reverse repurchase agreements are carried at cost, which approximates fair value. Repurchase 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 ("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 Company's 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 or notional amount 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 amortized into interest income over the life of such securities using the effective interest method. For securities whose cash flows vary depending on prepayments, 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 to 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 Consolidated Statement of Operations under the heading, "Other 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 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. The Company holds its cash at institutions that it believes to be highly creditworthy. Restricted cash represents cash that the Company can use only for specific purposes. See Note 13 for further discussion of restricted cash balances. (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 risks associated with the Company's total return swap activity are equity market risk and credit 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 corporate debt, 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, credit quality, 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 equity index futures. Initial margin deposits are made upon entering into futures contracts and can generally 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. Commitments to Purchase Residential Mortgage Loans: The Company enters into forward purchase commitments under flow agreements, whereby the Company commits to purchasing the loans based on pre-defined underwriting guidelines and at stated interest rates. Actual loan purchases are contingent upon successful loan closings. These commitments to purchase mortgage loans are classified as derivatives on the Company's Consolidated Statement of Assets, Liabilities, and Equity and are, therefore, recorded as assets or liabilities measured at fair value. Until the purchase commitment expires or the underlying loan closes, changes in the estimated fair value of such commitments are recognized as unrealized gains or losses in the Consolidated Statement of Operations. 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 contracts, foreign currency forwards, options contracts, warrants, and mortgage loan purchase commitments. 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 short 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: 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 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 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. Reverse repurchase agreements are carried at their contractual amounts, which approximate fair value as the debt is short-term in nature. (H) Repurchase Agreements: The Company enters into repurchase agreement transactions with third-party broker-dealers whereby it purchases securities under agreements to resell at an agreed-upon price and date. In general, securities received pursuant to repurchase agreements are delivered to counterparties of short sale transactions. The interest rate on 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. Assets held pursuant to repurchase agreements are reflected as assets on the Consolidated Statement of Assets, Liabilities, and Equity. Repurchase agreements are carried at fair value based on their contractual amounts as the debt is short-term in nature. 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 reported on a net basis in the Company's consolidated financial statements. (I) Securitized Debt: The Company entered into a resecuritization transaction in January 2012, which was 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, Financial Instruments ("ASC 825"), the Company elected to carry this securitized debt at fair value. As of December 31, 2015, this securitized debt was fully repaid. (J) 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 TBA market. Th |
Valuation
Valuation | 12 Months Ended |
Dec. 31, 2015 | |
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, 2015 : Description Level 1 Level 2 Level 3 Total Assets: (In thousands) Cash equivalents $ 160,000 $ — $ — $ 160,000 Investments, at fair value- Agency residential mortgage-backed securities $ — $ 1,035,662 $ 24,918 $ 1,060,580 Private label residential mortgage-backed securities — 138,482 116,435 254,917 Private label commercial mortgage-backed securities — — 34,145 34,145 Commercial mortgage loans — — 66,399 66,399 Residential mortgage loans — — 22,089 22,089 Collateralized loan obligations — — 45,974 45,974 Consumer loans and asset-backed securities backed by consumer loans — — 115,376 115,376 Corporate debt — — 27,028 27,028 Real estate owned — — 12,522 12,522 Private corporate equity investments — — 22,088 22,088 Total investments, at fair value — 1,174,144 486,974 1,661,118 Financial derivatives–assets, at fair value- Credit default swaps on asset-backed securities — — 6,332 6,332 Credit default swaps on corporate bond indices — 137,643 — 137,643 Credit default swaps on corporate bonds — 10 — 10 Credit default swaps on asset-backed indices — 5,410 — 5,410 Interest rate swaps — 9,943 — 9,943 Total return swaps — — 85 85 Options 112 2,050 — 2,162 Futures 32 — — 32 Forwards — 1,138 — 1,138 Warrants — — 150 150 Total financial derivatives–assets, at fair value 144 156,194 6,567 162,905 Repurchase agreements — 105,700 — 105,700 Total investments and financial derivatives–assets, at fair value and repurchase agreements $ 144 $ 1,436,038 $ 493,541 $ 1,929,723 Liabilities: Investments sold short, at fair value- Agency residential mortgage-backed securities $ — $ (612,777 ) $ — $ (612,777 ) Government debt — (114,051 ) — (114,051 ) Corporate debt — — (448 ) (448 ) Common stock (1,471 ) — — (1,471 ) Total investments sold short, at fair value (1,471 ) (726,828 ) (448 ) (728,747 ) Financial derivatives–liabilities, at fair value- Credit default swaps on corporate bond indices — (47,298 ) — (47,298 ) Credit default swaps on corporate bonds — (683 ) — (683 ) Credit default swaps on asset-backed indices — (365 ) — (365 ) Credit default swaps on asset-backed securities — — (221 ) (221 ) Interest rate swaps — (4,934 ) — (4,934 ) Total return swaps — — (4,662 ) (4,662 ) Description Level 1 Level 2 Level 3 Total (continued) (In thousands) Options $ — $ (1,604 ) $ — $ (1,604 ) Swaptions — (156 ) — (156 ) Futures (528 ) — — (528 ) Forwards — (13 ) — (13 ) Mortgage loan purchase commitments — (8 ) — (8 ) Total financial derivatives–liabilities, at fair value (528 ) (55,061 ) (4,883 ) (60,472 ) Guarantees (1) — — (828 ) (828 ) Total investments sold short, financial derivatives–liabilities, securitized debt, and guarantees, at fair value $ (1,999 ) $ (781,889 ) $ (6,159 ) $ (790,047 ) (1) Included in Other liabilities on the Consolidated Statement of Assets, Liabilities, and Equity. There were no transfers of financial instruments between Level 1 and Level 2 during the year ended December 31, 2015 . 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, 2015 : Fair Value Valuation Technique Unobservable Input Range Weighted Average Description Min Max (In thousands) Private label residential mortgage-backed securities $ 89,549 Market Quotes Non Binding Third-Party Valuation $ 1.81 $ 151.86 $ 68.47 Collateralized loan obligations 41,978 Market Quotes Non Binding Third-Party Valuation 13.00 102.00 84.84 Corporate debt and non-exchange traded corporate equity 18,972 Market Quotes Non Binding Third-Party Valuation 3.00 200.00 77.85 Private label commercial mortgage-backed securities 20,365 Market Quotes Non Binding Third-Party Valuation 6.07 73.20 41.28 Agency interest only residential mortgage-backed securities 21,067 Market Quotes Non Binding Third-Party Valuation 2.97 22.41 11.08 Total return swaps (4,577 ) Market Quotes Non Binding Third-Party Valuation (1) 36.38 99.88 56.38 Private label residential mortgage-backed securities 26,886 Discounted Cash Flows Yield 3.4 % 27.1 % 19.9 % Projected Collateral Prepayments 5.4 % 74.6 % 46.3 % Projected Collateral Losses 2.9 % 24.5 % 11.4 % Projected Collateral Recoveries 0.3 % 13.0 % 8.0 % Projected Collateral Scheduled Amortization 8.6 % 88.6 % 34.3 % 100.0 % Private label commercial mortgage-backed securities 13,780 Discounted Cash Flows Yield 19.2 % 25.0 % 22.1 % Projected Collateral Losses 0.7 % 2.3 % 1.6 % Projected Collateral Recoveries 1.5 % 14.3 % 8.4 % Projected Collateral Scheduled Amortization 83.4 % 97.6 % 90.0 % 100.0 % Corporate debt and warrants 13,920 Discounted Cash Flows Yield 15.0 % 20.0 % 16.2 % (continued) Fair Value Valuation Technique Unobservable Input Range Weighted Average Description Min Max (In thousands) Collateralized loan obligations $ 3,996 Discounted Cash Flows Yield 8.3 % 20.6 % 13.5 % Projected Collateral Prepayments 31.9 % 52.3 % 41.1 % Projected Collateral Losses 2.6 % 17.3 % 12.9 % Projected Collateral Recoveries 2.3 % 15.5 % 10.1 % Projected Collateral Scheduled Amortization 33.3 % 51.5 % 35.9 % 100.0 % Consumer loans and asset-backed securities backed by consumer loans 115,376 Discounted Cash Flows Yield 9.0 % 15.0 % 10.4 % Projected Collateral Prepayments 0.0 % 40.9 % 30.9 % Projected Collateral Losses 1.0 % 33.8 % 7.3 % Projected Collateral Scheduled Amortization 57.3 % 80.8 % 61.8 % 100.0 % Performing commercial mortgage loans 43,847 Discounted Cash Flows Yield 9.8 % 17.6 % 11.9 % Non-performing commercial mortgage loans and commercial real estate owned 30,984 Discounted Cash Flows Yield 10.2 % 19.4 % 13.7 % Months to Resolution 4.0 24.0 9.3 Performing residential mortgage loans 13,848 Discounted Cash Flows Yield 5.5 % 8.0 % 6.5 % Non-performing residential mortgage loans and residential real estate owned 12,331 Discounted Cash Flows Yield 5.7 % 7.9 % 7.3 % Months to Resolution 3.4 113.6 20.6 Credit default swaps on asset-backed securities 6,111 Net Discounted Cash Flows Projected Collateral Prepayments 26.6 % 44.1 % 32.6 % Projected Collateral Losses 15.0 % 33.7 % 26.5 % Projected Collateral Recoveries 6.8 % 16.9 % 12.0 % Projected Collateral Scheduled Amortization 24.5 % 33.1 % 28.9 % 100.0 % Non-exchange traded equity investments in commercial mortgage-related private partnerships 10,558 Discounted Cash Flows Yield 14.0 % 16.5 % 14.7 % Expected Holding Period (Months) 14.3 27.0 23.5 Agency interest only residential mortgage-backed securities 3,851 Option Adjusted Spread ("OAS") LIBOR OAS (2) 441 1,672 622 Projected Collateral Prepayments 18.0 % 100.0 % 70.4 % Projected Collateral Scheduled Amortization 0.0 % 82.0 % 29.6 % 100.0 % Non-exchange traded preferred and common equity investment in mortgage-related entities 2,738 Enterprise Value Equity Multiple (3) 2.7x 2.7x 2.7x Non-exchange traded preferred and common equity investment in mortgage-related entities 2,630 Recent Transactions Transaction Price N/A N/A N/A Guarantees (828 ) Cash Flows Expected Cash Flows (4) N/A N/A N/A (1) Represents valuations on underlying assets. (2) Shown in basis points. (3) Represent an estimation of where market participants might value an enterprise. (4) Represents transactions with a remaining term of less than one year. 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, 2014 : Description Level 1 Level 2 Level 3 Total Assets: (In thousands) Cash equivalents (1) $ 100,000 $ — $ — $ 100,000 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 Collateralized loan obligations (1) — — 121,994 121,994 Consumer loans and asset-backed securities backed by consumer loans (1) — — 24,294 24,294 Corporate debt — — 42,708 42,708 Real estate owned — — 8,635 8,635 Private corporate equity investments — — 14,512 14,512 Total investments, at fair value — 1,545,083 626,999 2,172,082 Description Level 1 Level 2 Level 3 Total (continued) (In thousands) 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 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 (2) — — (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) Conformed to current period presentation. (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 Mortgage-related—Residential. 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 Technique Unobservable Input Range Weighted Average Description Min Max (In thousands) Private label residential mortgage-backed securities (1) $ 201,373 Market Quotes Non Binding Third-Party Valuation $ 1.83 $ 119.58 $ 73.58 Collateralized loan obligations (2) 121,674 Market Quotes Non Binding Third-Party Valuation 21.50 137.00 94.85 Asset-backed securities backed by consumer loans (2) 1,344 Market Quotes Non Binding Third-Party Valuation 100.00 100.00 100.00 Private label commercial mortgage-backed securities 40,919 Market Quotes Non Binding Third-Party Valuation 5.62 103.25 66.56 Agency interest only residential mortgage-backed securities 22,928 Market Quotes Non Binding Third-Party Valuation 3.62 24.86 11.38 Private label residential mortgage-backed securities 72,222 Discounted Cash Flows Yield 3.0 % 13.6 % 7.0 % Projected Collateral Prepayments 6.7 % 100.0 % 45.6 % Projected Collateral Losses 0.0 % 44.5 % 11.3 % Projected Collateral Recoveries 0.0 % 22.4 % 8.0 % Projected Collateral Scheduled Amortization 0.0 % 86.4 % 35.1 % 100.0 % Private label commercial mortgage-backed securities 12,392 Discounted Cash Flows Yield 12.0 % 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 % 99.0 % 93.1 % 100.0 % 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 $ 73.00 $ 108.00 $ 95.08 Collateralized loan obligations (2) 320 Discounted Cash Flows Yield 14.4 % 14.4 % 14.4 % Projected Collateral Prepayments 62.7 % 62.7 % 62.7 % Projected Collateral Losses 4.0 % 4.0 % 4.0 % Projected Collateral Recoveries 1.7 % 1.7 % 1.7 % Projected Collateral Scheduled Amortization 31.6 % 31.6 % 31.6 % 100.0 % Consumer loans and asset-backed securities backed by consumer loans (2) 22,950 Discounted Cash Flows Yield 0.0 % 12.0 % 9.1 % 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 loans and real estate owned 36,117 Discounted Cash Flows Yield 6.1 % 12.0 % 7.3 % Months to Resolution 4.1 79.1 24.6 (continued) Fair Value Valuation Technique Unobservable Input Range Weighted Average Description Min Max (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 % 25.0 % 100.0 % Non-exchange traded preferred equity investment in commercial mortgage-related private partnership 6,241 Discounted Cash Flows Yield 10.0 % 10.0 % 10.0 % Expected Holding Period (Months) 17 17 17 Agency interest only residential mortgage-backed securities 8,457 Option Adjusted Spread ("OAS") LIBOR OAS (3) (154 ) 1,796 359 Projected Collateral Prepayments 50.2 % 100.0 % 75.5 % Projected Collateral Scheduled Amortization 0.0 % 49.8 % 24.5 % 100.0 % 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) Conformed to current period presentation. (3) 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, 2015 , 2014 , and 2013 (including the change in fair value), for financial instruments classified by the Company within Level 3 of the valuation hierarchy. Level 3—Fair Value Measurement Using Significant Unobservable Inputs: Year Ended December 31, 2015 (In thousands) Ending Accreted Discounts / (Amortized Premiums) Net Realized Gain/ (Loss) Change in Net Unrealized Gain/(Loss) Purchases/ Payments Sales/ Issuances Transfers Into Level 3 Transfers Out of Level 3 Ending Balance as of December 31, 2015 Assets: Investments, at fair value- Agency residential mortgage-backed securities $ 31,385 $ (8,355 ) $ 223 $ 81 $ 6,977 $ (5,393 ) $ — $ — $ 24,918 Private label residential mortgage-backed securities 274,369 8,593 20,648 (16,429 ) 62,994 (191,902 ) 6,687 (48,525 ) 116,435 Private label commercial mortgage-backed securities 53,311 3,076 2,000 (4,183 ) 21,382 (41,441 ) — — 34,145 Commercial mortgage loans 28,309 1,895 1,114 (142 ) 69,778 (34,555 ) — — 66,399 Residential mortgage loans 27,482 1,363 2,372 (505 ) 19,555 (28,178 ) — — 22,089 Collateralized loan obligations 121,994 (21,110 ) 46 (4,033 ) 59,102 (110,025 ) — — 45,974 Consumer loans and asset-backed securities backed by consumer loans 24,294 (6,197 ) — 283 139,373 (42,377 ) — — 115,376 Corporate debt 42,708 60 (4,028 ) (6,882 ) 28,942 (33,772 ) — — 27,028 Real estate owned 8,635 — 1,168 381 14,155 (11,817 ) — — 12,522 Private corporate equity investments 14,512 — 116 (306 ) 8,347 (581 ) — — 22,088 Total investments, at fair value 626,999 (20,675 ) 23,659 (31,735 ) 430,605 (500,041 ) 6,687 (48,525 ) 486,974 Financial derivatives–assets, at fair value- Credit default swaps on asset-backed securities 11,387 — (2,964 ) 2,098 28 (4,217 ) — — 6,332 Total return swaps — — 113 85 — (113 ) — — 85 Warrants 100 — — — 50 — — — 150 Total financial derivatives– assets, at fair value 11,487 — (2,851 ) 2,183 78 (4,330 ) — — 6,567 Total investments and financial derivatives–assets, at fair value $ 638,486 $ (20,675 ) $ 20,808 $ (29,552 ) $ 430,683 $ (504,371 ) $ 6,687 $ (48,525 ) $ 493,541 Liabilities: Investments sold short, at fair value Corporate debt $ — $ (2 ) $ 197 $ 228 $ 1,372 $ (2,243 ) $ — $ — $ (448 ) Total investments sold short, at fair value — (2 ) 197 228 1,372 (2,243 ) — — (448 ) Financial derivatives–liabilities, at fair value- Credit default swaps on asset-backed securities (239 ) — (102 ) 35 — 85 — — (221 ) Total return swaps — — 2,516 (4,662 ) 14 (2,530 ) — — (4,662 ) Total financial derivatives– liabilities, at fair value (239 ) — 2,414 (4,627 ) 14 (2,445 ) — — (4,883 ) Securitized debt: Securitized debt (774 ) (15 ) — 26 763 — — — — Total securitized debt (774 ) (15 ) — 26 763 — — — — (In thousands) Ending Accreted Discounts / (Amortized Premiums) Net Realized Gain/ (Loss) Change in Net Unrealized Gain/(Loss) Purchases/ Payments Sales/ Issuances Transfers Into Level 3 Transfers Out of Level 3 Ending Balance as of December 31, 2015 (continued) Guarantees: Guarantees $ — $ — $ — $ (828 ) $ — $ — $ — $ — $ (828 ) Total guarantees — — — (828 ) — — — — (828 ) Total investments sold short, financial derivatives– liabilities, securitized debt, and guarantees, at fair value $ (1,013 ) $ (17 ) $ 2,611 $ (5,201 ) $ 2,149 $ (4,688 ) $ — $ — $ (6,159 ) 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, 2015 , as well as Level 3 financial instruments disposed of by the Company during the year ended December 31, 2015 . For Level 3 financial instruments held by the Company at December 31, 2015 , change in net unrealized gain (loss) of $(20.7) million , $7 thousand , $(4.6) million , and $(0.8) million , for the year ended December 31, 2015 relate to investments, financial derivatives–assets, financial derivatives–liabilities, and guarantees, respectively. For the year ended December 31, 2015 , the Company transferred $48.5 million of non-Agency RMBS from Level 3 to Level 2. These assets were transferred from Level 3 to Level 2 based on an increased volume of observed trading of these and similar assets. This increase in observed trading activity has led to greater price transparency for these assets, thereby making a Level 2 designation appropriate in the Company's view. However, changes in the volume of observable inputs for these assets, such as a decrease in the volume of observed trading, could impact price transparency, and thereby cause a change in the level designation for these assets in future periods. In addition, for the year ended December 31, 2015 , the Company transferred $6.7 million of non-Agency RMBS from Level 2 to Level 3. Since December 31, 2014, these securities have exhibited indications of a reduced level of price transparency. Examples of such indications include wider spreads relative to similar securities and a reduction in observable transactions involving these and similar securities. Changes in these indications could impact price transparency, and thereby cause a change in the level designation in future periods. Year Ended December 31, 2014 (In thousands) Ending Accreted Discounts / (Amortized Premiums) Net Realized Gain/ (Loss) Change in Net Unrealized Gain/(Loss) Purchases/ Payments Sales/ Issuances Transfers Into Level 3 Transfers Out of Level 3 Ending Balance as of December 31, 2014 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 Collateralized loan obligations (1) 38,069 (2,577 ) 342 (1,879 ) 118,607 (30,568 ) — — 121,994 Consumer loans and asset-backed securities backed by consumer loans (1) — (1,184 ) — (530 ) 29,402 (3,394 ) — — 24,294 Corporate debt — (70 ) — (877 ) 43,808 (153 ) — — 42,708 Real estate owned — — 172 (113 ) 11,247 (2,671 ) — — 8,635 (In thousands) Ending Accreted Discounts / (Amortized Premiums) Net Realized Gain/ (Loss) Change in Net Unrealized Gain/(Loss) Purchases/ Payments Sales/ Issuances Transfers Into Level 3 Transfers Out of Level 3 Ending Balance as of December 31, 2014 (continued) Private corporate equity 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 ) (1) Conformed to prior period presentation. 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) thousand for the year ended December 31, 2014 relate to investments, financial derivatives–assets, financial derivatives–liabilities, and securitized debt, respectively. For the year ended 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. Year Ended December 31, 2013 (In thousands) Ending Accreted Discounts / (Amortized Premiums) Net Realized Gain/ (Loss) Change in Net Unrealized Gain/(Loss) Purchases/ Payments Sales/ Issuances Transfers Into Level 3 Transfers Out of Level 3 Ending Balance as of December 31, 2013 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 12,643 425,864 (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 Collateralized loan obligations — (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. |
To Be Announced RMBS
To Be Announced RMBS | 12 Months Ended |
Dec. 31, 2015 | |
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 Consolidated Condensed 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 Consolidated Condensed 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, 2015 and December 31, 2014: As of December 31, 2015 December 31, 2014 Assets: (In thousands) TBA securities, at fair value (Current principal: $94,602 and $71,598, respectively) $ 98,009 $ 72,410 Receivable for securities sold relating to unsettled TBA sales 613,023 1,205,779 Liabilities: TBA securities sold short, at fair value (Current principal: -$580,992 and -$1,135,218, respectively) $ (612,777 ) $ (1,209,539 ) Payable for securities purchased relating to unsettled TBA purchases (98,049 ) (71,832 ) Net short TBA securities, at fair value (514,768 ) (1,137,129 ) |
Financial Derivatives
Financial Derivatives | 12 Months Ended |
Dec. 31, 2015 | |
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, 2015 , 2014, and 2013 are summarized in the tables below: Year Ended December 31, 2015 : Year Ended December 31, 2015 Derivative Type Primary Risk Exposure Net Realized Gain/(Loss) (1) Change in Net Unrealized Gain/(Loss) (2) (In thousands) Financial derivatives–assets Credit default swaps on asset-backed securities Credit $ (2,964 ) $ 2,098 Credit default swaps on asset-backed indices Credit (1,083 ) 442 Credit default swaps on corporate bond indices Credit 107 (763 ) Credit default swaps on corporate bonds Credit (6 ) 10 Total return swaps Equity Market/Credit 5,176 77 Interest rate swaps Interest Rates 42,724 (22,572 ) Futures Interest Rates/Equity Market 3,430 (181 ) Forwards Currency 11,790 254 Other Credit/ 10,492 734 69,666 (19,901 ) Financial derivatives–liabilities Credit default swaps on asset-backed securities Credit (102 ) 35 Credit default swaps on asset-backed indices Credit 369 (727 ) Credit default swaps on corporate bond indices Credit (8,166 ) 8,266 Credit default swaps on corporate bonds Credit (999 ) 684 Total return swaps Equity Market/Credit (3,338 ) (4,641 ) Interest rate swaps (3) Interest Rates (52,327 ) 24,555 Futures Interest Rates/Equity Market (2,722 ) (495 ) Forwards Currency (7,052 ) 123 Mortgage loan purchase commitments Interest Rates — (8 ) Other Credit/ (5,444 ) 889 (79,781 ) 28,681 Total $ (10,115 ) $ 8,780 (1) Includes foreign currency translation on derivatives in the amount of $0.2 million , for the year ended December 31, 2015, which is included on the Consolidated Statement of Operations in Realized gain (loss) on foreign currency transactions. (2) Includes foreign currency translation on derivatives in the amount of $(1.1) million , for the year ended December 31, 2015, which is included on the Consolidated Statement of Operations in Change in net unrealized gain (loss) on foreign currency translation. (3) Includes a $1.5 million reimbursement from a third party for the year ended December 31, 2015. Year Ended December 31, 2014 : Year Ended December 31, 2014 Derivative Type Primary Risk Exposure Net Realized Gain/(Loss) Change in Net Unrealized Gain/(Loss) (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/ Interest Rates 1,147 (928 ) 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 ) (37,309 ) (17,610 ) Total $ (11,211 ) $ (8,272 ) Year Ended December 31, 2013: Year Ended December 31, 2013 Derivative Type Primary Risk Exposure Net Realized Gain/(Loss) Change in Net Unrealized Gain/(Loss) (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 ) (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 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, 2015 and 2014: Derivative Type Year Ended December 31, 2015 Year Ended December 31, 2014 (In thousands) Interest rate swaps $ 2,463,892 $ 2,227,315 Credit default swaps 1,080,772 552,411 Total return swaps 112,641 55,108 Futures 880,682 738,830 Options 865,600 926,369 Forwards 107,448 42,143 Warrants 1,554 120 Mortgage loan purchase commitments 2,093 — 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, 2015 and 2014, 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, 2015 and 2014, are summarized below: Credit Derivatives Amount at December 31, 2015 Amount at (In thousands) Fair Value of Written Credit Derivatives, Net $ 135,443 $ 27,741 Fair Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) $ (369 ) $ (3,287 ) Notional Amount of Written Credit Derivatives (2) $ (799,750 ) $ (341,014 ) Notional Amount of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) $ 17,322 $ 54,874 (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, 2015, implied credit spreads on such contracts ranged between 19.5 and 4,628.7 basis points. For the Company's written credit derivatives that were outstanding at December 31, 2014, implied credit spreads on such contracts ranged between 38.0 and 2,985.8 basis points. Total net up-front payments received relating to written credit derivatives outstanding at December 31, 2015 and 2014 were $137.8 million and $28.9 million , respectively. |
Borrowings under Reverse Repurc
Borrowings under Reverse Repurchase Agreements | 12 Months Ended |
Dec. 31, 2015 | |
