Document And Entity Information
Document And Entity Information - shares | 3 Months Ended | |
Mar. 31, 2016 | May. 02, 2016 | |
Document and Entity Information [Abstract] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Mar. 31, 2016 | |
Document Fiscal Year Focus | 2,016 | |
Document Fiscal Period Focus | Q1 | |
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 | 32,826,427 |
Consolidated Balance Sheet
Consolidated Balance Sheet - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | ||
ASSETS | ||||
Cash and cash equivalents | $ 142,082 | $ 183,909 | ||
Restricted Cash | 4,485 | 4,857 | ||
Investments, financial derivatives, and repurchase agreements: | ||||
Investments, at fair value (Cost – $1,634,790 and $1,672,400) | 1,625,585 | 1,661,118 | ||
Financial derivatives–assets, at fair value (Net cost – $182,182 and $163,943) | [1] | 190,798 | 162,905 | |
Repurchase agreements, at fair value (Cost – $126,867 and $105,329) | [1] | 127,468 | 105,700 | |
Total investments, financial derivatives, and repurchase agreements | 1,943,851 | 1,929,723 | ||
Due from brokers | 184,973 | 141,605 | ||
Receivable for securities sold and financial derivatives | 606,551 | 705,748 | ||
Interest and principal receivable | 18,289 | 20,444 | ||
Other assets | 2,664 | 5,269 | ||
Total Assets | 2,902,895 | 2,991,555 | ||
Investments and financial derivatives: | ||||
Investments sold short, at fair value (Proceeds – $708,403 and $731,048) | 712,128 | 728,747 | ||
Financial derivatives–liabilities, at fair value (Net proceeds – $51,443 and $56,200) | [1] | 85,679 | 60,472 | |
Total investments and financial derivatives | 797,807 | 789,219 | ||
Reverse repurchase agreements | [1] | 1,149,064 | 1,174,189 | |
Due to brokers | 124,940 | 114,797 | ||
Payable for securities purchased and financial derivatives | 103,376 | 165,365 | ||
Securitized debt (Proceeds – $23,238 and $0) | 23,238 | 0 | ||
Accounts payable and accrued expenses | 3,771 | 3,626 | ||
Base management fee payable | 2,611 | 2,773 | ||
Interest and dividends payable | 2,549 | 1,806 | ||
Other Liabilities | 617 | 828 | ||
Total Liabilities | 2,207,973 | 2,252,603 | ||
Total Equity | 694,922 | 738,952 | ||
TOTAL LIABILITIES AND EQUITY | $ 2,902,895 | $ 2,991,555 | ||
Commitments and contingencies (Note 15) | ||||
ANALYSIS OF EQUITY: | ||||
Common shares, no par value, 100,000,000 shares authorized; (32,962,979 and 33,126,012 shares issued and outstanding) | $ 679,557 | $ 722,360 | ||
Additional paid-in capital – LTIP units | 9,787 | 9,689 | ||
Total Shareholders' Equity | 689,344 | 732,049 | ||
Non-controlling interests | 5,578 | 6,903 | ||
Total Equity | $ 694,922 | $ 738,952 | ||
PER SHARE INFORMATION: | ||||
Common shares (in usd per share) | $ 20.91 | [2] | $ 22.10 | |
[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 March 31, 2016 and 2015, shareholders' equity per share would be $20.63 and $23.01, respectively. |
Consolidated Balance Sheet (Par
Consolidated Balance Sheet (Parenthetical) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2016 | Dec. 31, 2015 | |
Statement of Financial Position [Abstract] | ||
Investments at value, cost | $ 1,634,790 | $ 1,672,400 |
Financial derivatives–assets, at fair value Net cost | 182,182 | 163,943 |
Repurchase agreements, cost | 126,867 | 105,329 |
Investments sold short at value, proceeds | (708,403) | (731,048) |
Financial derivatives-liabilities, at fair value Net proceeds | (51,443) | (56,200) |
Securitized debt proceeds | $ (23,238) | $ 0 |
Common stock, par value | ||
Common stock, shares authorized | 100,000,000 | 100,000,000 |
Common stock, shares issued | 32,962,979 | 33,126,012 |
Common stock, shares outstanding | 32,962,979 | 33,126,012 |
Consolidated Condensed Schedule
Consolidated Condensed Schedule Of Investments (Long Investments) - USD ($) shares in Thousands | 3 Months Ended | 12 Months Ended | |||
Mar. 31, 2016 | Dec. 31, 2015 | ||||
Schedule of Investments [Line Items] | |||||
Fair Value | $ 1,625,585,000 | $ 1,661,118,000 | |||
Investment Owned, at Cost | $ 1,634,790,000 | $ 1,672,400,000 | |||
Percentage collaterallized by GNRCMO certificates | 100.00% | 100.00% | |||
Fair value of loans held in related party trust | $ 4,100,000 | $ 3,800,000 | |||
Non-performing loans, maturity date not applicable | 22,700,000 | 22,600,000 | |||
Mortgage Loans in Process of Foreclosure, Amount | $ 5,700,000 | $ 5,900,000 | |||
Unrated But Agency-Guaranteed [Member] | |||||
Schedule of Investments [Line Items] | |||||
Long investment holdings as a percentage of stockholders' equity | 145.58% | 143.52% | |||
Long Investment Aaa Rating [Member] | |||||
Schedule of Investments [Line Items] | |||||
Long investment holdings as a percentage of stockholders' equity | 1.97% | ||||
Long Investment A Rating [Member] | |||||
Schedule of Investments [Line Items] | |||||
Long investment holdings as a percentage of stockholders' equity | 0.32% | 0.32% | |||
Long Investment BBB Rating [Member] | |||||
Schedule of Investments [Line Items] | |||||
Long investment holdings as a percentage of stockholders' equity | 0.88% | 1.07% | |||
Long Investment BB Rating [Member] | |||||
Schedule of Investments [Line Items] | |||||
Long investment holdings as a percentage of stockholders' equity | 30.77% | 34.89% | |||
Long Investment Unrated Rating [Member] | |||||
Schedule of Investments [Line Items] | |||||
Long investment holdings as a percentage of stockholders' equity | 54.40% | 44.99% | |||
Principal And Interest - Fixed Rate Agency Securities [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 128.89% | [1],[2],[3],[4] | 124.31% | [5],[6],[7],[8] | |
Fair Value | $ 895,711,000 | [1],[3],[4] | $ 918,562,000 | [5],[7],[8] | |
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 | $ 133,583,000 | [1],[3],[4] | $ 128,637,000 | [5],[7],[8] | |
Rate | 4.00% | [1],[3],[4] | 4.00% | [5],[7],[8] | |
Fair Value | $ 144,036,000 | [1],[3],[4] | $ 136,894,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2042-08 | [1],[3],[4] | 2042-08 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2046-04 | [1],[3],[4] | 2045-10 | [5],[7],[8] | |
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 | $ 121,914,000 | [1],[3],[4] | $ 160,391,000 | [5],[7],[8] | |
Rate | 4.00% | [1],[3],[4] | 4.00% | [5],[7],[8] | |
Fair Value | $ 131,292,000 | [1],[3],[4] | $ 170,500,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2043-08 | [1],[3],[4] | 2042-09 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2046-03 | [1],[3],[4] | 2045-08 | [5],[7],[8] | |
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 | $ 104,184,000 | [1],[3],[4] | $ 110,746,000 | [5],[7],[8] | |
Rate | 4.50% | [1],[3],[4] | 4.50% | [5],[7],[8] | |
Fair Value | $ 114,527,000 | [1],[3],[4] | $ 120,785,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2041-10 | [1],[3],[4] | 2041-10 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2046-03 | [1],[3],[4] | 2045-10 | [5],[7],[8] | |
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 | $ 89,125,000 | [1],[3],[4] | $ 72,425,000 | [5],[7],[8] | |
Rate | 3.50% | [1],[3],[4] | 3.50% | [5],[7],[8] | |
Fair Value | $ 94,018,000 | [1],[3],[4] | $ 74,959,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2042-10 | [1],[3],[4] | 2042-10 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2046-04 | [1],[3],[4] | 2045-10 | [5],[7],[8] | |
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 | $ 58,922,000 | [1],[3],[4] | $ 45,792,000 | [5],[7],[8] | |
Rate | 3.50% | [1],[3],[4] | 3.50% | [5],[7],[8] | |
Fair Value | $ 62,734,000 | [1],[3],[4] | $ 48,211,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2028-03 | [1],[3],[4] | 2028-03 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2031-04 | [1],[3],[4] | 2030-10 | [5],[7],[8] | |
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 | $ 51,384,000 | [1],[3],[4] | $ 54,658,000 | [5],[7],[8] | |
Rate | 5.00% | [1],[3],[4] | 5.00% | [5],[7],[8] | |
Fair Value | $ 57,224,000 | [1],[3],[4] | $ 60,473,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2035-10 | [1],[3],[4] | 2035-10 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2044-12 | [1],[3],[4] | 2044-12 | [5],[7],[8] | |
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 | $ 40,491,000 | [1],[3],[4] | $ 42,655,000 | [5],[7],[8] | |
Rate | 4.50% | [1],[3],[4] | 4.50% | [5],[7],[8] | |
Fair Value | $ 44,443,000 | [1],[3],[4] | $ 46,365,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2043-09 | [1],[3],[4] | 2043-09 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2046-03 | [1],[3],[4] | 2045-10 | [5],[7],[8] | |
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 | $ 27,153,000 | [1],[3],[4] | $ 29,417,000 | [5],[7],[8] | |
Rate | 3.50% | [1],[3],[4] | 3.50% | [5],[7],[8] | |
Fair Value | $ 28,668,000 | [1],[3],[4] | $ 30,458,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2042-01 | [1],[3],[4] | 2042-01 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2045-10 | [1],[3],[4] | 2045-10 | [5],[7],[8] | |
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 | $ 23,126,000 | [1],[3],[4] | $ 31,481,000 | [5],[7],[8] | |
Rate | 4.00% | [1],[3],[4] | 4.00% | [5],[7],[8] | |
Fair Value | $ 24,896,000 | [1],[3],[4] | $ 33,620,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2045-06 | [1],[3],[4] | 2045-06 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2046-03 | [1],[3],[4] | 2045-10 | [5],[7],[8] | |
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] | |||||
Investments maturity date | [5],[7],[8] | 2045-04 | |||
Current Principal/Notional Amount | $ 15,066,000 | [1],[3],[4] | $ 3,402,000 | [5],[7],[8] | |
Rate | 3.50% | [1],[3],[4] | 3.50% | [5],[7],[8] | |
Fair Value | $ 15,956,000 | [1],[3],[4] | $ 3,551,000 | [5],[7],[8] | |
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (30 Year) 3.50% [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | [1],[3],[4] | 2045-04 | |||
Principal And Interest - Fixed Rate Agency Securities [Member] | Government National Mortgage Association Pools (30 Year) 3.50% [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | [1],[3],[4] | 2046-02 | |||
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 | $ 14,572,000 | [1],[3],[4] | $ 15,056,000 | [5],[7],[8] | |
Rate | 4.50% | [1],[3],[4] | 4.50% | [5],[7],[8] | |
Fair Value | $ 15,850,000 | [1],[3],[4] | $ 16,328,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2045-08 | [1],[3],[4] | 2045-08 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2045-09 | [1],[3],[4] | 2045-09 | [5],[7],[8] | |
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 | $ 12,782,000 | [1],[3],[4] | $ 13,060,000 | [5],[7],[8] | |
Rate | 3.00% | [1],[3],[4] | 3.00% | [5],[7],[8] | |
Fair Value | $ 13,416,000 | [1],[3],[4] | $ 13,500,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2030-04 | [1],[3],[4] | 2030-04 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2030-10 | [1],[3],[4] | 2030-10 | [5],[7],[8] | |
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 | $ 10,853,000 | [1],[3],[4] | $ 11,558,000 | [5],[7],[8] | |
Rate | 4.00% | [1],[3],[4] | 4.00% | [5],[7],[8] | |
Fair Value | $ 11,651,000 | [1],[3],[4] | $ 12,284,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2026-06 | [1],[3],[4] | 2026-06 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2029-12 | [1],[3],[4] | 2029-12 | [5],[7],[8] | |
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 | $ 10,395,000 | [1],[3],[4] | $ 21,705,000 | [5],[7],[8] | |
Rate | 3.50% | [1],[3],[4] | 3.50% | [5],[7],[8] | |
Fair Value | $ 11,045,000 | [1],[3],[4] | $ 22,848,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2028-09 | [1],[3],[4] | 2028-09 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2030-09 | [1],[3],[4] | 2030-09 | [5],[7],[8] | |
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 | $ 9,395,000 | [1],[3],[4] | $ 8,221,000 | [5],[7],[8] | |
Rate | 3.50% | [1],[3],[4] | 3.50% | [5],[7],[8] | |
Fair Value | $ 9,887,000 | [1],[3],[4] | $ 8,508,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2030-02 | [1],[3],[4] | 2030-02 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2046-03 | [1],[3],[4] | 2043-06 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2065-01 | [1],[3],[4] | 2065-01 | [5],[7],[8] | |
Current Principal/Notional Amount | $ 8,222,000 | [1],[3],[4] | $ 8,154,000 | [5],[7],[8] | |
Rate | 4.56% | [1],[3],[4] | 4.56% | [5],[7],[8] | |
Fair Value | $ 9,219,000 | [1],[3],[4] | $ 8,850,000 | [5],[7],[8] | |
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 | $ 7,509,000 | [1],[3],[4] | $ 7,799,000 | [5],[7],[8] | |
Rate | 5.00% | [1],[3],[4] | 5.00% | [5],[7],[8] | |
Fair Value | $ 8,400,000 | [1],[3],[4] | $ 8,680,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2043-09 | [1],[3],[4] | 2043-09 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2044-01 | [1],[3],[4] | 2044-01 | [5],[7],[8] | |
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 | $ 6,606,000 | [1],[3],[4] | $ 6,705,000 | [5],[7],[8] | |
Rate | 4.68% | [1],[3],[4] | 4.68% | [5],[7],[8] | |
Fair Value | $ 7,372,000 | [1],[3],[4] | $ 7,280,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2063-11 | [1],[3],[4] | 2063-11 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2064-09 | [1],[3],[4] | 2064-09 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2064-11 | [1],[3],[4] | 2064-11 | [5],[7],[8] | |
Current Principal/Notional Amount | $ 6,110,000 | [1],[3],[4] | $ 6,041,000 | [5],[7],[8] | |
Rate | 4.59% | [1],[3],[4] | 4.59% | [5],[7],[8] | |
Fair Value | $ 6,859,000 | [1],[3],[4] | $ 6,565,000 | [5],[7],[8] | |
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 | $ 6,028,000 | [1],[3],[4] | $ 6,196,000 | [5],[7],[8] | |
Rate | 4.61% | [1],[3],[4] | 4.61% | [5],[7],[8] | |
Fair Value | $ 6,749,000 | [1],[3],[4] | $ 6,734,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2064-06 | [1],[3],[4] | 2064-06 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2064-11 | [1],[3],[4] | 2064-11 | [5],[7],[8] | |
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 | $ 5,993,000 | [1],[3],[4] | $ 6,114,000 | [5],[7],[8] | |
Rate | 4.00% | [1],[3],[4] | 4.00% | [5],[7],[8] | |
Fair Value | $ 6,491,000 | [1],[3],[4] | $ 6,558,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2033-11 | [1],[3],[4] | 2033-11 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2033-12 | [1],[3],[4] | 2033-12 | [5],[7],[8] | |
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 | $ 5,609,000 | [1],[3],[4] | $ 6,256,000 | [5],[7],[8] | |
Rate | 3.00% | [1],[3],[4] | 3.00% | [5],[7],[8] | |
Fair Value | $ 5,768,000 | [1],[3],[4] | $ 6,266,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2042-01 | [1],[3],[4] | 2043-01 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2045-06 | [1],[3],[4] | 2043-02 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2039-10 | [1],[3],[4] | 2039-10 | [5],[7],[8] | |
Current Principal/Notional Amount | $ 4,688,000 | [1],[3],[4] | $ 4,713,000 | [5],[7],[8] | |
Rate | 5.50% | [1],[3],[4] | 5.50% | [5],[7],[8] | |
Fair Value | $ 5,278,000 | [1],[3],[4] | $ 5,248,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2063-12 | [1],[3],[4] | 2063-12 | [5],[7],[8] | |
Current Principal/Notional Amount | $ 4,732,000 | [1],[3],[4] | $ 4,888,000 | [5],[7],[8] | |
Rate | 4.62% | [1],[3],[4] | 4.62% | [5],[7],[8] | |
Fair Value | $ 5,240,000 | [1],[3],[4] | $ 5,285,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2026-04 | [1],[3],[4] | 2026-04 | [5],[7],[8] | |
Current Principal/Notional Amount | $ 4,342,000 | [1],[3],[4] | $ 4,564,000 | [5],[7],[8] | |
Rate | 4.50% | [1],[3],[4] | 4.50% | [5],[7],[8] | |
Fair Value | $ 4,680,000 | [1],[3],[4] | $ 4,914,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2061-07 | [1],[3],[4] | 2061-07 | [5],[7],[8] | |
Current Principal/Notional Amount | $ 3,754,000 | [1],[3],[4] | $ 3,764,000 | [5],[7],[8] | |
Rate | 4.50% | [1],[3],[4] | 4.50% | [5],[7],[8] | |
Fair Value | $ 4,103,000 | [1],[3],[4] | $ 4,057,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2064-10 | [1],[3],[4] | 2064-10 | [5],[7],[8] | |
Current Principal/Notional Amount | $ 3,444,000 | [1],[3],[4] | $ 3,406,000 | [5],[7],[8] | |
Rate | 4.63% | [1],[3],[4] | 4.63% | [5],[7],[8] | |
Fair Value | $ 3,878,000 | [1],[3],[4] | $ 3,704,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2061-01 | [1],[3],[4] | 2061-01 | [5],[7],[8] | |
Current Principal/Notional Amount | $ 3,471,000 | [1],[3],[4] | $ 3,748,000 | [5],[7],[8] | |
Rate | 4.75% | [1],[3],[4] | 4.75% | [5],[7],[8] | |
Fair Value | $ 3,581,000 | [1],[3],[4] | $ 3,877,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | [1],[3],[4] | 2030-04 | |||
Current Principal/Notional Amount | $ 3,356,000 | [1],[3],[4] | $ 5,859,000 | [5],[7],[8] | |
Rate | 3.00% | [1],[3],[4] | 3.00% | [5],[7],[8] | |
Fair Value | $ 3,517,000 | [1],[3],[4] | $ 6,054,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | [5],[7],[8] | 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] | |||||
Investments maturity date | [5],[7],[8] | 2030-04 | |||
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] | |||||
Investments maturity date | 2064-11 | [1],[3],[4] | 2064-11 | [5],[7],[8] | |
Current Principal/Notional Amount | $ 3,093,000 | [1],[3],[4] | $ 3,129,000 | [5],[7],[8] | |
Rate | 4.49% | [1],[3],[4] | 4.49% | [5],[7],[8] | |
Fair Value | $ 3,443,000 | [1],[3],[4] | $ 3,376,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2061-02 | [1],[3],[4] | 2061-02 | [5],[7],[8] | |
Current Principal/Notional Amount | $ 3,206,000 | [1],[3],[4] | $ 3,376,000 | [5],[7],[8] | |
Rate | 4.80% | [1],[3],[4] | 4.80% | [5],[7],[8] | |
Fair Value | $ 3,321,000 | [1],[3],[4] | $ 3,504,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2060-04 | [1],[3],[4] | 2060-04 | [5],[7],[8] | |
Current Principal/Notional Amount | $ 2,889,000 | [1],[3],[4] | $ 2,966,000 | [5],[7],[8] | |
Rate | 5.49% | [1],[3],[4] | 5.49% | [5],[7],[8] | |
Fair Value | $ 3,070,000 | [1],[3],[4] | $ 3,151,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2044-05 | [1],[3],[4] | 2044-05 | [5],[7],[8] | |
Current Principal/Notional Amount | $ 2,765,000 | [1],[3],[4] | $ 2,780,000 | [5],[7],[8] | |
Rate | 4.50% | [1],[3],[4] | 4.50% | [5],[7],[8] | |
Fair Value | $ 3,041,000 | [1],[3],[4] | $ 3,031,000 | [5],[7],[8] | |
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 | $ 2,521,000 | [1],[3],[4] | $ 2,533,000 | [5],[7],[8] | |
Rate | 6.00% | [1],[3],[4] | 6.00% | [5],[7],[8] | |
Fair Value | $ 2,885,000 | [1],[3],[4] | $ 2,866,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2039-09 | [1],[3],[4] | 2039-09 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2040-02 | [1],[3],[4] | 2040-02 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2065-03 | [1],[3],[4] | 2065-03 | [5],[7],[8] | |
Current Principal/Notional Amount | $ 2,552,000 | [1],[3],[4] | $ 2,680,000 | [5],[7],[8] | |
Rate | 4.64% | [1],[3],[4] | 4.64% | [5],[7],[8] | |
Fair Value | $ 2,869,000 | [1],[3],[4] | $ 2,924,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2028-06 | [1],[3],[4] | 2028-06 | [5],[7],[8] | |
Current Principal/Notional Amount | $ 2,715,000 | [1],[3],[4] | $ 2,788,000 | [5],[7],[8] | |
Rate | 3.00% | [1],[3],[4] | 3.00% | [5],[7],[8] | |
Fair Value | $ 2,844,000 | [1],[3],[4] | $ 2,880,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2060-02 | [1],[3],[4] | 2060-02 | [5],[7],[8] | |
Current Principal/Notional Amount | $ 2,334,000 | [1],[3],[4] | $ 2,469,000 | [5],[7],[8] | |
Rate | 5.54% | [1],[3],[4] | 5.54% | [5],[7],[8] | |
Fair Value | $ 2,458,000 | [1],[3],[4] | $ 2,598,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2060-02 | [1],[3],[4] | 2060-02 | [5],[7],[8] | |
Current Principal/Notional Amount | $ 2,169,000 | [1],[3],[4] | $ 2,326,000 | [5],[7],[8] | |
Rate | 5.51% | [1],[3],[4] | 5.51% | [5],[7],[8] | |
Fair Value | $ 2,316,000 | [1],[3],[4] | $ 2,479,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2029-02 | [1],[3],[4] | 2029-02 | [5],[7],[8] | |
Current Principal/Notional Amount | $ 1,961,000 | [1],[3],[4] | $ 1,988,000 | [5],[7],[8] | |
Rate | 4.00% | [1],[3],[4] | 4.00% | [5],[7],[8] | |
Fair Value | $ 2,115,000 | [1],[3],[4] | $ 2,121,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | [5],[7],[8] | 2043-07 | |||
Current Principal/Notional Amount | $ 1,774,000 | [1],[3],[4] | $ 1,139,000 | [5],[7],[8] | |
Rate | 3.00% | [1],[3],[4] | 3.00% | [5],[7],[8] | |
Fair Value | $ 1,822,000 | [1],[3],[4] | $ 1,140,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | [1],[3],[4] | 2043-07 | |||
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] | |||||
Investments maturity date | [1],[3],[4] | 2045-10 | |||
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 | $ 1,501,000 | [1],[3],[4] | $ 1,608,000 | [5],[7],[8] | |
Rate | 6.00% | [1],[3],[4] | 6.00% | [5],[7],[8] | |
Fair Value | $ 1,704,000 | [1],[3],[4] | $ 1,807,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2039-04 | [1],[3],[4] | 2039-04 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2040-05 | [1],[3],[4] | 2040-05 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2033-12 | [1],[3],[4] | 2033-12 | [5],[7],[8] | |
Current Principal/Notional Amount | $ 1,277,000 | [1],[3],[4] | $ 1,352,000 | [5],[7],[8] | |
Rate | 4.50% | [1],[3],[4] | 4.50% | [5],[7],[8] | |
Fair Value | $ 1,402,000 | [1],[3],[4] | $ 1,471,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2044-07 | [1],[3],[4] | 2044-07 | [5],[7],[8] | |
Current Principal/Notional Amount | $ 696,000 | [1],[3],[4] | $ 879,000 | [5],[7],[8] | |
Rate | 5.00% | [1],[3],[4] | 5.00% | [5],[7],[8] | |
Fair Value | $ 765,000 | [1],[3],[4] | $ 964,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2033-08 | [1],[3],[4] | 2033-08 | [5],[7],[8] | |
Current Principal/Notional Amount | $ 681,000 | [1],[3],[4] | $ 689,000 | [5],[7],[8] | |
Rate | 5.50% | [1],[3],[4] | 5.50% | [5],[7],[8] | |
Fair Value | $ 763,000 | [1],[3],[4] | $ 764,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2037-06 | [1],[3],[4] | 2037-06 | [5],[7],[8] | |
Current Principal/Notional Amount | $ 110,000 | [1],[3],[4] | $ 126,000 | [5],[7],[8] | |
Rate | 4.00% | [1],[3],[4] | 4.00% | [5],[7],[8] | |
Fair Value | $ 115,000 | [1],[3],[4] | $ 130,000 | [5],[7],[8] | |
Interest Only - Fixed Rate Agency Securities [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 0.86% | [1],[2],[3],[4] | 1.00% | [5],[6],[7],[8] | |
Fair Value | $ 5,942,000 | [1],[3],[4] | $ 7,403,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2043-11 | [1],[3],[4] | 2043-11 | [5],[7],[8] | |
Current Principal/Notional Amount | $ 8,051,000 | [1],[3],[4] | $ 8,681,000 | [5],[7],[8] | |
Rate | 5.50% | [1],[3],[4] | 5.50% | [5],[7],[8] | |
Fair Value | $ 1,340,000 | [1],[3],[4] | $ 1,603,000 | [5],[7],[8] | |
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 | $ 10,311,000 | [1],[3],[4] | $ 11,249,000 | [5],[7],[8] | |
Rate | 5.00% | [1],[3],[4] | 5.00% | [5],[7],[8] | |
Fair Value | $ 1,085,000 | [1],[3],[4] | $ 1,425,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2038-01 | [1],[3],[4] | 2036-01 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2040-05 | [1],[3],[4] | 2040-05 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2032-12 | [1],[3],[4] | 2032-12 | [5],[7],[8] | |
Current Principal/Notional Amount | $ 5,775,000 | [1],[3],[4] | $ 5,977,000 | [5],[7],[8] | |
Rate | 3.50% | [1],[3],[4] | 3.50% | [5],[7],[8] | |
Fair Value | $ 767,000 | [1],[3],[4] | $ 869,000 | [5],[7],[8] | |
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 | $ 7,844,000 | [1],[3],[4] | $ 8,889,000 | [5],[7],[8] | |
Rate | 4.50% | [1],[3],[4] | 4.50% | [5],[7],[8] | |
Fair Value | $ 717,000 | [1],[3],[4] | $ 963,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2020-12 | [1],[3],[4] | 2020-12 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2043-05 | [1],[3],[4] | 2043-05 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2040-03 | [1],[3],[4] | 2040-03 | [5],[7],[8] | |
Current Principal/Notional Amount | $ 4,389,000 | [1],[3],[4] | $ 4,884,000 | [5],[7],[8] | |
Rate | 5.00% | [1],[3],[4] | 5.00% | [5],[7],[8] | |
Fair Value | $ 409,000 | [1],[3],[4] | $ 519,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2041-09 | [1],[3],[4] | 2041-09 | [5],[7],[8] | |
Current Principal/Notional Amount | $ 3,766,000 | [1],[3],[4] | $ 3,909,000 | [5],[7],[8] | |
Rate | 3.00% | [1],[3],[4] | 3.00% | [5],[7],[8] | |
Fair Value | $ 341,000 | [1],[3],[4] | $ 421,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2038-06 | [1],[3],[4] | 2038-06 | [5],[7],[8] | |
Current Principal/Notional Amount | $ 1,360,000 | [1],[3],[4] | $ 1,544,000 | [5],[7],[8] | |
Rate | 6.00% | [1],[3],[4] | 6.00% | [5],[7],[8] | |
Fair Value | $ 301,000 | [1],[3],[4] | $ 330,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2040-07 | [1],[3],[4] | 2040-07 | [5],[7],[8] | |
Current Principal/Notional Amount | $ 1,861,000 | [1],[3],[4] | $ 2,019,000 | [5],[7],[8] | |
Rate | 4.75% | [1],[3],[4] | 4.75% | [5],[7],[8] | |
Fair Value | $ 290,000 | [1],[3],[4] | $ 378,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2037-05 | [1],[3],[4] | 2037-05 | [5],[7],[8] | |
Current Principal/Notional Amount | $ 3,426,000 | [1],[3],[4] | $ 3,782,000 | [5],[7],[8] | |
Rate | 5.00% | [1],[3],[4] | 5.00% | [5],[7],[8] | |
Fair Value | $ 214,000 | [1],[3],[4] | $ 311,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2040-10 | [1],[3],[4] | 2040-10 | [5],[7],[8] | |
Current Principal/Notional Amount | $ 1,539,000 | [1],[3],[4] | $ 1,651,000 | [5],[7],[8] | |
Rate | 5.50% | [1],[3],[4] | 5.50% | [5],[7],[8] | |
Fair Value | $ 198,000 | [1],[3],[4] | $ 239,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2039-05 | [1],[3],[4] | 2039-05 | [5],[7],[8] | |
Current Principal/Notional Amount | $ 1,260,000 | [1],[3],[4] | $ 1,346,000 | [5],[7],[8] | |
Rate | 4.00% | [1],[3],[4] | 4.00% | [5],[7],[8] | |
Fair Value | $ 179,000 | [1],[3],[4] | $ 219,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2039-01 | [1],[3],[4] | 2039-01 | [5],[7],[8] | |
Current Principal/Notional Amount | $ 1,028,000 | [1],[3],[4] | $ 1,109,000 | [5],[7],[8] | |
Rate | 5.50% | [1],[3],[4] | 5.50% | [5],[7],[8] | |
Fair Value | $ 101,000 | [1],[3],[4] | $ 126,000 | [5],[7],[8] | |
TBA - Fixed Rate Agency Securities [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 10.78% | [1],[2],[3],[4] | 13.26% | [5],[6],[7],[8] | |
Current Principal/Notional Amount | $ 71,245,000 | $ 94,602,000 | |||
Fair Value | $ 74,886,000 | [1],[3],[4] | $ 98,009,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | [5],[7],[8] | 2016-01 | |||
Current Principal/Notional Amount | [5],[7],[8] | $ 40,262,000 | |||
Rate | [5],[7],[8] | 4.00% | |||
Fair Value | [5],[7],[8] | $ 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] | |||||
Investments maturity date | 2016-04 | [1],[3],[4] | 2016-01 | [5],[7],[8] | |
Current Principal/Notional Amount | $ 30,000,000 | [1],[3],[4] | $ 26,600,000 | [5],[7],[8] | |
Rate | 3.50% | [1],[3],[4] | 3.50% | [5],[7],[8] | |
Fair Value | $ 31,420,000 | [1],[3],[4] | $ 27,394,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2016-01 | ||||
Current Principal/Notional Amount | [5],[7],[8] | $ 9,800,000 | |||
Rate | [5],[7],[8] | 2.50% | |||
Fair Value | [5],[7],[8] | $ 9,879,000 | |||
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] | |||||
Investments maturity date | 2016-04 | [1],[3],[4] | 2016-01 | [5],[7],[8] | |
Current Principal/Notional Amount | $ 24,650,000 | [1],[3],[4] | $ 700,000 | [5],[7],[8] | |
Rate | 4.00% | [1],[3],[4] | 4.00% | [5],[7],[8] | |
Fair Value | $ 26,359,000 | [1],[3],[4] | $ 743,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2016-04 | [1],[3],[4] | 2016-01 | [5],[7],[8] | |
Current Principal/Notional Amount | $ 14,395,000 | [1],[3],[4] | $ 15,040,000 | [5],[7],[8] | |
Rate | 3.00% | [1],[3],[4] | 3.00% | [5],[7],[8] | |
Fair Value | $ 14,746,000 | [1],[3],[4] | $ 15,022,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2016-04 | [1],[3],[4] | 2016-01 | [5],[7],[8] | |
Current Principal/Notional Amount | $ 2,200,000 | [1],[3],[4] | $ 2,200,000 | [5],[7],[8] | |
Rate | 4.50% | [1],[3],[4] | 4.50% | [5],[7],[8] | |
Fair Value | $ 2,361,000 | [1],[3],[4] | $ 2,364,000 | [5],[7],[8] | |
Fixed Rate Agency Securities [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 140.53% | [1],[2],[3],[4] | 138.57% | [5],[6],[7],[8] | |
Fair Value | $ 976,539,000 | [1],[3],[4] | $ 1,023,974,000 | [5],[7],[8] | |
Investment Owned, at Cost | $ 966,759,000 | [1],[3],[4] | $ 1,023,479,000 | [5],[7],[8] | |
Principal And Interest - Floating Rate Agency Securities [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 2.70% | [1],[2],[3],[4] | 2.58% | [5],[6],[7],[8] | |
Fair Value | $ 18,737,000 | [1],[3],[4] | $ 19,091,000 | [5],[7],[8] | |
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 | 9,391,000 | [1],[3],[4] | 9,490,000 | [5],[7],[8] | |
Fair Value | $ 9,876,000 | [1],[3],[4] | $ 9,990,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2034-11 | [1],[3],[4] | 2035-09 | [5],[7],[8] | |
Rate | 2.05% | [1],[3],[4] | 2.05% | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2045-05 | [1],[3],[4] | 2045-05 | [5],[7],[8] | |
Rate | 6.04% | [1],[3],[4] | 6.04% | [5],[7],[8] | |
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 | $ 6,096,000 | [1],[3],[4] | $ 6,287,000 | [5],[7],[8] | |
Fair Value | $ 6,440,000 | [1],[3],[4] | $ 6,625,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2037-06 | [1],[3],[4] | 2037-06 | [5],[7],[8] | |
Rate | 2.61% | [1],[3],[4] | 2.61% | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2044-05 | [1],[3],[4] | 2044-05 | [5],[7],[8] | |
Rate | 5.94% | [1],[3],[4] | 5.94% | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2064-11 | [1],[3],[4] | 2064-11 | [5],[7],[8] | |
Current Principal/Notional Amount | $ 2,287,000 | [1],[3],[4] | $ 2,349,000 | [5],[7],[8] | |
Rate | 2.78% | [1],[3],[4] | 2.55% | [5],[7],[8] | |
Fair Value | $ 2,421,000 | [1],[3],[4] | $ 2,476,000 | [5],[7],[8] | |
Interest Only - Floating Rate Agency Securities [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 2.35% | [1],[2],[3],[4] | 2.37% | [5],[6],[7],[8] | |
Fair Value | $ 16,364,000 | [1],[3],[4] | $ 17,515,000 | [5],[7],[8] | |
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 | 195,788,000 | [1],[3],[4] | 203,125,000 | [5],[7],[8] | |
Fair Value | $ 11,269,000 | [1],[3],[4] | $ 12,186,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2042-11 | [1],[3],[4] | 2042-11 | [5],[7],[8] | |
Rate | 0.40% | [1],[3],[4] | 0.43% | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2063-10 | [1],[3],[4] | 2063-10 | [5],[7],[8] | |
Rate | 6.32% | [1],[3],[4] | 6.35% | [5],[7],[8] | |
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 | $ 17,511,000 | [1],[3],[4] | $ 18,517,000 | [5],[7],[8] | |
Fair Value | $ 2,511,000 | [1],[3],[4] | $ 2,718,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2033-06 | [1],[3],[4] | 2033-06 | [5],[7],[8] | |
Rate | 5.50% | [1],[3],[4] | 5.50% | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2041-12 | [1],[3],[4] | 2041-12 | [5],[7],[8] | |
Rate | 7.12% | [1],[3],[4] | 7.13% | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2060-08 | [1],[3],[4],[9] | 2060-08 | [5],[7],[8],[10] | |
Current Principal/Notional Amount | $ 19,155,000 | [1],[3],[4],[9] | $ 20,272,000 | [5],[7],[8],[10] | |
Rate | 4.06% | [1],[3],[4],[9] | 4.31% | [5],[7],[8],[10] | |
Fair Value | $ 1,467,000 | [1],[3],[4],[9] | $ 1,486,000 | [5],[7],[8],[10] | |
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 | 6,183,000 | [1],[3],[4] | 6,446,000 | [5],[7],[8] | |
Fair Value | $ 1,117,000 | [1],[3],[4] | $ 1,125,000 | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2036-03 | [1],[3],[4] | 2036-03 | [5],[7],[8] | |
Rate | 5.56% | [1],[3],[4] | 5.67% | [5],[7],[8] | |
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] | |||||
Investments maturity date | 2039-08 | [1],[3],[4] | 2039-08 | [5],[7],[8] | |
Rate | 6.19% | [1],[3],[4] | 6.30% | [5],[7],[8] | |
Floating Rate Agency Securities [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 5.05% | [1],[2],[3],[4] | 4.95% | [5],[6],[7],[8] | |
Fair Value | $ 35,101,000 | [1],[3],[4] | $ 36,606,000 | [5],[7],[8] | |
Investment Owned, at Cost | $ 34,311,000 | [1],[3],[4] | $ 36,192,000 | [5],[7],[8] | |
Agency Securities [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 145.58% | [1],[2],[3],[4] | 143.52% | [5],[6],[7],[8] | |
Fair Value | $ 1,011,640,000 | [1],[3],[4] | $ 1,060,580,000 | [5],[7],[8] | |
Investment Owned, at Cost | $ 1,001,070,000 | [1],[3],[4] | $ 1,059,671,000 | [5],[7],[8] | |
Principal And Interest - Private Label Securities [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 36.18% | [2],[3],[4] | 38.20% | [6],[7],[8] | |
Fair Value | $ 251,421,000 | [3],[4] | $ 282,301,000 | [7],[8] | |
Investment Owned, at Cost | $ 254,742,000 | [3],[4] | $ 280,475,000 | [7],[8] | |
Principal And Interest - Private Label Securities [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 29.06% | [2],[3],[4] | 32.11% | [6],[7],[8] | |
Fair Value | $ 201,928,000 | [3],[4] | $ 237,325,000 | [7],[8] | |
Investment Owned, at Cost | $ 198,343,000 | [3],[4] | $ 229,780,000 | [7],[8] | |
Principal And Interest - Private Label Securities [Member] | Europe [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 7.12% | [2],[3],[4] | 6.09% | [6],[7],[8] | |
Fair Value | $ 49,493,000 | [3],[4] | $ 44,976,000 | [7],[8] | |
Investment Owned, at Cost | 56,399,000 | [3],[4] | 50,695,000 | [7],[8] | |
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 | 336,129,000 | [3],[4] | 380,261,000 | [7],[8] | |
Fair Value | 177,669,000 | [3],[4] | 212,869,000 | [7],[8] | |
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 | 56,929,000 | [3],[4] | 50,851,000 | [7],[8] | |
Fair Value | 41,298,000 | [3],[4] | 37,164,000 | [7],[8] | |
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 | 95,731,000 | [3],[4] | 84,045,000 | [7],[8] | |
Fair Value | 24,259,000 | [3],[4] | 24,456,000 | [7],[8] | |
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 | 8,205,000 | [3],[4] | 7,821,000 | [7],[8] | |
Fair Value | $ 8,195,000 | [3],[4] | $ 7,812,000 | [7],[8] | |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | 2019-05 | [3],[4] | 2019-05 | [7],[8] | |
Rate | 0.00% | [3],[4] | 0.00% | [7],[8] | |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Minimum [Member] | Mortgage-related Residential [Member] | Europe [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | 2025-06 | [3],[4] | 2025-06 | [7],[8] | |
Rate | 0.00% | [3],[4] | 0.00% | [7],[8] | |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Minimum [Member] | Mortgage-related Commercial [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | 2045-07 | [3],[4] | 2045-07 | [7],[8] | |
Rate | 3.00% | [3],[4] | 3.00% | [7],[8] | |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Minimum [Member] | Mortgage-related Commercial [Member] | Europe [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | 2017-06 | [3],[4] | 2017-06 | [7],[8] | |
Rate | 0.00% | [3],[4] | 0.00% | [7],[8] | |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | 2046-09 | [3],[4] | 2046-09 | [7],[8] | |
Rate | 9.35% | [3],[4] | 9.35% | [7],[8] | |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Maximum [Member] | Mortgage-related Residential [Member] | Europe [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | 2050-03 | [3],[4] | 2050-03 | [7],[8] | |
Rate | 5.34% | [3],[4] | 5.32% | [7],[8] | |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Maximum [Member] | Mortgage-related Commercial [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | 2049-03 | [3],[4] | 2048-02 | [7],[8] | |
Rate | 4.40% | [3],[4] | 4.40% | [7],[8] | |
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Maximum [Member] | Mortgage-related Commercial [Member] | Europe [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | 2019-06 | [3],[4] | 2019-06 | [7],[8] | |
Rate | 11.00% | [3],[4] | 11.00% | [7],[8] | |
Principal Only - Private Label Securities [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 0.53% | [2],[3],[4] | 0.51% | [6],[7],[8] | |
Fair Value | $ 3,699,000 | [3],[4] | $ 3,749,000 | [7],[8] | |
Investment Owned, at Cost | $ 2,967,000 | [3],[4] | $ 3,024,000 | [7],[8] | |
Principal Only - Private Label Securities [Member] | Various Issuer [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | 2030-08 | [3],[4] | 2030-08 | [7],[8] | |
Current Principal/Notional Amount | $ 5,668,000 | [3],[4] | $ 5,800,000 | [7],[8] | |
Rate | 0.00% | [3],[4] | 0.00% | [7],[8] | |
Fair Value | $ 3,699,000 | [3],[4] | $ 3,749,000 | [7],[8] | |
Interest Only - Private Label Securities [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 0.57% | [2],[3],[4] | 0.41% | [6],[7],[8] | |
Fair Value | $ 3,945,000 | [3],[4] | $ 3,012,000 | [7],[8] | |
Investment Owned, at Cost | 3,465,000 | [3],[4] | 2,110,000 | [7],[8] | |
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 | 38,978,000 | [3],[4] | 41,097,000 | [7],[8] | |
Fair Value | 1,049,000 | [3],[4] | 1,135,000 | [7],[8] | |
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 | 49,918,000 | [3],[4] | 27,254,000 | [7],[8] | |
Fair Value | $ 2,896,000 | [3],[4] | $ 1,877,000 | [7],[8] | |
Interest Only - Private Label Securities [Member] | Various Issuer [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | 2044-06 | [3],[4] | 2044-06 | [7],[8] | |
Rate | 0.50% | [3],[4] | 0.50% | [7],[8] | |
Interest Only - Private Label Securities [Member] | Various Issuer [Member] | Minimum [Member] | Mortgage-related Commercial [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | 2047-10 | [3],[4] | 2047-10 | [7],[8] | |
Rate | 1.25% | [3],[4] | 1.43% | [7],[8] | |
Interest Only - Private Label Securities [Member] | Various Issuer [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | 2047-09 | [3],[4] | 2047-09 | [7],[8] | |
Rate | 2.00% | [3],[4] | 2.00% | [7],[8] | |
Interest Only - Private Label Securities [Member] | Various Issuer [Member] | Maximum [Member] | Mortgage-related Commercial [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | 2049-03 | [3],[4] | 2048-02 | [7],[8] | |
Rate | 1.57% | [3],[4] | 1.57% | [7],[8] | |
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] | |
Fair Value | $ 0 | [3],[4] | $ 0 | [7],[8] | |
Investment Owned, at Cost | $ 264,000 | [3],[4] | $ 273,000 | [7],[8] | |
Other Private Label Securities [Member] | Various Issuer [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | 2037-06 | [3],[4] | 2037-06 | [7],[8] | |
Current Principal/Notional Amount | $ 97,421,000 | [3],[4] | $ 100,882,000 | [7],[8] | |
Rate | 0.00% | [3],[4] | 0.00% | [7],[8] | |
Fair Value | $ 0 | [3],[4] | $ 0 | [7],[8] | |
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] | |
Rate | 0.00% | [3],[4] | 0.00% | [7],[8] | |
Fair Value | $ 0 | [3],[4] | $ 0 | [7],[8] | |
Other Private Label Securities [Member] | Various Issuer [Member] | Minimum [Member] | Mortgage-related Commercial [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | 2045-07 | [3],[4] | 2045-07 | [7],[8] | |
Other Private Label Securities [Member] | Various Issuer [Member] | Maximum [Member] | Mortgage-related Commercial [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | 2049-03 | [3],[4] | 2048-02 | [7],[8] | |
Private Label Securities [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 37.28% | [2],[3],[4] | 39.12% | [6],[7],[8] | |
Fair Value | $ 259,065,000 | [3],[4] | $ 289,062,000 | [7],[8] | |
Investment Owned, at Cost | $ 261,438,000 | [3],[4] | $ 285,882,000 | [7],[8] | |
Mortgage-Backed Securities [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 182.86% | [2],[3],[4] | 182.64% | [6],[7],[8] | |
Fair Value | $ 1,270,705,000 | [3],[4] | $ 1,349,642,000 | [7],[8] | |
Investment Owned, at Cost | $ 1,262,508,000 | [3],[4] | $ 1,345,553,000 | [7],[8] | |
Collateralized Loan Obligations [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 4.95% | [2],[3],[4] | 6.22% | [6],[7],[8] | |
Fair Value | $ 34,415,000 | [3],[4] | $ 45,974,000 | [7],[8] | |
Investment Owned, at Cost | $ 40,745,000 | [3],[4] | $ 52,576,000 | [7],[8] | |
Collateralized Loan Obligations [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 2.40% | [2],[3],[4] | 2.86% | [6],[7],[8] | |
Fair Value | $ 16,685,000 | [3],[4] | $ 21,120,000 | [7],[8] | |
Investment Owned, at Cost | $ 22,318,000 | [3],[4] | $ 26,341,000 | [7],[8] | |
Collateralized Loan Obligations [Member] | Europe [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 2.55% | [2],[3],[4] | 3.36% | [6],[7],[8] | |
Fair Value | $ 17,730,000 | [3],[4] | $ 24,854,000 | [7],[8] | |
Investment Owned, at Cost | 18,427,000 | [3],[4] | 26,235,000 | [7],[8] | |
Collateralized Loan Obligations [Member] | Various Issuer [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | 62,932,000 | [3],[4] | 67,640,000 | [7],[8] | |
Fair Value | 16,685,000 | [3],[4] | 21,120,000 | [7],[8] | |
Collateralized Loan Obligations [Member] | Various Issuer [Member] | Europe [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | 27,578,000 | [3],[4] | 35,472,000 | [7],[8] | |
Fair Value | $ 17,730,000 | [3],[4] | $ 24,854,000 | [7],[8] | |
Collateralized Loan Obligations [Member] | Various Issuer [Member] | Minimum [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | 2016-05 | [3],[4] | 2016-05 | [7],[8] | |
Rate | 0.00% | [3],[4] | 0.00% | [7],[8] | |
Collateralized Loan Obligations [Member] | Various Issuer [Member] | Minimum [Member] | Europe [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | 2022-01 | [3],[4] | 2022-01 | [7],[8] | |
Rate | 0.00% | [3],[4] | 0.00% | [7],[8] | |
Collateralized Loan Obligations [Member] | Various Issuer [Member] | Maximum [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | 2024-01 | [3],[4] | 2068-09 | [7],[8] | |
Rate | 9.15% | [3],[4] | 9.15% | [7],[8] | |
Collateralized Loan Obligations [Member] | Various Issuer [Member] | Maximum [Member] | Europe [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | 2025-03 | [3],[4] | 2056-12 | [7],[8] | |
Rate | 9.37% | [3],[4] | 4.43% | [7],[8] | |
Consumer loans and asset-backed securities backed by consumer loans [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 20.70% | [2],[3],[4],[11] | 15.61% | [6],[7],[8],[12] | |
Fair Value | $ 143,854,000 | [3],[4],[11] | $ 115,376,000 | [7],[8],[12] | |
Investment Owned, at Cost | $ 143,996,000 | [3],[4],[11] | $ 115,624,000 | [7],[8],[12] | |
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 | 20.29% | [2],[3],[4],[11] | 15.22% | [6],[7],[8],[12] | |
Fair Value | $ 141,012,000 | [3],[4],[11] | $ 112,471,000 | [7],[8],[12] | |
Investment Owned, at Cost | $ 141,696,000 | [3],[4],[11] | $ 112,840,000 | [7],[8],[12] | |
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 | 0.41% | [2],[3],[4],[11] | 0.39% | [6],[7],[8],[12] | |
Fair Value | $ 2,842,000 | [3],[4],[11] | $ 2,905,000 | [7],[8],[12] | |
Investment Owned, at Cost | 2,300,000 | [3],[4],[11] | 2,784,000 | [7],[8],[12] | |
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 | 139,286,000 | [3],[4],[11],[13] | 109,763,000 | [7],[8],[12],[14] | |
Fair Value | $ 141,012,000 | [3],[4],[11],[13] | $ 112,471,000 | [7],[8],[12],[14] | |
Consumer loans and asset-backed securities backed by consumer loans [Member] | Various Issuer [Member] | Consumer [Member] | Europe [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | 2024-08 | [3],[4],[11] | 2024-08 | [7],[8],[12] | |
Current Principal/Notional Amount | $ 1,814,000 | [3],[4],[11] | $ 2,163,000 | [7],[8],[12] | |
Rate | 0.00% | [3],[4],[11] | 0.00% | [7],[8],[12] | |
Fair Value | $ 2,842,000 | [3],[4],[11] | $ 2,905,000 | [7],[8],[12] | |
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] | |||||
Investments maturity date | 2016-04 | [3],[4],[11],[13] | 2016-01 | [7],[8],[12],[14] | |
Rate | 5.50% | [3],[4],[11],[13] | 5.50% | [7],[8],[12],[14] | |
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] | |||||
Investments maturity date | 2021-03 | [3],[4],[11],[13] | 2020-12 | [7],[8],[12],[14] | |
Rate | 49.00% | [3],[4],[11],[13] | 49.00% | [7],[8],[12],[14] | |
Corporate Debt [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 3.53% | [2],[3],[4] | 3.66% | [6],[7],[8] | |
Fair Value | $ 24,552,000 | [3],[4] | $ 27,028,000 | [7],[8] | |
Investment Owned, at Cost | $ 36,285,000 | [3],[4] | $ 34,786,000 | [7],[8] | |
Corporate Debt [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 2.32% | [2],[3],[4] | 2.50% | [6],[7],[8] | |
Fair Value | $ 16,146,000 | [3],[4] | $ 18,452,000 | [7],[8] | |
Investment Owned, at Cost | $ 27,597,000 | [3],[4] | $ 25,815,000 | [7],[8] | |
Corporate Debt [Member] | Europe [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 1.21% | [2],[3],[4] | 1.16% | [6],[7],[8] | |
Fair Value | $ 8,406,000 | [3],[4] | $ 8,576,000 | [7],[8] | |
Investment Owned, at Cost | $ 8,688,000 | [3],[4] | $ 8,971,000 | [7],[8] | |
Corporate Debt [Member] | Various Issuer [Member] | Basic Materials [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | 2019-01 | [3],[4] | 2019-01 | [7],[8] | |
Current Principal/Notional Amount | $ 5,720,000 | [3],[4] | $ 5,720,000 | [7],[8] | |
Rate | 11.75% | [3],[4] | 11.75% | [7],[8] | |
Fair Value | $ 766,000 | [3],[4] | $ 889,000 | [7],[8] | |
Corporate Debt [Member] | Various Issuer [Member] | Communications [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | [3],[4] | 2020-04 | |||
Current Principal/Notional Amount | [3],[4] | $ 1,390,000 | |||
Rate | [3],[4] | 8.50% | |||
Fair Value | [3],[4] | $ 1,433,000 | |||
Corporate Debt [Member] | Various Issuer [Member] | Communications [Member] | Europe [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | 2018-10 | [3],[4] | 2018-10 | [7],[8] | |
Current Principal/Notional Amount | $ 7,670,000 | [3],[4] | $ 7,885,000 | [7],[8] | |
Rate | 14.00% | [3],[4] | 14.00% | [7],[8] | |
Fair Value | $ 7,900,000 | [3],[4] | $ 8,083,000 | [7],[8] | |
Corporate Debt [Member] | Various Issuer [Member] | Consumer [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | 4,025,000 | [3],[4] | 3,985,000 | [7],[8] | |
Fair Value | $ 1,160,000 | [3],[4] | $ 1,282,000 | [7],[8] | |
Corporate Debt [Member] | Various Issuer [Member] | Consumer [Member] | Europe [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | 2016-12 | [3],[4] | 2016-12 | [7],[8] | |
Current Principal/Notional Amount | $ 17,318,000 | [3],[4] | $ 16,443,000 | [7],[8] | |
Rate | 0.00% | [3],[4] | 0.00% | [7],[8] | |
Fair Value | $ 506,000 | [3],[4] | $ 493,000 | [7],[8] | |
Corporate Debt [Member] | Various Issuer [Member] | Energy [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | 14,194,000 | [3],[4] | 14,193,000 | [7],[8] | |
Fair Value | $ 2,198,000 | [3],[4] | $ 2,459,000 | [7],[8] | |
Corporate Debt [Member] | Various Issuer [Member] | Financial [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | 2023-08 | [3],[4] | 2023-08 | [7],[8] | |
Current Principal/Notional Amount | $ 54,000 | [3],[4] | $ 54,000 | [7],[8] | |
Rate | 10.25% | [3],[4] | 10.25% | [7],[8] | |
Fair Value | $ 51,000 | [3],[4] | $ 52,000 | [7],[8] | |
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] | 14,250,000 | [7],[8] | |
Fair Value | $ 10,350,000 | [3],[4] | $ 13,770,000 | [7],[8] | |
Corporate Debt [Member] | Various Issuer [Member] | Technology [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | [3],[4] | 2016-09 | |||
Current Principal/Notional Amount | [3],[4] | $ 190,000 | |||
Rate | [3],[4] | 10.75% | |||
Fair Value | [3],[4] | $ 188,000 | |||
Corporate Debt [Member] | Various Issuer [Member] | Minimum [Member] | Consumer [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | 2020-05 | [3],[4] | 2020-05 | [7],[8] | |
Rate | 5.50% | [3],[4] | 0.00% | [7],[8] | |
Corporate Debt [Member] | Various Issuer [Member] | Minimum [Member] | Energy [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | 2018-09 | [3],[4] | 2018-09 | [7],[8] | |
Rate | 0.00% | [3],[4] | 6.50% | [7],[8] | |
Corporate Debt [Member] | Various Issuer [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | 2017-12 | [3],[4] | 2017-12 | [7],[8] | |
Rate | 0.00% | [3],[4] | 15.00% | [7],[8] | |
Corporate Debt [Member] | Various Issuer [Member] | Maximum [Member] | Consumer [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | 2020-07 | [3],[4] | 2020-07 | [7],[8] | |
Rate | 10.00% | [3],[4] | 10.00% | [7],[8] | |
Corporate Debt [Member] | Various Issuer [Member] | Maximum [Member] | Energy [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | 2020-02 | [3],[4] | 2020-02 | [7],[8] | |
Rate | 10.75% | [3],[4] | 12.25% | [7],[8] | |
Corporate Debt [Member] | Various Issuer [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | 2019-10 | [3],[4] | 2019-10 | [7],[8] | |
Rate | 15.00% | [3],[4] | 20.00% | [7],[8] | |
Mortgage Loans [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 13.23% | [2],[3],[4],[11] | 11.97% | [6],[7],[8],[12] | |
Fair Value | $ 91,945,000 | [3],[4],[11] | $ 88,488,000 | [7],[8],[12] | |
Investment Owned, at Cost | 91,298,000 | [3],[4],[11] | 89,009,000 | [7],[8],[12] | |
Mortgage Loans [Member] | Various Issuer [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | 42,119,000 | [3],[4],[11],[15] | 30,267,000 | [7],[8],[12],[16] | |
Fair Value | 35,580,000 | [3],[4],[11],[15] | 22,089,000 | [7],[8],[12],[16] | |
Mortgage Loans [Member] | Various Issuer [Member] | Mortgage-related Commercial [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | 65,035,000 | [3],[4],[11],[17] | 77,556,000 | [7],[8],[12],[18] | |
Fair Value | $ 56,365,000 | [3],[4],[11],[17] | $ 66,399,000 | [7],[8],[12],[18] | |
Mortgage Loans [Member] | Various Issuer [Member] | Minimum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | 2021-07 | [3],[4],[11],[15] | 2021-07 | [7],[8],[12],[16] | |
Rate | 2.00% | [3],[4],[11],[15] | 1.00% | [7],[8],[12],[16] | |
Mortgage Loans [Member] | Various Issuer [Member] | Minimum [Member] | Mortgage-related Commercial [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | 2016-05 | [3],[4],[11],[17] | 2016-04 | [7],[8],[12],[18] | |
Rate | 2.54% | [3],[4],[11],[17] | 2.54% | [7],[8],[12],[18] | |
Mortgage Loans [Member] | Various Issuer [Member] | Maximum [Member] | Mortgage-related Residential [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | 2056-02 | [3],[4],[11],[15] | 2055-09 | [7],[8],[12],[16] | |
Rate | 13.50% | [3],[4],[11],[15] | 13.50% | [7],[8],[12],[16] | |
Mortgage Loans [Member] | Various Issuer [Member] | Maximum [Member] | Mortgage-related Commercial [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | 2045-07 | [3],[4],[11],[17] | 2045-07 | [7],[8],[12],[18] | |
Rate | 12.00% | [3],[4],[11],[17] | 12.00% | [7],[8],[12],[18] | |
Real Estate Owned [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 3.14% | [2],[3],[4],[11],[19] | 1.70% | [6],[7],[8],[12],[20] | |
Fair Value | $ 21,843,000 | [3],[4],[11],[19] | $ 12,522,000 | [7],[8],[12],[20] | |
Investment Owned, at Cost | 20,156,000 | [3],[4],[11],[19] | 12,254,000 | [7],[8],[12],[20] | |
Real Estate Owned [Member] | Single-Family Houses [Member] | Real estate-related [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Fair Value | $ 2,779,000 | [3],[4],[11],[19] | $ 4,090,000 | [7],[8],[12],[20] | |
Number of Real Estate Properties | 18 | [3],[4],[11],[19] | 28 | [7],[8],[12],[20] | |
Real Estate Owned [Member] | Commercial Property [Member] | Real estate-related [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Fair Value | $ 19,064,000 | [3],[4],[11],[19] | $ 8,432,000 | [7],[8],[12],[20] | |
Number of Real Estate Properties | 5 | [3],[4],[11],[19] | 2 | [7],[8],[12],[20] | |
Private Corporate Equity Investments [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 3.54% | [2],[3],[4] | 2.99% | [6],[7],[8] | |
Fair Value | $ 24,599,000 | [3],[4] | $ 22,088,000 | [7],[8] | |
Investment Owned, at Cost | $ 26,337,000 | [3],[4] | $ 22,598,000 | [7],[8] | |
Private Corporate Equity Investments [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 3.54% | [2],[3],[4] | 2.99% | [6],[7],[8] | |
Fair Value | $ 24,599,000 | [3],[4] | $ 22,088,000 | [7],[8] | |
Investment Owned, at Cost | $ 26,337,000 | [3],[4] | $ 22,598,000 | [7],[8] | |
Private Corporate Equity Investments [Member] | Europe [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 0.00% | [2],[3],[4] | 0.00% | [6],[7],[8] | |
Fair Value | $ 0 | [3],[4] | $ 0 | [7],[8] | |
Investment Owned, at Cost | 0 | [3],[4] | 0 | [7],[8] | |
Private Corporate Equity Investments [Member] | Non-Exchange Traded Corporate Equity [Member] | Consumer [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Fair Value | $ 5,916,000 | [3],[4] | $ 3,032,000 | [7],[8] | |
Investment Owned, Balance, Shares | 1,657 | [3],[4] | 1,592 | [7],[8] | |
Private Corporate Equity Investments [Member] | Non-Exchange Traded Corporate Equity [Member] | Consumer [Member] | Europe [Member] | |||||
Schedule of Investments [Line Items] | |||||
Fair Value | $ 0 | [3],[4] | $ 0 | [7],[8] | |
Investment Owned, Balance, Shares | 125 | [3],[4] | 125 | [7],[8] | |
Private Corporate Equity Investments [Member] | Non-Exchange Traded Corporate Equity [Member] | Diversified [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Fair Value | $ 3,028,000 | [3],[4] | $ 2,389,000 | [7],[8] | |
Investment Owned, Balance, Shares | 179 | [3],[4] | 160 | [7],[8] | |
Private Corporate Equity Investments [Member] | Non-Exchange Traded Corporate Equity [Member] | Technology [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Fair Value | $ 667,000 | [3],[4] | $ 741,000 | [7],[8] | |
Investment Owned, Balance, Shares | 99 | [3],[4] | 99 | [7],[8] | |
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 | $ 7,517,000 | [3],[4] | $ 7,687,000 | [7],[8] | |
Investment Owned, Balance, Shares | 8,171 | [3],[4] | 8,171 | [7],[8] | |
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 | $ 2,918,000 | [3],[4] | $ 2,871,000 | [7],[8] | |
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 | $ 3,700,000 | [3],[4] | $ 4,325,000 | [7],[8] | |
Investment Owned, Balance, Shares | 9,482 | [3],[4] | 9,482 | [7],[8] | |
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 | $ 853,000 | [3],[4] | $ 1,043,000 | [7],[8] | |
Investment Owned, Balance, Shares | 7,478 | [3],[4] | 7,479 | [7],[8] | |
US Treasury Securities [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | [2],[3],[4] | 1.97% | |||
Fair Value | [3],[4] | $ 13,672,000 | |||
Investment Owned, at Cost | [3],[4] | $ 13,465,000 | |||
US Treasury Securities [Member] | US Treasury Bond Securities [Member] | Government [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | [3],[4] | 2046-02 | |||
Current Principal/Notional Amount | [3],[4] | $ 12,033,000 | |||
Rate | [3],[4] | 2.50% | |||
Fair Value | [3],[4] | $ 11,738,000 | |||
US Treasury Securities [Member] | US Treasury Notes Securities [Member] | Government [Member] | North America [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investments maturity date | [3],[4] | 2021-02 | |||
Current Principal/Notional Amount | [3],[4] | $ 1,942,000 | |||
Rate | [3],[4] | 1.13% | |||
Fair Value | [3],[4] | $ 1,934,000 | |||
Long Investments [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 233.92% | [2],[3],[4] | 224.79% | [6],[7],[8] | |
Fair Value | $ 1,625,585,000 | [3],[4] | $ 1,661,118,000 | [7],[8] | |
Investment Owned, at Cost | $ 1,634,790,000 | [3],[4] | $ 1,672,400,000 | [7],[8] | |
Long Investments [Member] | Government National Mortgage Association [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 24.06% | 18.91% | |||
Long Investments [Member] | Federal National Mortgage Association [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 78.59% | 77.17% | |||
Long Investments [Member] | Federal Home Loan Mortgage Corporation [Member] | |||||
Schedule of Investments [Line Items] | |||||
Investment owned as a percentage of equity | 42.93% | 47.44% | |||
[1] | At March 31, 2016, 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 78.59%, 42.93%, and 24.06% 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 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 145.58%Aaa/AAA/AAA 1.97%A/A/A 0.32%Baa/BBB/BBB 0.88%Ba/BB/BB or below 30.77%Unrated 54.40% | ||||
[5] | 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. | ||||
[6] | Classification percentages are based on Total Equity. | ||||
[7] | See Note 2 and Note 3 in Notes to Consolidated Financial Statements. | ||||
[8] | 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% | ||||
[9] | Private trust 100% backed by interest in Government National Mortgage Association collateralized mortgage obligation certificates. | ||||
[10] | Private trust 100% backed by interest in Government National Mortgage Association collateralized mortgage obligation certificates. | ||||
[11] | Loans and real estate owned are beneficially owned by the Company through participation certificates in the various trusts that hold such investments. | ||||
[12] | Loans and real estate owned are beneficially owned by the Company through participation certificates in the various trusts that hold such investments. | ||||
[13] | 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 March 31, 2016 loans held in the related party trust for which the Company has beneficial interests in the residual cash flows, totaled $4.1 million. | ||||
[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] | As of March 31, 2016, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $5.7 million. | ||||
[16] | 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. | ||||
[17] | Includes non-performing commercial loans in the amount of $22.7 million whereby principal and/or interest is past due and a maturity date is not applicable. | ||||
[18] | Includes non-performing commercial loans in the amount of $22.6 million whereby principal and/or interest is past due and a maturity date is not applicable. | ||||
[19] | Number of properties not shown in thousands, represents actual number of properties owned. | ||||
[20] | Number of properties not shown in thousands, represents actual number of properties owned. |
Consolidated Condensed Schedul5
Consolidated Condensed Schedule Of Investments (Repurchase Agreements) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||
Mar. 31, 2016 | Dec. 31, 2015 | ||||
Schedule of Investments [Line Items] | |||||
Fair value repurchase agreements | [1] | $ 127,468 | $ 105,700 | ||
Repurchase agreements, cost | 126,867 | 105,329 | |||
Repurchase Agreements [Member] | |||||
Schedule of Investments [Line Items] | |||||
Fair value repurchase agreements | $ 127,468 | [2],[3] | $ 105,700 | [4],[5] | |
Investment owned as a percentage of equity | 18.34% | [2],[3],[6] | 14.30% | [4],[5],[7] | |
Repurchase agreements, cost | $ 126,867 | [2],[3] | $ 105,329 | [4],[5] | |
Repurchase Agreements [Member] | Barclays Capital Inc. Collateralized By Par Value $15,673 Sovereign Government Bond, Coupon 0.25% Maturity Date 2014-18 [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [2],[3] | 16,085 | |||
Securities collateralized by par value | [2],[3] | $ 15,673 | |||
Coupon rate on underlying collateral | [2],[3] | 0.25% | |||
Maturity date of securities | [2],[3] | 2018-04 | |||
Rate | [2],[3] | (0.60%) | |||
Investments maturity date | [2],[3] | 2016-04 | |||
Fair value repurchase agreements | [2],[3] | $ 16,085 | |||
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 | 15,244 | [2],[3] | 14,756 | [4],[5] | |
Securities collateralized by par value | $ 15,000 | [2],[3] | $ 15,000 | [4],[5] | |
Coupon rate on underlying collateral | 2.00% | [2],[3] | 2.00% | [4],[5] | |
Maturity date of securities | 2025-02 | [2],[3] | 2025-02 | [4],[5] | |
Rate | 0.40% | [2],[3] | 0.35% | [4],[5] | |
Investments maturity date | 2016-04 | [2],[3] | 2016-01 | [4],[5] | |
Fair value repurchase agreements | $ 15,244 | [2],[3] | $ 14,756 | [4],[5] | |
Repurchase Agreements [Member] | Merrill Lynch International Collateralized By Par Value $13,503 Sovereign Government Bond Coupon 0.25% Maturity Date 2020-11 [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [2],[3] | 13,850 | |||
Securities collateralized by par value | [2],[3] | $ 13,503 | |||
Coupon rate on underlying collateral | [2],[3] | 0.25% | |||
Maturity date of securities | [2],[3] | 2020-11 | |||
Rate | [2],[3] | (0.56%) | |||
Investments maturity date | [2],[3] | 2016-04 | |||
Fair value repurchase agreements | [2],[3] | $ 13,850 | |||
Repurchase Agreements [Member] | Barclays Capital Inc. Collateralized By Par Value $8,920 Sovereign Government Bond, Coupon 1.15% Maturity Date 2020-07 [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [2],[3] | 9,456 | |||
Securities collateralized by par value | [2],[3] | $ 8,920 | |||
Coupon rate on underlying collateral | [2],[3] | 1.15% | |||
Maturity date of securities | [2],[3] | 2020-07 | |||
Rate | [2],[3] | (0.95%) | |||
Investments maturity date | [2],[3] | 2016-04 | |||
Fair value repurchase agreements | [2],[3] | $ 9,456 | |||
Repurchase Agreements [Member] | Deutsche Bank Securities Collateralized By Par Value $8,920 Sovereign Government Bond Coupon 0.65% Maturity Date 2020-11 [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [2],[3] | 9,147 | |||
Securities collateralized by par value | [2],[3] | $ 8,920 | |||
Coupon rate on underlying collateral | [2],[3] | 0.65% | |||
Maturity date of securities | [2],[3] | 2020-11 | |||
Rate | [2],[3] | (0.50%) | |||
Investments maturity date | [2],[3] | 2016-04 | |||
Fair value repurchase agreements | [2],[3] | $ 9,147 | |||
Repurchase Agreements [Member] | Barclays Capital Inc. Collateralized By Par Value $7,396 Sovereign Government Bond, Coupon 2.75% Maturity Date 2019-04 [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [2],[3] | 8,329 | |||
Securities collateralized by par value | [2],[3] | $ 7,396 | |||