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, although the Company also has reverse repurchase agreements that provide for longer terms. 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 those 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 for most reverse repurchase agreements, interest is generally 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. Some reverse repurchase agreements provide for periodic payments of interest, such as monthly payments. 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, or other circumstance in which the counterparty is no longer required to post such margin, 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. 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 eighteen counterparties as of December 31, 2015 and sixteen counterparties as of December 31, 2014. At December 31, 2015 , approximately 15% of open reverse repurchase agreements were with one counterparty. At December 31, 2014, approximately 23% of open reverse repurchase agreements were with one counterparty. As of December 31, 2015 remaining days to maturity on the Company's open reverse repurchase agreements ranged from 4 days to 666 days and from 2 days to 631 days as of December 31, 2014. Interest rates on the Company's open reverse repurchase agreements ranged from 0.37% to 2.92% as of December 31, 2015 and from (1.50)% to 2.42% as of December 31, 2014. The negative interest rate at December 31, 2014 was related to reverse repurchase agreements on U.S. Treasury securities. The following table details the Company's outstanding borrowings under reverse repurchase agreements for Agency RMBS and Credit assets, which include non-Agency MBS, CLOs, consumer loans, corporate debt, and U.S. Treasury securities, by remaining maturity as of December 31, 2015 and 2014: (In thousands) December 31, 2015 December 31, 2014 Weighted Average Weighted Average Remaining Maturity Outstanding Borrowings Interest Rate Remaining Days to Maturity Outstanding Borrowings Interest Rate Remaining Days to Maturity Agency RMBS: 30 Days or Less $ 295,277 0.54 % 14 $ 537,624 0.34 % 16 31-60 Days 203,144 0.54 % 44 276,002 0.34 % 44 61-90 Days 239,431 0.68 % 74 251,715 0.38 % 72 91-120 Days 193,962 0.56 % 106 — — % — 151-180 Days 1,506 1.57 % 175 48,161 0.44 % 164 181-360 Days — — % — 32,319 0.47 % 317 Total Agency RMBS 933,320 0.58 % 56 1,145,821 0.35 % 50 Credit: 30 Days or Less 14,674 1.94 % 17 53,939 1.94 % 22 31-60 Days 26,419 1.87 % 39 46,872 1.59 % 43 61-90 Days 82,292 2.46 % 67 37,561 1.47 % 65 121-150 Days — — % — 21,236 2.03 % 139 151-180 Days 24,193 2.62 % 164 75,323 1.77 % 160 181-360 Days 23,877 2.80 % 346 15,449 1.65 % 181 >360 Days 69,414 2.51 % 666 149,601 2.41 % 631 Total Credit Assets 240,869 2.47 % 272 399,981 2.02 % 295 U.S. Treasury Securities: 30 Days or Less — — % — 123,631 (1.01 )% 2 Total U.S. Treasury Securities — — % — 123,631 (1.01 )% 2 Total $ 1,174,189 0.97 % 100 $ 1,669,433 0.65 % 105 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 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 in the amount of $4.4 million and $50.1 million as of December 31, 2015 and 2014, respectively. As of December 31, 2015 and 2014, the fair value of investments transferred as collateral under outstanding borrowings under reverse repurchase agreements was $1.35 billion and $1.93 billion , respectively. Collateral transferred under outstanding borrowings as of December 31, 2015 include investments in the amount of $16.8 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 $25.5 million and additional securities with a fair value of $5.1 million as of December 31, 2015 as a result of margin calls from various counterparties. 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. 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 from various counterparties. |
Related Party Transactions
Related Party Transactions | 12 Months Ended |
Dec. 31, 2015 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | Related Party Transactions 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 November 3, 2015, the Board of Directors approved a Sixth Amended and Restated Management Agreement, between the Company and the Manager. The descriptions of the Base Management Fees and Incentive Fees are detailed below. Base Management Fees The Operating Partnership pays the Manager 1.50% per annum of total equity of the Operating Partnership calculated in accordance with U.S. GAAP as of the end of each fiscal quarter (before deductions for base management fees and incentive fees payable with respect to such fiscal quarter), provided that total equity is adjusted to exclude one-time events pursuant to changes in U.S. GAAP, as well as non-cash charges after discussion between the Manager and the Company's independent directors, and approval by a majority of the Company's independent directors in the case of non-cash charges. Summary information —For the years ended December 31, 2015 , 2014, and 2013, the total base management fee incurred was $11.5 million , $10.8 million , and $9.1 million , respectively. Incentive Fees The Manager is entitled to receive a quarterly incentive fee equal to the positive excess, if any, of (i) the product of (A) 25% and (B) the excess of (1) Adjusted Net Income (described below) for the Incentive Calculation Period (which means such fiscal quarter and the immediately preceding three fiscal quarters) over (2) the sum of the Hurdle Amounts (described below) for the Incentive Calculation Period, over (ii) the sum of the incentive fees already paid or payable for each fiscal quarter in the Incentive Calculation Period preceding such fiscal quarter. For purposes of calculating the incentive fee, "Adjusted Net Income" for the Incentive Calculation Period means the net increase in equity from operations of the Operating Partnership, after all base management fees but before any incentive fees for such period, and excluding any non-cash equity compensation expenses for such period, as reduced by any Loss Carryforward (as described below) as of the end of the fiscal quarter preceding the Incentive Calculation Period. For purposes of calculating the incentive fee, the "Loss Carryforward" as of the end of any fiscal quarter is calculated by determining the excess, if any, of (1) the Loss Carryforward as of the end of the immediately preceding fiscal quarter over (2) the Company's net increase in equity from operations (expressed as a positive number) or net decrease in equity from operations (expressed as a negative number) of the Operating Partnership for such fiscal quarter. As of December 31, 2015 there was no Loss Carryforward. For purposes of calculating the incentive fee, the "Hurdle Amount" means, with respect to any fiscal quarter, the product of (i) one-fourth of the greater of (A) 9% and (B) 3% plus the 10-year U.S. Treasury rate for such fiscal quarter, (ii) the sum of (A) the weighted average gross proceeds per share of all common share and OP Unit issuances since inception of the Company and up to the end of such fiscal quarter, with each issuance weighted by both the number of shares and OP Units issued in such issuance and the number of days that such issued shares and OP Units were outstanding during such fiscal quarter, using a first-in first-out basis of accounting ( i.e. attributing any share and OP Unit repurchases to the earliest issuances first) and (B) the result obtained by dividing (I) retained earnings attributable to common shares and OP Units at the beginning of such fiscal quarter by (II) the average number of common shares and OP Units outstanding for each day during such fiscal quarter, (iii) the sum of the average number of common shares, LTIP Units, and OP Units outstanding for each day during such fiscal quarter. For purposes of determining the Hurdle Amount, issuances of common shares and OP Units (a) as equity incentive awards, (b) to the Manager as part of its base management fee or incentive fee and (c) to the Manager or any of its affiliates in privately negotiated transactions, are excluded from the calculation. The payment of the incentive fee will be in a combination of common shares and cash, provided that at least 10% of any quarterly payment will be made in common shares. Summary information —The Company did not incur any expense for incentive fees for the year ended December 31, 2015, since on a rolling four quarter basis, the Company's income did not exceed the prescribed hurdle amount. Incentive fee expense incurred for the years ended December 31, 2014 and 2013 was $1.4 million and $8.4 million , respectively. Termination Fees The Management Agreement requires the Company to pay a termination fee to the Manager in the event of (1) the Company's termination or non-renewal of the Management Agreement without cause or (2) the Company's termination of the Management Agreement based on unsatisfactory performance by the Manager that is materially detrimental to the Company (3) the Manager's termination of the Management Agreement upon a default by the Company in the performance of any material term of the Management Agreement. Such termination fee will be equal to the amount of three times the sum of (i) the average annual Quarterly Base Management Fee Amounts paid or payable with respect to the two 12-month periods ending on the last day of the latest fiscal quarter completed on or prior to the date of the notice of termination or non-renewal and (ii) the average annual Quarterly Incentive Fee Amounts paid or payable with respect to the two 12-month periods ending on the last day of the latest fiscal quarter completed on or prior to the date of the notice of termination or non-renewal. Expense Reimbursement Under the terms of the Management Agreement the Company is required to reimburse the Manager for operating expenses related to the Company that are incurred by the Manager, including expenses relating to legal, accounting, due diligence, other services, and all other costs and expenses. The Company's reimbursement obligation is not subject to any dollar limitation. Expenses will be reimbursed in cash within 60 days following delivery of the expense statement by the Manager; provided, however, that such reimbursement may be offset by the Manager against amounts due to the Company from the Manager. The Company will not reimburse the Manager for the salaries and other compensation of the Manager's personnel except that the Company will be responsible for expenses incurred by the Manager in employing certain dedicated or partially dedicated personnel as further described below. The Company reimburses the Manager for the allocable share of the compensation, including, without limitation, wages, salaries, and employee benefits paid or reimbursed, as approved by the Compensation Committee of the Board of Directors to certain dedicated or partially dedicated personnel who spend all or a portion of their time managing the Company's affairs, based upon the percentage of time devoted by such personnel to the Company's affairs. In their capacities as officers or personnel of the Manager or its affiliates, such personnel will devote such portion of their time to the Company's affairs as is necessary to enable the Company to operate its business. For the years ended December 31, 2015, 2014, and 2013, the Company reimbursed the Manager $3.7 million , $3.8 million , and $4.8 million , respectively, for previously incurred operating and compensation expenses. Equity Investments in Certain Mortgage Originators The Company has non-controlling investments in the form of debt and equity in various mortgage originators. As of December 31, 2015, of the four mortgage originators that the Company has invested in, two represent related parties. Transactions that have been entered into with these related party mortgage originators are summarized below. In March 2015, the Company made an initial investment in a mortgage originator in the form of preferred and common stock. In addition, the Company entered into a flow mortgage loan purchase and sale agreement with the mortgage originator whereby the Company has committed to purchase eligible residential mortgage loans. See Note 15, Commitments and Contingencies, for further information on such flow agreement. The Company has also entered into a $3.0 million loan agreement for a warehouse facility with the mortgage originator. Under the terms of the facility, the Company has agreed to make advances to the mortgage originator solely for the purpose of funding residential mortgage loans designated for sale to the Company. To the extent the advances are drawn by the mortgage originator, it must pay interest, equal to LIBOR plus 5.00% , on the unpaid amount of each advance from the date the advance is made until such advance is paid in full. The mortgage originator is required to repay advances made in full no later than two business days following the date the Company purchases the loans from the mortgage originator. As of December 31, 2015, advances in the amount of $2.6 million were outstanding and are included under the caption "Other Assets" on the Consolidated Statement of Assets, Liabilities, and Equity. In connection with its equity interest in another mortgage originator, the Company has entered into an agreement whereby it guarantees the performance of the mortgage originator under a third-party warehouse facility. The Company also has funded and caused a letter of credit to be issued by a bank for the benefit of this mortgage originator, in order to assist it in complying with its state licensing requirements. See Note 15, Commitments and Contingencies for further information on the Company's guarantee of the third party warehouse facility for the benefit of the mortgage originator. Investment in Affiliate The Company has investments in participation certificates related to loans held in a trust owned by a related party of the Manager. Through its participation certificates, the Company has beneficial interests in the cash flows of the underlying loans held by such trust. The Company's investment in participation certificates in the amount of $3.8 million as of December 31, 2015, is included on the Company's Consolidated Condensed Schedule of Investments in Consumer Loans and Asset-backed Securities backed by Consumer Loans. |
Long-Term Incentive Plan Units
Long-Term Incentive Plan Units | 12 Months Ended |
Dec. 31, 2015 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
Long-Term Incentive Plan Units | Long-Term Incentive Plan Units 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, 2015 2014, and 2013 was $0.4 million , $0.3 million , and $0.2 million , respectively. The below table details on the Company's unvested LTIP units: Grant Recipient Number of LTIP units Granted Grant Date Vesting Date (1) Independent directors: 7,425 September 15, 2015 September 14, 2016 Partially dedicated employees: 7,822 December 15, 2015 December 15, 2016 689 December 15, 2015 December 31, 2016 5,949 December 15, 2015 December 15, 2017 686 December 15, 2015 December 31, 2017 6,247 December 11, 2014 December 11, 2016 Total unvested LTIP units at December 31, 2015 28,818 (1) Date at which such LTIP units will vest and become non-forfeitable. The following table summarizes issuance and exercise activity of the Company's LTIP units for the years ended December 31, 2015 , 2014, and 2013: Year Ended December 31, 2015 Year Ended Year Ended Manager Director/ Employee Total Manager Director/ Employee Total Manager Director/ Employee Total 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 Granted — 22,571 22,571 — 20,084 20,084 — 15,738 15,738 Exercised — (1,947 ) (1,947 ) — (1,822 ) (1,822 ) — (1,782 ) (1,782 ) LTIP Units Outstanding (12/31/2015, 12/31/2014, and 12/31/2013, respectively) 375,000 74,938 449,938 375,000 54,314 429,314 375,000 36,052 411,052 LTIP Units Vested and Outstanding (12/31/2015, 12/31/2014, and 12/31/2013, respectively) 375,000 46,120 421,120 375,000 29,859 404,859 375,000 20,314 395,314 |
Non-controlling Interests
Non-controlling Interests | 12 Months Ended |
Dec. 31, 2015 | |
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, 2015 , 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 joint venture partners in various consolidated subsidiaries of the Company. These subsidiaries hold the Company's investments in certain commercial mortgage loans and REO. These joint venture partners participate in these subsidiaries on a pari passu basis with the Company at a predetermined percentage, and therefore participate in all income, expense, gains and losses of such subsidiaries. These joint venture partners make capital contributions to the subsidiaries as new approved investments are purchased by the subsidiaries, and are generally entitled to distributions when investments are sold or otherwise disposed of. As of December 31, 2015 these joint venture partners' interests in subsidiaries of the Company were $2.3 million , representing an approximately 5% interest in such subsidiaries. These joint venture partners' interests are not convertible into common shares of the Company or OP Units, nor are these joint venture partners entitled to receive distributions that holders of common shares of the Company receive. |
Common Share Capitalization
Common Share Capitalization | 12 Months Ended |
Dec. 31, 2015 | |
Stockholders' Equity Note [Abstract] | |
Common Share Capitalization | Common Share Capitalization During the years ended December 31, 2015 , 2014, and 2013, the Board of Directors authorized dividends totaling $2.45 per share, $3.08 per share, and $3.83 per share, respectively. Total dividends paid during the years ended December 31, 2015, 2014, and 2013 were $83.5 million , $86.4 million , and $92.1 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. The following table summarizes issuance, repurchase and other activity with respect to the Company's common shares for the years ended December 31, 2015 , 2014, and 2013: Year Ended December 31, 2015 Year Ended December 31, 2014 Year Ended December 31, 2013 Common Shares Outstanding (12/31/2014, 12/31/2013, and 12/31/2012, respectively) 33,449,678 25,428,186 20,370,469 Share Activity: Shares issued — 8,000,000 5,000,000 Shares repurchased (325,613 ) — — Shares issued in connection with incentive fee payment — 19,670 55,935 Director LTIP units exercised 1,947 1,822 1,782 Common Shares Outstanding (12/31/2015, 12/13/2014, and 12/31/2013, respectively) 33,126,012 33,449,678 25,428,186 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, 2015 , 2014, and 2013, the Company's issued and outstanding common shares would increase to 33,787,950 , 34,090,992 , and 26,051,238 shares, respectively. On August 3, 2015, the Company's Board of Directors approved the adoption of a share repurchase program under which the Company is authorized to repurchase up to 1.7 million common shares. 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, including under Rule 10b5-1 plans. Repurchases are at the Company's discretion, subject to applicable law, share availability, price and our financial performance, among other considerations. This program supersedes the program that was previously adopted on August 4, 2011. During the year ended December 31, 2015, the Company repurchased 325,613 shares at an average price per share of $17.32 and a total cost of $5.6 million . |
Earnings Per Share
Earnings Per Share | 12 Months Ended |
Dec. 31, 2015 | |
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, 2015 2014 2013 (In thousands except share amounts) Net increase in shareholders' equity resulting from operations $ 38,089 $ 59,167 $ 78,524 Add: Net increase in equity resulting from operations attributable to the participating non-controlling interest (1) 239 472 735 Net increase in equity resulting from operations related to common shares, LTIP unit holders, and participating non-controlling interest 38,328 59,639 79,259 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 37,604 58,306 77,219 Net increase in shareholders' equity resulting from operations– LTIP units 485 861 1,305 Dividends Paid (2) : Common shareholders (81,886 ) (84,527 ) (89,732 ) LTIP unit holders (1,054 ) (1,269 ) (1,524 ) Non-controlling interest (520 ) (653 ) (811 ) Total dividends paid to common shareholders, LTIP unit holders, and non-controlling interest (83,460 ) (86,449 ) (92,067 ) Undistributed (Distributed in excess of) earnings: Common shareholders (44,282 ) (26,221 ) (12,513 ) LTIP unit holders (569 ) (408 ) (219 ) Non-controlling interest (281 ) (181 ) (76 ) Total undistributed (distributed in excess of) earnings attributable to common shareholders, LTIP unit holders, and non-controlling interest $ (45,132 ) $ (26,810 ) $ (12,808 ) Weighted average shares outstanding (basic and diluted): Weighted average common shares outstanding 33,422,053 27,962,304 23,587,692 Weighted average participating LTIP units 431,640 413,105 398,789 Weighted average non-controlling interest units 212,000 212,000 212,000 Basic earnings per common share: Distributed $ 2.45 $ 3.08 $ 3.83 Undistributed (Distributed in excess of) (1.32 ) (0.99 ) (0.55 ) $ 1.13 $ 2.09 $ 3.28 Diluted earnings per common share: Distributed $ 2.45 $ 3.08 $ 3.83 Undistributed (Distributed in excess of) (1.32 ) (0.99 ) (0.55 ) $ 1.13 $ 2.09 $ 3.28 (1) For the years ended December 31, 2015 , 2014, and 2013, excludes net increase in equity resulting from operations of $0.1 million , $0.3 million , and $0.1 million , respectively attributable to joint venture partners, which have 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, 2015 | |
Risks and Uncertainties [Abstract] | |
Counterparty Risk | Counterparty Risk As of December 31, 2015 , investments with an aggregate value of approximately $1.35 billion were held with dealers as collateral for various reverse repurchase agreements. The investments held as collateral include securities in the amount of $16.8 million that were sold prior to period end but for which such sale had not yet settled as of December 31, 2015 . At December 31, 2015 no single counterparty held more than 15% of the total amount held with dealers as collateral for various reverse repurchase agreements. In addition, unencumbered investments, on a settlement date basis, of approximately $75.2 million were held in custody at the Bank of New York Mellon Corporation. 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, 2015 : Dealer % of Total Due from Brokers J.P. Morgan Securities Inc. 46% 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, 2015 : Dealer % of Total Receivable for Securities Sold CS First Boston 32% Bank of America Securities 19% In addition, the Company held cash and cash equivalents of $183.9 million and $114.1 million as of December 31, 2015 and 2014, respectively. The below table details the concentration of cash and cash equivalents held by each counterparty: As of Counterparty December 31, 2015 December 31, 2014 BlackRock Liquidity TempFund 54% 88% J.P. Morgan US Dollar Liquidity Fund 27% —% Bank of New York Mellon Corporation 13% 11% J.P. Morgan US Treasury Plus Premier Fund 6% —% Other —% 1% |
Restricted cash
Restricted cash | 12 Months Ended |
Dec. 31, 2015 | |
Restricted Cash and Investments [Abstract] | |
Cash and Cash Equivalents Disclosure [Text Block] | Restricted Cash The Company is required to maintain certain cash balances with counterparties and/or unrelated third parties for various activities and transactions. In connection with the warehouse facility provided by the Company to one of the mortgage originators in which it has invested, as described in Note 7, Related Party Transactions, the Company has placed cash into a restricted account in the Company's name, which is available to be drawn upon by the mortgage originator as needed to fund the origination of residential mortgage loans designated for sale to the Company. In connection with the letter of credit with another mortgage originator, as described in Note 7, Related Party Transactions, funds have been deposited into an account for the benefit of the mortgage originator. The Company is required to maintain a specific cash balance in a segregated account pursuant to a flow consumer loan purchase and sale agreement. The Company is also required to maintain specific minimum cash balances in connection with certain regulated subsidiaries, including its insurance captive subsidiary as well as its subsidiary that holds various state mortgage origination licenses. The below table details the Company's restricted cash balances included in Restricted cash on the Consolidated Statement of Assets, Liabilities, and Equity as of December 31, 2015. No restricted cash was held at December 31, 2014: December 31, 2015 (In thousands) Restricted cash balance related to: Warehouse facility $ 427 Letter of credit 230 Flow consumer loan purchase and sale agreement 3,700 Minimum account balance required for regulatory purposes $ 500 Total $ 4,857 |
Offsetting of Assets and Liabil
Offsetting of Assets and Liabilities | 12 Months Ended |
Dec. 31, 2015 | |
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, 2015 and 2014. 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, 2015 : 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 $ 162,905 $ (18,644 ) $ — $ (105,202 ) $ 39,059 Repurchase agreements 105,700 (105,700 ) — — — Liabilities Financial derivatives–liabilities (60,472 ) 18,644 — 41,699 (129 ) Reverse repurchase agreements (1,174,189 ) 105,700 1,042,947 25,542 — 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 — (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, 2015 and 2014 were $1.36 billion and $1.94 billion , respectively. As of December 31, 2015 and 2014, total cash collateral on financial derivative assets excludes excess net cash collateral pledged of $4.1 million and $22.7 million , respectively. As of December 31, 2015 and 2014, total cash collateral on financial derivative liabilities excludes excess cash collateral pledged of $45.8 million and $23.2 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. |
Commitments And Contingencies
Commitments And Contingencies | 12 Months Ended |
Dec. 31, 2015 | |
Commitments and Contingencies Disclosure [Abstract] | |
Contingencies and Commitments | Commitments and Contingencies 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, 2015 and 2014. The Company has entered into a purchase agreement whereby it has committed to purchase newly issued consumer loans originated by a third party over a term that was extended in November 2015 and expires in November 2016. As of December 31, 2015, the Company's remaining purchase commitment in connection with the purchase agreement is $44.2 million in total principal balance. The Company has entered into a flow consumer loan purchase and sale agreement, open-ended in duration, with a third party whereby the Company has committed to purchase up to $100 million of eligible consumer loans. As of December 31, 2015, the Company has purchased $54.2 million in eligible consumer loans under this agreement. In August 2015 the Company entered into participation and guarantee agreements, with terms expiring in August 2016, whereby: (i) the Company purchased a $10 million participation interest in a borrowing facility structured as a repurchase agreement, or "Repo Facility," between two parties unrelated to the Company, and (ii) the Company guarantees the borrower's payment obligations under the Repo Facility. The borrower may borrow up to $200 million under the Repo Facility, which is collateralized by residential mortgage loans which are required to be (1) eligible for guarantee by the Federal National Mortgage Association or the Federal Home Loan Mortgage Corporation, or (2) eligible for insurance by the Federal Housing Administration, or the U.S. Department of Veterans Affairs, or (3) high credit quality jumbo loans not eligible for government insurance or guarantee. High quality jumbo loans may comprise up to 7.5% of the total Repo Facility. To the extent the borrower performs under the Repo Facility over the term of the participation and guarantee agreements, the Company will be reimbursed in full its $10 million participation interest. Should the borrower default under the Repo Facility, the Company would be required to post to the lender an additional 5% of the then-outstanding amount borrowed under the Repo Facility and should the lender then exercise its rights under the guarantee, the Company could be required to purchase the mortgage loan collateral at a price equal to the aggregate amount borrowed under the Repo Facility, inclusive of accrued interest and any outstanding unused facility fees. In this case, the Company would have full recourse to the borrower to the extent of any deficit between the value of the mortgage loan collateral and the price paid by the Company for such collateral. The Company has the option, but not the obligation, to finance a specified portion of such purchase with the lender for up to six months via a pre-negotiated, committed repurchase facility. As a result of these agreements, the Company's risk is a function of the ongoing creditworthiness of the borrower and market value of the mortgage loan collateral in relation to the amount owed by the borrower under the Repo Facility. For its participation in this arrangement, the Company is paid monthly and quarterly fees based on the amount utilized under the Repo Facility. Fees received are included in "Other Income" on the Company's Consolidated Statement of Operations. The participation interest in the amount of $10 million is included in "Due from broker" on the Company's Consolidated Statement of Assets, Liabilities, and Equity. The Company's obligation under this arrangement is deemed to be a guaranty under ASC 460-10, Guarantees, and is carried at fair value and included in "Other Liabilities," on the Consolidated Statement of Assets, Liabilities, and Equity. As of December 31, 2015 the borrower utilized approximately $156.2 million under the Repo Facility and as of December 31, 2015, is performing on its obligations under such facility. Commitments and Contingencies Related to Investments in Mortgage Originators As of December 31, 2015, the Company had non-controlling investments in four mortgage originators. In connection with certain of its investments in such mortgage originators, the Company has outstanding commitments and contingencies as described below. 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 an additional $2.0 million subordinated debt investment 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 June 12, 2016. In June 2015, the Company entered into a flow mortgage loan purchase and sale agreement with this mortgage originator. The Company has not committed a specific dollar amount to future purchases under the agreement but has the option to purchase eligible loans as they are originated. As of December 31, 2015, the Company had not purchased any loans under this agreement. In connection with its equity interest in a second mortgage originator, as described in Note 7, Related Party Transactions, the Company has entered into an agreement whereby it guarantees the performance of the mortgage originator under a warehouse facility. As of December 31, 2015, the Company's maximum guarantee was $7.5 million . The Company's obligation under this arrangement is deemed to be a guaranty under ASC 460-10, Guarantees, and is carried at fair value and included in "Other Liabilities," on the Consolidated Statement of Assets, Liabilities, and Equity. In March 2015, the Company made an initial investment in a third mortgage originator in the form of preferred and common stock. As described in Note 7, Related Party Transactions, the Company entered into a flow mortgage loan purchase and sale agreement with the mortgage originator whereby the Company has committed to purchase eligible residential mortgage loans, to the extent they are originated in accordance with the Company's specifications, which it may modify in its sole discretion, in an amount of at least $200 million . The Company may opt to increase the amount purchased in its sole discretion based on its evaluation of mortgage loans previously purchased as well as market conditions. As of December 31, 2015, the Company purchased loans under this agreement in the amount of $9.4 million and it has outstanding mortgage loan purchase commitments of $7.7 million , which are contingent upon successful loan closings in accordance with agreed-upon parameters. |
Financial Highlights
Financial Highlights | 12 Months Ended |
Dec. 31, 2015 | |
Financial Highlights [Abstract] | |
Financial Highlights | Financial Highlights Results of Operations for a Share Outstanding Throughout the Periods: Year Ended December 31, 2015 Year Ended December 31, 2014 Year Ended December 31, 2013 Beginning Shareholders' Equity Per Share (12/31/2014, 12/31/2013, and 12/31/2012, respectively) $ 23.38 $ 24.40 $ 24.86 Net Investment Income 1.98 2.10 2.11 Net Realized/Unrealized Gains (Losses) (0.83 ) 0.04 1.26 Results of Operations Attributable to Equity 1.15 2.14 3.37 Less: Results of Operations Attributable to Non-controlling Interests (0.01 ) (0.03 ) (0.04 ) Results of Operations Attributable to Shareholders' Equity (1) 1.14 2.11 3.33 Dividends Paid to Common Shareholders (2.45 ) (3.08 ) (3.83 ) Weighted Average Share Impact on Dividends Paid (2) (0.05 ) (0.01 ) (0.08 ) Accretive (Dilutive) Effect of Share Issuances (Net of Offering Costs), Share Repurchases, and Adjustments to Non-controlling Interest 0.08 (0.04 ) 0.12 Ending Shareholders' Equity Per Share (12/31/2015, 12/31/2014, and 12/31/2013, respectively) (3) $ 22.10 $ 23.38 $ 24.40 Shares Outstanding, end of period 33,126,012 33,449,678 25,428,186 (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, 2015 , 2014, and 2013, shareholders' equity per share would be $21.80, $23.09, and $23.99, respectively. Total Return: The Company calculates its total return two ways, one based on its reported net asset value and the other based on its publicly-traded share price. The following table illustrates the Company's total return for the periods presented based on net asset value: Net Asset Value Based Total Return for a Shareholder: (1) Year Ended December 31, 2015 Year Ended December 31, 2014 Year Ended December 31, 2013 Total Return 5.14% 8.77% 14.19% (1) Total return is calculated assuming reinvestment of distributions at shareholders' equity per share during the period. Market Based Total Return for a Shareholder: For the year ended December 31, 2015 , 2014, and 2013, the Company's market based total return based on the closing price as reported by the New York Stock Exchange was (4.56)% , 0.15% , and 18.11% , 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 December 31, 2015 Year Ended December 31, 2014 Year Ended December 31, 2013 Net Investment Income (2) 8.59% 8.62% 8.40% (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 December 31, 2015 Year Ended December 31, 2014 Year Ended December 31, 2013 Operating expenses, before interest expense and other investment related expenses (2.69)% (2.80)% (2.74)% Incentive fee —% (0.21)% (1.42)% Interest expense and other investment related expenses (2.30)% (2.14)% (1.95)% Total Expenses (4.99)% (5.15)% (6.11)% (1) Average equity is calculated using month end values. |
Condensed Quarterly Financial D
Condensed Quarterly Financial Data (Unaudited) (Notes) | 12 Months Ended |
Dec. 31, 2015 | |
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, 2015 and 2014. Three Month Period Ended March 31, 2015 June 30, 2015 September 30, 2015 December 31, 2015 (In thousands except per share amounts) INVESTMENT INCOME Interest income $ 26,513 $ 25,739 $ 26,440 $ 23,091 Other income 293 1,023 565 932 Total investment income 26,806 26,762 27,005 24,023 EXPENSES Base management fee 2,952 2,920 2,849 2,772 Interest expense 2,986 2,867 3,073 3,186 Other investment related expenses 1,202 1,163 1,473 1,774 Other operating expenses 2,199 2,082 2,087 2,835 Total expenses 9,339 9,032 9,482 10,567 NET INVESTMENT INCOME 17,467 17,730 17,523 13,456 NET REALIZED AND CHANGE IN NET UNREALIZED GAIN (LOSS) ON INVESTMENTS, FINANCIAL DERIVATIVES, AND FOREIGN CURRENCY TRANSACTIONS/TRANSLATION Net realized gain (loss) on investments, financial derivatives, and foreign currency transactions 10,429 761 8,280 1,483 Change in net unrealized gain (loss) on investments, financial derivatives, and foreign currency translation (8,479 ) (5,268 ) (21,876 ) (13,077 ) NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FINANCIAL DERIVATIVES, AND FOREIGN CURRENCY 1,950 (4,507 ) (13,596 ) (11,594 ) NET INCREASE IN EQUITY RESULTING FROM OPERATIONS 19,417 13,223 3,927 1,862 LESS: NET INCREASE IN EQUITY RESULTING FROM OPERATIONS ATTRIBUTABLE TO NON-CONTROLLING INTERESTS 156 71 31 82 NET INCREASE IN SHAREHOLDERS' EQUITY RESULTING FROM OPERATIONS $ 19,261 $ 13,152 $ 3,896 $ 1,780 NET INCREASE IN SHAREHOLDERS' EQUITY RESULTING FROM OPERATIONS PER SHARE: Basic and Diluted $ 0.57 $ 0.39 $ 0.12 $ 0.05 Three Month Period Ended March 31, 2014 June 30, 2014 September 30, 2014 December 31, 2014 (In thousands except per share amounts) INVESTMENT INCOME Interest income $ 21,496 $ 20,996 $ 22,353 $ 28,688 Other 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 CHANGE IN NET UNREALIZED GAIN (LOSS) ON INVESTMENTS, FINANCIAL DERIVATIVES, AND FOREIGN CURRENCY TRANSACTIONS/TRANSLATION 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 (1) $ 0.88 $ 0.81 $ 0.46 $ 0.08 (1) 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. |
Subsequent Events
Subsequent Events | 12 Months Ended |
Dec. 31, 2015 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events On February 9, 2016, the Company's Board of Directors approved a dividend for the fourth quarter of 2015 in the amount of $0.50 per share payable on March 15, 2016 to shareholders of record as of March 1, 2016. |
Significant Accounting Polici30
Significant Accounting Policies (Policy) | 12 Months Ended |
Dec. 31, 2015 | |
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 meets the definition of an investment company under ASC 946 . ASC 946 requires, among other things, that investments be reported at fair value in the financial statements. Additionally under ASC 946 the Company generally will not consolidate its interest in any company other than in its subsidiaries that qualify as investment companies under ASC 946. The consolidated financial statements include the accounts of the Company, the Operating Partnership, and its subsidiaries. All intercompany 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 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 and 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, distressed corporate debt, and total return swaps on distressed corporate debt, in each case where there is less price transparency. Also included in this category are residential and commercial mortgage loans, consumer loans, non-listed equities, and private corporate debt and equity 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. ASC 820 prioritizes the various inputs that management uses to measure fair value with the highest priority to inputs that are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets (Level 1) and the lowest priority to inputs that are unobservable and significant to the fair value measurement (Level 3). 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 mortgage-backed securities, or "MBS," including To Be Announced MBS, or "TBAs," CLOs, and distressed corporate debt and equity 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 CLOs are generally classified as either Level 2 or Level 3 based on analysis of available market data such as recent trades and executable bids. The Company's investments in distressed corporate debt are in the form of loans as well as total return swaps on loans. Valuations are typically based on prices of the underlying loans received from widely used third-party pricing services. These investments as well as related non-listed equity investments are generally designated as Level 3 assets. 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, when available, 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 and non-QM residential mortgage loans are valued using matrix pricing. Cash flow assumptions typically include projected default and prepayment rates and loss severities, 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. In valuing its derivatives, the Company also considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each derivative agreement. Investments in private operating entities, such as mortgage originators, are valued based on available metrics, such as relevant market multiples and comparable company valuations, and company specific-financial data including actual and projected results. These investments are designated as Level 3 assets. The Company's repurchase agreements are carried at fair value based on their contractual amounts as the debt is short-term in nature. The Company's reverse repurchase agreements are carried at cost, which approximates fair value. Repurchase 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 ("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 Company's 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 or notional amount 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 amortized into interest income over the life of such securities using the effective interest method. For securities whose cash flows vary depending on prepayments, 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 to 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 Consolidated Statement of Operations under the heading, "Other 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 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. The Company holds its cash at institutions that it believes to be highly creditworthy. Restricted cash represents cash that the Company can use only for specific purposes. See Note 13 for further discussion of restricted cash balances. |
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 risks associated with the Company's total return swap activity are equity market risk and credit 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 corporate debt, 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, credit quality, 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 equity index futures. Initial margin deposits are made upon entering into futures contracts and can generally 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. Commitments to Purchase Residential Mortgage Loans: The Company enters into forward purchase commitments under flow agreements, whereby the Company commits to purchasing the loans based on pre-defined underwriting guidelines and at stated interest rates. Actual loan purchases are contingent upon successful loan closings. These commitments to purchase mortgage loans are classified as derivatives on the Company's Consolidated Statement of Assets, Liabilities, and Equity and are, therefore, recorded as assets or liabilities measured at fair value. Until the purchase commitment expires or the underlying loan closes, changes in the estimated fair value of such commitments are recognized as unrealized gains or losses in the Consolidated Statement of Operations. 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 contracts, foreign currency forwards, options contracts, warrants, and mortgage loan purchase commitments. 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 short 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 | Reverse 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 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 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. Reverse repurchase agreements are carried at their contractual amounts, which approximate fair value as the debt is short-term in nature. |
Repurchase Agreements | Repurchase Agreements: The Company enters into repurchase agreement transactions with third-party broker-dealers whereby it purchases securities under agreements to resell at an agreed-upon price and date. In general, securities received pursuant to repurchase agreements are delivered to counterparties of short sale transactions. The interest rate on 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. Assets held pursuant to repurchase agreements are reflected as assets on the Consolidated Statement of Assets, Liabilities, and Equity. Repurchase agreements are carried at fair value based on their contractual amounts as the debt is short-term in nature. 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 reported on a net basis in the Company's consolidated financial statements. |
Securitized Debt | Securitized Debt: The Company entered into a resecuritization transaction in January 2012, which was 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, Financial Instruments ("ASC 825"), the Company elected to carry this securitized debt at fair value. As of December 31, 2015, this securitized debt was fully repaid. |
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 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: When the Company obtains possession of real property in connection with a foreclosure or similar action, the Company de-recognizes 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, debt, or some other form of investment. The Company carries its investments in such entities at fair value. The impact of these investments and their results of operations are immaterial to the Company's financial condition and results of operations. The Company has entered into flow purchase and sale agreements with, or funded and caused a letter of credit to be issued to, an investee in which it has a non-controlling equity investment. In such cases the Company has applied the equity method of accounting to such equity investments and has elected to fair value such investments under the fair value option within ASC 825. |
Offering Costs/Underwriters' Discount | Offering Costs/Underwriters' Discount: Offering costs and underwriters' discount are charged against shareholders' equity. Offering costs typically include legal, accounting, printing, and other fees associated with the cost of raising capital. |
Expenses [Policy Text Block] | Expenses: Expenses are recognized as incurred on the Consolidated Statement of Operations. |
Other Investment Related Expenses [Policy Text Block] | Other Investment Related Expenses: Other investment related expenses consist of expenses directly related to specific financial instruments. Such expenses generally include dividend expense on common stock sold short, mostly through the use of total return swaps, servicing fees on our mortgage and consumer loans, corporate and escrow advances on loans within our loan portfolios, and various other expenses and fees related directly to the Company's financial instruments. Other investment related expenses are generally recognized as incurred on the Consolidated Statement of Operations; dividend expense on common stock sold short is recognized on the ex-dividend date. |
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, or to independent directors, are measured as of the grant date based on the closing stock price on the New York Stock Exchange and are amortized over the vesting period in accordance with ASC 718-10, Compensation—Stock Compensation . The vesting periods for LTIP units issued under the Ellington Incentive Plan for Individuals (the "Individual LTIP") are typically one year for independent directors, and are typically one year to two years for dedicated or partially dedicated personnel. |
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 joint venture partners in certain of our consolidated subsidiaries. The joint venture partners' 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 are immediately retired upon settlement and 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 which are participating securities, by the weighted average number of common shares outstanding calculated including LTIP units. Because the Company's LTIP units are participating securities, they are included in the calculation of basic and diluted EPS. OP Units relating to a non-controlling interest are also 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. In addition, certain subsidiaries of the Company have elected to be treated as corporations for U.S. federal income tax purposes, and one intends to elect to be taxed as a real estate investment trust beginning with the tax year ending December 31, 2015. 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 2014, 2013, or 2012 (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. |
Recent Accounting Pronouncements | Recent Accounting Pronouncements: 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 did not 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 annual and interim periods beginning after December 15, 2015, 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, 2015 | |
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, 2015 : Description Level 1 Level 2 Level 3 Total Assets: (In thousands) Cash equivalents $ 160,000 $ — $ — $ 160,000 Investments, at fair value- Agency residential mortgage-backed securities $ — $ 1,035,662 $ 24,918 $ 1,060,580 Private label residential mortgage-backed securities — 138,482 116,435 254,917 Private label commercial mortgage-backed securities — — 34,145 34,145 Commercial mortgage loans — — 66,399 66,399 Residential mortgage loans — — 22,089 22,089 Collateralized loan obligations — — 45,974 45,974 Consumer loans and asset-backed securities backed by consumer loans — — 115,376 115,376 Corporate debt — — 27,028 27,028 Real estate owned — — 12,522 12,522 Private corporate equity investments — — 22,088 22,088 Total investments, at fair value — 1,174,144 486,974 1,661,118 Financial derivatives–assets, at fair value- Credit default swaps on asset-backed securities — — 6,332 6,332 Credit default swaps on corporate bond indices — 137,643 — 137,643 Credit default swaps on corporate bonds — 10 — 10 Credit default swaps on asset-backed indices — 5,410 — 5,410 Interest rate swaps — 9,943 — 9,943 Total return swaps — — 85 85 Options 112 2,050 — 2,162 Futures 32 — — 32 Forwards — 1,138 — 1,138 Warrants — — 150 150 Total financial derivatives–assets, at fair value 144 156,194 6,567 162,905 Repurchase agreements — 105,700 — 105,700 Total investments and financial derivatives–assets, at fair value and repurchase agreements $ 144 $ 1,436,038 $ 493,541 $ 1,929,723 Liabilities: Investments sold short, at fair value- Agency residential mortgage-backed securities $ — $ (612,777 ) $ — $ (612,777 ) Government debt — (114,051 ) — (114,051 ) Corporate debt — — (448 ) (448 ) Common stock (1,471 ) — — (1,471 ) Total investments sold short, at fair value (1,471 ) (726,828 ) (448 ) (728,747 ) Financial derivatives–liabilities, at fair value- Credit default swaps on corporate bond indices — (47,298 ) — (47,298 ) Credit default swaps on corporate bonds — (683 ) — (683 ) Credit default swaps on asset-backed indices — (365 ) — (365 ) Credit default swaps on asset-backed securities — — (221 ) (221 ) Interest rate swaps — (4,934 ) — (4,934 ) Total return swaps — — (4,662 ) (4,662 ) Description Level 1 Level 2 Level 3 Total (continued) (In thousands) Options $ — $ (1,604 ) $ — $ (1,604 ) Swaptions — (156 ) — (156 ) Futures (528 ) — — (528 ) Forwards — (13 ) — (13 ) Mortgage loan purchase commitments — (8 ) — (8 ) Total financial derivatives–liabilities, at fair value (528 ) (55,061 ) (4,883 ) (60,472 ) Guarantees (1) — — (828 ) (828 ) Total investments sold short, financial derivatives–liabilities, securitized debt, and guarantees, at fair value $ (1,999 ) $ (781,889 ) $ (6,159 ) $ (790,047 ) 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 equivalents (1) $ 100,000 $ — $ — $ 100,000 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 Collateralized loan obligations (1) — — 121,994 121,994 Consumer loans and asset-backed securities backed by consumer loans (1) — — 24,294 24,294 Corporate debt — — 42,708 42,708 Real estate owned — — 8,635 8,635 Private corporate equity investments — — 14,512 14,512 Total investments, at fair value — 1,545,083 626,999 2,172,082 Description Level 1 Level 2 Level 3 Total (continued) (In thousands) 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 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 (2) — — (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) Conformed to current period presentation. (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 Mortgage-related—Residential. |
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, 2015 : Fair Value Valuation Technique Unobservable Input Range Weighted Average Description Min Max (In thousands) Private label residential mortgage-backed securities $ 89,549 Market Quotes Non Binding Third-Party Valuation $ 1.81 $ 151.86 $ 68.47 Collateralized loan obligations 41,978 Market Quotes Non Binding Third-Party Valuation 13.00 102.00 84.84 Corporate debt and non-exchange traded corporate equity 18,972 Market Quotes Non Binding Third-Party Valuation 3.00 200.00 77.85 Private label commercial mortgage-backed securities 20,365 Market Quotes Non Binding Third-Party Valuation 6.07 73.20 41.28 Agency interest only residential mortgage-backed securities 21,067 Market Quotes Non Binding Third-Party Valuation 2.97 22.41 11.08 Total return swaps (4,577 ) Market Quotes Non Binding Third-Party Valuation (1) 36.38 99.88 56.38 Private label residential mortgage-backed securities 26,886 Discounted Cash Flows Yield 3.4 % 27.1 % 19.9 % Projected Collateral Prepayments 5.4 % 74.6 % 46.3 % Projected Collateral Losses 2.9 % 24.5 % 11.4 % Projected Collateral Recoveries 0.3 % 13.0 % 8.0 % Projected Collateral Scheduled Amortization 8.6 % 88.6 % 34.3 % 100.0 % Private label commercial mortgage-backed securities 13,780 Discounted Cash Flows Yield 19.2 % 25.0 % 22.1 % Projected Collateral Losses 0.7 % 2.3 % 1.6 % Projected Collateral Recoveries 1.5 % 14.3 % 8.4 % Projected Collateral Scheduled Amortization 83.4 % 97.6 % 90.0 % 100.0 % Corporate debt and warrants 13,920 Discounted Cash Flows Yield 15.0 % 20.0 % 16.2 % (continued) Fair Value Valuation Technique Unobservable Input Range Weighted Average Description Min Max (In thousands) Collateralized loan obligations $ 3,996 Discounted Cash Flows Yield 8.3 % 20.6 % 13.5 % Projected Collateral Prepayments 31.9 % 52.3 % 41.1 % Projected Collateral Losses 2.6 % 17.3 % 12.9 % Projected Collateral Recoveries 2.3 % 15.5 % 10.1 % Projected Collateral Scheduled Amortization 33.3 % 51.5 % 35.9 % 100.0 % Consumer loans and asset-backed securities backed by consumer loans 115,376 Discounted Cash Flows Yield 9.0 % 15.0 % 10.4 % Projected Collateral Prepayments 0.0 % 40.9 % 30.9 % Projected Collateral Losses 1.0 % 33.8 % 7.3 % Projected Collateral Scheduled Amortization 57.3 % 80.8 % 61.8 % 100.0 % Performing commercial mortgage loans 43,847 Discounted Cash Flows Yield 9.8 % 17.6 % 11.9 % Non-performing commercial mortgage loans and commercial real estate owned 30,984 Discounted Cash Flows Yield 10.2 % 19.4 % 13.7 % Months to Resolution 4.0 24.0 9.3 Performing residential mortgage loans 13,848 Discounted Cash Flows Yield 5.5 % 8.0 % 6.5 % Non-performing residential mortgage loans and residential real estate owned 12,331 Discounted Cash Flows Yield 5.7 % 7.9 % 7.3 % Months to Resolution 3.4 113.6 20.6 Credit default swaps on asset-backed securities 6,111 Net Discounted Cash Flows Projected Collateral Prepayments 26.6 % 44.1 % 32.6 % Projected Collateral Losses 15.0 % 33.7 % 26.5 % Projected Collateral Recoveries 6.8 % 16.9 % 12.0 % Projected Collateral Scheduled Amortization 24.5 % 33.1 % 28.9 % 100.0 % Non-exchange traded equity investments in commercial mortgage-related private partnerships 10,558 Discounted Cash Flows Yield 14.0 % 16.5 % 14.7 % Expected Holding Period (Months) 14.3 27.0 23.5 Agency interest only residential mortgage-backed securities 3,851 Option Adjusted Spread ("OAS") LIBOR OAS (2) 441 1,672 622 Projected Collateral Prepayments 18.0 % 100.0 % 70.4 % Projected Collateral Scheduled Amortization 0.0 % 82.0 % 29.6 % 100.0 % Non-exchange traded preferred and common equity investment in mortgage-related entities 2,738 Enterprise Value Equity Multiple (3) 2.7x 2.7x 2.7x Non-exchange traded preferred and common equity investment in mortgage-related entities 2,630 Recent Transactions Transaction Price N/A N/A N/A Guarantees (828 ) Cash Flows Expected Cash Flows (4) N/A N/A N/A (1) Represents valuations on underlying assets. (2) Shown in basis points. (3) Represent an estimation of where market participants might value an enterprise. (4) Represents transactions with a remaining term of less than one year. 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 Technique Unobservable Input Range Weighted Average Description Min Max (In thousands) Private label residential mortgage-backed securities (1) $ 201,373 Market Quotes Non Binding Third-Party Valuation $ 1.83 $ 119.58 $ 73.58 Collateralized loan obligations (2) 121,674 Market Quotes Non Binding Third-Party Valuation 21.50 137.00 94.85 Asset-backed securities backed by consumer loans (2) 1,344 Market Quotes Non Binding Third-Party Valuation 100.00 100.00 100.00 Private label commercial mortgage-backed securities 40,919 Market Quotes Non Binding Third-Party Valuation 5.62 103.25 66.56 Agency interest only residential mortgage-backed securities 22,928 Market Quotes Non Binding Third-Party Valuation 3.62 24.86 11.38 Private label residential mortgage-backed securities 72,222 Discounted Cash Flows Yield 3.0 % 13.6 % 7.0 % Projected Collateral Prepayments 6.7 % 100.0 % 45.6 % Projected Collateral Losses 0.0 % 44.5 % 11.3 % Projected Collateral Recoveries 0.0 % 22.4 % 8.0 % Projected Collateral Scheduled Amortization 0.0 % 86.4 % 35.1 % 100.0 % Private label commercial mortgage-backed securities 12,392 Discounted Cash Flows Yield 12.0 % 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 % 99.0 % 93.1 % 100.0 % 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 $ 73.00 $ 108.00 $ 95.08 Collateralized loan obligations (2) 320 Discounted Cash Flows Yield 14.4 % 14.4 % 14.4 % Projected Collateral Prepayments 62.7 % 62.7 % 62.7 % Projected Collateral Losses 4.0 % 4.0 % 4.0 % Projected Collateral Recoveries 1.7 % 1.7 % 1.7 % Projected Collateral Scheduled Amortization 31.6 % 31.6 % 31.6 % 100.0 % Consumer loans and asset-backed securities backed by consumer loans (2) 22,950 Discounted Cash Flows Yield 0.0 % 12.0 % 9.1 % 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 loans and real estate owned 36,117 Discounted Cash Flows Yield 6.1 % 12.0 % 7.3 % Months to Resolution 4.1 79.1 24.6 (continued) Fair Value Valuation Technique Unobservable Input Range Weighted Average Description Min Max (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 % 25.0 % 100.0 % Non-exchange traded preferred equity investment in commercial mortgage-related private partnership 6,241 Discounted Cash Flows Yield 10.0 % 10.0 % 10.0 % Expected Holding Period (Months) 17 17 17 Agency interest only residential mortgage-backed securities 8,457 Option Adjusted Spread ("OAS") LIBOR OAS (3) (154 ) 1,796 359 Projected Collateral Prepayments 50.2 % 100.0 % 75.5 % Projected Collateral Scheduled Amortization 0.0 % 49.8 % 24.5 % 100.0 % 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) Conformed to current period presentation. (3) Shown in basis points. |