Coupon rate on underlying collateral | [2],[3] | 2.75% | |||
Maturity date of securities | [2],[3] | 2019-04 | |||
Rate | [2],[3] | (0.60%) | |||
Investments maturity date | [2],[3] | 2016-04 | |||
Fair value repurchase agreements | [2],[3] | $ 8,329 | |||
Repurchase Agreements [Member] | Bank of America Securities Collateralized By Par Value $8,030 U.S. Treasury Bond Coupon 2.50% Maturity Date 2046-02 [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [2],[3] | 7,829 | |||
Securities collateralized by par value | [2],[3] | $ 8,030 | |||
Coupon rate on underlying collateral | [2],[3] | 2.50% | |||
Maturity date of securities | [2],[3] | 2046-02 | |||
Rate | [2],[3] | 0.15% | |||
Investments maturity date | [2],[3] | 2016-04 | |||
Fair value repurchase agreements | [2],[3] | $ 7,829 | |||
Repurchase Agreements [Member] | Bank of America Securities Collateralized By Par Value $5,238 U.S. Treasury Note, Coupon 2.25% Maturity Date 2025-11 [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [2],[3] | 5,461 | |||
Securities collateralized by par value | [2],[3] | $ 5,238 | |||
Coupon rate on underlying collateral | [2],[3] | 2.25% | |||
Maturity date of securities | [2],[3] | 2025-11 | |||
Rate | [2],[3] | 0.40% | |||
Investments maturity date | [2],[3] | 2016-04 | |||
Fair value repurchase agreements | [2],[3] | $ 5,461 | |||
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 | 5,063 | [2],[3] | 5,000 | [4],[5] | |
Securities collateralized by par value | $ 5,000 | [2],[3] | $ 5,000 | [4],[5] | |
Coupon rate on underlying collateral | 1.25% | [2],[3] | 1.25% | [4],[5] | |
Maturity date of securities | 2018-10 | [2],[3] | 2018-10 | [4],[5] | |
Rate | 0.40% | [2],[3] | 0.30% | [4],[5] | |
Investments maturity date | 2016-04 | [2],[3] | 2016-01 | [4],[5] | |
Fair value repurchase agreements | $ 5,063 | [2],[3] | $ 5,000 | [4],[5] | |
Repurchase Agreements [Member] | Bank of America Securities Collateralized by Par Value $4,524 U.S. Treasury Note, Coupon 1.63%, Maturity Date 2026-02 [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [2],[3] | 4,456 | |||
Securities collateralized by par value | [2],[3] | $ 4,524 | |||
Coupon rate on underlying collateral | [2],[3] | 1.63% | |||
Maturity date of securities | [2],[3] | 2026-02 | |||
Rate | [2],[3] | (0.25%) | |||
Investments maturity date | [2],[3] | 2016-04 | |||
Fair value repurchase agreements | [2],[3] | $ 4,456 | |||
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 | 4,070 | [2],[3] | 3,980 | [4],[5] | |
Securities collateralized by par value | $ 4,000 | [2],[3] | $ 4,000 | [4],[5] | |
Coupon rate on underlying collateral | 1.63% | [2],[3] | 1.63% | [4],[5] | |
Maturity date of securities | 2020-06 | [2],[3] | 2020-06 | [4],[5] | |
Rate | 0.40% | [2],[3] | 0.40% | [4],[5] | |
Investments maturity date | 2016-04 | [2],[3] | 2016-01 | [4],[5] | |
Fair value repurchase agreements | $ 4,070 | [2],[3] | $ 3,980 | [4],[5] | |
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 | 4,055 | [2],[3] | 3,965 | [4],[5] | |
Securities collateralized by par value | $ 4,000 | [2],[3] | $ 4,000 | [4],[5] | |
Coupon rate on underlying collateral | 1.50% | [2],[3] | 1.50% | [4],[5] | |
Maturity date of securities | 2020-05 | [2],[3] | 2020-05 | [4],[5] | |
Rate | 0.40% | [2],[3] | 0.40% | [4],[5] | |
Investments maturity date | 2016-04 | [2],[3] | 2016-01 | [4],[5] | |
Fair value repurchase agreements | $ 4,055 | [2],[3] | $ 3,965 | [4],[5] | |
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 | 4,050 | [2],[3] | 3,960 | [4],[5] | |
Securities collateralized by par value | $ 4,000 | [2],[3] | $ 4,000 | [4],[5] | |
Coupon rate on underlying collateral | 1.38% | [2],[3] | 1.38% | [4],[5] | |
Maturity date of securities | 2020-03 | [2],[3] | 2020-03 | [4],[5] | |
Rate | 0.40% | [2],[3] | 0.40% | [4],[5] | |
Investments maturity date | 2016-04 | [2],[3] | 2016-01 | [4],[5] | |
Fair value repurchase agreements | $ 4,050 | [2],[3] | $ 3,960 | [4],[5] | |
Repurchase Agreements [Member] | Bank of America Securities Collateralized by Par Value $3,776 U.S. Treasury Note, Coupon 1.38%, Maturity Date 2021-01 [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [2],[3] | 3,804 | |||
Securities collateralized by par value | [2],[3] | $ 3,776 | |||
Coupon rate on underlying collateral | [2],[3] | 1.38% | |||
Maturity date of securities | [2],[3] | 2021-01 | |||
Rate | [2],[3] | 0.20% | |||
Investments maturity date | [2],[3] | 2016-04 | |||
Fair value repurchase agreements | [2],[3] | $ 3,804 | |||
Repurchase Agreements [Member] | Bank of America Securities Collateralized by Par Value $3,400 U.S. Treasury Note, Coupon 1.63%, Maturity Date 2020-11 [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [2],[3] | 3,464 | |||
Securities collateralized by par value | [2],[3] | $ 3,400 | |||
Coupon rate on underlying collateral | [2],[3] | 1.63% | |||
Maturity date of securities | [2],[3] | 2020-11 | |||
Rate | [2],[3] | 0.40% | |||
Investments maturity date | [2],[3] | 2016-04 | |||
Fair value repurchase agreements | [2],[3] | $ 3,464 | |||
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 | 3,340 | [2],[3] | 3,204 | [4],[5] | |
Securities collateralized by par value | $ 3,200 | [2],[3] | $ 3,200 | [4],[5] | |
Coupon rate on underlying collateral | 2.25% | [2],[3] | 2.25% | [4],[5] | |
Maturity date of securities | 2024-11 | [2],[3] | 2024-11 | [4],[5] | |
Rate | 0.40% | [2],[3] | 0.40% | [4],[5] | |
Investments maturity date | 2016-04 | [2],[3] | 2016-01 | [4],[5] | |
Fair value repurchase agreements | $ 3,340 | [2],[3] | $ 3,204 | [4],[5] | |
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 | 2,055 | [2],[3] | 2,008 | [4],[5] | |
Securities collateralized by par value | $ 2,000 | [2],[3] | $ 2,000 | [4],[5] | |
Coupon rate on underlying collateral | 2.00% | [2],[3] | 2.00% | [4],[5] | |
Maturity date of securities | 2022-07 | [2],[3] | 2022-07 | [4],[5] | |
Rate | 0.40% | [2],[3] | 0.35% | [4],[5] | |
Investments maturity date | 2016-04 | [2],[3] | 2016-01 | [4],[5] | |
Fair value repurchase agreements | $ 2,055 | [2],[3] | $ 2,008 | [4],[5] | |
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 | 2,008 | [2],[3] | 1,978 | [4],[5] | |
Securities collateralized by par value | $ 2,000 | [2],[3] | $ 2,000 | [4],[5] | |
Coupon rate on underlying collateral | 1.25% | [2],[3] | 1.25% | [4],[5] | |
Maturity date of securities | 2020-01 | [2],[3] | 2020-01 | [4],[5] | |
Rate | 0.40% | [2],[3] | 0.25% | [4],[5] | |
Investments maturity date | 2016-04 | [2],[3] | 2016-01 | [4],[5] | |
Fair value repurchase agreements | $ 2,008 | [2],[3] | $ 1,977 | [4],[5] | |
Repurchase Agreements [Member] | Bank of America Securities Collateralized by Par Value $1,942 U.S. Treasury Note, Coupon 1.13%, Maturity Date 2021-02 [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [2],[3] | 1,932 | |||
Securities collateralized by par value | [2],[3] | $ 1,942 | |||
Coupon rate on underlying collateral | [2],[3] | 1.13% | |||
Maturity date of securities | [2],[3] | 2021-02 | |||
Rate | [2],[3] | (0.05%) | |||
Investments maturity date | [2],[3] | 2016-04 | |||
Fair value repurchase agreements | [2],[3] | $ 1,932 | |||
Repurchase Agreements [Member] | Deutsche Bank Securities Collateralized by Par Value $1,868 Sovereign Government Bond, Coupon 4.00%, Maturity Date 2016-09 [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [2],[3] | 1,931 | |||
Securities collateralized by par value | [2],[3] | $ 1,868 | |||
Coupon rate on underlying collateral | [2],[3] | 4.00% | |||
Maturity date of securities | [2],[3] | 2016-09 | |||
Rate | [2],[3] | 0.44% | |||
Investments maturity date | [2],[3] | 2016-04 | |||
Fair value repurchase agreements | [2],[3] | $ 1,931 | |||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $571 Exchange-Traded Corporate Debt, Coupon 3.90%, Maturity Date 2021-08 [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [2],[3] | 654 | |||
Securities collateralized by par value | [2],[3] | $ 571 | |||
Coupon rate on underlying collateral | [2],[3] | 3.90% | |||
Maturity date of securities | [2],[3] | 2021-08 | |||
Rate | [2],[3] | 0.05% | |||
Investments maturity date | [2],[3] | 2016-04 | |||
Fair value repurchase agreements | [2],[3] | $ 654 | |||
Repurchase Agreements [Member] | CS First Boston Collateralized by Par Value $572 Exchange-Traded Corporate Debt, Coupon 0.88%, Maturity Date 2021-05 [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [2],[3] | 623 | |||
Securities collateralized by par value | [2],[3] | $ 572 | |||
Coupon rate on underlying collateral | [2],[3] | 0.88% | |||
Maturity date of securities | [2],[3] | 2021-05 | |||
Rate | [2],[3] | 0.00% | |||
Investments maturity date | [2],[3] | 2016-04 | |||
Fair value repurchase agreements | [2],[3] | $ 623 | |||
Repurchase Agreements [Member] | RBC Capital Markets LLC Collateralized by Par Value $571 Exchange-Traded Corporate Debt, Coupon 0.13%, Maturity Date 2022-06 [Member] | |||||
Schedule of Investments [Line Items] | |||||
Current Principal/Notional Amount | [2],[3] | 562 | |||
Securities collateralized by par value | [2],[3] | $ 571 | |||
Coupon rate on underlying collateral | [2],[3] | 0.13% | |||
Maturity date of securities | [2],[3] | 2022-06 | |||
Rate | [2],[3] | (0.25%) | |||
Investments maturity date | [2],[3] | 2016-04 | |||
Fair value repurchase agreements | [2],[3] | $ 562 | |||
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 | [4],[5] | 19,472 | |||
Securities collateralized by par value | [4],[5] | $ 19,570 | |||
Coupon rate on underlying collateral | [4],[5] | 1.63% | |||
Maturity date of securities | [4],[5] | 2020-11 | |||
Rate | [4],[5] | (0.25%) | |||
Investments maturity date | [4],[5] | 2016-01 | |||
Fair value repurchase agreements | [4],[5] | $ 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 | [4],[5] | 15,296 | |||
Securities collateralized by par value | [4],[5] | $ 14,941 | |||
Coupon rate on underlying collateral | [4],[5] | 0.25% | |||
Maturity date of securities | [4],[5] | 2018-04 | |||
Rate | [4],[5] | (0.48%) | |||
Investments maturity date | [4],[5] | 2016-01 | |||
Fair value repurchase agreements | [4],[5] | $ 15,295 | |||
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 | [4],[5] | 13,200 | |||
Securities collateralized by par value | [4],[5] | $ 13,200 | |||
Coupon rate on underlying collateral | [4],[5] | 2.25% | |||
Maturity date of securities | [4],[5] | 2025-11 | |||
Rate | [4],[5] | (1.00%) | |||
Investments maturity date | [4],[5] | 2016-01 | |||
Fair value repurchase agreements | [4],[5] | $ 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 | [4],[5] | 8,240 | |||
Securities collateralized by par value | [4],[5] | $ 8,250 | |||
Coupon rate on underlying collateral | [4],[5] | 1.75% | |||
Maturity date of securities | [4],[5] | 2020-12 | |||
Rate | [4],[5] | 0.40% | |||
Investments maturity date | [4],[5] | 2016-01 | |||
Fair value repurchase agreements | [4],[5] | $ 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 | [4],[5] | 7,905 | |||
Securities collateralized by par value | [4],[5] | $ 7,050 | |||
Coupon rate on underlying collateral | [4],[5] | 2.75% | |||
Maturity date of securities | [4],[5] | 2019-04 | |||
Rate | [4],[5] | (0.48%) | |||
Investments maturity date | [4],[5] | 2016-01 | |||
Fair value repurchase agreements | [4],[5] | $ 7,905 | |||
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 | [4],[5] | 1,985 | |||
Securities collateralized by par value | [4],[5] | $ 1,916 | |||
Coupon rate on underlying collateral | [4],[5] | 4.00% | |||
Maturity date of securities | [4],[5] | 2016-09 | |||
Rate | [4],[5] | 0.38% | |||
Investments maturity date | [4],[5] | 2016-01 | |||
Fair value repurchase agreements | [4],[5] | $ 1,985 | |||
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 | [4],[5] | 417 | |||
Securities collateralized by par value | [4],[5] | $ 560 | |||
Coupon rate on underlying collateral | [4],[5] | 10.00% | |||
Maturity date of securities | [4],[5] | 2020-06 | |||
Rate | [4],[5] | (3.25%) | |||
Investments maturity date | [4],[5] | 2016-01 | |||
Fair value repurchase agreements | [4],[5] | $ 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 | [4],[5] | 336 | |||
Securities collateralized by par value | [4],[5] | $ 560 | |||
Coupon rate on underlying collateral | [4],[5] | 11.00% | |||
Maturity date of securities | [4],[5] | 2020-03 | |||
Rate | [4],[5] | (0.75%) | |||
Investments maturity date | [4],[5] | 2016-01 | |||
Fair value repurchase agreements | [4],[5] | $ 336 | |||
[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] | In general, securities received pursuant to repurchase agreements were delivered to counterparties in short sale transactions. | ||||
[5] | See Note 2 and Note 3 in Notes to Consolidated Financial Statements. | ||||
[6] | Classification percentages are based on Total Equity. | ||||
[7] | Classification percentages are based on Total Equity. |
Consolidated Condensed Schedul6
Consolidated Condensed Schedule Of Investments (Investments Sold Short) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 12 Months Ended | |||
Mar. 31, 2016 | Dec. 31, 2015 | ||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Investments sold short, at fair value- | $ (712,128) | $ (728,747) | |||
Proceeds from investments sold short | $ (708,403) | $ (731,048) | |||
TBA - Fixed Rate Agency Securities Sold Short [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Investment Sold, Not yet Purchased, Percent of Equity | (82.18%) | [1],[2],[3] | (82.93%) | [4],[5],[6] | |
Current Principal/Notional Amount | $ (535,080) | $ (580,992) | |||
Investments sold short, at fair value- | (571,063) | [1],[3] | (612,777) | [4],[6] | |
Proceeds from investments sold short | $ (569,273) | [1],[3] | $ (612,749) | [4],[6] | |
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Investment Sold, Not yet Purchased, Percent of Equity | (57.42%) | (57.51%) | |||
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 | (18.46%) | (23.25%) | |||
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 | (6.30%) | (2.17%) | |||
Government debt sold short [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Investment Sold, Not yet Purchased, Percent of Equity | (18.68%) | [2],[3] | (15.43%) | [5],[6] | |
Investments sold short, at fair value- | $ (129,798) | [3] | $ (114,051) | [6] | |
Proceeds from investments sold short | $ (128,295) | [3] | $ (115,745) | [6] | |
Common Stock Sold Short [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Investment Sold, Not yet Purchased, Percent of Equity | (1.19%) | [2],[3] | (0.20%) | [5],[6] | |
Investments sold short, at fair value- | $ (8,238) | [3] | $ (1,471) | [6] | |
Proceeds from investments sold short | $ (7,827) | [3] | $ (1,878) | [6] | |
Corporate Debt Sold Short [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Investment Sold, Not yet Purchased, Percent of Equity | (0.43%) | [2],[3] | (0.06%) | [5],[6] | |
Investments sold short, at fair value- | $ (3,029) | [3] | $ (448) | [6] | |
Proceeds from investments sold short | $ (3,008) | [3] | $ (676) | [6] | |
Securities Sold Short - Securities Sold, Not Yet Purchased [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Investment Sold, Not yet Purchased, Percent of Equity | (102.48%) | [2],[3] | (98.62%) | [5],[6] | |
Investments sold short, at fair value- | $ (712,128) | [3] | $ (728,747) | [6] | |
Proceeds from investments sold short | $ (708,403) | [3] | $ (731,048) | [6] | |
North America [Member] | Government debt sold short [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Investment Sold, Not yet Purchased, Percent of Equity | (10.37%) | [2],[3] | (12.11%) | [5],[6] | |
Investments sold short, at fair value- | $ (72,071) | [3] | $ (89,489) | [6] | |
Proceeds from investments sold short | $ (70,785) | [3] | $ (89,735) | [6] | |
Europe [Member] | Government debt sold short [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Investment Sold, Not yet Purchased, Percent of Equity | (8.31%) | [2],[3] | (3.32%) | [5],[6] | |
Investments sold short, at fair value- | $ (57,727) | [3] | $ (24,562) | [6] | |
Proceeds from investments sold short | (57,510) | [3] | (26,010) | [6] | |
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 | $ (94,600) | [1],[3] | $ (79,210) | [4],[6] | |
Rate | 4.50% | [1],[3] | 4.50% | [4],[6] | |
Investments maturity date | 2016-04 | [1],[3] | 2016-01 | [4],[6] | |
Investments sold short, at fair value- | $ (102,940) | [1],[3] | $ (85,553) | [4],[6] | |
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 | $ (76,917) | [1],[3] | $ (110,327) | [4],[6] | |
Rate | 4.00% | [1],[3] | 4.00% | [4],[6] | |
Investments maturity date | 2016-04 | [1],[3] | 2016-01 | [4],[6] | |
Investments sold short, at fair value- | $ (82,109) | [1],[3] | $ (116,593) | [4],[6] | |
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 | $ (71,400) | [1],[3] | $ (69,760) | [4],[6] | |
Rate | 3.50% | [1],[3] | 3.50% | [4],[6] | |
Investments maturity date | 2016-04 | [1],[3] | 2016-01 | [4],[6] | |
Investments sold short, at fair value- | $ (75,408) | [1],[3] | $ (73,054) | [4],[6] | |
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 | $ (54,218) | [1],[3] | $ (48,200) | [4],[6] | |
Rate | 4.00% | [1],[3] | 4.00% | [4],[6] | |
Investments maturity date | 2016-04 | [1],[3] | 2016-02 | [4],[6] | |
Investments sold short, at fair value- | $ (57,935) | [1],[3] | $ (50,911) | [4],[6] | |
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 | $ (50,620) | [1],[3] | $ (51,970) | [4],[6] | |
Rate | 5.00% | [1],[3] | 5.00% | [4],[6] | |
Investments maturity date | 2016-04 | [1],[3] | 2016-01 | [4],[6] | |
Investments sold short, at fair value- | $ (56,002) | [1],[3] | $ (57,214) | [4],[6] | |
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 | $ (42,962) | [1],[3] | $ (23,600) | [4],[6] | |
Rate | 3.00% | [1],[3] | 3.00% | [4],[6] | |
Investments maturity date | 2016-04 | [1],[3] | 2016-02 | [4],[6] | |
Investments sold short, at fair value- | $ (44,071) | [1],[3] | $ (23,555) | [4],[6] | |
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 | $ (41,400) | [1],[3] | $ (5,050) | [4],[6] | |
Rate | 3.50% | [1],[3] | 3.50% | [4],[6] | |
Investments maturity date | 2016-04 | [1],[3] | 2016-01 | [4],[6] | |
Investments sold short, at fair value- | $ (43,763) | [1],[3] | $ (5,267) | [4],[6] | |
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 | $ (25,042) | [1],[3] | $ (43,842) | [4],[6] | |
Rate | 3.50% | [1],[3] | 3.50% | [4],[6] | |
Investments maturity date | 2016-04 | [1],[3] | 2016-01 | [4],[6] | |
Investments sold short, at fair value- | $ (26,256) | [1],[3] | $ (45,233) | [4],[6] | |
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 | $ (20,951) | [1],[3] | $ (21,881) | [4],[6] | |
Rate | 4.50% | [1],[3] | 4.50% | [4],[6] | |
Investments maturity date | 2016-04 | [1],[3] | 2016-01 | [4],[6] | |
Investments sold short, at fair value- | $ (22,761) | [1],[3] | $ (23,577) | [4],[6] | |
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 | [1],[3] | $ (16,600) | |||
Rate | [1],[3] | 2.50% | |||
Investments maturity date | [1],[3] | 2016-04 | |||
Investments sold short, at fair value- | [1],[3] | $ (17,042) | |||
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 | $ (13,510) | [1],[3] | $ (16,510) | [4],[6] | |
Rate | 3.00% | [1],[3] | 3.00% | [4],[6] | |
Investments maturity date | 2016-04 | [1],[3] | 2016-01 | [4],[6] | |
Investments sold short, at fair value- | $ (14,126) | [1],[3] | $ (17,018) | [4],[6] | |
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] | $ (11,170) | [4],[6] | |
Rate | 4.00% | [1],[3] | 4.00% | [4],[6] | |
Investments maturity date | 2016-04 | [1],[3] | 2016-01 | [4],[6] | |
Investments sold short, at fair value- | $ (11,637) | [1],[3] | $ (11,629) | [4],[6] | |
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 | $ (8,790) | [1],[3] | $ (13,980) | [4],[6] | |
Rate | 3.50% | [1],[3] | 3.50% | [4],[6] | |
Investments maturity date | 2016-04 | [1],[3] | 2016-01 | [4],[6] | |
Investments sold short, at fair value- | $ (9,279) | [1],[3] | $ (14,618) | [4],[6] | |
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] | |
Rate | 5.50% | [1],[3] | 5.50% | [4],[6] | |
Investments maturity date | 2016-04 | [1],[3] | 2016-01 | [4],[6] | |
Investments sold short, at fair value- | $ (7,692) | [1],[3] | $ (7,646) | [4],[6] | |
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 | $ (40) | [1],[3] | $ (37,140) | [4],[6] | |
Rate | 3.00% | [1],[3] | 3.00% | [4],[6] | |
Investments maturity date | 2016-04 | [1],[3] | 2016-01 | [4],[6] | |
Investments sold short, at fair value- | $ (42) | [1],[3] | $ (38,264) | [4],[6] | |
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 | [4],[6] | $ (17,600) | |||
Rate | [4],[6] | 3.50% | |||
Investments maturity date | [4],[6] | 2016-02 | |||
Investments sold short, at fair value- | [4],[6] | $ (18,120) | |||
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 | [4],[6] | $ (13,742) | |||
Rate | [4],[6] | 3.00% | |||
Investments maturity date | [4],[6] | 2016-01 | |||
Investments sold short, at fair value- | [4],[6] | $ (13,743) | |||
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 | [4],[6] | $ (10,150) | |||
Rate | [4],[6] | 4.00% | |||
Investments maturity date | [4],[6] | 2016-01 | |||
Investments sold short, at fair value- | [4],[6] | $ (10,782) | |||
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 | (59,007) | [3] | (90,120) | [6] | |
Investments sold short, at fair value- | (60,053) | [3] | $ (89,489) | [6] | |
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 | [3] | $ (12,320) | |||
Rate | [3] | 2.50% | |||
Investments maturity date | [3] | 2046-02 | |||
Investments sold short, at fair value- | [3] | $ (12,018) | |||
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 | 1.13% | [3] | 1.25% | [6] | |
Investments maturity date | 2018-10 | [3] | 2018-10 | [6] | |
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] | |
Investments maturity date | 2026-02 | [3] | 2025-08 | [6] | |
Government [Member] | Europe [Member] | Government debt sold short [Member] | Sovereign Debt Securities [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Current Principal/Notional Amount | $ (56,281) | [3] | $ (23,907) | [6] | |
Investments sold short, at fair value- | $ (57,727) | [3] | $ (24,562) | [6] | |
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] | 0.25% | [6] | |
Investments maturity date | 2016-09 | [3] | 2016-09 | [6] | |
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] | |
Investments maturity date | 2020-11 | [3] | 2019-04 | [6] | |
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- | $ (3,799) | [3] | $ (1,471) | [6] | |
Investment Sold, Not yet Purchased, Balance, Shares | (386) | [3] | (306) | [6] | |
Energy [Member] | North America [Member] | Corporate Debt Sold Short [Member] | Various Issuer [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Current Principal/Notional Amount | [6] | $ (1,120) | |||
Investments sold short, at fair value- | [6] | $ (448) | |||
Energy [Member] | North America [Member] | Corporate Debt Sold Short [Member] | Minimum [Member] | Various Issuer [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Rate | [6] | 10.00% | |||
Investments maturity date | [6] | 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 | [6] | 11.00% | |||
Investments maturity date | [6] | 2020-06 | |||
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- | [3] | $ (4,439) | |||
Investment Sold, Not yet Purchased, Balance, Shares | [3] | (300) | |||
Basic Materials [Member] | North America [Member] | Corporate Debt Sold Short [Member] | Various Issuer [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Current Principal/Notional Amount | [3] | $ (571) | |||
Rate | [3] | 3.55% | |||
Investments maturity date | [3] | 2022-03 | |||
Investments sold short, at fair value- | [3] | $ (397) | |||
Consumer [Member] | North America [Member] | Corporate Debt Sold Short [Member] | Various Issuer [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Current Principal/Notional Amount | [3] | (1,998) | |||
Investments sold short, at fair value- | [3] | $ (2,005) | |||
Consumer [Member] | North America [Member] | Corporate Debt Sold Short [Member] | Minimum [Member] | Various Issuer [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Rate | [3] | 5.13% | |||
Investments maturity date | [3] | 2021-08 | |||
Consumer [Member] | North America [Member] | Corporate Debt Sold Short [Member] | Maximum [Member] | Various Issuer [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Rate | [3] | 5.88% | |||
Investments maturity date | [3] | 2022-06 | |||
Industrial [Member] | North America [Member] | Corporate Debt Sold Short [Member] | Various Issuer [Member] | |||||
Investments Sold, Not yet Purchased [Line Items] | |||||
Current Principal/Notional Amount | [3] | $ (572) | |||
Rate | [3] | 3.90% | |||
Investments maturity date | [3] | 2021-05 | |||
Investments sold short, at fair value- | [3] | $ (627) | |||
[1] | At March 31, 2016, 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 57.42%, 18.46%, and 6.30% 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, 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. | ||||
[5] | Classification percentages are based on Total Equity. | ||||
[6] | See Note 2 and Note 3 in Notes to Consolidated Financial Statements. |
Consolidated Condensed Schedul7
Consolidated Condensed Schedule Of Investments (Financial Derivatives) | 3 Months Ended | 12 Months Ended | |||
Mar. 31, 2016USD ($)contracts | Dec. 31, 2015USD ($)contracts | ||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | [1] | $ 190,798,000 | $ 162,905,000 | ||
Derivative Liabilities | [1] | (85,679,000) | (60,472,000) | ||
Net cost | 182,182,000 | 163,943,000 | |||
Net proceeds | (51,443,000) | (56,200,000) | |||
Eurodollar Future [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Future contract notional | $ 1,000,000 | $ 1,000,000 | |||
Future contract | contracts | 1 | 1 | |||
Financial Derivatives - Assets [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | $ 190,798,000 | [2] | $ 162,905,000 | [3] | |
Financial Derivative Assets, Percent of Net Assets | 27.46% | [2],[4] | 22.05% | [3],[5] | |
Net cost | $ 182,182,000 | [2] | $ 163,934,000 | [3] | |
Financial Derivatives - Assets [Member] | Affiliates of Bank of America [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Financial Derivative Assets, Percent of Net Assets | 8.40% | 6.01% | |||
Financial Derivatives - Assets [Member] | Affiliates of JP Morgan [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Financial Derivative Assets, Percent of Net Assets | 6.32% | ||||
Financial Derivatives - Assets [Member] | Affiliates of Goldman Sachs [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Financial Derivative Assets, Percent of Net Assets | 5.21% | ||||
Financial Derivatives - Assets [Member] | Swap [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | $ 190,395,000 | [2],[6] | $ 159,423,000 | [3],[7] | |
Financial Derivative Assets, Percent of Net Assets | 27.40% | [2],[4],[6] | 21.58% | [3],[5],[7] | |
Net cost | $ 181,742,000 | [2],[6] | $ 161,193,000 | [3],[7] | |
Financial Derivatives - Assets [Member] | Futures [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | $ 8,000 | [2] | $ 32,000 | [3] | |
Financial Derivative Assets, Percent of Net Assets | 0.00% | [2],[4] | 0.01% | [3],[5] | |
Financial Derivatives - Assets [Member] | Options [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | $ 252,000 | [2] | $ 2,162,000 | [3] | |
Financial Derivative Assets, Percent of Net Assets | 0.04% | [2],[4] | 0.29% | [3],[5] | |
Net cost | $ 340,000 | [2] | $ 2,600,000 | [3] | |
Financial Derivatives - Assets [Member] | Forwards [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | [3] | $ 1,138,000 | |||
Financial Derivative Assets, Percent of Net Assets | [3],[5] | 0.15% | |||
Financial Derivatives - Assets [Member] | Warrant [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | $ 100,000 | [2] | $ 150,000 | [3] | |
Financial Derivative Assets, Percent of Net Assets | 0.01% | [2],[4] | 0.02% | [3],[5] | |
Net cost | $ 100,000 | [2] | $ 150,000 | [3] | |
Financial Derivatives - Assets [Member] | Mortgage Loan Purchase Commitments [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | [2] | $ 43,000 | |||
Financial Derivative Assets, Percent of Net Assets | [2],[4] | 0.01% | |||
Financial Derivatives - Liabilities [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liabilities | $ (85,679,000) | [2] | $ (60,472,000) | [3] | |
Financial Derivative Liabilities, Percent of Net Assets | (12.33%) | [2],[4] | (8.18%) | [3],[5] | |
Net proceeds | $ (51,443,000) | [2] | $ (56,200,000) | [3] | |
Financial Derivatives - Liabilities [Member] | Affiliates of JP Morgan [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Financial Derivative Liabilities, Percent of Net Assets | (8.85%) | (6.32%) | |||
Financial Derivatives - Liabilities [Member] | Swap [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liabilities | $ (76,791,000) | [2],[6] | $ (58,163,000) | [3],[7] | |
Financial Derivative Liabilities, Percent of Net Assets | (11.05%) | [2],[4],[6] | (7.87%) | [3],[5],[7] | |
Net proceeds | $ (49,471,000) | [2],[6] | $ (53,679,000) | [3],[7] | |
Financial Derivatives - Liabilities [Member] | Futures [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liabilities | $ (377,000) | [2] | $ (528,000) | [3] | |
Financial Derivative Liabilities, Percent of Net Assets | (0.05%) | [2],[4] | (0.07%) | [3],[5] | |
Financial Derivatives - Liabilities [Member] | Options [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liabilities | $ (6,589,000) | [2] | $ (1,760,000) | [3] | |
Financial Derivative Liabilities, Percent of Net Assets | (0.95%) | [2],[4] | (0.24%) | [3],[5] | |
Net proceeds | $ (1,972,000) | [2] | $ (2,521,000) | [3] | |
Financial Derivatives - Liabilities [Member] | Forwards [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liabilities | $ (1,922,000) | [2] | $ (13,000) | [3] | |
Financial Derivative Liabilities, Percent of Net Assets | (0.28%) | [2],[4] | 0.00% | [3],[5] | |
Financial Derivatives - Liabilities [Member] | Mortgage Loan Purchase Commitments [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liabilities | [3] | $ (8,000) | |||
Financial Derivative Liabilities, Percent of Net Assets | [3],[5] | 0.00% | |||
Put Option [Member] | Options on U.S. Treasury Futures [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Number of contracts | contracts | 39 | ||||
Call Option [Member] | 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 - Assets [Member] | Mortgage Loan Purchase Commitments [Member] | Mortgage-related Residential [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | [2],[8] | $ 43,000 | |||
Derivative Asset, Notional Amount | [2],[8] | $ 13,570,000 | |||