Fair Value Measurement Using Significant Unobservable Inputs | Level 3—Fair Value Measurement Using Significant Unobservable Inputs: The tables below include a roll-forward of the Company's financial instruments for the years ended December 31, 2015 , 2014 , and 2013 (including the change in fair value), for financial instruments classified by the Company within Level 3 of the valuation hierarchy. Level 3—Fair Value Measurement Using Significant Unobservable Inputs: Year Ended December 31, 2015 (In thousands) Ending Accreted Discounts / (Amortized Premiums) Net Realized Gain/ (Loss) Change in Net Unrealized Gain/(Loss) Purchases/ Payments Sales/ Issuances Transfers Into Level 3 Transfers Out of Level 3 Ending Balance as of December 31, 2015 Assets: Investments, at fair value- Agency residential mortgage-backed securities $ 31,385 $ (8,355 ) $ 223 $ 81 $ 6,977 $ (5,393 ) $ — $ — $ 24,918 Private label residential mortgage-backed securities 274,369 8,593 20,648 (16,429 ) 62,994 (191,902 ) 6,687 (48,525 ) 116,435 Private label commercial mortgage-backed securities 53,311 3,076 2,000 (4,183 ) 21,382 (41,441 ) — — 34,145 Commercial mortgage loans 28,309 1,895 1,114 (142 ) 69,778 (34,555 ) — — 66,399 Residential mortgage loans 27,482 1,363 2,372 (505 ) 19,555 (28,178 ) — — 22,089 Collateralized loan obligations 121,994 (21,110 ) 46 (4,033 ) 59,102 (110,025 ) — — 45,974 Consumer loans and asset-backed securities backed by consumer loans 24,294 (6,197 ) — 283 139,373 (42,377 ) — — 115,376 Corporate debt 42,708 60 (4,028 ) (6,882 ) 28,942 (33,772 ) — — 27,028 Real estate owned 8,635 — 1,168 381 14,155 (11,817 ) — — 12,522 Private corporate equity investments 14,512 — 116 (306 ) 8,347 (581 ) — — 22,088 Total investments, at fair value 626,999 (20,675 ) 23,659 (31,735 ) 430,605 (500,041 ) 6,687 (48,525 ) 486,974 Financial derivatives–assets, at fair value- Credit default swaps on asset-backed securities 11,387 — (2,964 ) 2,098 28 (4,217 ) — — 6,332 Total return swaps — — 113 85 — (113 ) — — 85 Warrants 100 — — — 50 — — — 150 Total financial derivatives– assets, at fair value 11,487 — (2,851 ) 2,183 78 (4,330 ) — — 6,567 Total investments and financial derivatives–assets, at fair value $ 638,486 $ (20,675 ) $ 20,808 $ (29,552 ) $ 430,683 $ (504,371 ) $ 6,687 $ (48,525 ) $ 493,541 Liabilities: Investments sold short, at fair value Corporate debt $ — $ (2 ) $ 197 $ 228 $ 1,372 $ (2,243 ) $ — $ — $ (448 ) Total investments sold short, at fair value — (2 ) 197 228 1,372 (2,243 ) — — (448 ) Financial derivatives–liabilities, at fair value- Credit default swaps on asset-backed securities (239 ) — (102 ) 35 — 85 — — (221 ) Total return swaps — — 2,516 (4,662 ) 14 (2,530 ) — — (4,662 ) Total financial derivatives– liabilities, at fair value (239 ) — 2,414 (4,627 ) 14 (2,445 ) — — (4,883 ) Securitized debt: Securitized debt (774 ) (15 ) — 26 763 — — — — Total securitized debt (774 ) (15 ) — 26 763 — — — — (In thousands) Ending Accreted Discounts / (Amortized Premiums) Net Realized Gain/ (Loss) Change in Net Unrealized Gain/(Loss) Purchases/ Payments Sales/ Issuances Transfers Into Level 3 Transfers Out of Level 3 Ending Balance as of December 31, 2015 (continued) Guarantees: Guarantees $ — $ — $ — $ (828 ) $ — $ — $ — $ — $ (828 ) Total guarantees — — — (828 ) — — — — (828 ) Total investments sold short, financial derivatives– liabilities, securitized debt, and guarantees, at fair value $ (1,013 ) $ (17 ) $ 2,611 $ (5,201 ) $ 2,149 $ (4,688 ) $ — $ — $ (6,159 ) 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, 2015 , as well as Level 3 financial instruments disposed of by the Company during the year ended December 31, 2015 . For Level 3 financial instruments held by the Company at December 31, 2015 , change in net unrealized gain (loss) of $(20.7) million , $7 thousand , $(4.6) million , and $(0.8) million , for the year ended December 31, 2015 relate to investments, financial derivatives–assets, financial derivatives–liabilities, and guarantees, respectively. For the year ended December 31, 2015 , the Company transferred $48.5 million of non-Agency RMBS from Level 3 to Level 2. These assets were transferred from Level 3 to Level 2 based on an increased volume of observed trading of these and similar assets. This increase in observed trading activity has led to greater price transparency for these assets, thereby making a Level 2 designation appropriate in the Company's view. However, changes in the volume of observable inputs for these assets, such as a decrease in the volume of observed trading, could impact price transparency, and thereby cause a change in the level designation for these assets in future periods. In addition, for the year ended December 31, 2015 , the Company transferred $6.7 million of non-Agency RMBS from Level 2 to Level 3. Since December 31, 2014, these securities have exhibited indications of a reduced level of price transparency. Examples of such indications include wider spreads relative to similar securities and a reduction in observable transactions involving these and similar securities. Changes in these indications could impact price transparency, and thereby cause a change in the level designation in future periods. Year Ended December 31, 2014 (In thousands) Ending Accreted Discounts / (Amortized Premiums) Net Realized Gain/ (Loss) Change in Net Unrealized Gain/(Loss) Purchases/ Payments Sales/ Issuances Transfers Into Level 3 Transfers Out of Level 3 Ending Balance as of December 31, 2014 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 Collateralized loan obligations (1) 38,069 (2,577 ) 342 (1,879 ) 118,607 (30,568 ) — — 121,994 Consumer loans and asset-backed securities backed by consumer loans (1) — (1,184 ) — (530 ) 29,402 (3,394 ) — — 24,294 Corporate debt — (70 ) — (877 ) 43,808 (153 ) — — 42,708 Real estate owned — — 172 (113 ) 11,247 (2,671 ) — — 8,635 (In thousands) Ending Accreted Discounts / (Amortized Premiums) Net Realized Gain/ (Loss) Change in Net Unrealized Gain/(Loss) Purchases/ Payments Sales/ Issuances Transfers Into Level 3 Transfers Out of Level 3 Ending Balance as of December 31, 2014 (continued) Private corporate equity 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 ) (1) Conformed to prior period presentation. 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) thousand for the year ended December 31, 2014 relate to investments, financial derivatives–assets, financial derivatives–liabilities, and securitized debt, respectively. For the year ended 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. Year Ended December 31, 2013 (In thousands) Ending Accreted Discounts / (Amortized Premiums) Net Realized Gain/ (Loss) Change in Net Unrealized Gain/(Loss) Purchases/ Payments Sales/ Issuances Transfers Into Level 3 Transfers Out of Level 3 Ending Balance as of December 31, 2013 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 12,643 425,864 (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 Collateralized loan obligations — (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. |
To Be Announced RMBS (Tables)
To Be Announced RMBS (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
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, 2015 and December 31, 2014: As of December 31, 2015 December 31, 2014 Assets: (In thousands) TBA securities, at fair value (Current principal: $94,602 and $71,598, respectively) $ 98,009 $ 72,410 Receivable for securities sold relating to unsettled TBA sales 613,023 1,205,779 Liabilities: TBA securities sold short, at fair value (Current principal: -$580,992 and -$1,135,218, respectively) $ (612,777 ) $ (1,209,539 ) Payable for securities purchased relating to unsettled TBA purchases (98,049 ) (71,832 ) Net short TBA securities, at fair value (514,768 ) (1,137,129 ) |
Financial Derivatives (Tables)
Financial Derivatives (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
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, 2015 , 2014, and 2013 are summarized in the tables below: Year Ended December 31, 2015 : Year Ended December 31, 2015 Derivative Type Primary Risk Exposure Net Realized Gain/(Loss) (1) Change in Net Unrealized Gain/(Loss) (2) (In thousands) Financial derivatives–assets Credit default swaps on asset-backed securities Credit $ (2,964 ) $ 2,098 Credit default swaps on asset-backed indices Credit (1,083 ) 442 Credit default swaps on corporate bond indices Credit 107 (763 ) Credit default swaps on corporate bonds Credit (6 ) 10 Total return swaps Equity Market/Credit 5,176 77 Interest rate swaps Interest Rates 42,724 (22,572 ) Futures Interest Rates/Equity Market 3,430 (181 ) Forwards Currency 11,790 254 Other Credit/ 10,492 734 69,666 (19,901 ) Financial derivatives–liabilities Credit default swaps on asset-backed securities Credit (102 ) 35 Credit default swaps on asset-backed indices Credit 369 (727 ) Credit default swaps on corporate bond indices Credit (8,166 ) 8,266 Credit default swaps on corporate bonds Credit (999 ) 684 Total return swaps Equity Market/Credit (3,338 ) (4,641 ) Interest rate swaps (3) Interest Rates (52,327 ) 24,555 Futures Interest Rates/Equity Market (2,722 ) (495 ) Forwards Currency (7,052 ) 123 Mortgage loan purchase commitments Interest Rates — (8 ) Other Credit/ (5,444 ) 889 (79,781 ) 28,681 Total $ (10,115 ) $ 8,780 (1) Includes foreign currency translation on derivatives in the amount of $0.2 million , for the year ended December 31, 2015, which is included on the Consolidated Statement of Operations in Realized gain (loss) on foreign currency transactions. (2) Includes foreign currency translation on derivatives in the amount of $(1.1) million , for the year ended December 31, 2015, which is included on the Consolidated Statement of Operations in Change in net unrealized gain (loss) on foreign currency translation. (3) Includes a $1.5 million reimbursement from a third party for the year ended December 31, 2015. Year Ended December 31, 2014 : Year Ended December 31, 2014 Derivative Type Primary Risk Exposure Net Realized Gain/(Loss) Change in Net Unrealized Gain/(Loss) (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/ Interest Rates 1,147 (928 ) 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 ) (37,309 ) (17,610 ) Total $ (11,211 ) $ (8,272 ) Year Ended December 31, 2013: Year Ended December 31, 2013 Derivative Type Primary Risk Exposure Net Realized Gain/(Loss) Change in Net Unrealized Gain/(Loss) (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 ) (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 |
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, 2015 and 2014: Derivative Type Year Ended December 31, 2015 Year Ended December 31, 2014 (In thousands) Interest rate swaps $ 2,463,892 $ 2,227,315 Credit default swaps 1,080,772 552,411 Total return swaps 112,641 55,108 Futures 880,682 738,830 Options 865,600 926,369 Forwards 107,448 42,143 Warrants 1,554 120 Mortgage loan purchase commitments 2,093 — |
Schedule of Credit Derivatives | Written credit derivatives held by the Company at December 31, 2015 and 2014, are summarized below: Credit Derivatives Amount at December 31, 2015 Amount at (In thousands) Fair Value of Written Credit Derivatives, Net $ 135,443 $ 27,741 Fair Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) $ (369 ) $ (3,287 ) Notional Amount of Written Credit Derivatives (2) $ (799,750 ) $ (341,014 ) Notional Amount of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) $ 17,322 $ 54,874 (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 Repu34
Borrowings under Reverse Repurchase Agreements (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
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 for Agency RMBS and Credit assets, which include non-Agency MBS, CLOs, consumer loans, corporate debt, and U.S. Treasury securities, by remaining maturity as of December 31, 2015 and 2014: (In thousands) December 31, 2015 December 31, 2014 Weighted Average Weighted Average Remaining Maturity Outstanding Borrowings Interest Rate Remaining Days to Maturity Outstanding Borrowings Interest Rate Remaining Days to Maturity Agency RMBS: 30 Days or Less $ 295,277 0.54 % 14 $ 537,624 0.34 % 16 31-60 Days 203,144 0.54 % 44 276,002 0.34 % 44 61-90 Days 239,431 0.68 % 74 251,715 0.38 % 72 91-120 Days 193,962 0.56 % 106 — — % — 151-180 Days 1,506 1.57 % 175 48,161 0.44 % 164 181-360 Days — — % — 32,319 0.47 % 317 Total Agency RMBS 933,320 0.58 % 56 1,145,821 0.35 % 50 Credit: 30 Days or Less 14,674 1.94 % 17 53,939 1.94 % 22 31-60 Days 26,419 1.87 % 39 46,872 1.59 % 43 61-90 Days 82,292 2.46 % 67 37,561 1.47 % 65 121-150 Days — — % — 21,236 2.03 % 139 151-180 Days 24,193 2.62 % 164 75,323 1.77 % 160 181-360 Days 23,877 2.80 % 346 15,449 1.65 % 181 >360 Days 69,414 2.51 % 666 149,601 2.41 % 631 Total Credit Assets 240,869 2.47 % 272 399,981 2.02 % 295 U.S. Treasury Securities: 30 Days or Less — — % — 123,631 (1.01 )% 2 Total U.S. Treasury Securities — — % — 123,631 (1.01 )% 2 Total $ 1,174,189 0.97 % 100 $ 1,669,433 0.65 % 105 |
Long-Term Incentive Plan Units
Long-Term Incentive Plan Units (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
Unvested LTIP Units | The below table details on the Company's unvested LTIP units: Grant Recipient Number of LTIP units Granted Grant Date Vesting Date (1) Independent directors: 7,425 September 15, 2015 September 14, 2016 Partially dedicated employees: 7,822 December 15, 2015 December 15, 2016 689 December 15, 2015 December 31, 2016 5,949 December 15, 2015 December 15, 2017 686 December 15, 2015 December 31, 2017 6,247 December 11, 2014 December 11, 2016 Total unvested LTIP units at December 31, 2015 28,818 (1) Date at which such LTIP units will vest and become non-forfeitable. |
Roll-Forward of Company's LTIP Units Outstanding | The following table summarizes issuance and exercise activity of the Company's LTIP units for the years ended December 31, 2015 , 2014, and 2013: Year Ended December 31, 2015 Year Ended Year Ended Manager Director/ Employee Total Manager Director/ Employee Total Manager Director/ Employee Total 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 Granted — 22,571 22,571 — 20,084 20,084 — 15,738 15,738 Exercised — (1,947 ) (1,947 ) — (1,822 ) (1,822 ) — (1,782 ) (1,782 ) LTIP Units Outstanding (12/31/2015, 12/31/2014, and 12/31/2013, respectively) 375,000 74,938 449,938 375,000 54,314 429,314 375,000 36,052 411,052 LTIP Units Vested and Outstanding (12/31/2015, 12/31/2014, and 12/31/2013, respectively) 375,000 46,120 421,120 375,000 29,859 404,859 375,000 20,314 395,314 |
Common Share Capitalization (Ta
Common Share Capitalization (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Stockholders' Equity Note [Abstract] | |
Summary of Common Shares Outstanding | The following table summarizes issuance, repurchase and other activity with respect to the Company's common shares for the years ended December 31, 2015 , 2014, and 2013: Year Ended December 31, 2015 Year Ended December 31, 2014 Year Ended December 31, 2013 Common Shares Outstanding (12/31/2014, 12/31/2013, and 12/31/2012, respectively) 33,449,678 25,428,186 20,370,469 Share Activity: Shares issued — 8,000,000 5,000,000 Shares repurchased (325,613 ) — — Shares issued in connection with incentive fee payment — 19,670 55,935 Director LTIP units exercised 1,947 1,822 1,782 Common Shares Outstanding (12/31/2015, 12/13/2014, and 12/31/2013, respectively) 33,126,012 33,449,678 25,428,186 |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
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, 2015 2014 2013 (In thousands except share amounts) Net increase in shareholders' equity resulting from operations $ 38,089 $ 59,167 $ 78,524 Add: Net increase in equity resulting from operations attributable to the participating non-controlling interest (1) 239 472 735 Net increase in equity resulting from operations related to common shares, LTIP unit holders, and participating non-controlling interest 38,328 59,639 79,259 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 37,604 58,306 77,219 Net increase in shareholders' equity resulting from operations– LTIP units 485 861 1,305 Dividends Paid (2) : Common shareholders (81,886 ) (84,527 ) (89,732 ) LTIP unit holders (1,054 ) (1,269 ) (1,524 ) Non-controlling interest (520 ) (653 ) (811 ) Total dividends paid to common shareholders, LTIP unit holders, and non-controlling interest (83,460 ) (86,449 ) (92,067 ) Undistributed (Distributed in excess of) earnings: Common shareholders (44,282 ) (26,221 ) (12,513 ) LTIP unit holders (569 ) (408 ) (219 ) Non-controlling interest (281 ) (181 ) (76 ) Total undistributed (distributed in excess of) earnings attributable to common shareholders, LTIP unit holders, and non-controlling interest $ (45,132 ) $ (26,810 ) $ (12,808 ) Weighted average shares outstanding (basic and diluted): Weighted average common shares outstanding 33,422,053 27,962,304 23,587,692 Weighted average participating LTIP units 431,640 413,105 398,789 Weighted average non-controlling interest units 212,000 212,000 212,000 Basic earnings per common share: Distributed $ 2.45 $ 3.08 $ 3.83 Undistributed (Distributed in excess of) (1.32 ) (0.99 ) (0.55 ) $ 1.13 $ 2.09 $ 3.28 Diluted earnings per common share: Distributed $ 2.45 $ 3.08 $ 3.83 Undistributed (Distributed in excess of) (1.32 ) (0.99 ) (0.55 ) $ 1.13 $ 2.09 $ 3.28 (1) For the years ended December 31, 2015 , 2014, and 2013, excludes net increase in equity resulting from operations of $0.1 million , $0.3 million , and $0.1 million , respectively attributable to joint venture partners, which have 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, 2015 | |
Risks and Uncertainties [Abstract] | |
% 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, 2015 : Dealer % of Total Due from Brokers J.P. Morgan Securities Inc. 46% |
% 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, 2015 : Dealer % of Total Receivable for Securities Sold CS First Boston 32% Bank of America Securities 19% |
Schedule of Cash and Cash Equivalents [Table Text Block] | In addition, the Company held cash and cash equivalents of $183.9 million and $114.1 million as of December 31, 2015 and 2014, respectively. The below table details the concentration of cash and cash equivalents held by each counterparty: As of Counterparty December 31, 2015 December 31, 2014 BlackRock Liquidity TempFund 54% 88% J.P. Morgan US Dollar Liquidity Fund 27% —% Bank of New York Mellon Corporation 13% 11% J.P. Morgan US Treasury Plus Premier Fund 6% —% Other —% 1% |
Restricted cash (Tables)
Restricted cash (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Restricted Cash and Investments [Abstract] | |
Schedule of Restricted Cash and Cash Equivalents [Table Text Block] | The below table details the Company's restricted cash balances included in Restricted cash on the Consolidated Statement of Assets, Liabilities, and Equity as of December 31, 2015. No restricted cash was held at December 31, 2014: December 31, 2015 (In thousands) Restricted cash balance related to: Warehouse facility $ 427 Letter of credit 230 Flow consumer loan purchase and sale agreement 3,700 Minimum account balance required for regulatory purposes $ 500 Total $ 4,857 |
Offsetting of Assets and Liab40
Offsetting of Assets and Liabilities (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
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, 2015 and 2014. 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, 2015 : 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 $ 162,905 $ (18,644 ) $ — $ (105,202 ) $ 39,059 Repurchase agreements 105,700 (105,700 ) — — — Liabilities Financial derivatives–liabilities (60,472 ) 18,644 — 41,699 (129 ) Reverse repurchase agreements (1,174,189 ) 105,700 1,042,947 25,542 — 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 — (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, 2015 and 2014 were $1.36 billion and $1.94 billion , respectively. As of December 31, 2015 and 2014, total cash collateral on financial derivative assets excludes excess net cash collateral pledged of $4.1 million and $22.7 million , respectively. As of December 31, 2015 and 2014, total cash collateral on financial derivative liabilities excludes excess cash collateral pledged of $45.8 million and $23.2 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, 2015 | |
Financial Highlights [Abstract] | |
Results of Operations For a Share Outstanding | Results of Operations for a Share Outstanding Throughout the Periods: Year Ended December 31, 2015 Year Ended December 31, 2014 Year Ended December 31, 2013 Beginning Shareholders' Equity Per Share (12/31/2014, 12/31/2013, and 12/31/2012, respectively) $ 23.38 $ 24.40 $ 24.86 Net Investment Income 1.98 2.10 2.11 Net Realized/Unrealized Gains (Losses) (0.83 ) 0.04 1.26 Results of Operations Attributable to Equity 1.15 2.14 3.37 Less: Results of Operations Attributable to Non-controlling Interests (0.01 ) (0.03 ) (0.04 ) Results of Operations Attributable to Shareholders' Equity (1) 1.14 2.11 3.33 Dividends Paid to Common Shareholders (2.45 ) (3.08 ) (3.83 ) Weighted Average Share Impact on Dividends Paid (2) (0.05 ) (0.01 ) (0.08 ) Accretive (Dilutive) Effect of Share Issuances (Net of Offering Costs), Share Repurchases, and Adjustments to Non-controlling Interest 0.08 (0.04 ) 0.12 Ending Shareholders' Equity Per Share (12/31/2015, 12/31/2014, and 12/31/2013, respectively) (3) $ 22.10 $ 23.38 $ 24.40 Shares Outstanding, end of period 33,126,012 33,449,678 25,428,186 (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, 2015 , 2014, and 2013, shareholders' equity per share would be $21.80, $23.09, and $23.99, respectively. |
Net Asset Value Based Total Return For a Shareholder | The following table illustrates the Company's total return for the periods presented based on net asset value: Net Asset Value Based Total Return for a Shareholder: (1) Year Ended December 31, 2015 Year Ended December 31, 2014 Year Ended December 31, 2013 Total Return 5.14% 8.77% 14.19% (1) Total return is calculated assuming reinvestment of distributions at shareholders' equity per share during the period. |
Net Investment Income Ratio to Average Equity | Net Investment Income Ratio to Average Equity: (1) Year Ended December 31, 2015 Year Ended December 31, 2014 Year Ended December 31, 2013 Net Investment Income (2) 8.59% 8.62% 8.40% (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 December 31, 2015 Year Ended December 31, 2014 Year Ended December 31, 2013 Operating expenses, before interest expense and other investment related expenses (2.69)% (2.80)% (2.74)% Incentive fee —% (0.21)% (1.42)% Interest expense and other investment related expenses (2.30)% (2.14)% (1.95)% Total Expenses (4.99)% (5.15)% (6.11)% (1) Average equity is calculated using month end values. |
Condensed Quarterly Financial42
Condensed Quarterly Financial Data (Unaudited) (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
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, 2015 and 2014. Three Month Period Ended March 31, 2015 June 30, 2015 September 30, 2015 December 31, 2015 (In thousands except per share amounts) INVESTMENT INCOME Interest income $ 26,513 $ 25,739 $ 26,440 $ 23,091 Other income 293 1,023 565 932 Total investment income 26,806 26,762 27,005 24,023 EXPENSES Base management fee 2,952 2,920 2,849 2,772 Interest expense 2,986 2,867 3,073 3,186 Other investment related expenses 1,202 1,163 1,473 1,774 Other operating expenses 2,199 2,082 2,087 2,835 Total expenses 9,339 9,032 9,482 10,567 NET INVESTMENT INCOME 17,467 17,730 17,523 13,456 NET REALIZED AND CHANGE IN NET UNREALIZED GAIN (LOSS) ON INVESTMENTS, FINANCIAL DERIVATIVES, AND FOREIGN CURRENCY TRANSACTIONS/TRANSLATION Net realized gain (loss) on investments, financial derivatives, and foreign currency transactions 10,429 761 8,280 1,483 Change in net unrealized gain (loss) on investments, financial derivatives, and foreign currency translation (8,479 ) (5,268 ) (21,876 ) (13,077 ) NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FINANCIAL DERIVATIVES, AND FOREIGN CURRENCY 1,950 (4,507 ) (13,596 ) (11,594 ) NET INCREASE IN EQUITY RESULTING FROM OPERATIONS 19,417 13,223 3,927 1,862 LESS: NET INCREASE IN EQUITY RESULTING FROM OPERATIONS ATTRIBUTABLE TO NON-CONTROLLING INTERESTS 156 71 31 82 NET INCREASE IN SHAREHOLDERS' EQUITY RESULTING FROM OPERATIONS $ 19,261 $ 13,152 $ 3,896 $ 1,780 NET INCREASE IN SHAREHOLDERS' EQUITY RESULTING FROM OPERATIONS PER SHARE: Basic and Diluted $ 0.57 $ 0.39 $ 0.12 $ 0.05 Three Month Period Ended March 31, 2014 June 30, 2014 September 30, 2014 December 31, 2014 (In thousands except per share amounts) INVESTMENT INCOME Interest income $ 21,496 $ 20,996 $ 22,353 $ 28,688 Other 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 CHANGE IN NET UNREALIZED GAIN (LOSS) ON INVESTMENTS, FINANCIAL DERIVATIVES, AND FOREIGN CURRENCY TRANSACTIONS/TRANSLATION 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 (1) $ 0.88 $ 0.81 $ 0.46 $ 0.08 (1) 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. |
Organization and Investment O43
Organization and Investment Objective Narrative (Details) | Dec. 31, 2015 |
Parent [Member] | |
Organization, Consolidation and Presentation of Financial Statements [Line Items] | |
Ownership Percentage | 99.40% |
Significant Accounting Polici44
Significant Accounting Policies (Details) | 12 Months Ended |
Dec. 31, 2015 | |
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 |
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, 2015 | Dec. 31, 2014 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | [1] | $ 162,905,000 | $ 80,029,000 | |
Fair value repurchase agreements | [1] | 105,700,000 | 172,001,000 | |