Interest Rate Risk [Member] | Financial Derivatives - Assets [Member] | Mortgage Loan Purchase Commitments [Member] | Mortgage-related Residential [Member] | Minimum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2],[8] | 2016-04 | |||
Interest Rate Risk [Member] | Financial Derivatives - Assets [Member] | Mortgage Loan Purchase Commitments [Member] | Mortgage-related Residential [Member] | Maximum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2],[8] | 2016-05 | |||
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 Liabilities | [3],[9] | $ (8,000) | |||
Derivative Liability, Notional Amount | [3],[9] | $ 7,713,000 | |||
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 | [3],[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 | [3],[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 | $ 100,000 | [2],[10] | $ 150,000 | [3],[11] | |
Derivative Asset, Notional Amount | $ 1,554,000 | [2],[10] | $ 1,555,000 | [3],[11] | |
Long [Member] | US Treasury Note Futures [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Number of contracts | contracts | 84 | 343 | |||
Long [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Bond Indices [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | [2],[6],[12] | $ 139,784,000 | |||
Long [Member] | Financial Derivatives - Assets [Member] | Total Return Swaps [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | 1,074,000 | [2],[6],[13] | $ 85,000 | [3],[7] | |
Long [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Bonds [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | [2],[6],[12] | 98,000 | |||
Long [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liabilities | (674,000) | [2],[6] | (4,662,000) | [3],[7] | |
Long [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Bonds [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liabilities | [2],[6],[12] | (204,000) | |||
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],[7],[14] | 135,752,000 | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Indices [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | 54,000 | [2],[6],[12] | 56,000 | [3],[7],[14] | |
Derivative Asset, Notional Amount | $ 1,415,000 | [2],[6],[12] | $ 1,468,000 | [3],[7],[14] | |
Range of expiration dates | 2037-12 | [2],[6],[12] | 2037-12 | [3],[7],[14] | |
Long [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Total Return Swaps [Member] | North America [Member] | Basic Materials [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | [2],[6],[13] | $ 11,000 | |||
Derivative Asset, Notional Amount | [2],[6],[13] | $ 184,000 | |||
Range of expiration dates | [2],[6],[13] | 2017-03 | |||
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 | $ 171,000 | [2],[6],[13] | $ 49,000 | [3],[7],[15] | |
Derivative Asset, Notional Amount | $ 10,662,000 | [2],[6],[13] | $ 3,836,000 | [3],[7],[15] | |
Range of expiration dates | [2],[6],[13] | 2017-02 | |||
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 | [3],[7],[15] | 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 | [3],[7],[15] | 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 | $ 276,000 | [2],[6],[13] | $ 31,000 | [3],[7],[15] | |
Derivative Asset, Notional Amount | $ 8,648,000 | [2],[6],[13] | $ 4,880,000 | [3],[7],[15] | |
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 | 2017-02 | [2],[6],[13] | 2016-03 | [3],[7],[15] | |
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 | 2017-03 | [2],[6],[13] | 2017-01 | [3],[7],[15] | |
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] | |||||
Derivative Asset | $ 7,000 | [2],[6],[13] | $ 5,000 | [3],[7],[15] | |
Derivative Asset, Notional Amount | $ 2,308,000 | [2],[6],[13] | $ 729,000 | [3],[7],[15] | |
Range of expiration dates | 2017-02 | [2],[6],[13] | 2016-10 | [3],[7],[15] | |
Long [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Total Return Swaps [Member] | North America [Member] | Financial [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | [2],[6],[13] | $ 57,000 | |||
Derivative Asset, Notional Amount | [2],[6],[13] | $ 938,000 | |||
Range of expiration dates | [2],[6],[13] | 2017-02 | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Total Return Swaps [Member] | North America [Member] | Industrial [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | [2],[6],[13] | $ 283,000 | |||
Derivative Asset, Notional Amount | [2],[6],[13] | $ 3,710,000 | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Total Return Swaps [Member] | North America [Member] | Industrial [Member] | Minimum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2],[6],[13] | 2017-02 | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Total Return Swaps [Member] | North America [Member] | Industrial [Member] | Maximum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2],[6],[13] | 2017-03 | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Total Return Swaps [Member] | North America [Member] | Technology [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | [2],[6],[13] | $ 239,000 | |||
Derivative Asset, Notional Amount | [2],[6],[13] | $ 3,160,000 | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Total Return Swaps [Member] | North America [Member] | Technology [Member] | Minimum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2],[6],[13] | 2017-02 | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Total Return Swaps [Member] | North America [Member] | Technology [Member] | Maximum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2],[6],[13] | 2017-03 | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Total Return Swaps [Member] | North America [Member] | Utilities [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | [2],[6],[13] | $ 30,000 | |||
Derivative Asset, Notional Amount | [2],[6],[13] | $ 2,330,000 | |||
Range of expiration dates | [2],[6],[13] | 2017-02 | |||
Long [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] | |||||
Derivative Asset | [2],[6],[12] | $ 90,000 | |||
Derivative Asset, Notional Amount | [2],[6],[12] | $ 571,000 | |||
Range of expiration dates | [2],[6],[12] | 2021-06 | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Bonds [Member] | North America [Member] | Industrial [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | [2],[6],[12] | $ 8,000 | |||
Derivative Asset, Notional Amount | [2],[6],[12] | $ 643,000 | |||
Range of expiration dates | [2],[6],[12] | 2020-12 | |||
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 Liabilities | $ (1,330,000) | [2],[6],[12] | $ (365,000) | [3],[7],[14] | |
Derivative Liability, Notional Amount | $ 7,543,000 | [2],[6],[12] | $ 4,458,000 | [3],[7],[14] | |
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],[6],[12] | 2052-10 | [3],[7],[14] | |
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],[6],[12] | 2063-05 | [3],[7],[14] | |
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 Liabilities | $ (343,000) | [2],[6],[13] | $ (822,000) | [3],[7],[15] | |
Derivative Liability, Notional Amount | $ 6,463,000 | [2],[6],[13] | $ 6,477,000 | [3],[7],[15] | |
Range of expiration dates | [3],[7],[15] | 2016-03 | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | North America [Member] | Basic Materials [Member] | Minimum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2],[6],[13] | 2017-02 | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | North America [Member] | Basic Materials [Member] | Maximum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [2],[6],[13] | 2017-03 | |||
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 Liabilities | $ (104,000) | [2],[6],[13] | $ (2,581,000) | [3],[7],[15] | |
Derivative Liability, Notional Amount | $ 5,925,000 | [2],[6],[13] | $ 11,009,000 | [3],[7],[15] | |
Range of expiration dates | [2],[6],[13] | 2017-02 | |||
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 | [3],[7],[15] | 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 | [3],[7],[15] | 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 Liabilities | $ (24,000) | [2],[6],[13] | $ (143,000) | [3],[7],[15] | |
Derivative Liability, Notional Amount | $ 3,847,000 | [2],[6],[13] | $ 4,983,000 | [3],[7],[15] | |
Range of expiration dates | [2],[6],[13] | 2017-02 | |||
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 | [3],[7],[15] | 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 | [3],[7],[15] | 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 Liabilities | $ (153,000) | [2],[6],[13] | $ (171,000) | [3],[7],[15] | |
Derivative Liability, Notional Amount | $ 2,758,000 | [2],[6],[13] | $ 2,765,000 | [3],[7],[15] | |
Range of expiration dates | 2017-02 | [2],[6],[13] | 2016-03 | [3],[7],[15] | |
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 Liabilities | [3],[7],[15] | $ (812,000) | |||
Derivative Liability, Notional Amount | [3],[7],[15] | $ 4,076,000 | |||
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 | [3],[7],[15] | 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 | [3],[7],[15] | 2016-08 | |||
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 Liabilities | $ (50,000) | [2],[6],[13] | $ (10,000) | [3],[7],[15] | |
Derivative Liability, Notional Amount | $ 2,086,000 | [2],[6],[13] | $ 2,646,000 | [3],[7],[15] | |
Range of expiration dates | 2017-02 | [2],[6],[13] | 2016-09 | [3],[7],[15] | |
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 Liabilities | [3],[7],[15] | $ (39,000) | |||
Derivative Liability, Notional Amount | [3],[7],[15] | $ 1,000,000 | |||
Range of expiration dates | [3],[7],[15] | 2016-03 | |||
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 Liabilities | [3],[7],[15] | $ (84,000) | |||
Derivative Liability, Notional Amount | [3],[7],[15] | $ 2,650,000 | |||
Range of expiration dates | [3],[7],[15] | 2017-01 | |||
Long [Member] | Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Bonds [Member] | North America [Member] | Basic Materials [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liabilities | [2],[6],[12] | $ (202,000) | |||
Derivative Liability, Notional Amount | [2],[6],[12] | $ 571,000 | |||
Range of expiration dates | [2],[6],[12] | 2021-06 | |||
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 Liabilities | [2],[6],[12] | $ (2,000) | |||
Derivative Liability, Notional Amount | [2],[6],[12] | $ 1,427,000 | |||
Range of expiration dates | [2],[6],[12] | 2021-06 | |||
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] | |||||
Derivative Asset | [3],[16] | $ 2,050,000 | |||
Derivative Asset, Notional Amount | [3],[16] | $ 138,000,000 | |||
Range of expiration dates | [3],[16] | 2016-03 | |||
Long [Member] | Interest Rate Risk [Member] | Financial Derivatives - Assets [Member] | Interest Rate Swaps [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | $ 17,321,000 | [2],[6],[17] | $ 7,254,000 | [3],[7],[18] | |
Derivative Asset, Notional Amount | $ 495,980,000 | [2],[6],[17] | $ 545,232,000 | [3],[7],[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 | 2016-10 | [2],[6],[17] | 2016-12 | [3],[7],[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 | 2046-04 | [2],[6],[17] | 2045-12 | [3],[7],[18] | |
Long [Member] | Interest Rate Risk [Member] | Financial Derivatives - Assets [Member] | US Treasury Note Futures [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | $ 2,000 | [2],[19] | $ 2,000 | [3],[20] | |
Derivative Asset, Notional Amount | $ 16,800,000 | [2],[19] | $ 6,300,000 | [3],[20] | |
Range of expiration dates | 2016-06 | [2],[19] | 2016-03 | [3],[20] | |
Long [Member] | Interest Rate Risk [Member] | Financial Derivatives - Assets [Member] | Eurodollar Future [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | [3],[21] | $ 17,000 | |||
Derivative Asset, Notional Amount | [3],[21] | $ 23,000,000 | |||
Range of expiration dates | [3],[21] | 2017-06 | |||
Long [Member] | Interest Rate Risk [Member] | Financial Derivatives - Assets [Member] | Payer Swaption [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | [2],[22] | $ 77,000 | |||
Derivative Asset, Notional Amount | [2],[22] | $ 17,000,000 | |||
Range of expiration dates | [2],[22] | 2016-05 | |||
Long [Member] | Interest Rate Risk [Member] | Financial Derivatives - Assets [Member] | Interest Rate Cap [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | [2],[23] | $ 1,000 | |||
Derivative Asset, Notional Amount | [2],[23] | $ 23,200,000 | |||
Range of expiration dates | [2],[23] | 2018-03 | |||
Long [Member] | Interest Rate Risk [Member] | Financial Derivatives - Liabilities [Member] | Interest Rate Swaps [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liabilities | $ (23,000) | [2],[6],[17] | $ (278,000) | [3],[7],[18] | |
Derivative Liability, Notional Amount | $ 1,200,000 | [2],[6],[17] | $ 129,975,000 | [3],[7],[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 | 2021-03 | [2],[6],[17] | 2016-10 | [3],[7],[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 | 2026-03 | [2],[6],[17] | 2045-12 | [3],[7],[18] | |
Long [Member] | Interest Rate Risk [Member] | Financial Derivatives - Liabilities [Member] | US Treasury Note Futures [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liabilities | [3],[20] | $ (235,000) | |||
Derivative Liability, Notional Amount | [3],[20] | $ 37,700,000 | |||
Range of expiration dates | [3],[20] | 2016-03 | |||
Long [Member] | Interest Rate Risk [Member] | Financial Derivatives - Liabilities [Member] | Eurodollar Future [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liabilities | [2],[24] | $ (2,000) | |||
Derivative Liability, Notional Amount | [2],[24] | $ 22,000,000 | |||
Range of expiration dates | [2],[24] | 2017-06 | |||
Long [Member] | Interest Rate Risk [Member] | Financial Derivatives - Liabilities [Member] | Straddle Swaption [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liabilities | [3],[25] | $ (31,000) | |||
Derivative Liability, Notional Amount | [3],[25] | $ 8,400,000 | |||
Range of expiration dates | [3],[25] | 2018-11 | |||
Long [Member] | Interest Rate Risk [Member] | Financial Derivatives - Liabilities [Member] | Payer Swaption [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liabilities | [2],[22] | $ (173,000) | |||
Derivative Liability, Notional Amount | [2],[22] | $ 145,000,000 | |||
Range of expiration dates | [2],[22] | 2016-04 | |||
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] | |||||
Derivative Asset | [3],[26] | $ 61,000 | |||
Derivative Asset, Notional Amount | [3],[26] | $ 3,900,000 | |||
Range of expiration dates | [3],[26] | 2016-02 | |||
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] | |||||
Derivative Asset | [3],[26] | $ 51,000 | |||
Derivative Asset, Notional Amount | [3],[26] | $ 3,900,000 | |||
Range of expiration dates | [3],[26] | 2016-02 | |||
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 Liabilities | [3],[7],[27] | $ 0 | |||
Derivative Liability, Notional Amount | [3],[7],[27] | $ 35,000 | |||
Range of expiration dates | [3],[7],[27] | 2017-07 | |||
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 Liabilities | $ 0 | [2],[6],[28] | $ 0 | [3],[7],[27] | |
Derivative Liability, Notional Amount | $ 21,277,000 | [2],[6],[28] | $ 21,635,000 | [3],[7],[27] | |
Range of expiration dates | 2016-11 | [2],[6],[28] | 2016-11 | [3],[7],[27] | |
Long [Member] | Currency risk [Member] | Financial Derivatives - Liabilities [Member] | Forwards [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liabilities | [3],[29] | $ (13,000) | |||
Derivative Liability, Notional Amount | [3],[29] | $ 2,734,000 | |||
Range of expiration dates | [3],[29] | 2016-03 | |||
Short [Member] | US Treasury Note Futures [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Number of contracts | contracts | 91 | ||||
Short [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Bonds [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | [2],[6],[30] | $ 16,000 | |||
Short [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liabilities | [3],[7] | $ 0 | |||
Short [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Bonds [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liabilities | (572,000) | [2],[6],[30] | (683,000) | [3],[7],[31] | |
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 | 4,564,000 | [2],[6],[30] | 1,891,000 | [3],[7],[31] | |
Derivative Asset, Notional Amount | $ (23,307,000) | [2],[6],[30] | $ (15,208,000) | [3],[7],[31] | |
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 | 2017-12 | [2],[6],[30] | 2017-12 | [3],[7],[31] | |
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 | 2019-12 | [2],[6],[30] | 2019-12 | [3],[7],[31] | |
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 | $ 21,257,000 | [2],[6],[30] | $ 5,354,000 | [3],[7],[31] | |
Derivative Asset, Notional Amount | $ (146,886,000) | [2],[6],[30] | $ (95,589,000) | [3],[7],[31] | |
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],[6],[30] | 2046-05 | [3],[7],[31] | |
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],[6],[30] | 2063-05 | [3],[7],[31] | |
Short [Member] | Credit Risk [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Bonds [Member] | North America [Member] | Communications [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | [2],[6],[30] | $ 5,000 | |||
Derivative Asset, Notional Amount | [2],[6],[30] | $ (1,390,000) | |||
Range of expiration dates | [2],[6],[30] | 2020-06 | |||
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] | |||||
Derivative Asset | $ 11,000 | [2],[6],[30] | $ 10,000 | [3],[7],[31] | |
Derivative Asset, Notional Amount | $ (590,000) | [2],[6],[30] | $ (590,000) | [3],[7],[31] | |
Range of expiration dates | 2019-12 | [2],[6],[30] | 2019-12 | [3],[7],[31] | |
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 | $ 6,227,000 | [2],[6],[30] | $ 6,332,000 | [3],[7],[31] | |
Derivative Asset, Notional Amount | $ (8,638,000) | [2],[6],[30] | $ (8,967,000) | [3],[7],[31] | |
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 | 2035-05 | [2],[6],[30] | 2034-09 | [3],[7],[31] | |
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],[6],[30] | 2035-12 | [3],[7],[31] | |
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 Liabilities | $ (55,176,000) | [2],[6],[30] | $ (47,298,000) | [3],[7],[31] | |
Derivative Liability, Notional Amount | $ (1,292,314,000) | [2],[6],[30] | $ (1,001,913,000) | [3],[7],[31] | |
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],[6],[30] | 2016-12 | [3],[7],[31] | |
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],[6],[30] | 2020-12 | [3],[7],[31] | |
Short [Member] | Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liabilities | [2],[6],[32] | $ (129,000) | |||
Derivative Liability, Notional Amount | [2],[6],[32] | $ (13,062,000) | |||
Range of expiration dates | [2],[6],[32] | 2016-06 | |||
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 Liabilities | $ (528,000) | [2],[6],[30] | $ (584,000) | [3],[7],[31] | |
Derivative Liability, Notional Amount | $ (7,680,000) | [2],[6],[30] | $ (8,780,000) | [3],[7],[31] | |
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],[6],[30] | 2019-09 | [3],[7],[31] | |
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],[6],[30] | 2020-12 | [3],[7],[31] | |
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 Liabilities | $ (44,000) | [2],[6],[30] | $ (99,000) | [3],[7],[31] | |
Derivative Liability, Notional Amount | $ (4,000,000) | [2],[6],[30] | $ (4,000,000) | [3],[7],[31] | |
Range of expiration dates | 2020-03 | [2],[6],[30] | 2020-03 | [3],[7],[31] | |
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 Liabilities | $ (220,000) | [2],[6],[30] | $ (221,000) | [3],[7],[31] | |
Derivative Liability, Notional Amount | $ (3,175,000) | [2],[6],[30] | $ (3,209,000) | [3],[7],[31] | |
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 | 2034-10 | [2],[6],[30] | 2034-10 | [3],[7],[31] | |
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 | 2035-03 | [2],[6],[30] | 2035-03 | [3],[7],[31] | |
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 Liabilities | $ (6,338,000) | [2],[33] | $ (720,000) | [3],[34] | |
Derivative Liability, Notional Amount | $ (211,000,000) | [2],[33] | $ (171,750,000) | [3],[34] | |
Range of expiration dates | [2],[33] | 2016-04 | |||
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 | [3],[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 | [3],[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 Liabilities | $ (6,000) | [2],[35] | $ (884,000) | [3],[36] | |
Derivative Liability, Notional Amount | $ (51,000,000) | [2],[35] | $ (273,100,000) | [3],[36] | |
Range of expiration dates | [2],[35] | 2016-04 | |||
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 | [3],[36] | 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 | [3],[36] | 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 | [3],[7],[37] | $ 2,689,000 | |||
Derivative Asset, Notional Amount | [3],[7],[37] | $ (608,365,000) | |||
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 | [3],[7],[37] | 2016-12 | |||
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 | [3],[7],[37] | 2045-12 | |||
Short [Member] | Interest Rate Risk [Member] | Financial Derivatives - Assets [Member] | Eurodollar Future [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | $ 6,000 | [2],[24] | $ 13,000 | [3],[21] | |
Derivative Asset, Notional Amount | $ (91,000,000) | [2],[24] | $ (90,000,000) | [3],[21] | |
Range of expiration dates | 2016-06 | [2],[24] | 2016-12 | [3],[21] | |
Short [Member] | Interest Rate Risk [Member] | Financial Derivatives - Assets [Member] | Payer Swaption [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | [2],[38] | $ 174,000 | |||
Derivative Asset, Notional Amount | [2],[38] | $ (32,000,000) | |||
Range of expiration dates | [2],[38] | 2016-04 | |||
Short [Member] | Interest Rate Risk [Member] | Financial Derivatives - Liabilities [Member] | Interest Rate Swaps [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liabilities | $ (18,462,000) | [2],[6],[39] | $ (4,656,000) | [3],[7],[37] | |
Derivative Liability, Notional Amount | $ (899,859,000) | [2],[6],[39] | $ (518,235,000) | [3],[7],[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 | 2016-09 | [2],[6],[39] | 2016-01 | [3],[7],[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 | 2045-12 | [2],[6],[39] | 2046-01 | [3],[7],[37] | |
Short [Member] | Interest Rate Risk [Member] | Financial Derivatives - Liabilities [Member] | US Treasury Note Futures [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liabilities | [2],[19] | $ (72,000) | |||
Derivative Liability, Notional Amount | [2],[19] | $ (9,100,000) | |||
Range of expiration dates | [2],[19] | 2016-06 | |||
Short [Member] | Interest Rate Risk [Member] | Financial Derivatives - Liabilities [Member] | Eurodollar Future [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liabilities | $ (303,000) | [2],[24] | $ (293,000) | [3],[21] | |
Derivative Liability, Notional Amount | $ (275,000,000) | [2],[24] | $ (306,000,000) | [3],[21] | |
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 | 2016-09 | [2],[24] | 2016-03 | [3],[21] | |
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],[24] | 2017-09 | [3],[21] | |
Short [Member] | Interest Rate Risk [Member] | Financial Derivatives - Liabilities [Member] | Straddle Swaption [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liabilities | [3],[25] | $ (125,000) | |||
Derivative Liability, Notional Amount | [3],[25] | $ (13,100,000) | |||
Short [Member] | Interest Rate Risk [Member] | Financial Derivatives - Liabilities [Member] | Straddle Swaption [Member] | Minimum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [3] | 2016-01 | |||
Short [Member] | Interest Rate Risk [Member] | Financial Derivatives - Liabilities [Member] | Straddle Swaption [Member] | Maximum [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Range of expiration dates | [3] | 2016-06 | |||
Short [Member] | Interest Rate Risk [Member] | Financial Derivatives - Liabilities [Member] | Payer Swaption [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liabilities | [2],[38] | $ (72,000) | |||
Derivative Liability, Notional Amount | [2],[38] | $ (17,100,000) | |||
Range of expiration dates | [2],[38] | 2016-05 | |||
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 Liabilities | [3],[7],[27] | $ 0 | |||
Derivative Liability, Notional Amount | [3],[7],[27] | $ (58,000) | |||
Range of expiration dates | [3],[7],[27] | 2017-07 | |||
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 Liabilities | $ (1,000) | [2],[6],[28] | $ 0 | [3],[7],[27] | |
Derivative Liability, Notional Amount | $ (31,491,000) | [2],[6],[28] | $ (4,048,000) | [3],[7],[27] | |
Range of expiration dates | [3],[7],[27] | 2017-03 | |||
Short [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 | [2],[6],[28] | 2017-02 | |||
Short [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 | [2],[6],[28] | 2018-02 | |||
Short [Member] | Currency risk [Member] | Financial Derivatives - Assets [Member] | Forwards [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Asset | [3],[40] | $ 1,138,000 | |||
Derivative Asset, Notional Amount | [3],[40] | $ (95,326,000) | |||
Range of expiration dates | [3],[40] | 2016-03 | |||
Short [Member] | Currency risk [Member] | Financial Derivatives - Liabilities [Member] | Forwards [Member] | |||||
Investment Holdings, Other than Securities [Line Items] | |||||
Derivative Liabilities | [2],[41] | $ (1,922,000) | |||
Derivative Liability, Notional Amount | [2],[41] | $ (83,820,000) | |||
Range of expiration dates | [2],[41] | 2016-06 | |||
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] | |||||
Derivative Asset | $ 95,620,000 | [2],[6],[12] | $ 81,758,000 | [3],[7],[14] | |
Derivative Asset, Notional Amount | $ 495,250,000 | [2],[6],[12] | $ 442,140,000 | [3],[7],[14] | |
Range of expiration dates | 2020-12 | [2],[6],[12] | 2020-12 | [3],[7],[14] | |
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] | |||||
Derivative Asset | $ 36,859,000 | [2],[6],[12] | $ 46,716,000 | [3],[7],[14] | |
Derivative Asset, Notional Amount | $ 189,351,000 | [2],[6],[12] | $ 229,954,000 | [3],[7],[14] | |
Range of expiration dates | 2020-12 | [2],[6],[12] | 2020-12 | [3],[7],[14] | |
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 | $ 7,305,000 | [2],[6],[12] | $ 7,278,000 | [3],[7],[14] | |
Derivative Asset, Notional Amount | $ 121,840,000 | [2],[6],[12] | $ 121,730,000 | [3],[7],[14] | |
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 | 2018-06 | [2],[6],[12] | 2018-06 | [3],[7],[14] | |
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 | 2020-06 | [2],[6],[12] | 2020-06 | [3],[7],[14] | |
[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] | See Note 2 and Note 3 in Notes to Consolidated Financial Statements. | ||||
[4] | Classification percentages are based on Total Equity. | ||||
[5] | Classification percentages are based on Total Equity. | ||||
[6] | The following table shows the Company's swap assets and liabilities by dealer as a percentage of Total Equity:Dealer/Parent Company Asset/Liability Percent of EquityAffiliates of Bank of America Financial derivatives—asset 8.40 %Affiliates of JP Morgan Financial derivatives—asset 6.32 %Affiliates of Goldman Sachs Financial derivatives—asset 5.21 %Affiliates of JP Morgan Financial derivatives—liability (8.85)% | ||||
[7] | The following table shows the Company's swap assets and liabilities by dealer as a percentage of Total Equity:Dealer/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] | 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. | ||||
[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] | Notional value represents outstanding principal balance on underlying corporate debt. | ||||
[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 March 31, 2016, 84 long contracts and 91 short contracts were held. | ||||
[20] | 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. | ||||
[21] | Every $1,000,000 in notional value represents one contract. | ||||
[22] | 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. | ||||
[23] | Notional value represents the amount on which interest payments are calculated to the extent the market interest rate exceeds the rate cap on the contract. | ||||
[24] | Every $1,000,000 in notional value represents one contract. | ||||
[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] | For short credit default swaps, the Company purchased protection. | ||||
[31] | For short credit default swaps, the Company purchased protection. | ||||
[32] | Notional value represents notional of underlying reference index times the closing price of the underlying reference index. | ||||
[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 receive a fixed rate and pay 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] | 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. | ||||
[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] | For short interest rate swap contracts, the Company pays a fixed rate and receives a floating rate. | ||||
[40] | Notional value represents U.S. Dollars to be received by the Company at the maturity of the forward contract. | ||||
[41] | 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 | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
INVESTMENT INCOME | ||
Interest income | $ 20,427 | $ 26,513 |
Other income | 1,668 | 293 |
Total investment income | 22,095 | 26,806 |
EXPENSES | ||
Base management fee | 2,611 | 2,952 |
Interest expense | 3,468 | 2,986 |
Other investment related expenses | 1,749 | 1,202 |
Professional fees | 856 | 716 |
Administration fees | 340 | 339 |
Compensation expense | 520 | 367 |
Insurance expense | 156 | 177 |
Directors' fees and expenses | 65 | 74 |
Share-based LTIP expense | 100 | 98 |
Other expenses | 408 | 428 |
Total expenses | 10,273 | 9,339 |
NET INVESTMENT INCOME | 11,822 | 17,467 |
Net realized gain (loss) on: | ||
Investments | (1,974) | 9,734 |
Financial derivatives, excluding currency forwards | (10,054) | (5,834) |
Financial derivatives-currency forwards | (332) | 5,796 |
Foreign currency transactions | 420 | 733 |
Total net realized gain (loss) on investments, financial derivatives, and foreign currency transactions | (11,940) | 10,429 |
Change in net unrealized gain (loss) on: | ||
Investments | (4,402) | 693 |
Financial derivatives, excluding currency forwards | (18,838) | (2,644) |
Financial derivatives-currency forwards | (3,047) | (1,465) |
Foreign currency translation | 3,219 | (5,063) |
Total Change in Net Unrealized Gain Loss On Investments, Financial derivatives, and Foreign currency translation | (23,068) | (8,479) |
NET REALIZED AND CHANGE IN NET UNREALIZED GAIN (LOSS) ON INVESTMENTS, FINANCIAL DERIVATIVES, AND FOREIGN CURRENCY TRANSACTIONS/TRANSLATION | (35,008) | 1,950 |
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | (23,186) | 19,417 |
Net Income (Loss) Attributable to Noncontrolling Interest | 14 | 156 |
Net Income (Loss) Attributable to Parent | $ (23,200) | $ 19,261 |
NET INCREASE (DECREASE) IN SHAREHOLDERS' EQUITY RESULTING FROM OPERATIONS PER SHARE: | ||
Basic and Diluted (in usd per share) | $ (0.69) | $ 0.57 |
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, 2014 | $ 782,155 | ||||
Stockholders' Equity Attributable to Noncontrolling Interest at Dec. 31, 2014 | $ 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 | 17,467 | ||||
Net realized gain (loss) on investments, financial derivatives, and foreign currency transactions | 10,429 | ||||
Change in net unrealized gain (loss) on investments, financial derivatives, and foreign currency translation | (8,479) | ||||
Net Income (Loss) Attributable to Parent | 19,261 | 19,261 | |||
Net Income (Loss) Attributable to Noncontrolling Interest | 156 | 156 | |||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | 19,417 | ||||
CHANGE IN EQUITY RESULTING FROM TRANSACTIONS | |||||
Contributions from non-controlling interests | 500 | 500 | |||
Dividends | [1] | (22,159) | [2] | (22,022) | (137) |
Distributions to non-controlling interest | (976) | (976) | |||
Adjustment to non-controlling interest | 0 | 0 | 0 | ||
Shares repurchased | 0 | 0 | |||
Share-based LTIP awards | 98 | 97 | 1 | ||
Net increase (decrease) in equity from transactions | (22,537) | (21,925) | (612) | ||
Net increase (decrease) in equity | (3,120) | (2,664) | (456) | ||
Stockholders' Equity Attributable to Parent at Mar. 31, 2015 | 779,491 | ||||
Stockholders' Equity Attributable to Noncontrolling Interest at Mar. 31, 2015 | 5,933 | ||||
Stockholders' Equity, Including Portion Attributable to Noncontrolling Interest at Mar. 31, 2015 | 785,424 | ||||
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 | ||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | |||||
Net investment income | 11,822 | ||||
Net realized gain (loss) on investments, financial derivatives, and foreign currency transactions | (11,940) | ||||
Change in net unrealized gain (loss) on investments, financial derivatives, and foreign currency translation | (23,068) | ||||
Net Income (Loss) Attributable to Parent | (23,200) | (23,200) | |||
Net Income (Loss) Attributable to Noncontrolling Interest | 14 | 14 | |||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | (23,186) | ||||
CHANGE IN EQUITY RESULTING FROM TRANSACTIONS | |||||
Contributions from non-controlling interests | 684 | 684 | |||
Dividends | [1] | (16,872) | [2] | (16,766) | (106) |
Distributions to non-controlling interest | (1,922) | (1,922) | |||
Adjustment to non-controlling interest | 0 | (4) | 4 | ||
Shares repurchased | (2,834) | (2,834) | |||
Share-based LTIP awards | 100 | 99 | 1 | ||
Net increase (decrease) in equity from transactions | (20,844) | (19,505) | (1,339) | ||
Net increase (decrease) in equity | (44,030) | (42,705) | (1,325) | ||
Stockholders' Equity Attributable to Parent at Mar. 31, 2016 | 689,344 | $ 689,344 | |||
Stockholders' Equity Attributable to Noncontrolling Interest at Mar. 31, 2016 | 5,578 | $ 5,578 | |||
Stockholders' Equity, Including Portion Attributable to Noncontrolling Interest at Mar. 31, 2016 | $ 694,922 | ||||
[1] | For the three month periods ended March 31, 2016 and 2015, dividends totaling $0.50 and $0.65, respectively, per common share and convertible unit outstanding, were declared and paid. | ||||
[2] | The Company pays quarterly dividends in arrears, so a portion of the dividends paid in each calendar year relate to the prior year's earnings. |
Consolidated Statement Of Cha10
Consolidated Statement Of Changes In Equity (Parenthetical) - $ / shares | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Statement of Stockholders' Equity [Abstract] | ||
Dividends (in usd per share) | $ 0.50 | $ 0.65 |
Consolidated Statement Of Cash
Consolidated Statement Of Cash Flows - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | ||
INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS: | |||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | $ (23,186) | $ 19,417 | |
Reconciliation of the net increase (decrease) 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 | 12,195 | (10,658) | |
Change in net unrealized (gain) loss on investments and financial derivatives, and foreign currency translation | 24,261 | 7,625 | |
Amortization of premiums and accretion of discounts (net) | 3,720 | 3,499 | |
Purchase of investments | (739,404) | (1,055,646) | |
Proceeds from disposition of investments | 722,698 | 1,220,580 | |
Proceeds from principal payments of investments | 56,376 | 69,620 | |
Proceeds from investments sold short | 697,389 | 1,395,115 | |
Repurchase of investments sold short | (727,652) | (1,499,316) | |
Payments made to open financial derivatives | (42,702) | (59,067) | |
Proceeds received to close financial derivatives | 48,939 | 73,336 | |
Proceeds received to open financial derivatives | 10,998 | 23,555 | |
Payments made to close financial derivatives | (50,590) | (51,273) | |
Share-based LTIP expense | 100 | 98 | |
(Increase) decrease in assets: | |||
Repurchase agreements | (21,768) | 127,247 | |
Receivable for securities sold and financial derivatives | 99,197 | 7,253 | |
Due from brokers | (43,368) | 34,202 | |
Interest and principal receivable | 2,155 | 4,976 | |
Restricted cash | 372 | 0 | |
Other assets | 2,605 | (549) | |
Increase (decrease) in liabilities: | |||
Due to brokers | 10,143 | 10,554 | |
Payable for securities purchased and financial derivatives | (61,989) | 17,529 | |
Accounts payable and accrued expenses | 145 | 420 | |
Other liabilities | (211) | 13 | |
Interest and dividends payable | 743 | (366) | |
Base management fee payable | (162) | (10) | |
Net cash provided by (used in) operating activities | (18,996) | 338,154 | |
Cash flows provided by (used in) financing activities: | |||
Contributions from non-controlling interests | 684 | 500 | |
Shares repurchased | (2,834) | 0 | |
Dividends paid | (16,872) | (22,159) | |
Distributions to non-controlling Interest | (1,922) | (976) | |
Proceeds from issuance of securitized debt | 23,238 | 0 | |
Principal payments on securitized debt | 0 | (88) | |
Borrowings under Reverse Repurchase Agreements | 1,820,060 | 2,161,793 | [1] |
Repayments of reverse repurchase agreements | (1,845,185) | (2,435,114) | [1] |
Net cash provided by (used in) financing activities | (22,831) | (296,044) | |
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS | (41,827) | 42,110 | |
CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD | 183,909 | 114,140 | |
CASH AND CASH EQUIVALENTS, END OF PERIOD | 142,082 | 156,250 | |
Supplemental disclosure of cash flow information: | |||
Interest paid | 3,047 | 3,239 | |
Share-based LTIP awards (non-cash) | 100 | 98 | |
Aggregate TBA trade activity (buys sells) (non-cash) | $ 5,120,727 | $ 8,544,037 | |
[1] | Conformed to current period presentation. |
Organization and Investment Obj
Organization and Investment Objective | 3 Months Ended |
Mar. 31, 2016 | |
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 | 3 Months Ended |
Mar. 31, 2016 | |
Accounting Policies [Abstract] | |
Significant Accounting Policies | Significant Accounting Policies (A) Basis of Presentation: The Company's unaudited interim consolidated financial statements have been prepared in conformity with generally accepted accounting principles in the United States of America, or "U.S. GAAP," for investment companies, ASC 946, Financial Services—Investment Companies ("ASC 946"). 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. In management's opinion, all material adjustments, considered necessary for a fair presentation of the Company's interim consolidated financial statements have been included and are only of a normal recurring nature. Interim results are not necessarily indicative of the results that may be expected for the entire fiscal year. The information included in this Quarterly Report on Form 10-Q should be read in conjunction with the Company's Annual Report on Form 10-K for the year ended December 31, 2015. (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, 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 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 securitization transaction in March 2016 to finance certain of its commercial mortgage loans and REO which was accounted for as a collateralized borrowing. The assets contributed to the securitization were not derecognized but rather, the liability issued by the securitization was recorded to reflect the financing of the securitized assets. (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 |
Valuation
Valuation | 3 Months Ended |
Mar. 31, 2016 | |
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 March 31, 2016 : Description Level 1 Level 2 Level 3 Total Assets: (In thousands) Cash equivalents $ 50,000 $ — $ — $ 50,000 Investments, at fair value- Agency residential mortgage-backed securities $ — $ 989,334 $ 22,306 $ 1,011,640 U.S. Treasury securities — 13,672 — 13,672 Private label residential mortgage-backed securities — 110,333 113,382 223,715 Private label commercial mortgage-backed securities — — 35,350 35,350 Commercial mortgage loans — — 56,365 56,365 Residential mortgage loans — — 35,580 35,580 Collateralized loan obligations — — 34,415 34,415 Consumer loans and asset-backed securities backed by consumer loans — — 143,854 143,854 Corporate debt — — 24,552 24,552 Real estate owned — — 21,843 21,843 Private corporate equity investments — — 24,599 24,599 Total investments, at fair value — 1,113,339 512,246 1,625,585 Financial derivatives–assets, at fair value- Credit default swaps on asset-backed securities — — 6,227 6,227 Credit default swaps on corporate bond indices — 144,348 — 144,348 Credit default swaps on corporate bonds — 114 — 114 Credit default swaps on asset-backed indices — 21,311 — 21,311 Interest rate swaps — 17,321 — 17,321 Total return swaps — — 1,074 1,074 Options — 252 — 252 Futures 8 — — 8 Warrants — — 100 100 Mortgage loan purchase commitments — 43 — 43 Total financial derivatives–assets, at fair value 8 183,389 7,401 190,798 Repurchase agreements — 127,468 — 127,468 Total investments and financial derivatives–assets, at fair value and repurchase agreements $ 8 $ 1,424,196 $ 519,647 $ 1,943,851 Liabilities: Investments sold short, at fair value- Agency residential mortgage-backed securities $ — $ (571,063 ) $ — $ (571,063 ) Government debt — (129,798 ) — (129,798 ) Corporate debt — — (3,029 ) (3,029 ) Common stock (8,238 ) — — (8,238 ) Total investments sold short, at fair value (8,238 ) (700,861 ) (3,029 ) (712,128 ) Financial derivatives–liabilities, at fair value- Credit default swaps on corporate bond indices — (55,176 ) — (55,176 ) Credit default swaps on corporate bonds — (776 ) — (776 ) Credit default swaps on asset-backed indices — (1,330 ) — (1,330 ) Credit default swaps on asset-backed securities — — (220 ) (220 ) Description Level 1 Level 2 Level 3 Total (continued) (In thousands) Interest rate swaps $ — $ (18,485 ) $ — $ (18,485 ) Total return swaps — (129 ) (675 ) (804 ) Options — (6,589 ) — (6,589 ) Futures (377 ) — — (377 ) Forwards — (1,922 ) — (1,922 ) Total financial derivatives–liabilities, at fair value (377 ) (84,407 ) (895 ) (85,679 ) Guarantees (1) — — (616 ) (616 ) Total investments sold short, financial derivatives–liabilities, securitized debt, and guarantees, at fair value $ (8,615 ) $ (785,268 ) $ (4,540 ) $ (798,423 ) (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 three month period ended March 31, 2016 . The following table identifies the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of March 31, 2016 : Fair Value Valuation Technique Unobservable Input Range Weighted Average Description Min Max (In thousands) Private label residential mortgage-backed securities $ 75,404 Market Quotes Non Binding Third-Party Valuation $ 1.88 $ 153.12 $ 66.93 Collateralized loan obligations 25,830 Market Quotes Non Binding Third-Party Valuation 27.00 101.50 83.73 Corporate debt and non-exchange traded corporate equity 20,784 Market Quotes Non Binding Third-Party Valuation 2.83 200.00 70.37 Private label commercial mortgage-backed securities 16,161 Market Quotes Non Binding Third-Party Valuation 5.05 67.29 32.16 Agency interest only residential mortgage-backed securities 18,628 Market Quotes Non Binding Third-Party Valuation 2.77 24.75 10.61 Total return swaps 399 Market Quotes Non Binding Third-Party Valuation (1) 16.31 100.38 94.29 Private label residential mortgage-backed securities 37,978 Discounted Cash Flows Yield 4.4 % 13.0 % 11.6 % Projected Collateral Prepayments 4.9 % 75.6 % 36.9 % Projected Collateral Losses 4.4 % 25.6 % 12.9 % Projected Collateral Recoveries 0.0 % 12.1 % 5.6 % Projected Collateral Scheduled Amortization 7.9 % 88.8 % 44.6 % 100.0 % Private label commercial mortgage-backed securities 19,189 Discounted Cash Flows Yield 11.6 % 32.8 % 21.2 % Projected Collateral Losses 0.6 % 2.4 % 1.2 % Projected Collateral Recoveries 2.1 % 11.1 % 5.4 % Projected Collateral Scheduled Amortization 87.9 % 97.3 % 93.4 % 100.0 % Corporate debt and warrants 10,450 Discounted Cash Flows Yield 0.0 % 15.3 % 14.8 % (continued) Fair Value Valuation Technique Unobservable Input Range Weighted Average Description Min Max (In thousands) Collateralized loan obligations $ 8,585 Discounted Cash Flows Yield 10.5 % 66.5 % 18.8 % Projected Collateral Prepayments 30.9 % 67.6 % 51.0 % Projected Collateral Losses 1.4 % 19.2 % 7.1 % Projected Collateral Recoveries 1.5 % 16.5 % 5.4 % Projected Collateral Scheduled Amortization 26.4 % 53.6 % 36.5 % 100.0 % Consumer loans and asset-backed securities backed by consumer loans 143,854 Discounted Cash Flows Yield 9.0 % 25.0 % 10.3 % Projected Collateral Prepayments 0.0 % 42.1 % 31.6 % Projected Collateral Losses 1.0 % 33.8 % 7.6 % Projected Collateral Scheduled Amortization 56.1 % 80.7 % 60.8 % 100.0 % Performing commercial mortgage loans 30,189 Discounted Cash Flows Yield 10.4 % 17.6 % 11.7 % Non-performing commercial mortgage loans and commercial real estate owned 24,707 Discounted Cash Flows Yield 10.2 % 28.3 % 15.5 % Months to Resolution 3.0 39.8 18.7 Performing residential mortgage loans 28,877 Discounted Cash Flows Yield 5.4 % 11.1 % 6.6 % Non-performing residential mortgage loans and residential real estate owned 9,482 Discounted Cash Flows Yield 6.5 % 11.4 % 8.7 % Months to Resolution 3.4 120.2 24.8 Credit default swaps on asset-backed securities 6,007 Net Discounted Cash Flows Projected Collateral Prepayments 27.2 % 50.3 % 33.4 % Projected Collateral Losses 15.7 % 34.8 % 28.0 % Projected Collateral Recoveries 6.4 % 15.0 % 10.6 % Projected Collateral Scheduled Amortization 23.1 % 32.0 % 28.0 % 100.0 % Non-exchange traded equity investments in commercial mortgage-related private partnerships 10,435 Discounted Cash Flows Yield 15.6 % 16.5 % 15.9 % Expected Holding Period (Months) 11.5 24.5 20.8 Agency interest only residential mortgage-backed securities 3,678 Option Adjusted Spread ("OAS") LIBOR OAS (2) 441 1,807 701 Projected Collateral Prepayments 20.3 % 100.0 % 64.1 % Projected Collateral Scheduled Amortization 0.0 % 79.7 % 35.9 % 100.0 % Non-exchange traded preferred and common equity investment in mortgage-related entities 2,053 Enterprise Value Equity Multiple (3) 1.9x 1.9x 1.9x Commercial mortgage loans and REO 20,533 Recent Transactions Contract Price 44.29 95.08 64.25 Non-exchange traded preferred and common equity investment in mortgage-related entities 2,500 Recent Transactions Transaction Price N/A N/A N/A Guarantees (616 ) 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, 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 Description Level 1 Level 2 Level 3 Total (continued) (In thousands) 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 ) Options (2) — (1,760 ) — (1,760 ) 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. (2) Conformed to current period presentation. 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 % 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 (2) 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 % (continued) Fair Value Valuation Technique Unobservable Input Range Weighted Average Description Min Max (In thousands) 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 preferred equity investment in commercial mortgage-related private partnership 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 valuation methodology, cash flows are projected using the Company's models over multiple interest rate scenarios, and these projected cash flows are then discounted using the LIBOR rates implied by each interest rate scenario. The LIBOR OAS of an asset is then computed as the unique constant yield spread that, when added to all LIBOR rates in each interest rate scenario generated by the model, will equate (a) the expected present value of the projected asset cash flows over all model scenarios to (b) the actual current market price of the asset. LIBOR OAS is therefore model-dependent. Generally speaking, LIBOR OAS measures the additional yield spread over LIBOR that an asset provides at its current market price after taking into account any interest rate options embedded in the asset. Material changes in any of the inputs above in isolation could result in a significant change to reported fair value measurements. Additionally, fair value measurements are impacted by the interrelationships of these inputs. For example, a higher expectation of collateral prepayments will generally be accompanied by a lower expectation of collateral losses. Conversely, higher losses will generally be accompanied by lower prepayments. Because the Company's credit default swaps on asset-backed security holdings represent credit default swap contracts whereby the Company has purchased credit protection, such default swaps on asset-backed securities generally have the directionally opposite sensitivity to prepayments, losses, and recoveries as compared to the Company's long securities holdings. Prepayments do not represent a significant input for the Company's commercial mortgage-backed securities and commercial mortgage loans. Losses and recoveries do not represent a significant input for the Company's Agency RMBS interest only securities, given the guarantee of the issuing government agency or government-sponsored enterprise. The tables below include a roll-forward of the Company's financial instruments for the three month periods ended March 31, 2016 and 2015 (including the change in fair value), for financial instruments classified by the Company within Level 3 of the valuation hierarchy. Level 3—Fair Value Measurement Using Significant Unobservable Inputs: Three Month Period Ended March 31, 2016 (In thousands) Ending Accreted Discounts / (Amortized Premiums) Net Realized Gain/ (Loss) Change in Net Unrealized Gain/(Loss) Purchases/ Sales/ Transfers Into Level 3 Transfers Out of Level 3 Ending Balance as of March 31, 2016 Assets: Investments, at fair value- Agency residential mortgage-backed securities $ 24,918 $ (2,057 ) $ (9 ) $ (546 ) $ — $ — $ — $ — $ 22,306 Private label residential mortgage-backed securities 116,435 605 313 (1,709 ) 5,731 (4,943 ) 12,070 (15,120 ) 113,382 Private label commercial mortgage-backed securities 34,145 455 322 (3,000 ) 7,844 (4,416 ) — — 35,350 Commercial mortgage loans 66,399 546 183 893 13,424 (25,080 ) — — 56,365 Residential mortgage loans 22,089 107 108 275 14,965 (1,964 ) — — 35,580 Collateralized loan obligations 45,974 (927 ) 1,080 272 — (11,984 ) — — 34,415 Consumer loans and asset-backed securities backed by consumer loans 115,376 (2,882 ) — 105 51,910 (20,655 ) — — 143,854 Corporate debt 27,028 113 (20 ) (3,975 ) 2,967 (1,561 ) — — 24,552 Real estate owned 12,522 — 260 1,419 9,788 (2,146 ) — — 21,843 Private corporate equity investments 22,088 — (130 ) (1,228 ) 3,927 (58 ) — — 24,599 Total investments, at fair value 486,974 (4,040 ) 2,107 (7,494 ) 110,556 (72,807 ) 12,070 (15,120 ) 512,246 Financial derivatives–assets, at fair value- Credit default swaps on asset-backed securities 6,332 — 91 (105 ) 36 (127 ) — — 6,227 Total return swaps 85 — (3,515 ) 989 3,568 (53 ) — — 1,074 Warrants 150 — (50 ) — — — — — 100 Total financial derivatives– assets, at fair value 6,567 — (3,474 ) 884 3,604 (180 ) — — 7,401 Total investments and financial derivatives–assets, at fair value $ 493,541 $ (4,040 ) $ (1,367 ) $ (6,610 ) $ 114,160 $ (72,987 ) $ 12,070 $ (15,120 ) $ 519,647 Liabilities: Investments sold short, at fair value Corporate debt $ (448 ) $ 1 $ 360 $ (249 ) $ 887 $ (3,580 ) $ — $ — $ (3,029 ) Total investments sold short, at fair value (448 ) 1 360 (249 ) 887 (3,580 ) — — (3,029 ) (In thousands) Ending Accreted Net Realized Change in Net Purchases/ Sales/ Transfers Into Level 3 Transfers Out of Level 3 Ending (continued) Financial derivatives–liabilities, at fair value- Credit default swaps on asset-backed securities $ (221 ) $ — $ (16 ) $ 1 $ — $ 16 $ — $ — $ (220 ) Total return swaps (4,662 ) — (2,251 ) 3,988 2,337 (87 ) — — (675 ) Total financial derivatives– liabilities, at fair value (4,883 ) — (2,267 ) 3,989 2,337 (71 ) — — (895 ) Guarantees: Guarantees (828 ) — — 212 — — — — (616 ) Total guarantees (828 ) — — 212 — — — — (616 ) Total investments sold short, financial derivatives– liabilities, securitized debt, and guarantees, at fair value $ (6,159 ) $ 1 $ (1,907 ) $ 3,952 $ 3,224 $ (3,651 ) $ — $ — $ (4,540 ) 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 March 31, 2016 , as well as Level 3 financial instruments disposed of by the Company during the three month period ended March 31, 2016 . For Level 3 financial instruments held by the Company at March 31, 2016 , change in net unrealized gain (loss) of $(7.7) million , $3.6 million , $0.6 million , and $0.2 million , for the three month period ended March 31, 2016 relate to investments, financial derivatives–assets, financial derivatives–liabilities, and guarantees, respectively. As of March 31, 2016 , the Company transferred $15.1 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, as of March 31, 2016 , the Company transferred $12.1 million of non-Agency RMBS from Level 2 to Level 3. Since December 31, 2015, 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. Three Month Period Ended March 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 March 31, 2015 Assets: Investments, at fair value- Agency residential mortgage-backed securities $ 31,385 $ (2,006 ) $ 471 $ (96 ) $ 1,190 $ (4,609 ) $ — $ — $ 26,335 Private label residential mortgage-backed securities 274,369 2,388 1,206 3,062 6,633 (39,423 ) 23,221 (102,085 ) 169,371 Private label commercial mortgage-backed securities 53,311 1,372 614 (1,900 ) 15,594 (16,777 ) — — 52,214 Commercial mortgage loans 28,309 539 — 17 24,291 (14,238 ) — — 38,918 Residential mortgage loans 27,482 443 242 144 5,976 (3,442 ) — — 30,845 Collateralized loan obligations (1) 121,994 (4,626 ) 772 (1,701 ) 10,477 (38,086 ) — — 88,830 Consumer loans and asset-backed securities backed by consumer loans (1) 24,294 (1,714 ) — 547 16,057 (4,394 ) — — 34,790 Corporate debt 42,708 31 186 (580 ) 11,605 (22,114 ) — — 31,836 Real estate owned 8,635 — 84 537 2,471 (2,657 ) — — 9,070 Private corporate equity investments 14,512 — — 230 6,572 (14 ) — — 21,300 Total investments, at fair value 626,999 (3,573 ) 3,575 260 100,866 (145,754 ) 23,221 (102,085 ) 503,509 Financial derivatives–assets, at fair value- Credit default swaps on asset-backed securities $ 11,387 $ — $ 401 $ (355 ) $ 22 $ (646 ) $ — $ — $ 10,809 Total return swaps — — — 118 — — — — 118 Warrants 100 — — — — — — — 100 Total financial derivatives– assets, at fair value 11,487 — 401 (237 ) 22 (646 ) — — 11,027 Total investments and financial derivatives–assets, at fair value $ 638,486 $ (3,573 ) $ 3,976 $ 23 $ 100,888 $ (146,400 ) $ 23,221 $ (102,085 ) $ 514,536 Liabilities: Financial derivatives– liabilities, at fair value- Credit default swaps on asset-backed securities $ (239 ) $ — $ (19 ) $ — $ — $ 19 $ — $ — $ (239 ) Total return swaps — — — (307 ) — — — — (307 ) Total financial derivatives– liabilities, at fair value (239 ) — (19 ) (307 ) — 19 — — (546 ) Securitized debt: Securitized debt (774 ) (2 ) — 19 88 — — — (669 ) Total securitized debt (774 ) (2 ) — 19 88 — — — (669 ) Total financial derivatives– liabilities and securitized debt, at fair value $ (1,013 ) $ (2 ) $ (19 ) $ (288 ) $ 88 $ 19 $ — $ — $ (1,215 ) (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 March 31, 2015 , as well as Level 3 financial instruments disposed of by the Company during the three month period ended March 31, 2015 . For Level 3 financial instruments held by the Company at March 31, 2015 , change in net unrealized gain (loss) of $(3.2) million , $(0.2) million , $(0.3) million , and $19 thousand for the three month period ended March 31, 2015 relate to investments, financial derivatives–assets, financial derivatives–liabilities, and securitized debt, respectively. As of March 31, 2015, the Company transferred $102.1 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, as of March 31, 2015, the Company transferred $23.2 million of non-Agency RMBS from Level 2 to Level 3. Following December 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. |
To Be Announced RMBS
To Be Announced RMBS | 3 Months Ended |
Mar. 31, 2016 | |
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 March 31, 2016 and December 31, 2015: As of March 31, 2016 December 31, 2015 Assets: (In thousands) TBA securities, at fair value (Current principal: $71,245 and $94,602, respectively) $ 74,886 $ 98,009 Receivable for securities sold relating to unsettled TBA sales 569,375 613,023 Liabilities: TBA securities sold short, at fair value (Current principal: -$535,080 and -$580,992, respectively) $ (571,063 ) $ (612,777 ) Payable for securities purchased relating to unsettled TBA purchases (74,681 ) (98,049 ) Net short TBA securities, at fair value (496,177 ) (514,768 ) |
Financial Derivatives
Financial Derivatives | 3 Months Ended |
Mar. 31, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Financial Derivatives | Financial Derivatives Gains and losses on the Company's derivative contracts for the three month periods ended March 31, 2016 and 2015 are summarized in the tables below: Three Month Period Ended March 31, 2016 : Three Month Period Ended March 31, 2016 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 $ 91 $ (105 ) Credit default swaps on asset-backed indices Credit 2,745 (839 ) Credit default swaps on corporate bond indices Credit (1,957 ) 3,239 Credit default swaps on corporate bonds Credit 477 5 Total return swaps Equity Market/Credit (877 ) 989 Interest rate swaps Interest Rates 12,725 7,169 Futures Interest Rates/Equity Market (63 ) 99 Forwards Currency (307 ) (1,138 ) Warrants Credit (50 ) — Mortgage loan purchase commitments Interest Rates — 43 Options Credit/ 3,677 350 16,461 9,812 Financial derivatives–liabilities Credit default swaps on asset-backed securities Credit (16 ) 1 Credit default swaps on asset-backed indices Credit (159 ) (92 ) Credit default swaps on corporate bond indices Credit (5,143 ) (13,636 ) Credit default swaps on corporate bonds Credit (505 ) 118 Total return swaps Equity Market/Credit (4,789 ) 3,858 Interest rate swaps Interest Rates (16,509 ) (13,112 ) Futures Interest Rates/Equity Market (471 ) 28 Forwards Currency (25 ) (1,909 ) Options Credit/ 798 (5,378 ) (26,819 ) (30,122 ) Total $ (10,358 ) $ (20,310 ) (1) Includes gain/(loss) on foreign currency transactions on derivatives in the amount of $28 thousand , for the three month period ended March 31, 2016, 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 $1.6 million , for the three month period ended March 31, 2016, which is included on the Consolidated Statement of Operations in Change in net unrealized gain (loss) on foreign currency translation. Three Month Period Ended March 31, 2015 : Three Month Period Ended March 31, 2015 Derivative Type Primary Risk Exposure Net Realized Gain/(Loss) Change in Net Unrealized Gain/(Loss) (1) (In thousands) Financial derivatives–assets Credit default swaps on asset-backed securities Credit $ 401 $ (355 ) Credit default swaps on asset-backed indices Credit 226 (1,252 ) Credit default swaps on corporate bond indices Credit (3,014 ) 828 Total return swaps Equity Market/Credit 1,810 110 Interest rate swaps Interest Rates 19,460 (6,987 ) Futures Interest Rates 2,398 824 Forwards Currency 7,285 (884 ) Options Credit/ Interest Rates (3,260 ) 560 25,306 (7,156 ) Financial derivatives–liabilities Credit default swaps on asset-backed securities Credit (19 ) — Credit default swaps on asset-backed indices Credit 145 206 Credit default swaps on corporate bond indices Credit 2,124 (2,656 ) Credit default swaps on corporate bonds Credit (668 ) 485 Total return swaps Equity Market/Credit (458 ) (304 ) Interest rate swaps Interest Rates (25,197 ) 4,321 Futures Interest Rates/Equity Market (32 ) (411 ) Forwards Currency (1,489 ) (581 ) Options Credit/ 250 948 (25,344 ) 2,008 Total $ (38 ) $ (5,148 ) (1) Includes foreign currency translation on derivatives in the amount of $1.0 million which is shown on the Consolidated Statement of Operations in Change in net unrealized gain (loss) on foreign currency translation. The tables below detail the average notional values of the Company's financial derivatives, using absolute value of month end notional values, for the three month period ended March 31, 2016 and the year ended December 31, 2015: Derivative Type Three Month Period Ended March 31, 2016 Year Ended (In thousands) Interest rate swaps $ 2,258,733 $ 2,463,892 Credit default swaps 2,146,231 1,080,772 Total return swaps 89,435 112,641 Futures 634,975 880,682 Options 900,488 865,600 Forwards 96,351 107,448 Warrants 1,555 1,554 Mortgage loan purchase commitments 10,043 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 March 31, 2016 and December 31, 2015, 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 March 31, 2016 and December 31, 2015, are summarized below: Credit Derivatives Amount at March 31, 2016 Amount at (In thousands) Fair Value of Written Credit Derivatives, Net $ 138,402 $ 135,443 Fair Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) $ (460 ) $ (369 ) Notional Amount of Written Credit Derivatives (2) $ (818,611 ) $ (799,750 ) Notional Amount of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) $ 17,218 $ 17,322 (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 March 31, 2016, implied credit spreads on such contracts ranged between 18.5 and 3,667.1 basis points. 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. Total net up-front payments received relating to written credit derivatives outstanding at March 31, 2016 and December 31, 2015 were $136.0 million and $137.8 million , respectively. |
Borrowings under Reverse Repurc
Borrowings under Reverse Repurchase Agreements and Securitized Debt | 3 Months Ended |