Investments sold short, at fair value- | (728,747,000) | (1,291,370,000) | ||
Financial derivatives–liabilities, at fair value- | [1] | (60,472,000) | (66,116,000) | |
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 | |||
Fair Value, Measurements, Recurring [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total investments and financial derivatives–assets, at fair value and repurchase agreements | 1,929,723,000 | 2,424,112,000 | ||
Total investments sold short, financial derivatives–liabilities, securitized debt, and guarantees, at fair value | (790,047,000) | (1,358,260,000) | ||
Fair Value, Transfers between Level 1 and Level 2 | 0 | 0 | ||
Fair Value, Measurements, Recurring [Member] | Investments Sold Short [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments sold short, at fair value- | (728,747,000) | (1,291,370,000) | ||
Fair Value, Measurements, Recurring [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- | (612,777,000) | (1,209,539,000) | ||
Fair Value, Measurements, Recurring [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- | (114,051,000) | (55,315,000) | ||
Fair Value, Measurements, Recurring [Member] | Investments Sold Short [Member] | Corporate Debt Sold Short [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments sold short, at fair value- | (448,000) | |||
Fair Value, Measurements, Recurring [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- | (1,471,000) | (26,516,000) | ||
Fair Value, Measurements, Recurring [Member] | Financial Derivatives - Liabilities [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | (60,472,000) | (66,116,000) | ||
Fair Value, Measurements, Recurring [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- | (221,000) | (239,000) | ||
Fair Value, Measurements, Recurring [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- | (47,298,000) | (28,588,000) | ||
Fair Value, Measurements, Recurring [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- | (683,000) | (2,953,000) | ||
Fair Value, Measurements, Recurring [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- | (365,000) | (4,410,000) | ||
Fair Value, Measurements, Recurring [Member] | Financial Derivatives - Liabilities [Member] | Interest Rate Swaps [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | (4,934,000) | (29,405,000) | ||
Fair Value, Measurements, Recurring [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- | (4,662,000) | (21,000) | ||
Fair Value, Measurements, Recurring [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- | (1,604,000) | (146,000) | ||
Fair Value, Measurements, Recurring [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- | (156,000) | (137,000) | ||
Fair Value, Measurements, Recurring [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- | (528,000) | (81,000) | ||
Fair Value, Measurements, Recurring [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- | (13,000) | (136,000) | ||
Fair Value, Measurements, Recurring [Member] | Financial Derivatives - Liabilities [Member] | Mortgage Loan Purchase Commitments [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | (8,000) | |||
Fair Value, Measurements, Recurring [Member] | Securitized Debt [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securitized debt | [2] | (774,000) | ||
Fair Value, Measurements, Recurring [Member] | Guarantees [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Guarantees, Fair Value Disclosure | [3] | (828,000) | ||
Fair Value, Measurements, Recurring [Member] | Cash Equivalents [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Cash Equivalents | 160,000,000 | 100,000,000 | [4] | |
Fair Value, Measurements, Recurring [Member] | Investments [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 1,661,118,000 | 2,172,082,000 | ||
Fair Value, Measurements, Recurring [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- | 1,060,580,000 | 1,290,084,000 | ||
Fair Value, Measurements, Recurring [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 | |||
Fair Value, Measurements, Recurring [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- | 254,917,000 | 559,117,000 | ||
Fair Value, Measurements, Recurring [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- | 34,145,000 | 53,311,000 | ||
Fair Value, Measurements, Recurring [Member] | Investments [Member] | Commercial Mortgage Loans [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 66,399,000 | 28,309,000 | ||
Fair Value, Measurements, Recurring [Member] | Investments [Member] | Residential Mortgage Loans [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 22,089,000 | 27,482,000 | ||
Fair Value, Measurements, Recurring [Member] | Investments [Member] | Collateralized Loan Obligations [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 45,974,000 | 121,994,000 | [4] | |
Fair Value, Measurements, Recurring [Member] | Investments [Member] | Consumer loans and asset-backed securities backed by consumer loans [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 115,376,000 | 24,294,000 | [4] | |
Fair Value, Measurements, Recurring [Member] | Investments [Member] | Corporate Debt [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 27,028,000 | 42,708,000 | ||
Fair Value, Measurements, Recurring [Member] | Investments [Member] | Real Estate Owned [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 12,522,000 | 8,635,000 | ||
Fair Value, Measurements, Recurring [Member] | Investments [Member] | Private Corporate Equity Investments [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 22,088,000 | 14,512,000 | ||
Fair Value, Measurements, Recurring [Member] | Financial Derivatives - Assets [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 162,905,000 | 80,029,000 | ||
Fair Value, Measurements, Recurring [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- | 6,332,000 | 11,387,000 | ||
Fair Value, Measurements, Recurring [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- | 137,643,000 | 35,865,000 | ||
Fair Value, Measurements, Recurring [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Bonds [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 10,000 | |||
Fair Value, Measurements, Recurring [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- | 5,410,000 | 1,881,000 | ||
Fair Value, Measurements, Recurring [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- | 9,943,000 | 28,654,000 | ||
Fair Value, Measurements, Recurring [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- | 85,000 | 8,000 | ||
Fair Value, Measurements, Recurring [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- | 2,162,000 | 645,000 | ||
Fair Value, Measurements, Recurring [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 | |||
Fair Value, Measurements, Recurring [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- | 32,000 | 261,000 | ||
Fair Value, Measurements, Recurring [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- | 1,138,000 | 884,000 | ||
Fair Value, Measurements, Recurring [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- | 150,000 | 100,000 | ||
Fair Value, Measurements, Recurring [Member] | Repurchase Agreements [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair value repurchase agreements | 105,700,000 | 172,001,000 | ||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total investments and financial derivatives–assets, at fair value and repurchase agreements | 144,000 | 261,000 | ||
Total investments sold short, financial derivatives–liabilities, securitized debt, and guarantees, at fair value | (1,999,000) | (26,597,000) | ||
Fair Value, Measurements, Recurring [Member] | 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- | (1,471,000) | (26,516,000) | ||
Fair Value, Measurements, Recurring [Member] | 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 | ||
Fair Value, Measurements, Recurring [Member] | 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 | ||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Investments Sold Short [Member] | Corporate Debt Sold Short [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments sold short, at fair value- | 0 | |||
Fair Value, Measurements, Recurring [Member] | 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- | (1,471,000) | (26,516,000) | ||
Fair Value, Measurements, Recurring [Member] | 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- | (528,000) | (81,000) | ||
Fair Value, Measurements, Recurring [Member] | 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 | ||
Fair Value, Measurements, Recurring [Member] | 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 | ||
Fair Value, Measurements, Recurring [Member] | 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 | 0 | ||
Fair Value, Measurements, Recurring [Member] | 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 | ||
Fair Value, Measurements, Recurring [Member] | 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 | ||
Fair Value, Measurements, Recurring [Member] | 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 | ||
Fair Value, Measurements, Recurring [Member] | 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 | ||
Fair Value, Measurements, Recurring [Member] | 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 | 0 | ||
Fair Value, Measurements, Recurring [Member] | 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- | (528,000) | (81,000) | ||
Fair Value, Measurements, Recurring [Member] | 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 | ||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Financial Derivatives - Liabilities [Member] | Mortgage Loan Purchase Commitments [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | 0 | |||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Securitized Debt [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securitized debt | [2] | 0 | ||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Guarantees [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Guarantees, Fair Value Disclosure | [3] | 0 | ||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Cash Equivalents [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Cash Equivalents | 160,000,000 | 100,000,000 | [4] | |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Investments [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 0 | 0 | ||
Fair Value, Measurements, Recurring [Member] | 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 | ||
Fair Value, Measurements, Recurring [Member] | 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 | |||
Fair Value, Measurements, Recurring [Member] | 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 | ||
Fair Value, Measurements, Recurring [Member] | 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 | ||
Fair Value, Measurements, Recurring [Member] | 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 | ||
Fair Value, Measurements, Recurring [Member] | 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 | ||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Investments [Member] | Collateralized Loan Obligations [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 0 | 0 | [4] | |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Investments [Member] | Consumer loans and asset-backed securities backed by consumer loans [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 0 | 0 | [4] | |
Fair Value, Measurements, Recurring [Member] | 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 | 0 | ||
Fair Value, Measurements, Recurring [Member] | 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 | 0 | ||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Investments [Member] | Private Corporate Equity Investments [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 0 | 0 | ||
Fair Value, Measurements, Recurring [Member] | 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- | 144,000 | 261,000 | ||
Fair Value, Measurements, Recurring [Member] | 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 | ||
Fair Value, Measurements, Recurring [Member] | 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 | ||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Bonds [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 0 | |||
Fair Value, Measurements, Recurring [Member] | 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 | ||
Fair Value, Measurements, Recurring [Member] | 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 | ||
Fair Value, Measurements, Recurring [Member] | 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 | ||
Fair Value, Measurements, Recurring [Member] | 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- | 112,000 | 0 | ||
Fair Value, Measurements, Recurring [Member] | 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 | |||
Fair Value, Measurements, Recurring [Member] | 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- | 32,000 | 261,000 | ||
Fair Value, Measurements, Recurring [Member] | 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 | 0 | ||
Fair Value, Measurements, Recurring [Member] | 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 | 0 | ||
Fair Value, Measurements, Recurring [Member] | 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 | ||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total investments and financial derivatives–assets, at fair value and repurchase agreements | 1,436,038,000 | 1,785,365,000 | ||
Total investments sold short, financial derivatives–liabilities, securitized debt, and guarantees, at fair value | (781,889,000) | (1,330,650,000) | ||
Fair Value, Measurements, Recurring [Member] | 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- | (726,828,000) | (1,264,854,000) | ||
Fair Value, Measurements, Recurring [Member] | 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- | (612,777,000) | (1,209,539,000) | ||
Fair Value, Measurements, Recurring [Member] | 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- | (114,051,000) | (55,315,000) | ||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Investments Sold Short [Member] | Corporate Debt Sold Short [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments sold short, at fair value- | 0 | |||
Fair Value, Measurements, Recurring [Member] | 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 | ||
Fair Value, Measurements, Recurring [Member] | 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- | (55,061,000) | (65,796,000) | ||
Fair Value, Measurements, Recurring [Member] | 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 | ||
Fair Value, Measurements, Recurring [Member] | 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- | (47,298,000) | (28,588,000) | ||
Fair Value, Measurements, Recurring [Member] | 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- | (683,000) | (2,953,000) | ||
Fair Value, Measurements, Recurring [Member] | 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- | (365,000) | (4,410,000) | ||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Financial Derivatives - Liabilities [Member] | Interest Rate Swaps [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | (4,934,000) | (29,405,000) | ||
Fair Value, Measurements, Recurring [Member] | 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- | 0 | (21,000) | ||
Fair Value, Measurements, Recurring [Member] | 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- | (1,604,000) | (146,000) | ||
Fair Value, Measurements, Recurring [Member] | 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- | (156,000) | (137,000) | ||
Fair Value, Measurements, Recurring [Member] | 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 | ||
Fair Value, Measurements, Recurring [Member] | 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- | (13,000) | (136,000) | ||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Financial Derivatives - Liabilities [Member] | Mortgage Loan Purchase Commitments [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | (8,000) | |||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Securitized Debt [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securitized debt | [2] | 0 | ||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Guarantees [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Guarantees, Fair Value Disclosure | [3] | 0 | ||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Cash Equivalents [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Cash Equivalents | 0 | 0 | [4] | |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Investments [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 1,174,144,000 | 1,545,083,000 | ||
Fair Value, Measurements, Recurring [Member] | 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- | 1,035,662,000 | 1,258,699,000 | ||
Fair Value, Measurements, Recurring [Member] | 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 | |||
Fair Value, Measurements, Recurring [Member] | 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- | 138,482,000 | 284,748,000 | ||
Fair Value, Measurements, Recurring [Member] | 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 | ||
Fair Value, Measurements, Recurring [Member] | 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 | ||
Fair Value, Measurements, Recurring [Member] | 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 | ||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Investments [Member] | Collateralized Loan Obligations [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 0 | 0 | [4] | |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Investments [Member] | Consumer loans and asset-backed securities backed by consumer loans [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 0 | 0 | [4] | |
Fair Value, Measurements, Recurring [Member] | 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 | 0 | ||
Fair Value, Measurements, Recurring [Member] | 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 | 0 | ||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Investments [Member] | Private Corporate Equity Investments [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 0 | 0 | ||
Fair Value, Measurements, Recurring [Member] | 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- | 156,194,000 | 68,281,000 | ||
Fair Value, Measurements, Recurring [Member] | 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 | ||
Fair Value, Measurements, Recurring [Member] | 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- | 137,643,000 | 35,865,000 | ||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Bonds [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 10,000 | |||
Fair Value, Measurements, Recurring [Member] | 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- | 5,410,000 | 1,881,000 | ||
Fair Value, Measurements, Recurring [Member] | 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- | 9,943,000 | 28,654,000 | ||
Fair Value, Measurements, Recurring [Member] | 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- | 0 | 8,000 | ||
Fair Value, Measurements, Recurring [Member] | 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- | 2,050,000 | 645,000 | ||
Fair Value, Measurements, Recurring [Member] | 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 | |||
Fair Value, Measurements, Recurring [Member] | 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 | 0 | ||
Fair Value, Measurements, Recurring [Member] | 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- | 1,138,000 | 884,000 | ||
Fair Value, Measurements, Recurring [Member] | 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 | 0 | ||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Repurchase Agreements [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair value repurchase agreements | 105,700,000 | 172,001,000 | ||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total investments and financial derivatives–assets, at fair value and repurchase agreements | 493,541,000 | 638,486,000 | ||
Total investments sold short, financial derivatives–liabilities, securitized debt, and guarantees, at fair value | (6,159,000) | (1,013,000) | ||
Fair Value, Measurements, Recurring [Member] | 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- | (448,000) | 0 | ||
Fair Value, Measurements, Recurring [Member] | 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 | ||
Fair Value, Measurements, Recurring [Member] | 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 | ||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Investments Sold Short [Member] | Corporate Debt Sold Short [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments sold short, at fair value- | (448,000) | |||
Fair Value, Measurements, Recurring [Member] | 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 | ||
Fair Value, Measurements, Recurring [Member] | 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- | (4,883,000) | (239,000) | ||
Fair Value, Measurements, Recurring [Member] | 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- | (221,000) | (239,000) | ||
Fair Value, Measurements, Recurring [Member] | 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 | ||
Fair Value, Measurements, Recurring [Member] | 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 | 0 | ||
Fair Value, Measurements, Recurring [Member] | 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 | ||
Fair Value, Measurements, Recurring [Member] | 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 | ||
Fair Value, Measurements, Recurring [Member] | 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- | (4,662,000) | 0 | ||
Fair Value, Measurements, Recurring [Member] | 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 | ||
Fair Value, Measurements, Recurring [Member] | 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 | 0 | ||
Fair Value, Measurements, Recurring [Member] | 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 | ||
Fair Value, Measurements, Recurring [Member] | 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 | ||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Financial Derivatives - Liabilities [Member] | Mortgage Loan Purchase Commitments [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–liabilities, at fair value- | 0 | |||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Securitized Debt [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securitized debt | [2] | (774,000) | ||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Guarantees [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Guarantees, Fair Value Disclosure | [3] | (828,000) | ||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Cash Equivalents [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Cash Equivalents | 0 | 0 | [4] | |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Investments [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 486,974,000 | 626,999,000 | ||
Fair Value, Measurements, Recurring [Member] | 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- | 24,918,000 | 31,385,000 | ||
Fair Value, Measurements, Recurring [Member] | 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 | |||
Fair Value, Measurements, Recurring [Member] | 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- | 116,435,000 | 274,369,000 | ||
Fair Value, Measurements, Recurring [Member] | 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- | 34,145,000 | 53,311,000 | ||
Fair Value, Measurements, Recurring [Member] | 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- | 66,399,000 | 28,309,000 | ||
Fair Value, Measurements, Recurring [Member] | 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- | 22,089,000 | 27,482,000 | ||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Investments [Member] | Collateralized Loan Obligations [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 45,974,000 | 121,994,000 | [4] | |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Investments [Member] | Consumer loans and asset-backed securities backed by consumer loans [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 115,376,000 | 24,294,000 | [4] | |
Fair Value, Measurements, Recurring [Member] | 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- | 27,028,000 | 42,708,000 | ||
Fair Value, Measurements, Recurring [Member] | 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- | 12,522,000 | 8,635,000 | ||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Investments [Member] | Private Corporate Equity Investments [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investments, at fair value- | 22,088,000 | 14,512,000 | ||
Fair Value, Measurements, Recurring [Member] | 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- | 6,567,000 | 11,487,000 | ||
Fair Value, Measurements, Recurring [Member] | 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- | 6,332,000 | 11,387,000 | ||
Fair Value, Measurements, Recurring [Member] | 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 | ||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Bonds [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Financial derivatives–assets, at fair value- | 0 | |||
Fair Value, Measurements, Recurring [Member] | 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 | ||
Fair Value, Measurements, Recurring [Member] | 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 | ||
Fair Value, Measurements, Recurring [Member] | 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- | 85,000 | 0 | ||
Fair Value, Measurements, Recurring [Member] | 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 | ||
Fair Value, Measurements, Recurring [Member] | 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 | |||
Fair Value, Measurements, Recurring [Member] | 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 | 0 | ||
Fair Value, Measurements, Recurring [Member] | 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 | 0 | ||
Fair Value, Measurements, Recurring [Member] | 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- | 150,000 | 100,000 | ||
Fair Value, Measurements, Recurring [Member] | 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 | ||
[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 $2.2 million as of December 31, 2014, which is included on the Consolidated Schedule of Investments under Principal and Interest – Private Label Securities Mortgage-related—Residential. | |||
[3] | Included in Other liabilities on the Consolidated Statement of Assets, Liabilities, and Equity. | |||
[4] | Conformed to current period presentation. |
Valuation (Schedule Of Signific
Valuation (Schedule Of Significant Unobservable Inputs, Qualitative Information) (Details) | 12 Months Ended | ||||
Dec. 31, 2015USD ($) | Dec. 31, 2014USD ($) | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Securitized debt | $ 0 | $ 774,000 | |||
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 | [1] | $ 201,373,000 | |||
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] | 1.83 | |||
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 | [1] | 119.58 | |||