Mar. 31, 2016 | |
Debt Disclosure [Abstract] | |
Borrowings under Reverse Repurchase Agreements and Securitized Debt | Borrowings under Reverse Repurchase Agreements and Securitized Debt 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 or shorter 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 both March 31, 2016 and December 31, 2015. At March 31, 2016 , approximately 17% of open reverse repurchase agreements were with one counterparty. At December 31, 2015, approximately 15% of open reverse repurchase agreements were with one counterparty. As of March 31, 2016 remaining days to maturity on the Company's open reverse repurchase agreements ranged from 1 day to 575 days and from 4 days to 666 days as of December 31, 2015. Interest rates on the Company's open reverse repurchase agreements ranged from 0.10% to 3.50% as of March 31, 2016 and from 0.37% to 2.92% as of December 31, 2015. 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, residential mortgage loans, and U.S. Treasury securities, by remaining maturity as of March 31, 2016 and December 31, 2015: (In thousands) March 31, 2016 December 31, 2015 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 $ 420,442 0.61 % 14 $ 295,277 0.54 % 14 31-60 Days 319,396 0.70 % 43 203,144 0.54 % 44 61-90 Days 117,846 0.77 % 75 239,431 0.68 % 74 91-120 Days — — % — 193,962 0.56 % 106 151-180 Days 36,074 0.82 % 167 1,506 1.57 % 175 Total Agency RMBS 893,758 0.67 % 39 933,320 0.58 % 56 Credit: 30 Days or Less 19,044 2.23 % 17 14,674 1.94 % 17 31-60 Days 19,620 2.08 % 33 26,419 1.87 % 39 61-90 Days 89,927 2.61 % 70 82,292 2.46 % 67 91-120 Days 2,478 2.47 % 116 — — % — 151-180 Days 2,912 2.29 % 168 24,193 2.62 % 164 181-360 Days 61,114 3.06 % 334 23,877 2.80 % 346 >360 Days 46,546 2.69 % 575 69,414 2.51 % 666 Total Credit Assets 241,641 2.70 % 230 240,869 2.47 % 272 U.S. Treasury Securities: 30 Days or Less 13,665 0.27 % 1 — — % — Total U.S. Treasury Securities 13,665 0.27 % 1 — — % — Total $ 1,149,064 1.09 % 79 $ 1,174,189 0.97 % 100 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 $8.1 million and $4.4 million as of March 31, 2016 and December 31, 2015, respectively. As of March 31, 2016 and December 31, 2015, the fair value of investments transferred as collateral under outstanding borrowings under reverse repurchase agreements was $1.33 billion and $1.35 billion , respectively. Collateral transferred under outstanding borrowings as of March 31, 2016 include investments in the amount of $27.9 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 $34.5 million and additional securities with a fair value of $2.7 million as of March 31, 2016 as a result of margin calls from various counterparties. 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. Securitized Debt In addition to its borrowings under reverse repurchase agreements, the Company has entered into a securitization transaction to finance certain of its commercial mortgage loans and REO which was accounted for as a collateralized borrowing. As of March 31, 2016 the Company had outstanding borrowings in the amount of $23.2 million in connection with this securitization which is reflected under the caption "Securitized debt," on the Company's Consolidated Statement of Assets, Liabilities, and Equity. The Company did not have any outstanding borrowings classified as Securitized debt as of December 31, 2015. As of March 31, 2016, the fair value of commercial mortgage loans and REO collateralizing this financing was $39.1 million . Interest accrues at a rate of LIBOR plus 3.25% and the debt has a maturity date of March 16, 2018. See Note 7 for further information on the Company's securitized debt. |
Related Party Transactions
Related Party Transactions | 3 Months Ended |
Mar. 31, 2016 | |
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 three month periods ended March 31, 2016 and 2015, the total base management fee incurred was $2.6 million and $3.0 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 March 31, 2016 there was a Loss Carryforward of $23.2 million. 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 either of the three month periods ended March 31, 2016 and 2015, since on a rolling four quarter basis, the Company's income did not exceed the prescribed hurdle amount. 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 three month periods ended March 31, 2016 and 2015, the Company reimbursed the Manager $2.0 million and $0.9 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 March 31, 2016, of the 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 March 31, 2016, there were no advances outstanding. 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 $4.1 million and $3.8 million as of March 31, 2016 and December 31, 2015, respectively, is included on the Company's Consolidated Condensed Schedule of Investments in Consumer Loans and Asset-backed Securities backed by Consumer Loans. Participation in Multi-Borrower Financing Facility The Company is a co-participant in an agreement with another entity managed by an affiliate of Ellington, or the "affiliated entity," in order to facilitate the financing of certain small balance commercial mortgage loans and REO owned by the Company and the affiliated entity, respectively (the "SBC Assets"). In connection with this financing, each of the Company and the affiliated entity transferred their respective SBC Assets to a jointly owned entity, which in turn transferred these assets to a securitization trust. In March 2016, the securitization trust issued $37.5 million in debt, collateralized by the SBC Assets, to a large financial institution. While the Company's SBC Assets were transferred to the securitization trust, the Company's SBC Assets and the related debt have not been derecognized for financial reporting purposes, because the Company continues to retain the risks and rewards of ownership of its SBC Assets. The debt issued by the trust amortizes over its original term of two years, and the Company's portion of this debt was $23.2 million as of March 31, 2016, and is reflected under the caption "Securitized debt," on the Company's Consolidated Statement of Assets, Liabilities, and Equity. To the extent there is a default under the financing arrangement, such as the insolvency of either the Company or the affiliated entity, the assets of the non-defaulting party could be used to satisfy outstanding obligations under the financing arrangement. As of March 31, 2016, the affiliated entity was solvent and its financed assets were performing according to expectations. |
Long-Term Incentive Plan Units
Long-Term Incentive Plan Units | 3 Months Ended |
Mar. 31, 2016 | |
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 both the three month periods ended March 31, 2016 and 2015 was $0.1 million . 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 March 31, 2016 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 three month periods ended March 31, 2016 and 2015: Three Month Period Ended March 31, 2016 Three Month Period Ended Manager Director/ Employee Total Manager Director/ Employee Total LTIP Units Outstanding (12/31/2015 and 12/31/2014, respectively) 375,000 74,938 449,938 375,000 54,314 429,314 Granted — — — — — — Exercised — — — — — — LTIP Units Outstanding (3/31/2016 and 3/31/2015, respectively) 375,000 74,938 449,938 375,000 54,314 429,314 LTIP Units Vested and Outstanding (3/31/2016 and 3/31/2015, respectively) 375,000 46,120 421,120 375,000 29,859 404,859 |
Non-controlling Interests
Non-controlling Interests | 3 Months Ended |
Mar. 31, 2016 | |
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 March 31, 2016 , 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 March 31, 2016 these joint venture partners' interests in subsidiaries of the Company were $1.1 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 | 3 Months Ended |
Mar. 31, 2016 | |
Stockholders' Equity Note [Abstract] | |
Common Share Capitalization | Common Share Capitalization During the three month periods ended March 31, 2016 and 2015, the Board of Directors authorized dividends totaling $0.50 per share and $0.65 per share, respectively. Total dividends paid during the three month periods ended March 31, 2016 and 2015 were $16.9 million and $22.2 million , respectively. The following table summarizes issuance, repurchase and other activity with respect to the Company's common shares for the three month periods ended March 31, 2016 and 2015: Three Month Period Ended March 31, 2016 Three Month Period Ended March 31, 2015 Common Shares Outstanding (12/31/2015 and 12/31/2014, respectively) 33,126,012 33,449,678 Share Activity: Shares repurchased (163,033 ) — Common Shares Outstanding (3/31/2016 and 3/31/2015, respectively) 32,962,979 33,449,678 If all LTIP and OP Units that have been previously issued were to become fully vested and exchanged for common shares as of March 31, 2016 and 2015, the Company's issued and outstanding common shares would increase to 33,624,917 and 34,090,992 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 three month period ended March 31, 2016, the Company repurchased 163,033 shares at an average price per share of $17.38 and a total cost of $2.8 million . |
Earnings Per Share
Earnings Per Share | 3 Months Ended |
Mar. 31, 2016 | |
Earnings Per Share [Abstract] | |
Earnings Per Share | Earnings Per Share The components of the computation of basic and diluted EPS were as follows: Three Month Period Ended March 31, 2016 2015 (In thousands except share amounts) Net increase (decrease) in shareholders' equity resulting from operations $ (23,200 ) $ 19,261 Add: Net (decrease) increase in equity resulting from operations attributable to the participating non-controlling interest (1) (147 ) 120 Net increase (decrease) in equity resulting from operations related to common shares, LTIP unit holders, and participating non-controlling interest (23,347 ) 19,381 Net increase (decrease) in shareholders' equity resulting from operations available to common share and LTIP unit holders: Net increase (decrease) in shareholders' equity resulting from operations– common shares (22,889 ) 19,017 Net increase (decrease) in shareholders' equity resulting from operations– LTIP units (311 ) 244 Dividends Paid (2) : Common shareholders (16,541 ) (21,743 ) LTIP unit holders (225 ) (279 ) Non-controlling interest (106 ) (137 ) Total dividends paid to common shareholders, LTIP unit holders, and non-controlling interest (16,872 ) (22,159 ) Undistributed (Distributed in excess of) earnings: Common shareholders (39,430 ) (2,726 ) LTIP unit holders (536 ) (35 ) Non-controlling interest (253 ) (17 ) Total undistributed (distributed in excess of) earnings attributable to common shareholders, LTIP unit holders, and non-controlling interest $ (40,219 ) $ (2,778 ) Weighted average shares outstanding (basic and diluted): Weighted average common shares outstanding 33,083,682 33,449,678 Weighted average participating LTIP units 449,938 429,314 Weighted average non-controlling interest units 212,000 212,000 Basic earnings per common share: Distributed $ 0.50 $ 0.65 Undistributed (Distributed in excess of) (1.19 ) (0.08 ) $ (0.69 ) $ 0.57 Diluted earnings per common share: Distributed $ 0.50 $ 0.65 Undistributed (Distributed in excess of) (1.19 ) (0.08 ) $ (0.69 ) $ 0.57 (1) For the three month periods ended March 31, 2016 and 2015, excludes net increase in equity resulting from operations of $0.2 million and $36 thousand , 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 | 3 Months Ended |
Mar. 31, 2016 | |
Risks and Uncertainties [Abstract] | |
Counterparty Risk | Counterparty Risk As of March 31, 2016 , investments with an aggregate value of approximately $1.33 billion were held with dealers as collateral for various reverse repurchase agreements. The investments held as collateral include securities in the amount of $27.9 million that were sold prior to period end but for which such sale had not yet settled as of March 31, 2016 . The following table details the percentage of such collateral held by counterparties who hold greater than 15% of the aggregate $1.33 billion in collateral for various reverse repurchase agreements as of March 31, 2016 . In addition to the below, unencumbered investments, on a settlement date basis, of approximately $73.6 million were held in custody at the Bank of New York Mellon Corporation. Dealer % of Total Collateral on Reverse Repurchase Agreements Royal Bank of Canada 16% 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 March 31, 2016 : Dealer % of Total Due from Brokers J.P. Morgan Securities Inc. 39% Morgan Stanley 19% 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 March 31, 2016 : Dealer % of Total Receivable for Securities Sold CS First Boston 29% In addition, the Company held cash and cash equivalents of $142.1 million and $183.9 million as of March 31, 2016 and December 31, 2015, respectively. The below table details the concentration of cash and cash equivalents held by each counterparty: As of Counterparty March 31, 2016 December 31, 2015 Bank of New York Mellon Corporation 65% 13% BlackRock Liquidity TempFund 35% 54% J.P. Morgan US Dollar Liquidity Fund —% 27% J.P. Morgan US Treasury Plus Premier Fund —% 6% |
Restricted cash
Restricted cash | 3 Months Ended |
Mar. 31, 2016 | |
Restricted Cash and Investments [Abstract] | |
Restricted Cash 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 March 31, 2016 and December 31, 2015. March 31, 2016 December 31, 2015 (In thousands) Restricted cash balance related to: Warehouse facility $ 3,000 $ 427 Letter of credit 230 230 Flow consumer loan purchase and sale agreement 750 3,700 Minimum account balance required for regulatory purposes 505 500 Total $ 4,485 $ 4,857 |
Offsetting of Assets and Liabil
Offsetting of Assets and Liabilities | 3 Months Ended |
Mar. 31, 2016 | |
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 March 31, 2016 and December 31, 2015. 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. March 31, 2016 : 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 $ 190,798 $ (37,443 ) $ — $ (104,879 ) $ 48,476 Repurchase agreements 127,468 (127,468 ) — — — Liabilities Financial derivatives–liabilities (85,679 ) 37,443 — 48,236 — Reverse repurchase agreements (1,149,064 ) 127,468 987,105 34,491 — 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 — (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 March 31, 2016 and December 31, 2015 were $1.34 billion and $1.36 billion , respectively. As of March 31, 2016 and December 31, 2015, total cash collateral on financial derivative assets excludes excess net cash collateral pledged of $16.3 million and $4.1 million , respectively. As of March 31, 2016 and December 31, 2015, total cash collateral on financial derivative liabilities excludes excess cash collateral pledged of $35.1 million and $45.8 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 | 3 Months Ended |
Mar. 31, 2016 | |
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 March 31, 2016 and December 31, 2015. 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 March 31, 2016, the Company's remaining purchase commitment in connection with the purchase agreement is $34.1 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 March 31, 2016, the Company has purchased $85.0 million in eligible consumer loans under this agreement. In January 2016, the Company entered into a purchase agreement, open-ended in duration, with a third party whereby it has committed to purchase $375 million of principal balance of eligible consumer loans. As of March 31, 2016, the Company has purchased $2.7 million of principal balance in eligible consumer loans under the 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. 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 March 31, 2016 the borrower utilized approximately $123.6 million under the Repo Facility and is performing on its obligations under such facility. Commitments and Contingencies Related to Investments in Mortgage Originators As of March 31, 2016, the Company had non-controlling investments in multiple 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 March 31, 2016, 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 March 31, 2016, the Company's maximum guarantee was $12.5 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 March 31, 2016, the Company purchased loans under this agreement in the amount of $24.0 million and it has outstanding mortgage loan purchase commitments of $13.6 million , which are contingent upon successful loan closings in accordance with agreed-upon parameters. |
Financial Highlights
Financial Highlights | 3 Months Ended |
Mar. 31, 2016 | |
Financial Highlights [Abstract] | |
Financial Highlights | Financial Highlights Results of Operations for a Share Outstanding Throughout the Periods: Three Month Period Ended March 31, 2016 Three Month Period Ended March 31, 2015 Beginning Shareholders' Equity Per Share (12/31/2015 and 12/31/2014, respectively) $ 22.10 $ 23.38 Net Investment Income 0.36 0.52 Net Realized/Unrealized Gains (Losses) (1.06 ) 0.06 Results of Operations Attributable to Equity (0.70 ) 0.58 Less: Results of Operations Attributable to Non-controlling Interests — — Results of Operations Attributable to Shareholders' Equity (1) (0.70 ) 0.58 Dividends Paid to Common Shareholders (0.50 ) (0.65 ) Weighted Average Share Impact on Dividends Paid (2) (0.01 ) (0.01 ) Accretive (Dilutive) Effect of Share Issuances (Net of Offering Costs), Share Repurchases, and Adjustments to Non-controlling Interest 0.02 — Ending Shareholders' Equity Per Share (3/31/2016 and 3/31/2015, respectively) (3) $ 20.91 $ 23.30 Shares Outstanding, end of period 32,962,979 33,449,678 (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 March 31, 2016 and 2015, shareholders' equity per share would be $20.63 and $23.01, respectively. Total Return: The Company calculates its total return two ways, one based on its reported net asset value and the other based on its publicly-traded share price. The following table illustrates the Company's total return for the periods presented based on net asset value: Net Asset Value Based Total Return for a Shareholder: (1) Three Month Period Ended March 31, 2016 Three Month Period Ended March 31, 2015 Total Return (3.17)% 2.47% (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 three month periods ended March 31, 2016 and 2015, the Company's market based total return based on the closing price as reported by the New York Stock Exchange was 6.77% and 2.96% , respectively. Calculation of market based total return assumes the reinvestment of dividends at the closing price as reported by the New York Stock Exchange as of the ex-date. Net Investment Income Ratio to Average Equity: (1) Three Month Period Ended March 31, 2016 Three Month Period Ended March 31, 2015 Net Investment Income (2) 6.58% 8.92% (1) Average equity is calculated using month end values. (2) Includes all items of income and expense on an annualized basis. Expense Ratios to Average Equity: (1)(2) Three Month Period Ended March 31, 2016 Three Month Period Ended March 31, 2015 Operating expenses, before interest expense and other investment related expenses (2.82)% (2.63)% Interest expense and other investment related expenses (2.90)% (2.14)% Total Expenses (5.72)% (4.77)% (1) Average equity is calculated using month end values. (2) Includes all items of income and expense on an annualized basis. |
Subsequent Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2016 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events On May 2, 2016, the Company's Board of Directors approved a dividend for the first quarter of 2016 in the amount of $0.50 per share payable on June 15, 2016 to shareholders of record as of June 1, 2016. |
Significant Accounting Polici29
Significant Accounting Policies (Policy) | 3 Months Ended |
Mar. 31, 2016 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of Presentation: The Company's unaudited interim consolidated financial statements have been prepared in conformity with generally accepted accounting principles in the United States of America, or "U.S. GAAP," for investment companies, ASC 946, Financial Services—Investment Companies ("ASC 946"). 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. In management's opinion, all material adjustments, considered necessary for a fair presentation of the Company's interim consolidated financial statements have been included and are only of a normal recurring nature. Interim results are not necessarily indicative of the results that may be expected for the entire fiscal year. The information included in this Quarterly Report on Form 10-Q should be read in conjunction with the Company's Annual Report on Form 10-K for the year ended December 31, 2015. |
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, 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 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 securitization transaction in March 2016 to finance certain of its commercial mortgage loans and REO which was accounted for as a collateralized borrowing. The assets contributed to the securitization were not derecognized but rather, the liability issued by the securitization was recorded to reflect the financing of the securitized assets. |
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. 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, 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 2015, 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 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 did not have a material impact on the Company's consolidated financial statements. |
Valuation (Tables)
Valuation (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
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 March 31, 2016 : Description Level 1 Level 2 Level 3 Total Assets: (In thousands) Cash equivalents $ 50,000 $ — $ — $ 50,000 Investments, at fair value- Agency residential mortgage-backed securities $ — $ 989,334 $ 22,306 $ 1,011,640 U.S. Treasury securities — 13,672 — 13,672 Private label residential mortgage-backed securities — 110,333 113,382 223,715 Private label commercial mortgage-backed securities — — 35,350 35,350 Commercial mortgage loans — — 56,365 56,365 Residential mortgage loans — — 35,580 35,580 Collateralized loan obligations — — 34,415 34,415 Consumer loans and asset-backed securities backed by consumer loans — — 143,854 143,854 Corporate debt — — 24,552 24,552 Real estate owned — — 21,843 21,843 Private corporate equity investments — — 24,599 24,599 Total investments, at fair value — 1,113,339 512,246 1,625,585 Financial derivatives–assets, at fair value- Credit default swaps on asset-backed securities — — 6,227 6,227 Credit default swaps on corporate bond indices — 144,348 — 144,348 Credit default swaps on corporate bonds — 114 — 114 Credit default swaps on asset-backed indices — 21,311 — 21,311 Interest rate swaps — 17,321 — 17,321 Total return swaps — — 1,074 1,074 Options — 252 — 252 Futures 8 — — 8 Warrants — — 100 100 Mortgage loan purchase commitments — 43 — 43 Total financial derivatives–assets, at fair value 8 183,389 7,401 190,798 Repurchase agreements — 127,468 — 127,468 Total investments and financial derivatives–assets, at fair value and repurchase agreements $ 8 $ 1,424,196 $ 519,647 $ 1,943,851 Liabilities: Investments sold short, at fair value- Agency residential mortgage-backed securities $ — $ (571,063 ) $ — $ (571,063 ) Government debt — (129,798 ) — (129,798 ) Corporate debt — — (3,029 ) (3,029 ) Common stock (8,238 ) — — (8,238 ) Total investments sold short, at fair value (8,238 ) (700,861 ) (3,029 ) (712,128 ) Financial derivatives–liabilities, at fair value- Credit default swaps on corporate bond indices — (55,176 ) — (55,176 ) Credit default swaps on corporate bonds — (776 ) — (776 ) Credit default swaps on asset-backed indices — (1,330 ) — (1,330 ) Credit default swaps on asset-backed securities — — (220 ) (220 ) Description Level 1 Level 2 Level 3 Total (continued) (In thousands) Interest rate swaps $ — $ (18,485 ) $ — $ (18,485 ) Total return swaps — (129 ) (675 ) (804 ) Options — (6,589 ) — (6,589 ) Futures (377 ) — — (377 ) Forwards — (1,922 ) — (1,922 ) Total financial derivatives–liabilities, at fair value (377 ) (84,407 ) (895 ) (85,679 ) Guarantees (1) — — (616 ) (616 ) Total investments sold short, financial derivatives–liabilities, securitized debt, and guarantees, at fair value $ (8,615 ) $ (785,268 ) $ (4,540 ) $ (798,423 ) 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 Description Level 1 Level 2 Level 3 Total (continued) (In thousands) 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 ) Options (2) — (1,760 ) — (1,760 ) 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. (2) Conformed to current period presentation. |
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 % 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 (2) 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 % (continued) Fair Value Valuation Technique Unobservable Input Range Weighted Average Description Min Max (In thousands) 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 preferred equity investment in commercial mortgage-related private partnership 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 March 31, 2016 : Fair Value Valuation Technique Unobservable Input Range Weighted Average Description Min Max (In thousands) Private label residential mortgage-backed securities $ 75,404 Market Quotes Non Binding Third-Party Valuation $ 1.88 $ 153.12 $ 66.93 Collateralized loan obligations 25,830 Market Quotes Non Binding Third-Party Valuation 27.00 101.50 83.73 Corporate debt and non-exchange traded corporate equity 20,784 Market Quotes Non Binding Third-Party Valuation 2.83 200.00 70.37 Private label commercial mortgage-backed securities 16,161 Market Quotes Non Binding Third-Party Valuation 5.05 67.29 32.16 Agency interest only residential mortgage-backed securities 18,628 Market Quotes Non Binding Third-Party Valuation 2.77 24.75 10.61 Total return swaps 399 Market Quotes Non Binding Third-Party Valuation (1) 16.31 100.38 94.29 Private label residential mortgage-backed securities 37,978 Discounted Cash Flows Yield 4.4 % 13.0 % 11.6 % Projected Collateral Prepayments 4.9 % 75.6 % 36.9 % Projected Collateral Losses 4.4 % 25.6 % 12.9 % Projected Collateral Recoveries 0.0 % 12.1 % 5.6 % Projected Collateral Scheduled Amortization 7.9 % 88.8 % 44.6 % 100.0 % Private label commercial mortgage-backed securities 19,189 Discounted Cash Flows Yield 11.6 % 32.8 % 21.2 % Projected Collateral Losses 0.6 % 2.4 % 1.2 % Projected Collateral Recoveries 2.1 % 11.1 % 5.4 % Projected Collateral Scheduled Amortization 87.9 % 97.3 % 93.4 % 100.0 % Corporate debt and warrants 10,450 Discounted Cash Flows Yield 0.0 % 15.3 % 14.8 % (continued) Fair Value Valuation Technique Unobservable Input Range Weighted Average Description Min Max (In thousands) Collateralized loan obligations $ 8,585 Discounted Cash Flows Yield 10.5 % 66.5 % 18.8 % Projected Collateral Prepayments 30.9 % 67.6 % 51.0 % Projected Collateral Losses 1.4 % 19.2 % 7.1 % Projected Collateral Recoveries 1.5 % 16.5 % 5.4 % Projected Collateral Scheduled Amortization 26.4 % 53.6 % 36.5 % 100.0 % Consumer loans and asset-backed securities backed by consumer loans 143,854 Discounted Cash Flows Yield 9.0 % 25.0 % 10.3 % Projected Collateral Prepayments 0.0 % 42.1 % 31.6 % Projected Collateral Losses 1.0 % 33.8 % 7.6 % Projected Collateral Scheduled Amortization 56.1 % 80.7 % 60.8 % 100.0 % Performing commercial mortgage loans 30,189 Discounted Cash Flows Yield 10.4 % 17.6 % 11.7 % Non-performing commercial mortgage loans and commercial real estate owned 24,707 Discounted Cash Flows Yield 10.2 % 28.3 % 15.5 % Months to Resolution 3.0 39.8 18.7 Performing residential mortgage loans 28,877 Discounted Cash Flows Yield 5.4 % 11.1 % 6.6 % Non-performing residential mortgage loans and residential real estate owned 9,482 Discounted Cash Flows Yield 6.5 % 11.4 % 8.7 % Months to Resolution 3.4 120.2 24.8 Credit default swaps on asset-backed securities 6,007 Net Discounted Cash Flows Projected Collateral Prepayments 27.2 % 50.3 % 33.4 % Projected Collateral Losses 15.7 % 34.8 % 28.0 % Projected Collateral Recoveries 6.4 % 15.0 % 10.6 % Projected Collateral Scheduled Amortization 23.1 % 32.0 % 28.0 % 100.0 % Non-exchange traded equity investments in commercial mortgage-related private partnerships 10,435 Discounted Cash Flows Yield 15.6 % 16.5 % 15.9 % Expected Holding Period (Months) 11.5 24.5 20.8 Agency interest only residential mortgage-backed securities 3,678 Option Adjusted Spread ("OAS") LIBOR OAS (2) 441 1,807 701 Projected Collateral Prepayments 20.3 % 100.0 % 64.1 % Projected Collateral Scheduled Amortization 0.0 % 79.7 % 35.9 % 100.0 % Non-exchange traded preferred and common equity investment in mortgage-related entities 2,053 Enterprise Value Equity Multiple (3) 1.9x 1.9x 1.9x Commercial mortgage loans and REO 20,533 Recent Transactions Contract Price 44.29 95.08 64.25 Non-exchange traded preferred and common equity investment in mortgage-related entities 2,500 Recent Transactions Transaction Price N/A N/A N/A Guarantees (616 ) 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. |
Fair Value Measurement Using Significant Unobservable Inputs | The tables below include a roll-forward of the Company's financial instruments for the three month periods ended March 31, 2016 and 2015 (including the change in fair value), for financial instruments classified by the Company within Level 3 of the valuation hierarchy. Level 3—Fair Value Measurement Using Significant Unobservable Inputs: Three Month Period Ended March 31, 2016 (In thousands) Ending Accreted Discounts / (Amortized Premiums) Net Realized Gain/ (Loss) Change in Net Unrealized Gain/(Loss) Purchases/ Sales/ Transfers Into Level 3 Transfers Out of Level 3 Ending Balance as of March 31, 2016 Assets: Investments, at fair value- Agency residential mortgage-backed securities $ 24,918 $ (2,057 ) $ (9 ) $ (546 ) $ — $ — $ — $ — $ 22,306 Private label residential mortgage-backed securities 116,435 605 313 (1,709 ) 5,731 (4,943 ) 12,070 (15,120 ) 113,382 Private label commercial mortgage-backed securities 34,145 455 322 (3,000 ) 7,844 (4,416 ) — — 35,350 Commercial mortgage loans 66,399 546 183 893 13,424 (25,080 ) — — 56,365 Residential mortgage loans 22,089 107 108 275 14,965 (1,964 ) — — 35,580 Collateralized loan obligations 45,974 (927 ) 1,080 272 — (11,984 ) — — 34,415 Consumer loans and asset-backed securities backed by consumer loans 115,376 (2,882 ) — 105 51,910 (20,655 ) — — 143,854 Corporate debt 27,028 113 (20 ) (3,975 ) 2,967 (1,561 ) — — 24,552 Real estate owned 12,522 — 260 1,419 9,788 (2,146 ) — — 21,843 Private corporate equity investments 22,088 — (130 ) (1,228 ) 3,927 (58 ) — — 24,599 Total investments, at fair value 486,974 (4,040 ) 2,107 (7,494 ) 110,556 (72,807 ) 12,070 (15,120 ) 512,246 Financial derivatives–assets, at fair value- Credit default swaps on asset-backed securities 6,332 — 91 (105 ) 36 (127 ) — — 6,227 Total return swaps 85 — (3,515 ) 989 3,568 (53 ) — — 1,074 Warrants 150 — (50 ) — — — — — 100 Total financial derivatives– assets, at fair value 6,567 — (3,474 ) 884 3,604 (180 ) — — 7,401 Total investments and financial derivatives–assets, at fair value $ 493,541 $ (4,040 ) $ (1,367 ) $ (6,610 ) $ 114,160 $ (72,987 ) $ 12,070 $ (15,120 ) $ 519,647 Liabilities: Investments sold short, at fair value Corporate debt $ (448 ) $ 1 $ 360 $ (249 ) $ 887 $ (3,580 ) $ — $ — $ (3,029 ) Total investments sold short, at fair value (448 ) 1 360 (249 ) 887 (3,580 ) — — (3,029 ) (In thousands) Ending Accreted Net Realized Change in Net Purchases/ Sales/ Transfers Into Level 3 Transfers Out of Level 3 Ending (continued) Financial derivatives–liabilities, at fair value- Credit default swaps on asset-backed securities $ (221 ) $ — $ (16 ) $ 1 $ — $ 16 $ — $ — $ (220 ) Total return swaps (4,662 ) — (2,251 ) 3,988 2,337 (87 ) — — (675 ) Total financial derivatives– liabilities, at fair value (4,883 ) — (2,267 ) 3,989 2,337 (71 ) — — (895 ) Guarantees: Guarantees (828 ) — — 212 — — — — (616 ) Total guarantees (828 ) — — 212 — — — — (616 ) Total investments sold short, financial derivatives– liabilities, securitized debt, and guarantees, at fair value $ (6,159 ) $ 1 $ (1,907 ) $ 3,952 $ 3,224 $ (3,651 ) $ — $ — $ (4,540 ) 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 March 31, 2016 , as well as Level 3 financial instruments disposed of by the Company during the three month period ended March 31, 2016 . For Level 3 financial instruments held by the Company at March 31, 2016 , change in net unrealized gain (loss) of $(7.7) million , $3.6 million , $0.6 million , and $0.2 million , for the three month period ended March 31, 2016 relate to investments, financial derivatives–assets, financial derivatives–liabilities, and guarantees, respectively. As of March 31, 2016 , the Company transferred $15.1 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, as of March 31, 2016 , the Company transferred $12.1 million of non-Agency RMBS from Level 2 to Level 3. Since December 31, 2015, 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. Three Month Period Ended March 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 March 31, 2015 Assets: Investments, at fair value- Agency residential mortgage-backed securities $ 31,385 $ (2,006 ) $ 471 $ (96 ) $ 1,190 $ (4,609 ) $ — $ — $ 26,335 Private label residential mortgage-backed securities 274,369 2,388 1,206 3,062 6,633 (39,423 ) 23,221 (102,085 ) 169,371 Private label commercial mortgage-backed securities 53,311 1,372 614 (1,900 ) 15,594 (16,777 ) — — 52,214 Commercial mortgage loans 28,309 539 — 17 24,291 (14,238 ) — — 38,918 Residential mortgage loans 27,482 443 242 144 5,976 (3,442 ) — — 30,845 Collateralized loan obligations (1) 121,994 (4,626 ) 772 (1,701 ) 10,477 (38,086 ) — — 88,830 Consumer loans and asset-backed securities backed by consumer loans (1) 24,294 (1,714 ) — 547 16,057 (4,394 ) — — 34,790 Corporate debt 42,708 31 186 (580 ) 11,605 (22,114 ) — — 31,836 Real estate owned 8,635 — 84 537 2,471 (2,657 ) — — 9,070 Private corporate equity investments 14,512 — — 230 6,572 (14 ) — — 21,300 Total investments, at fair value 626,999 (3,573 ) 3,575 260 100,866 (145,754 ) 23,221 (102,085 ) 503,509 Financial derivatives–assets, at fair value- Credit default swaps on asset-backed securities $ 11,387 $ — $ 401 $ (355 ) $ 22 $ (646 ) $ — $ — $ 10,809 Total return swaps — — — 118 — — — — 118 Warrants 100 — — — — — — — 100 Total financial derivatives– assets, at fair value 11,487 — 401 (237 ) 22 (646 ) — — 11,027 Total investments and financial derivatives–assets, at fair value $ 638,486 $ (3,573 ) $ 3,976 $ 23 $ 100,888 $ (146,400 ) $ 23,221 $ (102,085 ) $ 514,536 Liabilities: Financial derivatives– liabilities, at fair value- Credit default swaps on asset-backed securities $ (239 ) $ — $ (19 ) $ — $ — $ 19 $ — $ — $ (239 ) Total return swaps — — — (307 ) — — — — (307 ) Total financial derivatives– liabilities, at fair value (239 ) — (19 ) (307 ) — 19 — — (546 ) Securitized debt: Securitized debt (774 ) (2 ) — 19 88 — — — (669 ) Total securitized debt (774 ) (2 ) — 19 88 — — — (669 ) Total financial derivatives– liabilities and securitized debt, at fair value $ (1,013 ) $ (2 ) $ (19 ) $ (288 ) $ 88 $ 19 $ — $ — $ (1,215 ) (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 March 31, 2015 , as well as Level 3 financial instruments disposed of by the Company during the three month period ended March 31, 2015 . For Level 3 financial instruments held by the Company at March 31, 2015 , change in net unrealized gain (loss) of $(3.2) million , $(0.2) million , $(0.3) million , and $19 thousand for the three month period ended March 31, 2015 relate to investments, financial derivatives–assets, financial derivatives–liabilities, and securitized debt, respectively. As of March 31, 2015, the Company transferred $102.1 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, as of March 31, 2015, the Company transferred $23.2 million of non-Agency RMBS from Level 2 to Level 3. Following December 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. |
To Be Announced RMBS (Tables)
To Be Announced RMBS (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
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 March 31, 2016 and December 31, 2015: As of March 31, 2016 December 31, 2015 Assets: (In thousands) TBA securities, at fair value (Current principal: $71,245 and $94,602, respectively) $ 74,886 $ 98,009 Receivable for securities sold relating to unsettled TBA sales 569,375 613,023 Liabilities: TBA securities sold short, at fair value (Current principal: -$535,080 and -$580,992, respectively) $ (571,063 ) $ (612,777 ) Payable for securities purchased relating to unsettled TBA purchases (74,681 ) (98,049 ) Net short TBA securities, at fair value (496,177 ) (514,768 ) |
Financial Derivatives (Tables)
Financial Derivatives (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Gains and Losses on Derivative Contracts | Gains and losses on the Company's derivative contracts for the three month periods ended March 31, 2016 and 2015 are summarized in the tables below: Three Month Period Ended March 31, 2016 : Three Month Period Ended March 31, 2016 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 $ 91 $ (105 ) Credit default swaps on asset-backed indices Credit 2,745 (839 ) Credit default swaps on corporate bond indices Credit (1,957 ) 3,239 Credit default swaps on corporate bonds Credit 477 5 Total return swaps Equity Market/Credit (877 ) 989 Interest rate swaps Interest Rates 12,725 7,169 Futures Interest Rates/Equity Market (63 ) 99 Forwards Currency (307 ) (1,138 ) Warrants Credit (50 ) — Mortgage loan purchase commitments Interest Rates — 43 Options Credit/ 3,677 350 16,461 9,812 Financial derivatives–liabilities Credit default swaps on asset-backed securities Credit (16 ) 1 Credit default swaps on asset-backed indices Credit (159 ) (92 ) Credit default swaps on corporate bond indices Credit (5,143 ) (13,636 ) Credit default swaps on corporate bonds Credit (505 ) 118 Total return swaps Equity Market/Credit (4,789 ) 3,858 Interest rate swaps Interest Rates (16,509 ) (13,112 ) Futures Interest Rates/Equity Market (471 ) 28 Forwards Currency (25 ) (1,909 ) Options Credit/ 798 (5,378 ) (26,819 ) (30,122 ) Total $ (10,358 ) $ (20,310 ) (1) Includes gain/(loss) on foreign currency transactions on derivatives in the amount of $28 thousand , for the three month period ended March 31, 2016, 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 $1.6 million , for the three month period ended March 31, 2016, which is included on the Consolidated Statement of Operations in Change in net unrealized gain (loss) on foreign currency translation. Three Month Period Ended March 31, 2015 : Three Month Period Ended March 31, 2015 Derivative Type Primary Risk Exposure Net Realized Gain/(Loss) Change in Net Unrealized Gain/(Loss) (1) (In thousands) Financial derivatives–assets Credit default swaps on asset-backed securities Credit $ 401 $ (355 ) Credit default swaps on asset-backed indices Credit 226 (1,252 ) Credit default swaps on corporate bond indices Credit (3,014 ) 828 Total return swaps Equity Market/Credit 1,810 110 Interest rate swaps Interest Rates 19,460 (6,987 ) Futures Interest Rates 2,398 824 Forwards Currency 7,285 (884 ) Options Credit/ Interest Rates (3,260 ) 560 25,306 (7,156 ) Financial derivatives–liabilities Credit default swaps on asset-backed securities Credit (19 ) — Credit default swaps on asset-backed indices Credit 145 206 Credit default swaps on corporate bond indices Credit 2,124 (2,656 ) Credit default swaps on corporate bonds Credit (668 ) 485 Total return swaps Equity Market/Credit (458 ) (304 ) Interest rate swaps Interest Rates (25,197 ) 4,321 Futures Interest Rates/Equity Market (32 ) (411 ) Forwards Currency (1,489 ) (581 ) Options Credit/ 250 948 (25,344 ) 2,008 Total $ (38 ) $ (5,148 ) (1) Includes foreign currency translation on derivatives in the amount of $1.0 million which is shown on the Consolidated Statement of Operations in Change in net unrealized gain (loss) on foreign currency translation. |
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 three month period ended March 31, 2016 and the year ended December 31, 2015: Derivative Type Three Month Period Ended March 31, 2016 Year Ended (In thousands) Interest rate swaps $ 2,258,733 $ 2,463,892 Credit default swaps 2,146,231 1,080,772 Total return swaps 89,435 112,641 Futures 634,975 880,682 Options 900,488 865,600 Forwards 96,351 107,448 Warrants 1,555 1,554 Mortgage loan purchase commitments 10,043 2,093 |
Schedule of Credit Derivatives | Written credit derivatives held by the Company at March 31, 2016 and December 31, 2015, are summarized below: Credit Derivatives Amount at March 31, 2016 Amount at (In thousands) Fair Value of Written Credit Derivatives, Net $ 138,402 $ 135,443 Fair Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) $ (460 ) $ (369 ) Notional Amount of Written Credit Derivatives (2) $ (818,611 ) $ (799,750 ) Notional Amount of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) $ 17,218 $ 17,322 (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 Repu33
Borrowings under Reverse Repurchase Agreements and Securitized Debt (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Debt Disclosure [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, residential mortgage loans, and U.S. Treasury securities, by remaining maturity as of March 31, 2016 and December 31, 2015: (In thousands) March 31, 2016 December 31, 2015 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 $ 420,442 0.61 % 14 $ 295,277 0.54 % 14 31-60 Days 319,396 0.70 % 43 203,144 0.54 % 44 61-90 Days 117,846 0.77 % 75 239,431 0.68 % 74 91-120 Days — — % — 193,962 0.56 % 106 151-180 Days 36,074 0.82 % 167 1,506 1.57 % 175 Total Agency RMBS 893,758 0.67 % 39 933,320 0.58 % 56 Credit: 30 Days or Less 19,044 2.23 % 17 14,674 1.94 % 17 31-60 Days 19,620 2.08 % 33 26,419 1.87 % 39 61-90 Days 89,927 2.61 % 70 82,292 2.46 % 67 91-120 Days 2,478 2.47 % 116 — — % — 151-180 Days 2,912 2.29 % 168 24,193 2.62 % 164 181-360 Days 61,114 3.06 % 334 23,877 2.80 % 346 >360 Days 46,546 2.69 % 575 69,414 2.51 % 666 Total Credit Assets 241,641 2.70 % 230 240,869 2.47 % 272 U.S. Treasury Securities: 30 Days or Less 13,665 0.27 % 1 — — % — Total U.S. Treasury Securities 13,665 0.27 % 1 — — % — Total $ 1,149,064 1.09 % 79 $ 1,174,189 0.97 % 100 |
Long-Term Incentive Plan Units
Long-Term Incentive Plan Units (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
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 March 31, 2016 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 three month periods ended March 31, 2016 and 2015: Three Month Period Ended March 31, 2016 Three Month Period Ended Manager Director/ Employee Total Manager Director/ Employee Total LTIP Units Outstanding (12/31/2015 and 12/31/2014, respectively) 375,000 74,938 449,938 375,000 54,314 429,314 Granted — — — — — — Exercised — — — — — — LTIP Units Outstanding (3/31/2016 and 3/31/2015, respectively) 375,000 74,938 449,938 375,000 54,314 429,314 LTIP Units Vested and Outstanding (3/31/2016 and 3/31/2015, respectively) 375,000 46,120 421,120 375,000 29,859 404,859 |
Common Share Capitalization (Ta
Common Share Capitalization (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
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 three month periods ended March 31, 2016 and 2015: Three Month Period Ended March 31, 2016 Three Month Period Ended March 31, 2015 Common Shares Outstanding (12/31/2015 and 12/31/2014, respectively) 33,126,012 33,449,678 Share Activity: Shares repurchased (163,033 ) — Common Shares Outstanding (3/31/2016 and 3/31/2015, respectively) 32,962,979 33,449,678 |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Earnings Per Share [Abstract] | |
Computation Of Basic And Diluted EPS | The components of the computation of basic and diluted EPS were as follows: Three Month Period Ended March 31, 2016 2015 (In thousands except share amounts) Net increase (decrease) in shareholders' equity resulting from operations $ (23,200 ) $ 19,261 Add: Net (decrease) increase in equity resulting from operations attributable to the participating non-controlling interest (1) (147 ) 120 Net increase (decrease) in equity resulting from operations related to common shares, LTIP unit holders, and participating non-controlling interest (23,347 ) 19,381 Net increase (decrease) in shareholders' equity resulting from operations available to common share and LTIP unit holders: Net increase (decrease) in shareholders' equity resulting from operations– common shares (22,889 ) 19,017 Net increase (decrease) in shareholders' equity resulting from operations– LTIP units (311 ) 244 Dividends Paid (2) : Common shareholders (16,541 ) (21,743 ) LTIP unit holders (225 ) (279 ) Non-controlling interest (106 ) (137 ) Total dividends paid to common shareholders, LTIP unit holders, and non-controlling interest (16,872 ) (22,159 ) Undistributed (Distributed in excess of) earnings: Common shareholders (39,430 ) (2,726 ) LTIP unit holders (536 ) (35 ) Non-controlling interest (253 ) (17 ) Total undistributed (distributed in excess of) earnings attributable to common shareholders, LTIP unit holders, and non-controlling interest $ (40,219 ) $ (2,778 ) Weighted average shares outstanding (basic and diluted): Weighted average common shares outstanding 33,083,682 33,449,678 Weighted average participating LTIP units 449,938 429,314 Weighted average non-controlling interest units 212,000 212,000 Basic earnings per common share: Distributed $ 0.50 $ 0.65 Undistributed (Distributed in excess of) (1.19 ) (0.08 ) $ (0.69 ) $ 0.57 Diluted earnings per common share: Distributed $ 0.50 $ 0.65 Undistributed (Distributed in excess of) (1.19 ) (0.08 ) $ (0.69 ) $ 0.57 (1) For the three month periods ended March 31, 2016 and 2015, excludes net increase in equity resulting from operations of $0.2 million and $36 thousand , 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) | 3 Months Ended |
Mar. 31, 2016 | |
Risks and Uncertainties [Abstract] | |
Schedule Of Percentage Of Total Collateral On Reverse Repurchase Agreements [Table Text Block] | The following table details the percentage of such collateral held by counterparties who hold greater than 15% of the aggregate $1.33 billion in collateral for various reverse repurchase agreements as of March 31, 2016 . In addition to the below, unencumbered investments, on a settlement date basis, of approximately $73.6 million were held in custody at the Bank of New York Mellon Corporation. Dealer % of Total Collateral on Reverse Repurchase Agreements Royal Bank of Canada 16% |
% 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 March 31, 2016 : Dealer % of Total Due from Brokers J.P. Morgan Securities Inc. 39% Morgan Stanley 19% |
% 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 March 31, 2016 : Dealer % of Total Receivable for Securities Sold CS First Boston 29% |
Schedule of Cash and Cash Equivalents [Table Text Block] | In addition, the Company held cash and cash equivalents of $142.1 million and $183.9 million as of March 31, 2016 and December 31, 2015, respectively. The below table details the concentration of cash and cash equivalents held by each counterparty: As of Counterparty March 31, 2016 December 31, 2015 Bank of New York Mellon Corporation 65% 13% BlackRock Liquidity TempFund 35% 54% J.P. Morgan US Dollar Liquidity Fund —% 27% J.P. Morgan US Treasury Plus Premier Fund —% 6% |
Restricted cash (Tables)
Restricted cash (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Restricted Cash and Investments [Abstract] | |
Schedule of Restricted Cash [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 March 31, 2016 and December 31, 2015. March 31, 2016 December 31, 2015 (In thousands) Restricted cash balance related to: Warehouse facility $ 3,000 $ 427 Letter of credit 230 230 Flow consumer loan purchase and sale agreement 750 3,700 Minimum account balance required for regulatory purposes 505 500 Total $ 4,485 $ 4,857 |
Offsetting of Assets and Liab39
Offsetting of Assets and Liabilities (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
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 March 31, 2016 and December 31, 2015. 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. March 31, 2016 : 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 $ 190,798 $ (37,443 ) $ — $ (104,879 ) $ 48,476 Repurchase agreements 127,468 (127,468 ) — — — Liabilities Financial derivatives–liabilities (85,679 ) 37,443 — 48,236 — Reverse repurchase agreements (1,149,064 ) 127,468 987,105 34,491 — 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 — (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 March 31, 2016 and December 31, 2015 were $1.34 billion and $1.36 billion , respectively. As of March 31, 2016 and December 31, 2015, total cash collateral on financial derivative assets excludes excess net cash collateral pledged of $16.3 million and $4.1 million , respectively. As of March 31, 2016 and December 31, 2015, total cash collateral on financial derivative liabilities excludes excess cash collateral pledged of $35.1 million and $45.8 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) | 3 Months Ended |
Mar. 31, 2016 | |
Financial Highlights [Abstract] | |
Results of Operations For a Share Outstanding | Results of Operations for a Share Outstanding Throughout the Periods: Three Month Period Ended March 31, 2016 Three Month Period Ended March 31, 2015 Beginning Shareholders' Equity Per Share (12/31/2015 and 12/31/2014, respectively) $ 22.10 $ 23.38 Net Investment Income 0.36 0.52 Net Realized/Unrealized Gains (Losses) (1.06 ) 0.06 Results of Operations Attributable to Equity (0.70 ) 0.58 Less: Results of Operations Attributable to Non-controlling Interests — — Results of Operations Attributable to Shareholders' Equity (1) (0.70 ) 0.58 Dividends Paid to Common Shareholders (0.50 ) (0.65 ) Weighted Average Share Impact on Dividends Paid (2) (0.01 ) (0.01 ) Accretive (Dilutive) Effect of Share Issuances (Net of Offering Costs), Share Repurchases, and Adjustments to Non-controlling Interest 0.02 — Ending Shareholders' Equity Per Share (3/31/2016 and 3/31/2015, respectively) (3) $ 20.91 $ 23.30 Shares Outstanding, end of period 32,962,979 33,449,678 (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 March 31, 2016 and 2015, shareholders' equity per share would be $20.63 and $23.01, respectively. |
Net Asset Value Based Total Return For a Shareholder | The following table illustrates the Company's total return for the periods presented based on net asset value: Net Asset Value Based Total Return for a Shareholder: (1) Three Month Period Ended March 31, 2016 Three Month Period Ended March 31, 2015 Total Return (3.17)% 2.47% (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) Three Month Period Ended March 31, 2016 Three Month Period Ended March 31, 2015 Net Investment Income (2) 6.58% 8.92% (1) Average equity is calculated using month end values. (2) Includes all items of income and expense on an annualized basis. |
Expense Ratios to Average Equity | Expense Ratios to Average Equity: (1)(2) Three Month Period Ended March 31, 2016 Three Month Period Ended March 31, 2015 Operating expenses, before interest expense and other investment related expenses (2.82)% (2.63)% Interest expense and other investment related expenses (2.90)% (2.14)% Total Expenses (5.72)% (4.77)% (1) Average equity is calculated using month end values. (2) Includes all items of income and expense on an annualized basis. |
Organization and Investment O41
Organization and Investment Objective Narrative (Details) | Mar. 31, 2016 |
Parent [Member] | |
Organization, Consolidation and Presentation of Financial Statements [Line Items] | |
Ownership Percentage | 99.40% |
Significant Accounting Polici42
Significant Accounting Policies (Details) | 3 Months Ended |
Mar. 31, 2016 | |
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 ($) | 3 Months Ended | 12 Months Ended | |||
Mar. 31, 2016 | Dec. 31, 2015 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Financial derivatives–assets, at fair value- | [1] | $ 190,798,000 | $ 162,905,000 | ||
Fair value repurchase agreements | [1] | 127,468,000 | 105,700,000 | ||
Investments sold short, at fair value- | (712,128,000) | (728,747,000) | |||
Financial derivatives–liabilities, at fair value- | [1] | (85,679,000) | (60,472,000) | ||
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 | 1,943,851,000 | 1,929,723,000 | |||
Total investments sold short, financial derivatives–liabilities, securitized debt, and guarantees, at fair value | (798,423,000) | (790,047,000) | |||
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- | (712,128,000) | (728,747,000) | |||
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- | (571,063,000) | (612,777,000) | |||
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- | (129,798,000) | (114,051,000) | |||
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- | (3,029,000) | (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- | (8,238,000) | (1,471,000) | |||
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- | (85,679,000) | (60,472,000) | |||
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- | (220,000) | (221,000) | |||
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- | (55,176,000) | (47,298,000) | |||
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- | (776,000) | (683,000) | |||
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- | (1,330,000) | (365,000) | |||
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- | (18,485,000) | (4,934,000) | |||
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- | (804,000) | (4,662,000) | |||
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- | (6,589,000) | (1,760,000) | [2] | ||
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- | (377,000) | (528,000) | |||
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- | (1,922,000) | (13,000) | |||
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] | Guarantees [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Guarantees, Fair Value Disclosure | (616,000) | [3] | (828,000) | [4] | |
Fair Value, Measurements, Recurring [Member] | Cash Equivalents [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Cash Equivalents | 50,000,000 | 160,000,000 | |||
Fair Value, Measurements, Recurring [Member] | Investments [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Investments, at fair value- | 1,625,585,000 | 1,661,118,000 | |||
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- | 1,011,640,000 | 1,060,580,000 | |||
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- | 13,672,000 | ||||
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- | 223,715,000 | 254,917,000 | |||
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- | 35,350,000 | 34,145,000 | |||
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- | 56,365,000 | 66,399,000 | |||
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- | 35,580,000 | 22,089,000 | |||
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- | 34,415,000 | 45,974,000 | |||
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- | 143,854,000 | 115,376,000 | |||
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- | 24,552,000 | 27,028,000 | |||
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- | 21,843,000 | 12,522,000 | |||
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- | 24,599,000 | 22,088,000 | |||
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- | 190,798,000 | 162,905,000 | |||
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- | 6,227,000 | 6,332,000 | |||
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- | 144,348,000 | 137,643,000 | |||
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- | 114,000 | 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- | 21,311,000 | 5,410,000 | |||
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- | 17,321,000 | 9,943,000 | |||
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- | 1,074,000 | 85,000 | |||
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- | 252,000 | 2,162,000 | |||
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- | 8,000 | 32,000 | |||
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 | ||||
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- | 100,000 | 150,000 | |||
Fair Value, Measurements, Recurring [Member] | Financial Derivatives - Assets [Member] | Purchase Commitment [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Financial derivatives–assets, at fair value- | 43,000 | ||||
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 | 127,468,000 | 105,700,000 | |||
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 | 8,000 | 144,000 | |||
Total investments sold short, financial derivatives–liabilities, securitized debt, and guarantees, at fair value | (8,615,000) | (1,999,000) | |||
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- | (8,238,000) | (1,471,000) | |||
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 | 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- | (8,238,000) | (1,471,000) | |||
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- | (377,000) | (528,000) | |||
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 | [2] | ||
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- | (377,000) | (528,000) | |||
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] | Guarantees [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Guarantees, Fair Value Disclosure | 0 | [3] | 0 | [4] | |
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 | 50,000,000 | 160,000,000 | |||
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 | |||
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 | |||
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- | 8,000 | 144,000 | |||
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 | 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- | 0 | 112,000 | |||
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- | 8,000 | 32,000 | |||
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 | ||||
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] | Financial Derivatives - Assets [Member] | Purchase Commitment [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] | 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 | 1,424,196,000 | 1,436,038,000 | |||
Total investments sold short, financial derivatives–liabilities, securitized debt, and guarantees, at fair value | (785,268,000) | (781,889,000) | |||
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- | (700,861,000) | (726,828,000) | |||
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- | (571,063,000) | (612,777,000) | |||
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- | (129,798,000) | (114,051,000) | |||
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 | 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- | (84,407,000) | (55,061,000) | |||
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- | (55,176,000) | (47,298,000) | |||
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- | (776,000) | (683,000) | |||
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- | (1,330,000) | (365,000) | |||
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- | (18,485,000) | (4,934,000) | |||
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- | (129,000) | 0 | |||
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- | (6,589,000) | (1,760,000) | [2] | ||
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- | (1,922,000) | (13,000) | |||
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] | Guarantees [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Guarantees, Fair Value Disclosure | 0 | [3] | 0 | [4] | |
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 | |||
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- | 1,113,339,000 | 1,174,144,000 | |||
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- | 989,334,000 | 1,035,662,000 | |||
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- | 13,672,000 | ||||
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- | 110,333,000 | 138,482,000 | |||
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 | |||
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 | |||
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- | 183,389,000 | 156,194,000 | |||
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- | 144,348,000 | 137,643,000 | |||
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- | 114,000 | 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- | 21,311,000 | 5,410,000 | |||
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- | 17,321,000 | 9,943,000 | |||
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 | 0 | |||
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- | 252,000 | 2,050,000 | |||
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 | ||||
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] | Financial Derivatives - Assets [Member] | Purchase Commitment [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Financial derivatives–assets, at fair value- | 43,000 | ||||
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 | 127,468,000 | 105,700,000 | |||
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 | 519,647,000 | 493,541,000 | |||