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 | [1] | 73.58 | |||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Asset-backed Securities backed by consumer loans [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Fair value | [2] | $ 1,344,000 | |||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Asset-backed Securities backed by consumer loans [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Non Binding Third-Party Valuation | [2] | 100 | |||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Asset-backed Securities backed by consumer loans [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Non Binding Third-Party Valuation | [2] | 100 | |||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Asset-backed Securities backed by consumer loans [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Non Binding Third-Party Valuation | [2] | 100 | |||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Corporate Debt and non-exchange traded corporate equity [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Fair value | $ 18,972,000 | ||||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Corporate Debt and non-exchange traded corporate equity [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Non Binding Third-Party Valuation | 3 | ||||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Corporate Debt and non-exchange traded corporate equity [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Non Binding Third-Party Valuation | 200 | ||||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Corporate Debt and non-exchange traded corporate equity [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Non Binding Third-Party Valuation | 77.85 | ||||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Private Label Residential Mortgage Backed Securities [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Fair value | $ 89,549,000 | ||||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Private Label Residential Mortgage Backed Securities [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Non Binding Third-Party Valuation | 1.81 | ||||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Private Label Residential Mortgage Backed Securities [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Non Binding Third-Party Valuation | 151.86 | ||||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Private Label Residential Mortgage Backed Securities [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Non Binding Third-Party Valuation | 68.47 | ||||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Collateralized Loan Obligations [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Fair value | $ 41,978,000 | $ 121,674,000 | [2] | ||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Collateralized Loan Obligations [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Non Binding Third-Party Valuation | 13 | 21.50 | [2] | ||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Collateralized Loan Obligations [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Non Binding Third-Party Valuation | 102 | 137 | [2] | ||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Collateralized Loan Obligations [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Non Binding Third-Party Valuation | 84.84 | 94.85 | [2] | ||
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 | $ 20,365,000 | $ 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 | 6.07 | 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 | 73.20 | 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 | 41.28 | 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 | $ 21,067,000 | $ 22,928,000 | |||
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 | 2.97 | 3.62 | |||
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 | 22.41 | 24.86 | |||
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 | 11.08 | 11.38 | |||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Consumer loans and asset-backed securities backed by consumer loans [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Fair value | $ 115,376,000 | $ 22,950,000 | [2] | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Consumer loans and asset-backed securities backed by consumer loans [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield | 9.00% | 0.00% | [2] | ||
Projected Collateral Prepayments | 0.00% | ||||
Fair Value Inputs Losses | 1.00% | ||||
Fair Value Inputs Projected Collateral Scheduled Amortization | 57.30% | ||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Consumer loans and asset-backed securities backed by consumer loans [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield | 15.00% | 12.00% | [2] | ||
Projected Collateral Prepayments | 40.90% | ||||
Fair Value Inputs Losses | 33.80% | ||||
Fair Value Inputs Projected Collateral Scheduled Amortization | 80.80% | ||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Consumer loans and asset-backed securities backed by consumer loans [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield | 10.40% | 9.10% | [2] | ||
Projected Collateral Prepayments | 30.90% | ||||
Fair Value Inputs Losses | 7.30% | ||||
Fair Value Inputs Projected Collateral Scheduled Amortization | 61.80% | ||||
Total Outstanding Collateral | 100.00% | ||||
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] | Corporate debt and warrants [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Fair value | $ 13,920,000 | ||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Corporate debt and warrants [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield | 15.00% | ||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Corporate debt and warrants [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield | 20.00% | ||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Corporate debt and warrants [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield | 16.20% | ||||
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 | $ 26,886,000 | $ 72,222,000 | |||
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 | 3.40% | 3.00% | |||
Projected Collateral Prepayments | 5.40% | 6.70% | |||
Fair Value Inputs Losses | 2.90% | 0.00% | |||
Fair Value Inputs Projected Collateral Recoveries | 0.30% | 0.00% | |||
Fair Value Inputs Projected Collateral Scheduled Amortization | 8.60% | 0.00% | |||
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 | 27.10% | 13.60% | |||
Projected Collateral Prepayments | 74.60% | 100.00% | |||
Fair Value Inputs Losses | 24.50% | 44.50% | |||
Fair Value Inputs Projected Collateral Recoveries | 13.00% | 22.40% | |||
Fair Value Inputs Projected Collateral Scheduled Amortization | 88.60% | 86.40% | |||
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 | 19.90% | 7.00% | |||
Projected Collateral Prepayments | 46.30% | 45.60% | |||
Fair Value Inputs Losses | 11.40% | 11.30% | |||
Fair Value Inputs Projected Collateral Recoveries | 8.00% | 8.00% | |||
Fair Value Inputs Projected Collateral Scheduled Amortization | 34.30% | 35.10% | |||
Total Outstanding Collateral | 100.00% | 100.00% | |||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Collateralized Loan Obligations [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Fair value | $ 3,996,000 | $ 320,000 | [2] | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Collateralized Loan Obligations [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield | 8.30% | 14.40% | [2] | ||
Projected Collateral Prepayments | 31.90% | 62.70% | [2] | ||
Fair Value Inputs Losses | 2.60% | 4.00% | [2] | ||
Fair Value Inputs Projected Collateral Recoveries | 2.30% | 1.70% | [2] | ||
Fair Value Inputs Projected Collateral Scheduled Amortization | 33.30% | 31.60% | [2] | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Collateralized Loan Obligations [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield | 20.60% | 14.40% | [2] | ||
Projected Collateral Prepayments | 52.30% | 62.70% | [2] | ||
Fair Value Inputs Losses | 17.30% | 4.00% | [2] | ||
Fair Value Inputs Projected Collateral Recoveries | 15.50% | 1.70% | [2] | ||
Fair Value Inputs Projected Collateral Scheduled Amortization | 51.50% | 31.60% | [2] | ||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Collateralized Loan Obligations [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield | 13.50% | 14.40% | [2] | ||
Projected Collateral Prepayments | 41.10% | 62.70% | [2] | ||
Fair Value Inputs Losses | 12.90% | 4.00% | [2] | ||
Fair Value Inputs Projected Collateral Recoveries | 10.10% | 1.70% | [2] | ||
Fair Value Inputs Projected Collateral Scheduled Amortization | 35.90% | 31.60% | [2] | ||
Total Outstanding Collateral | 100.00% | 100.00% | [2] | ||
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 | $ 13,780,000 | $ 12,392,000 | |||
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 | 19.20% | 12.00% | |||
Fair Value Inputs Losses | 0.70% | 0.10% | |||
Fair Value Inputs Projected Collateral Recoveries | 1.50% | 0.90% | |||
Fair Value Inputs Projected Collateral Scheduled Amortization | 83.40% | 85.30% | |||
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 | 25.00% | 51.10% | |||
Fair Value Inputs Losses | 2.30% | 2.50% | |||
Fair Value Inputs Projected Collateral Recoveries | 14.30% | 13.50% | |||
Fair Value Inputs Projected Collateral Scheduled Amortization | 97.60% | 99.00% | |||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield | 22.10% | 23.70% | |||
Fair Value Inputs Losses | 1.60% | 0.70% | |||
Fair Value Inputs Projected Collateral Recoveries | 8.40% | 6.20% | |||
Fair Value Inputs Projected Collateral Scheduled Amortization | 90.00% | 93.10% | |||
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 | $ 43,847,000 | $ 21,328,000 | |||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Performing Commercial Mortgage Loans [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield | 9.80% | 9.20% | |||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Performing Commercial Mortgage Loans [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield | 17.60% | 13.10% | |||
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 | 11.90% | 10.30% | |||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Non-performing Commercial Mortgage Loans and commercial real estate owned [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Fair value | $ 30,984,000 | ||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Non-performing Commercial Mortgage Loans and commercial real estate owned [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield | 10.20% | ||||
Months to Resolution | 4 months | ||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Non-performing Commercial Mortgage Loans and commercial real estate owned [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield | 19.40% | ||||
Months to Resolution | 24 months | ||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Non-performing Commercial Mortgage Loans and commercial real estate owned [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield | 13.70% | ||||
Months to Resolution | 9 months 10 days | ||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Agency Interest Only Residential Mortgage-Backed Securities [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Fair value | $ 3,851,000 | $ 8,457,000 | |||
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 | 18.00% | 50.20% | |||
Fair Value Inputs Projected Collateral Scheduled Amortization | 0.00% | 0.00% | |||
LIBOR OAS | 4.41% | [3] | (1.54%) | [4] | |
Level 3 [Member] | Income Approach Valuation Technique [Member] | Agency Interest Only Residential Mortgage-Backed Securities [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Projected Collateral Prepayments | 100.00% | 100.00% | |||
Fair Value Inputs Projected Collateral Scheduled Amortization | 82.00% | 49.80% | |||
LIBOR OAS | 16.72% | [3] | 17.96% | [4] | |
Level 3 [Member] | Income Approach Valuation Technique [Member] | Agency Interest Only Residential Mortgage-Backed Securities [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Projected Collateral Prepayments | 70.40% | 75.50% | |||
Fair Value Inputs Projected Collateral Scheduled Amortization | 29.60% | 24.50% | |||
Total Outstanding Collateral | 100.00% | 100.00% | |||
LIBOR OAS | 6.22% | [3] | 3.59% | [4] | |
Level 3 [Member] | Income Approach Valuation Technique [Member] | Performing Residential Mortgage Loans [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Fair value | $ 13,848,000 | ||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Performing Residential Mortgage Loans [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield | 5.50% | ||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Performing Residential Mortgage Loans [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield | 8.00% | ||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Performing Residential Mortgage Loans [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield | 6.50% | ||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Non-performing Residential Mortgage Loans and Residential Real Estate Owned [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Fair value | $ 12,331,000 | ||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Non-performing Residential Mortgage Loans and Residential Real Estate Owned [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield | 5.70% | ||||
Months to Resolution | 3 months 12 days | ||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Non-performing Residential Mortgage Loans and Residential Real Estate Owned [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield | 7.90% | ||||
Months to Resolution | 113 months 18 days | ||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Non-performing Residential Mortgage Loans and Residential Real Estate Owned [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield | 7.30% | ||||
Months to Resolution | 20 months 18 days | ||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Non-performing Residential Mortgage Loans and Real Estate Owned [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Fair value | $ 36,117,000 | ||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Non-performing Residential Mortgage Loans and Real Estate Owned [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] | Non-performing Residential Mortgage Loans and Real Estate Owned [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] | Non-performing Residential Mortgage Loans and Real Estate Owned [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] | Non-performing Commercial Mortgage Loans [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Fair value | $ 6,981,000 | ||||
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% | ||||
Months to Resolution | 15 days | ||||
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% | ||||
Months to Resolution | 10 months 15 days | ||||
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% | ||||
Months to Resolution | 8 months 6 days | ||||
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 | $ 6,111,000 | $ 11,148,000 | |||
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 | 26.60% | 17.80% | |||
Fair Value Inputs Losses | 15.00% | 16.50% | |||
Fair Value Inputs Projected Collateral Recoveries | 6.80% | 7.70% | |||
Fair Value Inputs Projected Collateral Scheduled Amortization | 24.50% | 15.90% | |||
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 | 44.10% | 55.80% | |||
Fair Value Inputs Losses | 33.70% | 37.70% | |||
Fair Value Inputs Projected Collateral Recoveries | 16.90% | 18.50% | |||
Fair Value Inputs Projected Collateral Scheduled Amortization | 33.10% | 43.40% | |||
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 | 32.60% | 32.50% | |||
Fair Value Inputs Losses | 26.50% | 29.70% | |||
Fair Value Inputs Projected Collateral Recoveries | 12.00% | 12.80% | |||
Fair Value Inputs Projected Collateral Scheduled Amortization | 28.90% | 25.00% | |||
Total Outstanding Collateral | 100.00% | 100.00% | |||
Total Return Swaps [Member] | Level 3 [Member] | Market Approach Valuation Technique [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | $ (4,577,000) | ||||
Total Return Swaps [Member] | Level 3 [Member] | Market Approach Valuation Technique [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Non Binding Third-Party Valuation | [5] | 36.38 | |||
Total Return Swaps [Member] | Level 3 [Member] | Market Approach Valuation Technique [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Non Binding Third-Party Valuation | [5] | 99.88 | |||
Total Return Swaps [Member] | Level 3 [Member] | Market Approach Valuation Technique [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Non Binding Third-Party Valuation | [5] | 56.38 | |||
Guarantees [Member] | Level 3 [Member] | Recent Transactions [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | $ (828,000) | ||||
Private Corporate Equity 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 Equity 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 Equity 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 Equity 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 Equity Investments [Member] | Non-exchange traded equity investments in commercial mortgage-related private partnerships [Member] | Level 3 [Member] | Income Approach Valuation Technique [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Fair value | $ 10,558,000 | ||||
Private Corporate Equity Investments [Member] | Non-exchange traded equity investments in commercial mortgage-related private partnerships [Member] | Level 3 [Member] | Income Approach Valuation Technique [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield | 14.00% | ||||
Expected Holding Period (Months) | 14 months 9 days | ||||
Private Corporate Equity Investments [Member] | Non-exchange traded equity investments in commercial mortgage-related private partnerships [Member] | Level 3 [Member] | Income Approach Valuation Technique [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield | 16.50% | ||||
Expected Holding Period (Months) | 27 months | ||||
Private Corporate Equity Investments [Member] | Non-exchange traded equity investments in commercial mortgage-related private partnerships [Member] | Level 3 [Member] | Income Approach Valuation Technique [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Yield | 14.70% | ||||
Expected Holding Period (Months) | 23 months 15 days | ||||
Private Corporate Equity Investments [Member] | Non-Exchange Traded Preferred and Common Equity Investment in Mortgage-Related Entities [Member] | Level 3 [Member] | Market Approach Valuation Technique [Member] | Minimum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Equity Multiple | [6] | 2.7 | |||
Private Corporate Equity Investments [Member] | Non-Exchange Traded Preferred and Common Equity Investment in Mortgage-Related Entities [Member] | Level 3 [Member] | Market Approach Valuation Technique [Member] | Maximum [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Equity Multiple | [6] | 2.7 | |||
Private Corporate Equity Investments [Member] | Non-Exchange Traded Preferred and Common Equity Investment in Mortgage-Related Entities [Member] | Level 3 [Member] | Market Approach Valuation Technique [Member] | Weighted Average [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Equity Multiple | [6] | 2.7 | |||
Private Corporate Equity Investments [Member] | Non-Exchange Traded Preferred and Common Equity Investment in Mortgage-Related Entities [Member] | Level 3 [Member] | Enterprise Value [Member] | |||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||||
Fair value | $ 2,738,000 | ||||
Private Corporate Equity 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 | $ 2,630,000 | $ 5,411,000 | |||
[1] | Includes securitized debt with a fair value of $0.8 million as of December 31, 2014. | ||||
[2] | Conformed to current period presentation. | ||||
[3] | Shown in basis points. | ||||
[4] | Shown in basis points. | ||||
[5] | Represents valuations on underlying assets. | ||||
[6] | Represent an estimation of where market participants might value an enterprise. |
Valuation (Fair Value Measureme
Valuation (Fair Value Measurement Using Significant Unobservable Inputs) (Details) - Level 3 [Member] - USD ($) $ in Thousands | 12 Months Ended | ||||||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||||
Assets, Beginning Balance | $ 638,486 | $ 756,934 | $ 599,914 | ||||
Assets, Accreted Discounts/Amortized Premiums | (20,675) | 13,309 | 20,122 | ||||
Assets, Realized Gain (Loss) | 20,808 | 47,557 | 44,351 | ||||
Assets, Change In Net Unrealized Gain/(Loss) | (29,552) | (20,446) | 20,067 | ||||
Assets, Purchases | 430,683 | 782,596 | 661,133 | ||||
Assets, Sales | (504,371) | (656,716) | (588,653) | ||||
Assets, Transfers into Level 3 | 6,687 | 0 | 0 | ||||
Assets, Transfers out of Level 3 | (48,525) | (284,748) | 0 | ||||
Assets, Ending Balance | 493,541 | 638,486 | 756,934 | ||||
Liabilities, Begining Balance | (1,013) | (1,333) | (1,336) | ||||
Liabilities, Accreted Discounts/Amortized Premiums | (17) | (15) | (38) | ||||
Liabilities, Realized Gain/(Loss) | 2,611 | (78) | (78) | ||||
Liabilities, Change In Net Unrealized Gain/(Loss) | (5,201) | 89 | (329) | ||||
Liabilities Purchases/Payments | 2,149 | 246 | 370 | ||||
Liabilities, Sales/Issuance | (4,688) | 78 | 78 | ||||
Liabilities, Transfers into Level 3 | 0 | 0 | 0 | ||||
Liabilities, Transfers out of Level 3 | 0 | 0 | 0 | ||||
Liabilities, Ending Balance | (6,159) | (1,013) | (1,333) | ||||
Change in net unrealized gain (loss) on investments Level 3 Held At End of Period | (20,700) | 6,300 | 27,000 | ||||
Change in net unrealized gain (loss) in financial derivative assets Level 3 Held At End of Period | 7 | (1,600) | (8,400) | ||||
Change in net unrealized Gain (Loss) on financial derivative liabilities Level 3 Held At End of Period | (4,600) | (100) | (300) | ||||
Change in net unrealized gain (loss) in securitized debt Level 3 Held At End of Period | (22) | 20 | |||||
Change in net unrealized Gain (Loss) On Guarantees Level 3 Held At End Of Period | (800) | ||||||
Securitized Debt [Member] | |||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||||
Liabilities, Begining Balance | (774) | (983) | (1,335) | ||||
Liabilities, Accreted Discounts/Amortized Premiums | (15) | (15) | (38) | ||||
Liabilities, Realized Gain/(Loss) | 0 | 0 | 0 | ||||
Liabilities, Change In Net Unrealized Gain/(Loss) | 26 | (22) | 20 | ||||
Liabilities, Payments | 763 | 246 | 370 | ||||
Liabilities, Issuances | 0 | 0 | 0 | ||||
Liabilities, Transfers into Level 3 | 0 | 0 | 0 | ||||
Liabilities, Transfers out of Level 3 | 0 | 0 | 0 | ||||
Liabilities, Ending Balance | 0 | (774) | (983) | ||||
Guarantees [Member] | |||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||||
Liabilities, Begining Balance | 0 | ||||||
Liabilities, Accreted Discounts/Amortized Premiums | 0 | ||||||
Liabilities, Realized Gain/(Loss) | 0 | ||||||
Liabilities, Change In Net Unrealized Gain/(Loss) | (828) | ||||||
Liabilities, Payments | 0 | ||||||
Liabilities, Issuances | 0 | ||||||
Liabilities, Transfers into Level 3 | 0 | ||||||
Liabilities, Transfers out of Level 3 | 0 | ||||||
Liabilities, Ending Balance | (828) | 0 | |||||
Investments [Member] | |||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||||
Assets, Beginning Balance | 626,999 | 740,288 | 563,883 | ||||
Assets, Accreted Discounts/Amortized Premiums | (20,675) | 13,309 | 20,122 | ||||
Assets, Realized Gain (Loss) | 23,659 | 52,153 | 47,177 | ||||
Assets, Change In Net Unrealized Gain/(Loss) | (31,735) | (24,993) | 18,997 | ||||
Assets, Purchases | 430,605 | 782,032 | 660,929 | ||||
Assets, Sales | (500,041) | (651,042) | (570,820) | ||||
Assets, Transfers into Level 3 | 6,687 | 0 | 0 | ||||
Assets, Transfers out of Level 3 | (48,525) | (284,748) | 0 | ||||
Assets, Ending Balance | 486,974 | 626,999 | 740,288 | ||||
Investments [Member] | Agency residential mortgage-backed securities [Member] | |||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||||
Assets, Beginning Balance | 31,385 | 40,504 | 6,644 | ||||
Assets, Accreted Discounts/Amortized Premiums | (8,355) | (8,738) | (5,929) | ||||
Assets, Realized Gain (Loss) | 223 | 1,404 | 833 | ||||
Assets, Change In Net Unrealized Gain/(Loss) | 81 | (2,078) | 3,323 | ||||
Assets, Purchases | 6,977 | 8,448 | 42,051 | ||||
Assets, Sales | (5,393) | (8,155) | (6,418) | ||||
Assets, Transfers into Level 3 | 0 | 0 | 0 | ||||
Assets, Transfers out of Level 3 | 0 | 0 | 0 | ||||
Assets, Ending Balance | 24,918 | 31,385 | 40,504 | ||||
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 | 274,369 | 580,772 | 528,366 | ||||
Assets, Accreted Discounts/Amortized Premiums | 8,593 | 20,544 | 26,119 | ||||
Assets, Realized Gain (Loss) | 20,648 | 38,600 | 43,823 | ||||
Assets, Change In Net Unrealized Gain/(Loss) | (16,429) | (18,406) | 12,643 | ||||
Assets, Purchases | 62,994 | 382,956 | 425,864 | ||||
Assets, Sales | (191,902) | (445,349) | (456,043) | ||||
Assets, Transfers into Level 3 | 6,687 | 0 | 0 | ||||
Assets, Transfers out of Level 3 | (48,525) | (284,748) | 0 | ||||
Assets, Ending Balance | 116,435 | 274,369 | 580,772 | ||||
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 | 53,311 | 32,994 | 19,327 | ||||
Assets, Accreted Discounts/Amortized Premiums | 3,076 | 1,328 | 402 | ||||
Assets, Realized Gain (Loss) | 2,000 | 7,055 | 1,030 | ||||
Assets, Change In Net Unrealized Gain/(Loss) | (4,183) | (357) | 3,069 | ||||
Assets, Purchases | 21,382 | 116,128 | 92,929 | ||||
Assets, Sales | (41,441) | (103,837) | (83,763) | ||||
Assets, Transfers into Level 3 | 0 | 0 | 0 | ||||
Assets, Transfers out of Level 3 | 0 | 0 | 0 | ||||
Assets, Ending Balance | 34,145 | 53,311 | 32,994 | ||||
Investments [Member] | Commercial Mortgage Loans [Member] | |||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||||
Assets, Beginning Balance | 28,309 | 23,887 | 9,546 | ||||
Assets, Accreted Discounts/Amortized Premiums | 1,895 | 2,739 | 171 | ||||
Assets, Realized Gain (Loss) | 1,114 | 3,156 | 844 | ||||
Assets, Change In Net Unrealized Gain/(Loss) | (142) | (632) | 652 | ||||
Assets, Purchases | 69,778 | 41,856 | 19,587 | ||||
Assets, Sales | (34,555) | (42,697) | (6,913) | ||||
Assets, Transfers into Level 3 | 0 | 0 | 0 | ||||
Assets, Transfers out of Level 3 | 0 | 0 | 0 | ||||
Assets, Ending Balance | 66,399 | 28,309 | 23,887 | ||||
Investments [Member] | Residential Mortgage Loans [Member] | |||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||||
Assets, Beginning Balance | 27,482 | 24,062 | 0 | ||||
Assets, Accreted Discounts/Amortized Premiums | 1,363 | 1,267 | 0 | ||||
Assets, Realized Gain (Loss) | 2,372 | 1,424 | 0 | ||||
Assets, Change In Net Unrealized Gain/(Loss) | (505) | 84 | 0 | ||||
Assets, Purchases | 19,555 | 14,863 | 24,062 | ||||
Assets, Sales | (28,178) | (14,218) | 0 | ||||
Assets, Transfers into Level 3 | 0 | 0 | 0 | ||||
Assets, Transfers out of Level 3 | 0 | 0 | 0 | ||||
Assets, Ending Balance | 22,089 | 27,482 | 24,062 | ||||
Investments [Member] | Collateralized Loan Obligations [Member] | |||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||||
Assets, Beginning Balance | 121,994 | [1] | 38,069 | [1] | 0 | ||
Assets, Accreted Discounts/Amortized Premiums | (21,110) | (2,577) | [1] | (641) | |||
Assets, Realized Gain (Loss) | 46 | 342 | [1] | 647 | |||
Assets, Change In Net Unrealized Gain/(Loss) | (4,033) | (1,879) | [1] | (690) | |||
Assets, Purchases | 59,102 | 118,607 | [1] | 56,436 | |||
Assets, Sales | (110,025) | (30,568) | [1] | (17,683) | |||
Assets, Transfers into Level 3 | 0 | 0 | [1] | 0 | |||
Assets, Transfers out of Level 3 | 0 | 0 | [1] | 0 | |||
Assets, Ending Balance | 45,974 | 121,994 | [1] | 38,069 | [1] | ||
Investments [Member] | Consumer loans and asset-backed securities backed by consumer loans [Member] | |||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||||
Assets, Beginning Balance | [1] | 24,294 | 0 | ||||
Assets, Accreted Discounts/Amortized Premiums | (6,197) | (1,184) | [1] | ||||
Assets, Realized Gain (Loss) | 0 | 0 | [1] | ||||
Assets, Change In Net Unrealized Gain/(Loss) | 283 | (530) | [1] | ||||
Assets, Purchases | 139,373 | 29,402 | [1] | ||||
Assets, Sales | (42,377) | (3,394) | [1] | ||||
Assets, Transfers into Level 3 | 0 | 0 | [1] | ||||
Assets, Transfers out of Level 3 | 0 | 0 | [1] | ||||
Assets, Ending Balance | 115,376 | 24,294 | [1] | 0 | [1] | ||
Investments [Member] | Corporate Debt [Member] | |||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||||
Assets, Beginning Balance | 42,708 | 0 | |||||
Assets, Accreted Discounts/Amortized Premiums | 60 | (70) | |||||
Assets, Realized Gain (Loss) | (4,028) | 0 | |||||
Assets, Change In Net Unrealized Gain/(Loss) | (6,882) | (877) | |||||
Assets, Purchases | 28,942 | 43,808 | |||||
Assets, Sales | (33,772) | (153) | |||||
Assets, Transfers into Level 3 | 0 | 0 | |||||
Assets, Transfers out of Level 3 | 0 | 0 | |||||
Assets, Ending Balance | 27,028 | 42,708 | 0 | ||||
Investments [Member] | Real Estate Owned [Member] | |||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||||
Assets, Beginning Balance | 8,635 | 0 | |||||
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | |||||
Assets, Realized Gain (Loss) | 1,168 | 172 | |||||
Assets, Change In Net Unrealized Gain/(Loss) | 381 | (113) | |||||
Assets, Purchases | 14,155 | 11,247 | |||||
Assets, Sales | (11,817) | (2,671) | |||||
Assets, Transfers into Level 3 | 0 | 0 | |||||
Assets, Transfers out of Level 3 | 0 | 0 | |||||
Assets, Ending Balance | 12,522 | 8,635 | 0 | ||||
Investments [Member] | Private Corporate Equity Investments [Member] | |||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||||
Assets, Beginning Balance | 14,512 | 0 | |||||
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | |||||
Assets, Realized Gain (Loss) | 116 | 0 | |||||
Assets, Change In Net Unrealized Gain/(Loss) | (306) | (205) | |||||
Assets, Purchases | 8,347 | 14,717 | |||||
Assets, Sales | (581) | 0 | |||||
Assets, Transfers into Level 3 | 0 | 0 | |||||
Assets, Transfers out of Level 3 | 0 | 0 | |||||
Assets, Ending Balance | 22,088 | 14,512 | 0 | ||||
Financial Derivatives - Assets [Member] | |||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||||
Assets, Beginning Balance | 11,487 | 16,646 | 36,031 | ||||
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | ||||
Assets, Realized Gain (Loss) | (2,851) | (4,596) | (2,826) | ||||
Assets, Change In Net Unrealized Gain/(Loss) | 2,183 | 4,547 | 1,070 | ||||
Assets, Purchases | 78 | 564 | 204 | ||||
Assets, Sales | (4,330) | (5,674) | (17,833) | ||||
Assets, Transfers into Level 3 | 0 | 0 | 0 | ||||
Assets, Transfers out of Level 3 | 0 | 0 | 0 | ||||
Assets, Ending Balance | 6,567 | 11,487 | 16,646 | ||||
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 | 11,387 | 16,646 | 36,031 | ||||
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | ||||
Assets, Realized Gain (Loss) | (2,964) | (4,596) | (2,826) | ||||
Assets, Change In Net Unrealized Gain/(Loss) | 2,098 | 4,547 | 1,070 | ||||
Assets, Purchases | 28 | 464 | 204 | ||||
Assets, Sales | (4,217) | (5,674) | (17,833) | ||||
Assets, Transfers into Level 3 | 0 | 0 | 0 | ||||
Assets, Transfers out of Level 3 | 0 | 0 | 0 | ||||
Assets, Ending Balance | 6,332 | 11,387 | 16,646 | ||||
Financial Derivatives - Assets [Member] | Total Return Swaps [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) | 113 | ||||||
Assets, Change In Net Unrealized Gain/(Loss) | 85 | ||||||
Assets, Purchases | 0 | ||||||
Assets, Sales | (113) | ||||||
Assets, Transfers into Level 3 | 0 | ||||||
Assets, Transfers out of Level 3 | 0 | ||||||
Assets, Ending Balance | 85 | 0 | |||||
Financial Derivatives - Assets [Member] | Warrant [Member] | |||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||||
Assets, Beginning Balance | 100 | 0 | |||||
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | |||||
Assets, Realized Gain (Loss) | 0 | 0 | |||||
Assets, Change In Net Unrealized Gain/(Loss) | 0 | 0 | |||||
Assets, Purchases | 50 | 100 | |||||
Assets, Sales | 0 | 0 | |||||
Assets, Transfers into Level 3 | 0 | 0 | |||||
Assets, Transfers out of Level 3 | 0 | 0 | |||||
Assets, Ending Balance | 150 | 100 | 0 | ||||
Financial Derivatives - Liabilities [Member] | |||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||||
Liabilities, Begining Balance | (239) | (350) | (1) | ||||
Liabilities, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | ||||
Liabilities, Realized Gain/(Loss) | 2,414 | (78) | (78) | ||||
Liabilities, Change In Net Unrealized Gain/(Loss) | (4,627) | 111 | (349) | ||||
Liabilities, Purchases | 14 | 0 | 0 | ||||
Liabilities, Sales | (2,445) | 78 | 78 | ||||
Liabilities, Transfers into Level 3 | 0 | 0 | 0 | ||||
Liabilities, Transfers out of Level 3 | 0 | 0 | 0 | ||||
Liabilities, Ending Balance | (4,883) | (239) | (350) | ||||
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 | (239) | (350) | (1) | ||||
Liabilities, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | ||||
Liabilities, Realized Gain/(Loss) | (102) | (78) | (78) | ||||
Liabilities, Change In Net Unrealized Gain/(Loss) | 35 | 111 | (349) | ||||
Liabilities, Purchases | 0 | 0 | 0 | ||||
Liabilities, Sales | 85 | 78 | 78 | ||||
Liabilities, Transfers into Level 3 | 0 | 0 | 0 | ||||
Liabilities, Transfers out of Level 3 | 0 | 0 | 0 | ||||
Liabilities, Ending Balance | (221) | (239) | $ (350) | ||||
Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | |||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||||
Liabilities, Begining Balance | 0 | ||||||
Liabilities, Accreted Discounts/Amortized Premiums | 0 | ||||||
Liabilities, Realized Gain/(Loss) | 2,516 | ||||||
Liabilities, Change In Net Unrealized Gain/(Loss) | (4,662) | ||||||
Liabilities, Purchases | 14 | ||||||
Liabilities, Sales | (2,530) | ||||||
Liabilities, Transfers into Level 3 | 0 | ||||||
Liabilities, Transfers out of Level 3 | 0 | ||||||
Liabilities, Ending Balance | (4,662) | 0 | |||||
Securities Sold Short - Securities Sold, Not Yet Purchased [Member] | |||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||||
Liabilities, Begining Balance | 0 | ||||||
Liabilities, Accreted Discounts/Amortized Premiums | (2) | ||||||
Liabilities, Realized Gain/(Loss) | 197 | ||||||
Liabilities, Change In Net Unrealized Gain/(Loss) | 228 | ||||||
Liabilities, Purchases | 1,372 | ||||||
Liabilities, Sales | (2,243) | ||||||
Liabilities, Transfers into Level 3 | 0 | ||||||
Liabilities, Transfers out of Level 3 | 0 | ||||||
Liabilities, Ending Balance | (448) | 0 | |||||
Securities Sold Short - Securities Sold, Not Yet Purchased [Member] | Corporate Debt Sold Short [Member] | |||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||||
Liabilities, Begining Balance | 0 | ||||||
Liabilities, Accreted Discounts/Amortized Premiums | (2) | ||||||
Liabilities, Realized Gain/(Loss) | 197 | ||||||
Liabilities, Change In Net Unrealized Gain/(Loss) | 228 | ||||||
Liabilities, Purchases | 1,372 | ||||||
Liabilities, Sales | (2,243) | ||||||
Liabilities, Transfers into Level 3 | 0 | ||||||
Liabilities, Transfers out of Level 3 | 0 | ||||||
Liabilities, Ending Balance | $ (448) | $ 0 | |||||
[1] | Conformed to prior period presentation. |
To Be Announced RMBS (Details)
To Be Announced RMBS (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 | ||
To Be Announced Securities [Line Items] | ||||
Fair Value | $ 1,661,118 | $ 2,172,082 | ||
Financial Instruments Sold, Not yet Purchased, at Fair Value | (728,747) | (1,291,370) | ||
Payable for securities purchased | (165,365) | (98,747) | ||
To Be Announced Fixed Rate Agency Securities [Member] | ||||
To Be Announced Securities [Line Items] | ||||
Fair Value | 98,009 | [1],[2],[3] | 72,410 | [4],[5],[6],[7] |
Investment Owned, Balance, Principal Amount | 94,602 | 71,598 | ||
Receivable for securities sold | 613,023 | 1,205,779 | ||
TBA - Fixed Rate Agency Securities Sold Short [Member] | ||||
To Be Announced Securities [Line Items] | ||||
Financial Instruments Sold, Not yet Purchased, at Fair Value | (612,777) | [2],[8] | (1,209,539) | [5],[6],[9] |
Investment Sold, Not yet Purchased, Balance, Principal Amount | (580,992) | (1,135,218) | ||
Payable for securities purchased | (98,049) | (71,832) | ||
Investment Owned At Fair Value, Net | $ (514,768) | $ (1,137,129) | ||
[1] | At December 31, 2015, 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 77.17%, 47.44%, and 18.91% of equity, respectively. | |||
[2] | See Note 2 and Note 3 in Notes to Consolidated Financial Statements. | |||
[3] | The table below shows the ratings on the Company's long investments from Moody's, Standard and Poor's, or Fitch, as well as the Company's long investments that were unrated but 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 143.52%A/A/A 0.32%Baa/BBB/BBB 1.07%Ba/BB/BB or below 34.89%Unrated 44.99% | |||
[4] | 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. | |||
[5] | Conformed to current period presentation. | |||
[6] | See Note 2 and Note 3 in Notes to Consolidated Financial Statements. | |||
[7] | 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% | |||
[8] | At December 31, 2015, the Company's short investments guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, and the Government National Mortgage Association, represented 57.51%, 23.25%, and 2.17% of equity, respectively. | |||
[9] | 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. |
Financial Derivatives (Schedule
Financial Derivatives (Schedule Of Gains And Losses On Derivative Contracts) (Details) - USD ($) $ in Thousands | 12 Months Ended | ||||||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |||||
Derivative [Line Items] | |||||||
Foreign currency transactions | $ (3,073) | $ (1,486) | [1] | $ (4) | [1] | ||
Net Realized Gain/Loss on Financial Derivatives | (10,115) | [2] | (11,211) | (21,479) | |||
Unrealized Gain (Loss) on Financial Derivatives | (8,272) | 13,482 | |||||
Foreign currency translation | (1,706) | (950) | [1] | 42 | [1] | ||
Unrealized Gain (Loss) on Derivatives, including Foreign Currency Translation Gain (Loss) | [3] | 8,780 | |||||
Reimbursement from third party | 1,500 | ||||||
Financial Derivatives - Assets [Member] | |||||||
Derivative [Line Items] | |||||||
Net Realized Gain/Loss on Financial Derivatives | 69,666 | [2] | 26,098 | (7,876) | |||
Unrealized Gain (Loss) on Financial Derivatives | (19,901) | [3] | 9,338 | 26,486 | |||
Financial Derivatives - Liabilities [Member] | |||||||
Derivative [Line Items] | |||||||
Net Realized Gain/Loss on Financial Derivatives | (79,781) | [2] | (37,309) | (13,603) | |||
Unrealized Gain (Loss) on Financial Derivatives | 28,681 | [3] | (17,610) | (13,004) | |||
Derivative [Member] | |||||||
Derivative [Line Items] | |||||||
Foreign currency transactions | 200 | ||||||
Foreign currency translation | (1,100) | ||||||
Credit Risk [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Securities [Member] | |||||||
Derivative [Line Items] | |||||||
Net Realized Gain/Loss on Financial Derivatives | (2,964) | [2] | (4,596) | (2,826) | |||
Unrealized Gain (Loss) on Financial Derivatives | 2,098 | [3] | 4,547 | 1,070 | |||
Credit Risk [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Indices [Member] | |||||||
Derivative [Line Items] | |||||||
Net Realized Gain/Loss on Financial Derivatives | (1,083) | [2] | (4,662) | (5,954) | |||
Unrealized Gain (Loss) on Financial Derivatives | 442 | [3] | 2,059 | 1,082 | |||
Credit Risk [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Bond Indices [Member] | |||||||
Derivative [Line Items] | |||||||
Net Realized Gain/Loss on Financial Derivatives | 107 | [2] | 1,938 | 626 | |||
Unrealized Gain (Loss) on Financial Derivatives | (763) | [3] | (2,589) | 1,026 | |||
Credit Risk [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Bonds [Member] | |||||||
Derivative [Line Items] | |||||||
Net Realized Gain/Loss on Financial Derivatives | [2] | (6) | |||||
Unrealized Gain (Loss) on Financial Derivatives | [3] | 10 | |||||
Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Asset Backed Securities [Member] | |||||||
Derivative [Line Items] | |||||||
Net Realized Gain/Loss on Financial Derivatives | (102) | [2] | (78) | (78) | |||
Unrealized Gain (Loss) on Financial Derivatives | 35 | [3] | 111 | (349) | |||
Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Asset Backed Indices [Member] | |||||||
Derivative [Line Items] | |||||||
Net Realized Gain/Loss on Financial Derivatives | 369 | [2] | 3,111 | 1,870 | |||
Unrealized Gain (Loss) on Financial Derivatives | (727) | [3] | (1,743) | 2,869 | |||
Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Bond Indices [Member] | |||||||
Derivative [Line Items] | |||||||
Net Realized Gain/Loss on Financial Derivatives | (8,166) | [2] | (6,242) | (9,573) | |||
Unrealized Gain (Loss) on Financial Derivatives | 8,266 | [3] | 6,926 | (9,157) | |||
Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Bonds [Member] | |||||||
Derivative [Line Items] | |||||||
Net Realized Gain/Loss on Financial Derivatives | (999) | [2] | 270 | ||||
Unrealized Gain (Loss) on Financial Derivatives | 684 | [3] | (782) | ||||
Equity Market Risk [Member] | Financial Derivatives - Assets [Member] | Total Return Swaps [Member] | |||||||
Derivative [Line Items] | |||||||
Net Realized Gain/Loss on Financial Derivatives | 12,975 | 2,992 | |||||
Unrealized Gain (Loss) on Financial Derivatives | 3 | 4 | |||||
Equity Market Risk [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | |||||||
Derivative [Line Items] | |||||||
Net Realized Gain/Loss on Financial Derivatives | (5,671) | (5,260) | |||||
Unrealized Gain (Loss) on Financial Derivatives | 46 | (3) | |||||
Equity Market/Credit Risk [Member] | Financial Derivatives - Assets [Member] | Total Return Swaps [Member] | |||||||
Derivative [Line Items] | |||||||
Net Realized Gain/Loss on Financial Derivatives | [2] | 5,176 | |||||
Unrealized Gain (Loss) on Financial Derivatives | [3] | 77 | |||||
Equity Market/Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | |||||||
Derivative [Line Items] | |||||||
Net Realized Gain/Loss on Financial Derivatives | [2] | (3,338) | |||||
Unrealized Gain (Loss) on Financial Derivatives | [3] | (4,641) | |||||
Interest Rate Risk [Member] | Financial Derivatives - Assets [Member] | Interest Rate Swaps [Member] | |||||||
Derivative [Line Items] | |||||||
Net Realized Gain/Loss on Financial Derivatives | 42,724 | [2] | 10,610 | (2,829) | |||
Unrealized Gain (Loss) on Financial Derivatives | (22,572) | [3] | 5,101 | 23,548 | |||
Interest Rate Risk [Member] | Financial Derivatives - Liabilities [Member] | Interest Rate Swaps [Member] | |||||||
Derivative [Line Items] | |||||||
Net Realized Gain/Loss on Financial Derivatives | (52,327) | [2],[4] | (23,939) | 319 | |||
Unrealized Gain (Loss) on Financial Derivatives | 24,555 | [3],[4] | (24,318) | (3,940) | |||
Interest Rate Risk [Member] | Financial Derivatives - Liabilities [Member] | Futures [Member] | |||||||
Derivative [Line Items] | |||||||
Net Realized Gain/Loss on Financial Derivatives | (795) | ||||||
Unrealized Gain (Loss) on Financial Derivatives | (2,302) | ||||||
Interest Rate Risk [Member] | Financial Derivatives - Liabilities [Member] | Mortgage Loan Purchase Commitments [Member] | |||||||
Derivative [Line Items] | |||||||
Net Realized Gain/Loss on Financial Derivatives | [2] | 0 | |||||
Unrealized Gain (Loss) on Financial Derivatives | [3] | (8) | |||||
Interest Rates/Equity Market Risk [Member] | Financial Derivatives - Assets [Member] | Futures [Member] | |||||||
Derivative [Line Items] | |||||||
Net Realized Gain/Loss on Financial Derivatives | 3,430 | [2] | 4,841 | ||||
Unrealized Gain (Loss) on Financial Derivatives | (181) | [3] | 261 | ||||
Interest Rates/Equity Market Risk [Member] | Financial Derivatives - Liabilities [Member] | Futures [Member] | |||||||
Derivative [Line Items] | |||||||
Net Realized Gain/Loss on Financial Derivatives | (2,722) | [2] | (252) | ||||
Unrealized Gain (Loss) on Financial Derivatives | (495) | [3] | 2,291 | ||||
Interest Rates/Equity Market Risk [Member] | Financial Derivatives - Liabilities [Member] | Other Derivatives [Member] | |||||||
Derivative [Line Items] | |||||||
Net Realized Gain/Loss on Financial Derivatives | (86) | ||||||
Unrealized Gain (Loss) on Financial Derivatives | (84) | ||||||
Currency risk [Member] | Financial Derivatives - Assets [Member] | Forwards [Member] | |||||||
Derivative [Line Items] | |||||||
Net Realized Gain/Loss on Financial Derivatives | 11,790 | [2] | 3,845 | ||||
Unrealized Gain (Loss) on Financial Derivatives | 254 | [3] | 884 | ||||
Currency risk [Member] | Financial Derivatives - Liabilities [Member] | Forwards [Member] | |||||||
Derivative [Line Items] | |||||||
Net Realized Gain/Loss on Financial Derivatives | (7,052) | [2] | (2,215) | 0 | |||
Unrealized Gain (Loss) on Financial Derivatives | 123 | [3] | (98) | (38) | |||
Credit/Interest Rate Risk [Member] | Financial Derivatives - Assets [Member] | Other Derivatives [Member] | |||||||
Derivative [Line Items] | |||||||
Net Realized Gain/Loss on Financial Derivatives | 10,492 | [2] | 1,147 | 115 | |||
Unrealized Gain (Loss) on Financial Derivatives | 734 | [3] | (928) | $ (244) | |||
Credit/Interest Rate/Equity Market Risk [Member] | Financial Derivatives - Liabilities [Member] | Other Derivatives [Member] | |||||||
Derivative [Line Items] | |||||||
Net Realized Gain/Loss on Financial Derivatives | (5,444) | [2] | (2,293) | ||||
Unrealized Gain (Loss) on Financial Derivatives | $ 889 | [3] | $ (43) | ||||
[1] | Conformed to current period presentation. | ||||||
[2] | Includes foreign currency translation on derivatives in the amount of $0.2 million, for the year ended December 31, 2015, which is included on the Consolidated Statement of Operations in Realized gain (loss) on foreign currency transactions. | ||||||
[3] | Includes foreign currency translation on derivatives in the amount of $(1.1) million, for the year ended December 31, 2015, which is included on the Consolidated Statement of Operations in Change in net unrealized gain (loss) on foreign currency translation. | ||||||
[4] | Includes a $1.5 million reimbursement from a third party for the year ended December 31, 2015. |
Financial Derivatives Financial
Financial Derivatives Financial Derivatives (Schedule of Derivative Activity) (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2014 | |
Interest Rate Swaps [Member] | ||
Derivative [Line Items] | ||
Average Monthly Notional Amount | $ 2,463,892 | $ 2,227,315 |
Credit Default Swap [Member] | ||
Derivative [Line Items] | ||
Average Monthly Notional Amount | 1,080,772 | 552,411 |
Total Return Swaps [Member] | ||
Derivative [Line Items] | ||
Average Monthly Notional Amount | 112,641 | 55,108 |
Futures [Member] | ||
Derivative [Line Items] | ||
Average Monthly Notional Amount | 880,682 | 738,830 |
Options [Member] | ||
Derivative [Line Items] | ||
Average Monthly Notional Amount | 865,600 | 926,369 |
Forwards [Member] | ||
Derivative [Line Items] | ||
Average Monthly Notional Amount | 107,448 | 42,143 |
Warrant [Member] | ||
Derivative [Line Items] | ||
Average Monthly Notional Amount | 1,554 | 120 |
Mortgage Loan Purchase Commitments [Member] | ||
Derivative [Line Items] | ||
Average Monthly Notional Amount | $ 2,093 | $ 0 |
Financial Derivatives (Schedu51
Financial Derivatives (Schedule Of Credit Derivatives) (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 | |
Credit Default Swap, Selling Protection [Member] | |||
Credit Derivatives [Line Items] | |||
Fair Value of Written Credit Derivatives, Net | $ 135,443 | $ 27,741 | |
Notional value | [1] | (799,750) | (341,014) |
Credit Default Swap, Buying Protection [Member] | |||
Credit Derivatives [Line Items] | |||
Fair Value of Written Credit Derivatives, Net | [2] | (369) | (3,287) |
Notional value | [2] | $ 17,322 | $ 54,874 |
[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 ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2014 | |
Credit Default Swap, Selling Protection [Member] | ||
Derivative [Line Items] | ||
Total net up-front payments received | $ 137.8 | $ 28.9 |
Minimum [Member] | ||
Derivative [Line Items] | ||
Low Range Of Spread On Written Credit Derivatives | 0.195% | 0.38% |
Maximum [Member] | ||
Derivative [Line Items] | ||
Low Range Of Spread On Written Credit Derivatives | 46.287% | 29.858% |
Schedule of Reverse Repurchase
Schedule of Reverse Repurchase Agreements by Maturity (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | ||
Reverse Repurchase Agreements [Line Items] | |||
Reverse repurchase agreements | [1] | $ 1,174,189 | $ 1,669,433 |
Debt, Weighted Average Interest Rate | 0.97% | 0.65% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 100 days | 105 days | |
Agency residential mortgage-backed securities [Member] | |||
Reverse Repurchase Agreements [Line Items] | |||
Reverse repurchase agreements | $ 933,320 | $ 1,145,821 | |
Debt, Weighted Average Interest Rate | 0.58% | 0.35% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 56 days | 50 days | |
Agency residential mortgage-backed securities [Member] | Maturity up to 30 days [Member] | |||
Reverse Repurchase Agreements [Line Items] | |||
Reverse repurchase agreements | $ 295,277 | $ 537,624 | |
Debt, Weighted Average Interest Rate | 0.54% | 0.34% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 14 days | 16 days | |
Agency residential mortgage-backed securities [Member] | Maturity 31 to 60 days [Member] | |||
Reverse Repurchase Agreements [Line Items] | |||
Reverse repurchase agreements | $ 203,144 | $ 276,002 | |
Debt, Weighted Average Interest Rate | 0.54% | 0.34% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 44 days | 44 days | |
Agency residential mortgage-backed securities [Member] | Maturity 61 to 90 days [Member] | |||
Reverse Repurchase Agreements [Line Items] | |||
Reverse repurchase agreements | $ 239,431 | $ 251,715 | |
Debt, Weighted Average Interest Rate | 0.68% | 0.38% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 74 days | 72 days | |
Agency residential mortgage-backed securities [Member] | Maturity 91 to 120 days [Member] | |||
Reverse Repurchase Agreements [Line Items] | |||
Reverse repurchase agreements | $ 193,962 | $ 0 | |
Debt, Weighted Average Interest Rate | 0.56% | 0.00% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 106 days | 0 days | |
Agency residential mortgage-backed securities [Member] | Maturity 151 to 180 days [Member] | |||
Reverse Repurchase Agreements [Line Items] | |||
Reverse repurchase agreements | $ 1,506 | $ 48,161 | |
Debt, Weighted Average Interest Rate | 1.57% | 0.44% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 175 days | 164 days | |
Agency residential mortgage-backed securities [Member] | Maturity 181 to 360 days [Member] | |||
Reverse Repurchase Agreements [Line Items] | |||
Reverse repurchase agreements | $ 0 | $ 32,319 | |
Debt, Weighted Average Interest Rate | 0.00% | 0.47% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 0 days | 317 days | |
Credit Portfolio [Member] | |||
Reverse Repurchase Agreements [Line Items] | |||
Reverse repurchase agreements | $ 240,869 | $ 399,981 | |
Debt, Weighted Average Interest Rate | 2.47% | 2.02% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 272 days | 295 days | |
Credit Portfolio [Member] | Maturity up to 30 days [Member] | |||
Reverse Repurchase Agreements [Line Items] | |||
Reverse repurchase agreements | $ 14,674 | $ 53,939 | |
Debt, Weighted Average Interest Rate | 1.94% | 1.94% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 17 days | 22 days | |
Credit Portfolio [Member] | Maturity 31 to 60 days [Member] | |||
Reverse Repurchase Agreements [Line Items] | |||
Reverse repurchase agreements | $ 26,419 | $ 46,872 | |
Debt, Weighted Average Interest Rate | 1.87% | 1.59% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 39 days | 43 days | |
Credit Portfolio [Member] | Maturity 61 to 90 days [Member] | |||
Reverse Repurchase Agreements [Line Items] | |||
Reverse repurchase agreements | $ 82,292 | $ 37,561 | |
Debt, Weighted Average Interest Rate | 2.46% | 1.47% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 67 days | 65 days | |
Credit Portfolio [Member] | Maturity 121 to 150 days [Member] | |||
Reverse Repurchase Agreements [Line Items] | |||
Reverse repurchase agreements | $ 0 | $ 21,236 | |
Debt, Weighted Average Interest Rate | 0.00% | 2.03% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 0 days | 139 days | |
Credit Portfolio [Member] | Maturity 151 to 180 days [Member] | |||
Reverse Repurchase Agreements [Line Items] | |||
Reverse repurchase agreements | $ 24,193 | $ 75,323 | |
Debt, Weighted Average Interest Rate | 2.62% | 1.77% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 164 days | 160 days | |
Credit Portfolio [Member] | Maturity 181 to 360 days [Member] | |||
Reverse Repurchase Agreements [Line Items] | |||
Reverse repurchase agreements | $ 23,877 | $ 15,449 | |
Debt, Weighted Average Interest Rate | 2.80% | 1.65% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 346 days | 181 days | |
Credit Portfolio [Member] | Maturity greater than 360 days [Member] | |||
Reverse Repurchase Agreements [Line Items] | |||
Reverse repurchase agreements | $ 69,414 | $ 149,601 | |
Debt, Weighted Average Interest Rate | 2.51% | 2.41% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 666 days | 631 days | |
US Treasury Securities [Member] | |||
Reverse Repurchase Agreements [Line Items] | |||
Reverse repurchase agreements | $ 0 | $ 123,631 | |
Debt, Weighted Average Interest Rate | 0.00% | (1.01%) | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 0 days | 2 days | |
US Treasury Securities [Member] | Maturity up to 30 days [Member] | |||
Reverse Repurchase Agreements [Line Items] | |||
Reverse repurchase agreements | $ 0 | $ 123,631 | |
Debt, Weighted Average Interest Rate | 0.00% | (1.01%) | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 0 days | 2 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 Agr
Borrowings under Repurchase Agreements (Details) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2015USD ($)counterparties | Dec. 31, 2014USD ($)counterparties | ||
Reverse Repurchase Agreements [Line Items] | |||
Number of Counterparties with Outstanding Reverse Repurchase Agreements | counterparties | 18 | 16 | |
Concentration Risk, Reverse Repurchase Agreements | 15.00% | 23.00% | |
Number Counterparties With Concentration Risk, Reverse Repurchase Agreements | counterparties | 1 | 1 | |
Forward Starting Reverse Repurchase Agreements | $ 4,400 | $ 50,100 | |
Investments held with dealers as collateral | 1,350,000 | 1,930,000 | |
Pledged Financial Instruments, Not Separately Reported, Securities For Repurchase Agreements Unsettled | $ 16,800 | $ 145,500 | |
Minimum [Member] | |||
Reverse Repurchase Agreements [Line Items] | |||
Reverse Repurchase Agreements Maturity | 30 days | ||
Reverse Repurchase Agreements Remaining Terms | 4 days | 2 days | |
Reverse Repurchase Agreements Interest Rate | 0.37% | (1.50%) | |
Maximum [Member] | |||
Reverse Repurchase Agreements [Line Items] | |||
Reverse Repurchase Agreements Maturity | 180 days | ||
Reverse Repurchase Agreements Remaining Terms | 666 days | 631 days | |
Reverse Repurchase Agreements Interest Rate | 2.92% | 2.42% | |
Reverse Repurchase Agreements [Member] | |||
Reverse Repurchase Agreements [Line Items] | |||
Cash collateral posted for securities sold under agreements to repurchase | [1],[2] | $ 25,542 | $ 14,245 |
Security Owned and Pledged as Collateral, Fair Value | $ 5,100 | $ 12,500 | |
[1] | 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, 2015 and 2014 were $1.36 billion and $1.94 billion, respectively. As of December 31, 2015 and 2014, total cash collateral on financial derivative assets excludes excess net cash collateral pledged of $4.1 million and $22.7 million, respectively. As of December 31, 2015 and 2014, total cash collateral on financial derivative liabilities excludes excess cash collateral pledged of $45.8 million and $23.2 million, respectively. | ||
[2] | When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a specific asset or liability. As a result, in preparing the above tables, the Company has made assumptions in allocating pledged or posted collateral among the various rows. |
Related Party Transactions (Det
Related Party Transactions (Details) - USD ($) | 3 Months Ended | 12 Months Ended | |||||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |||
Related Party Transactions [Abstract] | |||||||||||||
Annual base management fee percentage | 1.50% | ||||||||||||
Management fee description | 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. | ||||||||||||
Management Fee Expense | $ 2,772,000 | $ 2,849,000 | $ 2,920,000 | $ 2,952,000 | $ 2,963,000 | $ 3,056,000 | $ 2,368,000 | $ 2,364,000 | $ 11,493,000 | $ 10,751,000 | [1] | $ 9,115,000 | [1] |
Incentive fee rate | 25.00% | ||||||||||||
Incentive fees arrangement | The Manager is entitled to receive a quarterly incentive fee equal to the positive excess, if any, of (i) the product of (A) 25% and (B) the excess of (1) Adjusted Net Income (described below) for the Incentive Calculation Period (which means such fiscal quarter and the immediately preceding three fiscal quarters) over (2) the sum of the Hurdle Amounts (described below) for the Incentive Calculation Period, over (ii) the sum of the incentive fees already paid or payable for each fiscal quarter in the Incentive Calculation Period preceding such fiscal quarter. For purposes of calculating the incentive fee, "Adjusted Net Income" for the Incentive Calculation Period means the net increase in equity from operations of the Operating Partnership, after all base management fees but before any incentive fees for such period, and excluding any non-cash equity compensation expenses for such period, as reduced by any Loss Carryforward (as described below) as of the end of the fiscal quarter preceding the Incentive Calculation Period. For purposes of calculating the incentive fee, the "Loss Carryforward" as of the end of any fiscal quarter is calculated by determining the excess, if any, of (1) the Loss Carryforward as of the end of the immediately preceding fiscal quarter over (2) the Company's net increase in equity from operations (expressed as a positive number) or net decrease in equity from operations (expressed as a negative number) of the Operating Partnership for such fiscal quarter. As of December 31, 2015 there was no Loss Carryforward. For purposes of calculating the incentive fee, the "Hurdle Amount" means, with respect to any fiscal quarter, the product of (i) one-fourth of the greater of (A) 9% and (B) 3% plus the 10-year U.S. Treasury rate for such fiscal quarter, (ii) the sum of (A) the weighted average gross proceeds per share of all common share and OP Unit issuances since inception of the Company and up to the end of such fiscal quarter, with each issuance weighted by both the number of shares and OP Units issued in such issuance and the number of days that such issued shares and OP Units were outstanding during such fiscal quarter, using a first-in first-out basis of accounting (i.e. attributing any share and OP Unit repurchases to the earliest issuances first) and (B) the result obtained by dividing (I) retained earnings attributable to common shares and OP Units at the beginning of such fiscal quarter by (II) the average number of common shares and OP Units outstanding for each day during such fiscal quarter, (iii) the sum of the average number of common shares, LTIP Units, and OP Units outstanding for each day during such fiscal quarter. For purposes of determining the Hurdle Amount, issuances of common shares and OP Units (a) as equity incentive awards, (b) to the Manager as part of its base management fee or incentive fee and (c) to the Manager or any of its affiliates in privately negotiated transactions, are excluded from the calculation. The payment of the incentive fee will be in a combination of common shares and cash, provided that at least 10% of any quarterly payment will be made in common shares. | ||||||||||||
Incentive fee hurdle rate fixed | 9.00% | ||||||||||||
Incentive fee hurdle rate floating | 3.00% | ||||||||||||
Minimum percentage of incentive fee to be paid in share | 10.00% | ||||||||||||
Incentive fee | $ 0 | $ 1,400,000 | $ 0 | $ 0 | $ 0 | 1,400,000 | [1] | 8,366,000 | [1] | ||||
Expense Reimbursement Period | 60 days | ||||||||||||
Expense Reimbursement - Manager | $ 3,700,000 | $ 3,800,000 | $ 4,800,000 | ||||||||||
Warehouse facility, monetary amount | 3,000,000 | $ 3,000,000 | |||||||||||
Warehouse facility, interest rate | 5.00% | ||||||||||||
Advances made under warehouse facility | 2,600,000 | $ 2,600,000 | |||||||||||
Fair value of loans held in related party trust | $ 3,800,000 | $ 3,800,000 | |||||||||||
Termination Fee, Description | The Management Agreement requires the Company to pay a termination fee to the Manager in the event of (1) the Company's termination or non-renewal of the Management Agreement without cause or (2) the Company's termination of the Management Agreement based on unsatisfactory performance by the Manager that is materially detrimental to the Company (3) the Manager's termination of the Management Agreement upon a default by the Company in the performance of any material term of the Management Agreement. Such termination fee will be equal to the amount of three times the sum of (i) the average annual Quarterly Base Management Fee Amounts paid or payable with respect to the two 12-month periods ending on the last day of the latest fiscal quarter completed on or prior to the date of the notice of termination or non-renewal and (ii) the average annual Quarterly Incentive Fee Amounts paid or payable with respect to the two 12-month periods ending on the last day of the latest fiscal quarter completed on or prior to the date of the notice of termination or non-renewal. | ||||||||||||
[1] | Conformed to current period presentation. |
Long-Term Incentive Plan Unit56
Long-Term Incentive Plan Units (Narrative) (Details) - USD ($) $ in Thousands | 12 Months Ended | ||||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |||
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |||||
Share-based LTIP expense | $ 393 | $ 267 | [1] | $ 179 | [1] |
[1] | Conformed to current period presentation. |
Long-Term Incentive Plan Unit57
Long-Term Incentive Plan Units Long-Term Incentive Plan Units (Unvested LTIP Units) (Details) - Long-Term Incentive Plan Units [Member] | 12 Months Ended | |
Dec. 31, 2015shares | ||
Schedule of Unvested LTIP Units [Line Items] | ||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Grants in Period, Unvested | 28,818 | |
Director [Member] | ||
Schedule of Unvested LTIP Units [Line Items] | ||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Grants in Period, Unvested | 7,425 | |
LTIP Unit, Grant Date | Sep. 15, 2015 | |
LTIP Unit, Vesting Date | Sep. 14, 2016 | [1] |
Vest December 15, 2016 [Member] | Dedicated or partially dedicated personnel [Member] | ||
Schedule of Unvested LTIP Units [Line Items] | ||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Grants in Period, Unvested | 7,822 | |
LTIP Unit, Grant Date | Dec. 15, 2015 | |
LTIP Unit, Vesting Date | Dec. 15, 2016 | [1] |
Vest December 31, 2016 [Member] | Dedicated or partially dedicated personnel [Member] | ||
Schedule of Unvested LTIP Units [Line Items] | ||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Grants in Period, Unvested | 689 | |
LTIP Unit, Grant Date | Dec. 15, 2015 | |
LTIP Unit, Vesting Date | Dec. 31, 2016 | [1] |
Vest December 15, 2017 [Member] | Dedicated or partially dedicated personnel [Member] | ||
Schedule of Unvested LTIP Units [Line Items] | ||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Grants in Period, Unvested | 5,949 | |
LTIP Unit, Grant Date | Dec. 15, 2015 | |
LTIP Unit, Vesting Date | Dec. 15, 2017 | [1] |
Vest December 31, 2017 [Member] | Dedicated or partially dedicated personnel [Member] | ||
Schedule of Unvested LTIP Units [Line Items] | ||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Grants in Period, Unvested | 686 | |
LTIP Unit, Grant Date | Dec. 15, 2015 | |
LTIP Unit, Vesting Date | Dec. 31, 2017 | [1] |
Vest December 11, 2016 [Member] | Dedicated or partially dedicated personnel [Member] | ||
Schedule of Unvested LTIP Units [Line Items] | ||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Grants in Period, Unvested | 6,247 | |
LTIP Unit, Grant Date | Dec. 11, 2014 | |
LTIP Unit, Vesting Date | Dec. 11, 2016 | [1] |
[1] | Date at which such LTIP units will vest and become non-forfeitable. |
Long-Term Incentive Plan Unit58
Long-Term Incentive Plan Units (Roll-Forward Of Company's LTIP Units Outstanding) (Details) - shares | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding [Roll Forward] | |||
Exercised | (1,947) | (1,822) | (1,782) |
Long-Term Incentive Plan Units [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding [Roll Forward] | |||
LTIP Units Outstanding, beginning of period | 429,314 | 411,052 | 397,096 |
Granted | 22,571 | 20,084 | 15,738 |
Exercised | (1,947) | (1,822) | (1,782) |
LTIP Units Outstanding, end of period | 449,938 | 429,314 | 411,052 |
LTIP Units Vested and Outstanding | 421,120 | 404,859 | 395,314 |
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, beginning of period | 375,000 | 375,000 | 375,000 |
Granted | 0 | 0 | 0 |
Exercised | 0 | 0 | 0 |
LTIP Units Outstanding, end of period | 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, beginning of period | 54,314 | 36,052 | 22,096 |
Granted | 22,571 | 20,084 | 15,738 |
Exercised | (1,947) | (1,822) | (1,782) |
LTIP Units Outstanding, end of period | 74,938 | 54,314 | 36,052 |
LTIP Units Vested and Outstanding | 46,120 | 29,859 | 20,314 |
Non-controlling Interests (Deta
Non-controlling Interests (Details) - USD ($) $ in Thousands | Jan. 02, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Noncontrolling Interest [Line Items] | |||||
Stockholders' Equity Attributable to Noncontrolling Interest | $ 6,903 | $ 6,389 | |||
Noncontrolling Interest [Member] | |||||
Noncontrolling Interest [Line Items] | |||||
Stockholders' Equity Attributable to Noncontrolling Interest | $ 6,903 | $ 6,389 | $ 5,648 | $ 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 | $ 2,300 |
Common Share Capitalization (Na
Common Share Capitalization (Narrative) (Details) - USD ($) $ / shares in Units, $ in Thousands | Sep. 08, 2014 | May. 14, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Aug. 03, 2015 |
Common Stock Capitalization [Line Items] | ||||||
Dividends (in usd per share) | $ 2.45 | $ 3.08 | $ 3.83 | |||
Payments of Dividends | $ 83,460 | $ 86,449 | $ 92,067 | |||
Common Shares Issued And Outstanding Upon Conversion of All Convertible Securities | 33,787,950 | 34,090,992 | 26,051,238 | |||
Stock Repurchase Program, Number of Shares Authorized to be Repurchased | 1,700,000 | |||||
Shares repurchased | 325,613 | 0 | 0 | |||
Stock Repurchased and Retired During Period, Value | $ 5,639 | $ 0 | $ 0 | |||
Stock Repurchases, Average Price Per Share | $ 17.32 | |||||
Shares Issued | 8,000,000 | 5,000,000 | 0 | 8,000,000 | 5,000,000 | |
Net proceeds from share issuance | $ 188,200 | $ 125,300 |
Common Share Capitalization (Su
Common Share Capitalization (Summary Of Common Shares Outstanding) (Details) - shares | Sep. 08, 2014 | May. 14, 2013 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||
Common Shares Outstanding, period begin | 33,449,678 | 25,428,186 | 20,370,469 | ||
Shares Issued | 8,000,000 | 5,000,000 | 0 | 8,000,000 | 5,000,000 |
Shares repurchased | (325,613) | 0 | 0 | ||
Shares issued in connection with incentive fee payment | 0 | 19,670 | 55,935 | ||
Directors LTIP units exercised | 1,947 | 1,822 | 1,782 | ||
Common Shares Outstanding, period end | 33,126,012 | 33,449,678 | 25,428,186 |
Earnings Per Share (Details)
Earnings Per Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 12 Months Ended | ||||||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | ||||
Net increase (decrease) in shareholders' equity resulting from operations | ||||||||||||||
Net Income (Loss) Attributable to Parent | $ 1,780 | $ 3,896 | $ 13,152 | $ 19,261 | $ 2,637 | $ 12,948 | $ 20,947 | $ 22,635 | $ 38,089 | $ 59,167 | [1] | $ 78,524 | [1] | |
Net Income (Loss) Attributable to Participating Non-controlling Interest | [2] | 239 | 472 | 735 | ||||||||||
Net income (loss) attributable to parent and participating non-controlling interest | 38,328 | 59,639 | 79,259 | |||||||||||
Net increase in shareholders' equity resulting from operations– common shares | 37,604 | 58,306 | 77,219 | |||||||||||
Net increase in shareholders' equity resulting from operations– LTIP units | 485 | 861 | 1,305 | |||||||||||
Dividends Paid: | ||||||||||||||
Common shareholders | [3] | (81,886) | (84,527) | (89,732) | ||||||||||
LTIP unit holders | [3] | (1,054) | (1,269) | (1,524) | ||||||||||
Non-controlling Interest | [3] | (520) | (653) | (811) | ||||||||||
Total dividends paid to common shareholders, LTIP unit holders, and non-controlling interest | [3],[4] | (83,460) | (86,449) | (92,067) | ||||||||||
Undistributed (Distributed in excess of) earnings: | ||||||||||||||
Common shareholders | (44,282) | (26,221) | (12,513) | |||||||||||
LTIP unit holders | (569) | (408) | (219) | |||||||||||
Non-controlling interest | (281) | (181) | (76) | |||||||||||
Total undistributed (distributed in excess of) earnings attributable to common shareholders, LTIP unit holders, and non-controlling interest | $ (45,132) | $ (26,810) | $ (12,808) | |||||||||||
Weighted average shares outstanding (basic and diluted): | ||||||||||||||
Weighted average common shares outstanding | 33,422,053 | 27,962,304 | 23,587,692 | |||||||||||
Weighted average participating LTIP units | 431,640 | 413,105 | 398,789 | |||||||||||
Weighted average non-controlling interest units | 212,000 | 212,000 | 212,000 | |||||||||||
Basic earnings per common share: | ||||||||||||||
Distributed (in usd per share) | $ 2.45 | $ 3.08 | $ 3.83 | |||||||||||
Undistributed (Distributed in excess of) (in usd per share) | (1.32) | (0.99) | (0.55) | |||||||||||
Basic earnings per common share (in usd per share) | 1.13 | 2.09 | 3.28 | |||||||||||
Diluted earnings per common share: | ||||||||||||||
Distributed (in usd per share) | 2.45 | 3.08 | 3.83 | |||||||||||
Undistributed (Distributed in excess of) (in usd per share) | (1.32) | (0.99) | (0.55) | |||||||||||
Diluted earnings per common share (in usd per share) | $ 1.13 | $ 2.09 | $ 3.28 | |||||||||||
Net Income (Loss) Attributable to Non-Participating Non-controlling Interest | $ 100 | $ 300 | $ 100 | |||||||||||
[1] | Conformed to current period presentation. | |||||||||||||
[2] | For the years ended December 31, 2015, 2014, and 2013, excludes net increase in equity resulting from operations of $0.1 million, $0.3 million, and $0.1 million, respectively attributable to joint venture partners, which have 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, 2015, 2014, and 2013, dividends totaling $2.45, $3.08, and $3.83, respectively, per common share and convertible unit outstanding, were declared and paid. |
Counterparty Risk (Narrative) (
Counterparty Risk (Narrative) (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | |
Risks and Uncertainties [Abstract] | ||||
Collateral Pledged on Reverse Repurchase Agreements Segregated under Securities Exchange Commission Regulation | $ 1,350,000 | |||
Pledged Financial Instruments, Not Separately Reported, Securities For Repurchase Agreements Unsettled | 16,800 | $ 145,500 | ||
Unencumbered investments held in custody | 75,200 | |||
Cash and Cash Equivalents, at Carrying Value | $ 183,909 | $ 114,140 | $ 183,489 | $ 59,084 |
Concentration risk threshold | 15.00% |
Counterparty Risk (% Of Due fro
Counterparty Risk (% Of Due from Brokers) (Details) | Dec. 31, 2015 |
JP Morgan Securities Inc [Member] | |
Concentration Risk [Line Items] | |
% of Total Due from Brokers | 46.00% |
Counterparty Risk (% Of Total R
Counterparty Risk (% Of Total Receivable For Securities Sold) (Details) | Dec. 31, 2015 |
CS First Boston [Member] | |
Concentration Risk [Line Items] | |
% of Total Receivable for Securities Sold | 32.00% |
Affiliates of Bank of America [Member] | |
Concentration Risk [Line Items] | |
% of Total Receivable for Securities Sold | 19.00% |
Counterparty Risk (Cash and Cas
Counterparty Risk (Cash and Cash Equivalents) (Details) | Dec. 31, 2015 | Dec. 31, 2014 |
BlackRock Liquidity Temp Fund [Member] | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage, cash and cash equivalents | 54.00% | 88.00% |
J.P. Morgan US Dollar Liquidity Fund [Member] | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage, cash and cash equivalents | 27.00% | 0.00% |
Bank of New York Mellon Corporation [Member] | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage, cash and cash equivalents | 13.00% | 11.00% |
J.P. Morgan US Treasury Plus Premier Fund [Member] | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage, cash and cash equivalents | 6.00% | 0.00% |
US Bank [Member] | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage, cash and cash equivalents | 0.00% | 1.00% |
Schedule of Restricted Cash (De
Schedule of Restricted Cash (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted Cash | $ 4,857 | $ 0 |
Warehouse facility [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted Cash | 427 | |
Line of Credit [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted Cash | 230 | |
Flow purchase and sale agreement [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted Cash | 3,700 | |
Minimum Required Regulatory Balance [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted Cash | $ 500 |
Offsetting of Assets and Liab68
Offsetting of Assets and Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 | |||
Offsetting of Assets and Liabilities [Line Items] | |||||
Financial derivatives–assets, at fair value- | [1] | $ 162,905 | $ 80,029 | ||
Fair value repurchase agreements | [1] | 105,700 | 172,001 | ||
Financial derivatives–liabilities, at fair value- | [1] | (60,472) | (66,116) | ||
Reverse Repurchase Agreements | [1] | (1,174,189) | (1,669,433) | ||
Derivative Liability Instruments available for offset | (18,644) | (40,671) | |||
Reverse Repurchase Agreements Available for Offset | (105,700) | (172,001) | |||
Derivative Asset Instruments available for offset | 18,644 | 26,758 | |||
Repurchase Agreements Available for Offset | 105,700 | 172,001 | |||
Repurchase Agreements and Related Collateral Net | 0 | 0 | |||
Reverse Repurchase Agreements and Related Collateral Net | 0 | 0 | |||
Securities Collateral relating to Reverse Repurchase Agreements | 1,360,000 | 1,940,000 | |||
Financial Derivatives - Assets [Member] | |||||
Offsetting of Assets and Liabilities [Line Items] | |||||
Financial derivatives–assets, at fair value- | 162,905 | [2] | 80,029 | [3],[4] | |
Financial Instruments Pledged as Collateral | [5],[6] | 0 | 0 | ||
Cash collateral received | [5],[6] | (105,202) | (5,578) | ||
Derivatives and Related Collateral Net | 39,059 | 33,780 | |||
Excess cash collateral | 4,100 | 22,700 | |||
Repurchase Agreements [Member] | |||||
Offsetting of Assets and Liabilities [Line Items] | |||||
Financial Instruments Pledged as Collateral | [5],[6] | 0 | 0 | ||
Cash collateral received | [5],[6] | 0 | 0 | ||
Reverse Repurchase Agreements [Member] | |||||
Offsetting of Assets and Liabilities [Line Items] | |||||
Financial Instruments Pledged as Collateral | [5],[6] | 1,042,947 | 1,483,187 | ||
Cash collateral pledged | [5],[6] | 25,542 | 14,245 | ||
Financial Derivatives - Liabilities [Member] | |||||
Offsetting of Assets and Liabilities [Line Items] | |||||
Financial derivatives–liabilities, at fair value- | (60,472) | [2] | (66,116) | [3],[4] | |
Financial Instruments Pledged as Collateral | [5],[6] | 0 | 0 | ||
Cash collateral pledged | [5],[6] | 41,699 | 17,393 | ||
Derivatives and Related Collateral Net | (129) | (21,965) | |||
Excess cash collateral | $ 45,800 | $ 23,200 | |||
[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] | Conformed to current period presentation. | ||||
[4] | See Note 2 and Note 3 in Notes to Consolidated Financial Statements. | ||||
[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, 2015 and 2014 were $1.36 billion and $1.94 billion, respectively. As of December 31, 2015 and 2014, total cash collateral on financial derivative assets excludes excess net cash collateral pledged of $4.1 million and $22.7 million, respectively. As of December 31, 2015 and 2014, total cash collateral on financial derivative liabilities excludes excess cash collateral pledged of $45.8 million and $23.2 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. |
Commitments And Contingencies C
Commitments And Contingencies Commitments and Contingencies (Details) $ in Millions | 12 Months Ended |
Dec. 31, 2015USD ($) | |
Consumer Loan [Member] | |
Other Commitments [Line Items] | |
Purchase Commitment, Remaining Minimum Amount Committed | $ 44.2 |
Purchase commitment | 100 |
Purchases made in connection with purchase commitments | $ 54.2 |
Debt and equity investments in mortgage originators [Member] | |
Other Commitments [Line Items] | |
Number of Investments | 4 |
Mortgage Originator [Member] | |
Other Commitments [Line Items] | |
Commitments - Debt or Equity Investment | $ 2 |
Mortgage Originator [Member] | Due on or before June 12, 2016 [Member] | |
Other Commitments [Line Items] | |
Commitments - Debt or Equity Investment | 2 |
Non-Exchange Traded Equity Investment in Mortgage Originator | |
Other Commitments [Line Items] | |
Guaranty Liabilities | 7.5 |
Flow agreement March 2015 with mortgage originator [Member] | |
Other Commitments [Line Items] | |
Purchase commitment | 200 |
Purchases made in connection with purchase commitments | 9.4 |
Mortgage Loan Purchase Commitments [Member] | Flow agreement March 2015 with mortgage originator [Member] | |
Other Commitments [Line Items] | |
Derivative Asset, Notional Amount | 7.7 |
Performance Guarantee [Member] | |
Other Commitments [Line Items] | |
Participation Interest in Repo Facility | 10 |
Amount of Utilization | $ 156.2 |
Additional amount to be posted | 5.00% |
Financing Duration | 6 months |
Maximum Borrowings under Repo Facility | $ 200 |
Percentage of Repo Facility Allowed to Comprise of High Quality Jumbo Loans | 7.50% |
Financial Highlights (Narrative
Financial Highlights (Narrative) (Details) | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Financial Highlights [Abstract] | |||
Market Based Total Return | (4.56%) | 0.15% | 18.11% |
Financial Highlights (Results O
Financial Highlights (Results Of Operations For A Share Outstanding) (Details) - $ / shares | 12 Months Ended | ||||||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | ||||
Increase (Decrease) Equity Per Share [Roll Forward] | |||||||
Beginning Shareholders' Equity Per Share (12/31/2014, 12/31/2013, and 12/31/2012, respectively) | $ 23.38 | [1] | $ 24.40 | [1] | $ 24.86 | ||
Net Investment Income | 1.98 | 2.10 | 2.11 | ||||
Net Realized/Unrealized Gains (Losses) | (0.83) | 0.04 | 1.26 | ||||
Results of Operations Attributable to Equity | 1.15 | 2.14 | 3.37 | ||||
Less: Results of Operations Attributable to Non-controlling Interests | (0.01) | (0.03) | (0.04) | ||||
Results of Operations Attributable to Shareholders' Equity | [2] | 1.14 | 2.11 | 3.33 | |||
Dividends Paid to Common Shareholders | (2.45) | (3.08) | (3.83) | ||||
Weighted Average Share Impact on Dividends Paid | [3] | (0.05) | (0.01) | (0.08) | |||
Accretive (Dilutive) Effect of Share Issuances (Net of Offering Costs), Share Repurchases, and Adjustments to Non-controlling Interest | 0.08 | (0.04) | 0.12 | ||||
Ending Shareholders' Equity Per Share (12/31/2015, 12/31/2014, and 12/31/2013, respectively)(3) | [1] | $ 22.10 | $ 23.38 | $ 24.40 | |||
Shares Outstanding, end of period | 33,126,012 | 33,449,678 | 25,428,186 | 20,370,469 | |||
Shareholders Equity Per Share Upon Conversion Of All Convertible Units (in usd per share) | $ 21.80 | $ 23.09 | $ 23.99 | ||||
[1] | If all LTIP units and OP Units previously issued were vested and exchanged for common shares as of December 31, 2015, 2014, and 2013, shareholders' equity per share would be $21.80, $23.09, and $23.99, respectively. | ||||||
[2] | Calculated based on average common shares outstanding and can differ from the calculation for EPS (See Note 11). | ||||||
[3] | Per share impact on dividends paid relating to share issuances/repurchases during the period as well as dividends paid to LTIP and OP Unit holders. |
Financial Highlights (Net Asset
Financial Highlights (Net Asset Value Based Total Return For A Shareholder) (Details) | 12 Months Ended | |||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | ||
Financial Highlights [Abstract] | ||||
Total Return | [1] | 5.14% | 8.77% | 14.19% |
[1] | Total return is calculated assuming reinvestment of distributions at shareholders' equity per share during the period. |
Financial Highlights (Net Inves
Financial Highlights (Net Investment Income Ratio To Average Equity) (Details) | 12 Months Ended | |||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | ||
Financial Highlights [Abstract] | ||||
Net Investment Income | [1],[2] | 8.59% | 8.62% | 8.40% |
[1] | Average equity is calculated using month end values. | |||
[2] | Includes incentive fee in calculation which can vary substantially over periods. |
Financial Highlights (Expense R
Financial Highlights (Expense Ratios To Average Equity) (Details) | 12 Months Ended | |||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | ||
Financial Highlights [Abstract] | ||||
Operating expenses, before interest expense and other investment related expenses | [1] | (2.69%) | (2.80%) | (2.74%) |
Incentive fee | [1] | 0.00% | (0.21%) | (1.42%) |
Interest expense and other investment related expenses | [1] | (2.30%) | (2.14%) | (1.95%) |
Total Expenses | [1] | (4.99%) | (5.15%) | (6.11%) |
[1] | Average equity is calculated using month end values. |
Condensed Quarterly Financial75
Condensed Quarterly Financial Data (Unaudited) (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | [1] | Dec. 31, 2013 | [1] | |||||
INVESTMENT INCOME | |||||||||||||||||
Interest income | $ 23,091 | $ 26,440 | $ 25,739 | $ 26,513 | $ 28,688 | $ 22,353 | $ 20,996 | $ 21,496 | $ 101,783 | $ 93,533 | $ 85,740 | ||||||
Other income | 932 | 565 | 1,023 | 293 | 150 | 168 | 0 | 0 | 2,813 | 318 | 0 | ||||||
Total investment income | 24,023 | 27,005 | 26,762 | 26,806 | 28,838 | 22,521 | 20,996 | 21,496 | 104,596 | 93,851 | 85,740 | ||||||
EXPENSES | |||||||||||||||||
Base management fee | 2,772 | 2,849 | 2,920 | 2,952 | 2,963 | 3,056 | 2,368 | 2,364 | 11,493 | 10,751 | 9,115 | ||||||
Incentive fee | 0 | 1,400 | 0 | 0 | 0 | 1,400 | 8,366 | ||||||||||
Interest expense | 3,186 | 3,073 | 2,867 | 2,986 | 2,705 | 2,179 | 2,416 | 2,627 | 12,112 | 9,927 | 11,025 | ||||||
Other investment related expenses | 1,774 | 1,473 | 1,163 | 1,202 | 1,810 | 1,217 | 1,232 | 430 | 5,612 | 4,689 | 496 | ||||||
Other operating expense | 2,835 | 2,087 | 2,082 | 2,199 | 2,295 | 2,070 | 1,974 | 1,994 | |||||||||
Total expenses | 10,567 | 9,482 | 9,032 | 9,339 | 9,773 | 9,922 | 7,990 | 7,415 | 38,420 | 35,100 | 36,085 | ||||||
Net investment income | 13,456 | 17,523 | 17,730 | 17,467 | 19,065 | 12,599 | 13,006 | 14,081 | 66,176 | 58,751 | 49,655 | ||||||
NET REALIZED AND CHANGE IN NET UNREALIZED GAIN (LOSS) ON INVESTMENTS, FINANCIAL DERIVATIVES, AND FOREIGN CURRENCY TRANSACTIONS/TRANSLATION | |||||||||||||||||
Net realized gain (loss) on investments, financial derivatives, and foreign currency transactions | 1,483 | 8,280 | 761 | 10,429 | (2,447) | (8,483) | 3,684 | 11,408 | 20,953 | 4,162 | 18,002 | ||||||
Change in net unrealized gain (loss) on investments, financial derivatives, and foreign currency translation | (13,077) | (21,876) | (5,268) | (8,479) | (13,858) | 9,031 | 4,514 | (2,651) | (48,700) | (2,964) | 11,705 | ||||||
Net Realized And Unrealized Gain Loss On Investments And Financial Derivatives, and foreign currency | (11,594) | (13,596) | (4,507) | 1,950 | (16,305) | 548 | 8,198 | 8,757 | (27,747) | 1,198 | 29,707 | ||||||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | 1,862 | 3,927 | 13,223 | 19,417 | 2,760 | 13,147 | 21,204 | 22,838 | 38,429 | 59,949 | 79,362 | ||||||
Net Income (Loss) Attributable to Noncontrolling Interest | 82 | 31 | 71 | 156 | 123 | 199 | 257 | 203 | 340 | 782 | 838 | ||||||
Net Income (Loss) Attributable to Parent | $ 1,780 | $ 3,896 | $ 13,152 | $ 19,261 | $ 2,637 | $ 12,948 | $ 20,947 | $ 22,635 | $ 38,089 | $ 59,167 | $ 78,524 | ||||||
NET INCREASE IN SHAREHOLDERS' EQUITY RESULTING FROM OPERATIONS PER SHARE: | |||||||||||||||||
Basic and Diluted (in usd per share) | $ 0.05 | $ 0.12 | $ 0.39 | $ 0.57 | $ 0.08 | [2] | $ 0.46 | [2] | $ 0.81 | [2] | $ 0.88 | [2] | $ 1.13 | $ 2.09 | $ 3.28 | ||
[1] | 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. |
Subsequent Events (Details)
Subsequent Events (Details) - Subsequent Event [Member] | Feb. 09, 2016$ / shares |
Subsequent Event [Line Items] | |
Dividend Per Share | $ 0.50 |
Declared date | Feb. 9, 2016 |
Payment Date | Mar. 15, 2016 |
Record Date | Mar. 1, 2016 |