Total investments sold short, financial derivatives–liabilities, securitized debt, and guarantees, at fair value | (4,540,000) | (6,159,000) | |||
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- | (3,029,000) | (448,000) | |||
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- | (3,029,000) | (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- | (895,000) | (4,883,000) | |||
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- | (220,000) | (221,000) | |||
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- | (675,000) | (4,662,000) | |||
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 | [2] | ||
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] | Guarantees [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Guarantees, Fair Value Disclosure | (616,000) | [3] | (828,000) | [4] | |
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 | |||
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- | 512,246,000 | 486,974,000 | |||
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- | 22,306,000 | 24,918,000 | |||
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- | 113,382,000 | 116,435,000 | |||
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- | 35,350,000 | 34,145,000 | |||
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- | 56,365,000 | 66,399,000 | |||
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- | 35,580,000 | 22,089,000 | |||
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- | 34,415,000 | 45,974,000 | |||
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- | 143,854,000 | 115,376,000 | |||
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- | 24,552,000 | 27,028,000 | |||
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- | 21,843,000 | 12,522,000 | |||
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- | 24,599,000 | 22,088,000 | |||
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- | 7,401,000 | 6,567,000 | |||
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- | 6,227,000 | 6,332,000 | |||
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 | 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- | 1,074,000 | 85,000 | |||
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] | 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 | ||||
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- | 100,000 | 150,000 | |||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Financial Derivatives - Assets [Member] | Purchase Commitment [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] | 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] | Conformed to current period presentation. | ||||
[3] | Included in Other liabilities on the Consolidated Statement of Assets, Liabilities, and Equity. | ||||
[4] | Included in Other liabilities on the Consolidated Statement of Assets, Liabilities, and Equity. |
Valuation (Schedule Of Signific
Valuation (Schedule Of Significant Unobservable Inputs, Qualitative Information) (Details) - Level 3 [Member] | 3 Months Ended | 12 Months Ended | ||
Mar. 31, 2016USD ($) | Dec. 31, 2015USD ($) | |||
Market Approach Valuation Technique [Member] | Private Label Residential Mortgage Backed Securities [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Fair value | $ 75,404,000 | $ 89,549,000 | ||
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 | 1.88 | 1.81 | ||
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 | 153.12 | 151.86 | ||
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 | 66.93 | 68.47 | ||
Market Approach Valuation Technique [Member] | Collateralized Loan Obligations [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Fair value | $ 25,830,000 | $ 41,978,000 | ||
Market Approach Valuation Technique [Member] | Collateralized Loan Obligations [Member] | Minimum [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Non Binding Third-Party Valuation | 27 | 13 | ||
Market Approach Valuation Technique [Member] | Collateralized Loan Obligations [Member] | Maximum [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Non Binding Third-Party Valuation | 101.50 | 102 | ||
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 | 83.73 | 84.84 | ||
Market Approach Valuation Technique [Member] | Corporate Debt and non-exchange traded corporate equity [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Fair value | $ 20,784,000 | $ 18,972,000 | ||
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 | 2.83 | 3 | ||
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 | 200 | ||
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 | 70.37 | 77.85 | ||
Market Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Fair value | $ 16,161,000 | $ 20,365,000 | ||
Market Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities [Member] | Minimum [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Non Binding Third-Party Valuation | 5.05 | 6.07 | ||
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 | 67.29 | 73.20 | ||
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 | 32.16 | 41.28 | ||
Market Approach Valuation Technique [Member] | Agency Interest Only Residential Mortgage-Backed Securities [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Fair value | $ 18,628,000 | $ 21,067,000 | ||
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 | 2.77 | 2.97 | ||
Market Approach Valuation Technique [Member] | Agency Interest Only Residential Mortgage-Backed Securities [Member] | Maximum [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Non Binding Third-Party Valuation | 24.75 | 22.41 | ||
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 | 10.61 | 11.08 | ||
Income Approach Valuation Technique [Member] | Private Label Residential Mortgage Backed Securities [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Fair value | $ 37,978,000 | $ 26,886,000 | ||
Income Approach Valuation Technique [Member] | Private Label Residential Mortgage Backed Securities [Member] | Minimum [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Yield | 4.40% | 3.40% | ||
Projected Collateral Prepayments | 4.90% | 5.40% | ||
Fair Value Inputs Losses | 4.40% | 2.90% | ||
Fair Value Inputs Projected Collateral Recoveries | 0.00% | 0.30% | ||
Fair Value Inputs Projected Collateral Scheduled Amortization | 7.90% | 8.60% | ||
Income Approach Valuation Technique [Member] | Private Label Residential Mortgage Backed Securities [Member] | Maximum [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Yield | 13.00% | 27.10% | ||
Projected Collateral Prepayments | 75.60% | 74.60% | ||
Fair Value Inputs Losses | 25.60% | 24.50% | ||
Fair Value Inputs Projected Collateral Recoveries | 12.10% | 13.00% | ||
Fair Value Inputs Projected Collateral Scheduled Amortization | 88.80% | 88.60% | ||
Income Approach Valuation Technique [Member] | Private Label Residential Mortgage Backed Securities [Member] | Weighted Average [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Yield | 11.60% | 19.90% | ||
Projected Collateral Prepayments | 36.90% | 46.30% | ||
Fair Value Inputs Losses | 12.90% | 11.40% | ||
Fair Value Inputs Projected Collateral Recoveries | 5.60% | 8.00% | ||
Fair Value Inputs Projected Collateral Scheduled Amortization | 44.60% | 34.30% | ||
Total Outstanding Collateral | 100.00% | 100.00% | ||
Income Approach Valuation Technique [Member] | Collateralized Loan Obligations [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Fair value | $ 8,585,000 | $ 3,996,000 | ||
Income Approach Valuation Technique [Member] | Collateralized Loan Obligations [Member] | Minimum [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Yield | 10.50% | 8.30% | ||
Projected Collateral Prepayments | 30.90% | 31.90% | ||
Fair Value Inputs Losses | 1.40% | 2.60% | ||
Fair Value Inputs Projected Collateral Recoveries | 1.50% | 2.30% | ||
Fair Value Inputs Projected Collateral Scheduled Amortization | 26.40% | 33.30% | ||
Income Approach Valuation Technique [Member] | Collateralized Loan Obligations [Member] | Maximum [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Yield | 66.50% | 20.60% | ||
Projected Collateral Prepayments | 67.60% | 52.30% | ||
Fair Value Inputs Losses | 19.20% | 17.30% | ||
Fair Value Inputs Projected Collateral Recoveries | 16.50% | 15.50% | ||
Fair Value Inputs Projected Collateral Scheduled Amortization | 53.60% | 51.50% | ||
Income Approach Valuation Technique [Member] | Collateralized Loan Obligations [Member] | Weighted Average [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Yield | 18.80% | 13.50% | ||
Projected Collateral Prepayments | 51.00% | 41.10% | ||
Fair Value Inputs Losses | 7.10% | 12.90% | ||
Fair Value Inputs Projected Collateral Recoveries | 5.40% | 10.10% | ||
Fair Value Inputs Projected Collateral Scheduled Amortization | 36.50% | 35.90% | ||
Total Outstanding Collateral | 100.00% | 100.00% | ||
Income Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Fair value | $ 19,189,000 | $ 13,780,000 | ||
Income Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities [Member] | Minimum [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Yield | 11.60% | 19.20% | ||
Fair Value Inputs Losses | 0.60% | 0.70% | ||
Fair Value Inputs Projected Collateral Recoveries | 2.10% | 1.50% | ||
Fair Value Inputs Projected Collateral Scheduled Amortization | 87.90% | 83.40% | ||
Income Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities [Member] | Maximum [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Yield | 32.80% | 25.00% | ||
Fair Value Inputs Losses | 2.40% | 2.30% | ||
Fair Value Inputs Projected Collateral Recoveries | 11.10% | 14.30% | ||
Fair Value Inputs Projected Collateral Scheduled Amortization | 97.30% | 97.60% | ||
Income Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities [Member] | Weighted Average [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Yield | 21.20% | 22.10% | ||
Fair Value Inputs Losses | 1.20% | 1.60% | ||
Fair Value Inputs Projected Collateral Recoveries | 5.40% | 8.40% | ||
Fair Value Inputs Projected Collateral Scheduled Amortization | 93.40% | 90.00% | ||
Total Outstanding Collateral | 100.00% | 100.00% | ||
Income Approach Valuation Technique [Member] | Agency Interest Only Residential Mortgage-Backed Securities [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Fair value | $ 3,678,000 | $ 3,851,000 | ||
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 | 20.30% | 18.00% | ||
Fair Value Inputs Projected Collateral Scheduled Amortization | 0.00% | 0.00% | ||
LIBOR OAS | 4.41% | [1] | 4.41% | [2] |
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 | 79.70% | 82.00% | ||
LIBOR OAS | 18.07% | [1] | 16.72% | [2] |
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 | 64.10% | 70.40% | ||
Fair Value Inputs Projected Collateral Scheduled Amortization | 35.90% | 29.60% | ||
Total Outstanding Collateral | 100.00% | 100.00% | ||
LIBOR OAS | 7.01% | [1] | 6.22% | [2] |
Income Approach Valuation Technique [Member] | Corporate debt and warrants [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Fair value | $ 10,450,000 | $ 13,920,000 | ||
Income Approach Valuation Technique [Member] | Corporate debt and warrants [Member] | Minimum [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Yield | 0.00% | 15.00% | ||
Income Approach Valuation Technique [Member] | Corporate debt and warrants [Member] | Maximum [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Yield | 15.30% | 20.00% | ||
Income Approach Valuation Technique [Member] | Corporate debt and warrants [Member] | Weighted Average [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Yield | 14.80% | 16.20% | ||
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 | $ 143,854,000 | $ 115,376,000 | ||
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% | 9.00% | ||
Projected Collateral Prepayments | 0.00% | 0.00% | ||
Fair Value Inputs Losses | 1.00% | 1.00% | ||
Fair Value Inputs Projected Collateral Scheduled Amortization | 56.10% | 57.30% | ||
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 | 25.00% | 15.00% | ||
Projected Collateral Prepayments | 42.10% | 40.90% | ||
Fair Value Inputs Losses | 33.80% | 33.80% | ||
Fair Value Inputs Projected Collateral Scheduled Amortization | 80.70% | 80.80% | ||
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 | 10.30% | 10.40% | ||
Projected Collateral Prepayments | 31.60% | 30.90% | ||
Fair Value Inputs Losses | 7.60% | 7.30% | ||
Fair Value Inputs Projected Collateral Scheduled Amortization | 60.80% | 61.80% | ||
Total Outstanding Collateral | 100.00% | 100.00% | ||
Income Approach Valuation Technique [Member] | Performing Commercial Mortgage Loans [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Fair value | $ 30,189,000 | $ 43,847,000 | ||
Income Approach Valuation Technique [Member] | Performing Commercial Mortgage Loans [Member] | Minimum [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Yield | 10.40% | 9.80% | ||
Income Approach Valuation Technique [Member] | Performing Commercial Mortgage Loans [Member] | Maximum [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Yield | 17.60% | 17.60% | ||
Income Approach Valuation Technique [Member] | Performing Commercial Mortgage Loans [Member] | Weighted Average [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Yield | 11.70% | 11.90% | ||
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 | $ 24,707,000 | $ 30,984,000 | ||
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% | 10.20% | ||
Months to Resolution | 3 months | 4 months | ||
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 | 28.30% | 19.40% | ||
Months to Resolution | 39 months 24 days | 24 months | ||
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 | 15.50% | 13.70% | ||
Months to Resolution | 18 months 21 days | 9 months 10 days | ||
Income Approach Valuation Technique [Member] | Performing Residential Mortgage Loans [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Fair value | $ 28,877,000 | $ 13,848,000 | ||
Income Approach Valuation Technique [Member] | Performing Residential Mortgage Loans [Member] | Minimum [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Yield | 5.40% | 5.50% | ||
Income Approach Valuation Technique [Member] | Performing Residential Mortgage Loans [Member] | Maximum [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Yield | 11.10% | 8.00% | ||
Income Approach Valuation Technique [Member] | Performing Residential Mortgage Loans [Member] | Weighted Average [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Yield | 6.60% | 6.50% | ||
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 | $ 9,482,000 | $ 12,331,000 | ||
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 | 6.50% | 5.70% | ||
Months to Resolution | 3 months 12 days | 3 months 12 days | ||
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 | 11.40% | 7.90% | ||
Months to Resolution | 120 months 6 days | 113 months 18 days | ||
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 | 8.70% | 7.30% | ||
Months to Resolution | 24 months 24 days | 20 months 18 days | ||
Recent Transactions [Member] | Commercial Mortgage Loans and REO [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Fair value | $ 20,533,000 | |||
Recent Transactions [Member] | Commercial Mortgage Loans and REO [Member] | Minimum [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Contract Price | 44.29 | |||
Recent Transactions [Member] | Commercial Mortgage Loans and REO [Member] | Maximum [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Contract Price | 95.08 | |||
Recent Transactions [Member] | Commercial Mortgage Loans and REO [Member] | Weighted Average [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Contract Price | 64.25 | |||
Credit Default Swaps On Asset Backed Securities [Member] | Income Approach Valuation Technique [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Fair value | $ 6,007,000 | $ 6,111,000 | ||
Credit Default Swaps On Asset Backed Securities [Member] | Income Approach Valuation Technique [Member] | Minimum [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Projected Collateral Prepayments | 27.20% | 26.60% | ||
Fair Value Inputs Losses | 15.70% | 15.00% | ||
Fair Value Inputs Projected Collateral Recoveries | 6.40% | 6.80% | ||
Fair Value Inputs Projected Collateral Scheduled Amortization | 23.10% | 24.50% | ||
Credit Default Swaps On Asset Backed Securities [Member] | Income Approach Valuation Technique [Member] | Maximum [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Projected Collateral Prepayments | 50.30% | 44.10% | ||
Fair Value Inputs Losses | 34.80% | 33.70% | ||
Fair Value Inputs Projected Collateral Recoveries | 15.00% | 16.90% | ||
Fair Value Inputs Projected Collateral Scheduled Amortization | 32.00% | 33.10% | ||
Credit Default Swaps On Asset Backed Securities [Member] | Income Approach Valuation Technique [Member] | Weighted Average [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Projected Collateral Prepayments | 33.40% | 32.60% | ||
Fair Value Inputs Losses | 28.00% | 26.50% | ||
Fair Value Inputs Projected Collateral Recoveries | 10.60% | 12.00% | ||
Fair Value Inputs Projected Collateral Scheduled Amortization | 28.00% | 28.90% | ||
Total Outstanding Collateral | 100.00% | 100.00% | ||
Total Return Swaps [Member] | Market Approach Valuation Technique [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Fair value | $ 399,000 | |||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | $ (4,577,000) | |||
Total Return Swaps [Member] | Market Approach Valuation Technique [Member] | Minimum [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Non Binding Third-Party Valuation | 16.31 | [3] | 36.38 | [4] |
Total Return Swaps [Member] | Market Approach Valuation Technique [Member] | Maximum [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Non Binding Third-Party Valuation | 100.38 | [3] | 99.88 | [4] |
Total Return Swaps [Member] | Market Approach Valuation Technique [Member] | Weighted Average [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Non Binding Third-Party Valuation | 94.29 | [3] | 56.38 | [4] |
Guarantees [Member] | Recent Transactions [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Financial and Nonfinancial Liabilities, Fair Value Disclosure | $ (616,000) | $ (828,000) | ||
Private Corporate Equity Investments [Member] | Non-exchange traded equity investments in commercial mortgage-related private partnerships [Member] | Income Approach Valuation Technique [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Fair value | $ 10,435,000 | $ 10,558,000 | ||
Private Corporate Equity Investments [Member] | Non-exchange traded equity investments in commercial mortgage-related private partnerships [Member] | Income Approach Valuation Technique [Member] | Minimum [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Yield | 15.60% | 14.00% | ||
Expected Holding Period (Months) | 11 months 15 days | 14 months 9 days | ||
Private Corporate Equity Investments [Member] | Non-exchange traded equity investments in commercial mortgage-related private partnerships [Member] | Income Approach Valuation Technique [Member] | Maximum [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Yield | 16.50% | 16.50% | ||
Expected Holding Period (Months) | 24 months 15 days | 27 months | ||
Private Corporate Equity Investments [Member] | Non-exchange traded equity investments in commercial mortgage-related private partnerships [Member] | Income Approach Valuation Technique [Member] | Weighted Average [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Yield | 15.90% | 14.70% | ||
Expected Holding Period (Months) | 20 months 24 days | 23 months 15 days | ||
Private Corporate Equity Investments [Member] | Non-Exchange Traded Preferred and Common Equity Investment in Mortgage-Related Entities [Member] | Enterprise Value [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Fair value | $ 2,053,000 | $ 2,738,000 | ||
Private Corporate Equity Investments [Member] | Non-Exchange Traded Preferred and Common Equity Investment in Mortgage-Related Entities [Member] | Enterprise Value [Member] | Minimum [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Equity Multiple | 1.9 | [5] | 2.7 | [6] |
Private Corporate Equity Investments [Member] | Non-Exchange Traded Preferred and Common Equity Investment in Mortgage-Related Entities [Member] | Enterprise Value [Member] | Maximum [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Equity Multiple | 1.9 | [5] | 2.7 | [6] |
Private Corporate Equity Investments [Member] | Non-Exchange Traded Preferred and Common Equity Investment in Mortgage-Related Entities [Member] | Enterprise Value [Member] | Weighted Average [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Equity Multiple | 1.9 | [5] | 2.7 | [6] |
Private Corporate Equity Investments [Member] | Non-Exchange Traded Preferred and Common Equity Investment in Mortgage-Related Entities [Member] | Recent Transactions [Member] | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||
Fair value | $ 2,500,000 | $ 2,630,000 | ||
[1] | Shown in basis points. | |||
[2] | Shown in basis points. | |||
[3] | Represents valuations on underlying assets. | |||
[4] | Represents valuations on underlying assets. | |||
[5] | Represent an estimation of where market participants might value an enterprise. | |||
[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 | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | $ 493,541 | $ 638,486 | |
Assets, Accreted Discounts/Amortized Premiums | (4,040) | (3,573) | |
Assets, Realized Gain (Loss) | (1,367) | 3,976 | |
Assets, Change In Net Unrealized Gain/(Loss) | (6,610) | 23 | |
Assets, Purchases | 114,160 | 100,888 | |
Assets, Sales | (72,987) | (146,400) | |
Assets, Transfers into Level 3 | 12,070 | 23,221 | |
Assets, Transfers out of Level 3 | (15,120) | (102,085) | |
Assets, Ending Balance | 519,647 | 514,536 | |
Liabilities, Begining Balance | (6,159) | (1,013) | |
Liabilities, Accreted Discounts/Amortized Premiums | 1 | (2) | |
Liabilities, Realized Gain/(Loss) | (1,907) | (19) | |
Liabilities, Change In Net Unrealized Gain/(Loss) | 3,952 | (288) | |
Liabilities Purchases/Payments | 3,224 | 88 | |
Liabilities, Sales/Issuance | (3,651) | 19 | |
Liabilities, Transfers into Level 3 | 0 | 0 | |
Liabilities, Transfers out of Level 3 | 0 | 0 | |
Liabilities, Ending Balance | (4,540) | (1,215) | |
Change in net unrealized gain (loss) on investments Level 3 Held At End of Period | (7,700) | (3,200) | |
Change in net unrealized gain (loss) in financial derivative assets Level 3 Held At End of Period | 3,600 | (200) | |
Change in net unrealized Gain (Loss) on financial derivative liabilities Level 3 Held At End of Period | 600 | (300) | |
Change in net unrealized gain (loss) in securitized debt Level 3 Held At End of Period | 19 | ||
Change in net unrealized Gain (Loss) On Guarantees Level 3 Held At End Of Period | 200 | ||
Securitized Debt [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Liabilities, Begining Balance | (774) | ||
Liabilities, Accreted Discounts/Amortized Premiums | (2) | ||
Liabilities, Realized Gain/(Loss) | 0 | ||
Liabilities, Change In Net Unrealized Gain/(Loss) | 19 | ||
Liabilities, Payments | 88 | ||
Liabilities, Issuances | 0 | ||
Liabilities, Transfers into Level 3 | 0 | ||
Liabilities, Transfers out of Level 3 | 0 | ||
Liabilities, Ending Balance | (669) | ||
Guarantees [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Liabilities, Begining Balance | (828) | ||
Liabilities, Accreted Discounts/Amortized Premiums | 0 | ||
Liabilities, Realized Gain/(Loss) | 0 | ||
Liabilities, Change In Net Unrealized Gain/(Loss) | 212 | ||
Liabilities, Payments | 0 | ||
Liabilities, Issuances | 0 | ||
Liabilities, Transfers into Level 3 | 0 | ||
Liabilities, Transfers out of Level 3 | 0 | ||
Liabilities, Ending Balance | (616) | ||
Investments [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | 486,974 | 626,999 | |
Assets, Accreted Discounts/Amortized Premiums | (4,040) | (3,573) | |
Assets, Realized Gain (Loss) | 2,107 | 3,575 | |
Assets, Change In Net Unrealized Gain/(Loss) | (7,494) | 260 | |
Assets, Purchases | 110,556 | 100,866 | |
Assets, Sales | (72,807) | (145,754) | |
Assets, Transfers into Level 3 | 12,070 | 23,221 | |
Assets, Transfers out of Level 3 | (15,120) | (102,085) | |
Assets, Ending Balance | 512,246 | 503,509 | |
Investments [Member] | Agency residential mortgage-backed securities [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | 24,918 | 31,385 | |
Assets, Accreted Discounts/Amortized Premiums | (2,057) | (2,006) | |
Assets, Realized Gain (Loss) | (9) | 471 | |
Assets, Change In Net Unrealized Gain/(Loss) | (546) | (96) | |
Assets, Purchases | 0 | 1,190 | |
Assets, Sales | 0 | (4,609) | |
Assets, Transfers into Level 3 | 0 | 0 | |
Assets, Transfers out of Level 3 | 0 | 0 | |
Assets, Ending Balance | 22,306 | 26,335 | |
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 | 116,435 | 274,369 | |
Assets, Accreted Discounts/Amortized Premiums | 605 | 2,388 | |
Assets, Realized Gain (Loss) | 313 | 1,206 | |
Assets, Change In Net Unrealized Gain/(Loss) | (1,709) | 3,062 | |
Assets, Purchases | 5,731 | 6,633 | |
Assets, Sales | (4,943) | (39,423) | |
Assets, Transfers into Level 3 | 12,070 | 23,221 | |
Assets, Transfers out of Level 3 | (15,120) | (102,085) | |
Assets, Ending Balance | 113,382 | 169,371 | |
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 | 34,145 | 53,311 | |
Assets, Accreted Discounts/Amortized Premiums | 455 | 1,372 | |
Assets, Realized Gain (Loss) | 322 | 614 | |
Assets, Change In Net Unrealized Gain/(Loss) | (3,000) | (1,900) | |
Assets, Purchases | 7,844 | 15,594 | |
Assets, Sales | (4,416) | (16,777) | |
Assets, Transfers into Level 3 | 0 | 0 | |
Assets, Transfers out of Level 3 | 0 | 0 | |
Assets, Ending Balance | 35,350 | 52,214 | |
Investments [Member] | Commercial Mortgage Loans [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | 66,399 | 28,309 | |
Assets, Accreted Discounts/Amortized Premiums | 546 | 539 | |
Assets, Realized Gain (Loss) | 183 | 0 | |
Assets, Change In Net Unrealized Gain/(Loss) | 893 | 17 | |
Assets, Purchases | 13,424 | 24,291 | |
Assets, Sales | (25,080) | (14,238) | |
Assets, Transfers into Level 3 | 0 | 0 | |
Assets, Transfers out of Level 3 | 0 | 0 | |
Assets, Ending Balance | 56,365 | 38,918 | |
Investments [Member] | Residential Mortgage Loans [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | 22,089 | 27,482 | |
Assets, Accreted Discounts/Amortized Premiums | 107 | 443 | |
Assets, Realized Gain (Loss) | 108 | 242 | |
Assets, Change In Net Unrealized Gain/(Loss) | 275 | 144 | |
Assets, Purchases | 14,965 | 5,976 | |
Assets, Sales | (1,964) | (3,442) | |
Assets, Transfers into Level 3 | 0 | 0 | |
Assets, Transfers out of Level 3 | 0 | 0 | |
Assets, Ending Balance | 35,580 | 30,845 | |
Investments [Member] | Collateralized Loan Obligations [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | 45,974 | 121,994 | [1] |
Assets, Accreted Discounts/Amortized Premiums | (927) | (4,626) | [1] |
Assets, Realized Gain (Loss) | 1,080 | 772 | [1] |
Assets, Change In Net Unrealized Gain/(Loss) | 272 | (1,701) | [1] |
Assets, Purchases | 0 | 10,477 | [1] |
Assets, Sales | (11,984) | (38,086) | [1] |
Assets, Transfers into Level 3 | 0 | 0 | [1] |
Assets, Transfers out of Level 3 | 0 | 0 | [1] |
Assets, Ending Balance | 34,415 | 88,830 | [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 | 115,376 | 24,294 | [1] |
Assets, Accreted Discounts/Amortized Premiums | (2,882) | (1,714) | [1] |
Assets, Realized Gain (Loss) | 0 | 0 | [1] |
Assets, Change In Net Unrealized Gain/(Loss) | 105 | 547 | [1] |
Assets, Purchases | 51,910 | 16,057 | [1] |
Assets, Sales | (20,655) | (4,394) | [1] |
Assets, Transfers into Level 3 | 0 | 0 | [1] |
Assets, Transfers out of Level 3 | 0 | 0 | [1] |
Assets, Ending Balance | 143,854 | 34,790 | [1] |
Investments [Member] | Corporate Debt [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | 27,028 | 42,708 | |
Assets, Accreted Discounts/Amortized Premiums | 113 | 31 | |
Assets, Realized Gain (Loss) | (20) | 186 | |
Assets, Change In Net Unrealized Gain/(Loss) | (3,975) | (580) | |
Assets, Purchases | 2,967 | 11,605 | |
Assets, Sales | (1,561) | (22,114) | |
Assets, Transfers into Level 3 | 0 | 0 | |
Assets, Transfers out of Level 3 | 0 | 0 | |
Assets, Ending Balance | 24,552 | 31,836 | |
Investments [Member] | Real Estate Owned [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | 12,522 | 8,635 | |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | |
Assets, Realized Gain (Loss) | 260 | 84 | |
Assets, Change In Net Unrealized Gain/(Loss) | 1,419 | 537 | |
Assets, Purchases | 9,788 | 2,471 | |
Assets, Sales | (2,146) | (2,657) | |
Assets, Transfers into Level 3 | 0 | 0 | |
Assets, Transfers out of Level 3 | 0 | 0 | |
Assets, Ending Balance | 21,843 | 9,070 | |
Investments [Member] | Private Corporate Equity Investments [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | 22,088 | 14,512 | |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | |
Assets, Realized Gain (Loss) | (130) | 0 | |
Assets, Change In Net Unrealized Gain/(Loss) | (1,228) | 230 | |
Assets, Purchases | 3,927 | 6,572 | |
Assets, Sales | (58) | (14) | |
Assets, Transfers into Level 3 | 0 | 0 | |
Assets, Transfers out of Level 3 | 0 | 0 | |
Assets, Ending Balance | 24,599 | 21,300 | |
Financial Derivatives - Assets [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | 6,567 | 11,487 | |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | |
Assets, Realized Gain (Loss) | (3,474) | 401 | |
Assets, Change In Net Unrealized Gain/(Loss) | 884 | (237) | |
Assets, Purchases | 3,604 | 22 | |
Assets, Sales | (180) | (646) | |
Assets, Transfers into Level 3 | 0 | 0 | |
Assets, Transfers out of Level 3 | 0 | 0 | |
Assets, Ending Balance | 7,401 | 11,027 | |
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 | 6,332 | 11,387 | |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | |
Assets, Realized Gain (Loss) | 91 | 401 | |
Assets, Change In Net Unrealized Gain/(Loss) | (105) | (355) | |
Assets, Purchases | 36 | 22 | |
Assets, Sales | (127) | (646) | |
Assets, Transfers into Level 3 | 0 | 0 | |
Assets, Transfers out of Level 3 | 0 | 0 | |
Assets, Ending Balance | 6,227 | 10,809 | |
Financial Derivatives - Assets [Member] | Total Return Swaps [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | 85 | 0 | |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | |
Assets, Realized Gain (Loss) | (3,515) | 0 | |
Assets, Change In Net Unrealized Gain/(Loss) | 989 | 118 | |
Assets, Purchases | 3,568 | 0 | |
Assets, Sales | (53) | 0 | |
Assets, Transfers into Level 3 | 0 | 0 | |
Assets, Transfers out of Level 3 | 0 | 0 | |
Assets, Ending Balance | 1,074 | 118 | |
Financial Derivatives - Assets [Member] | Warrant [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | 150 | 100 | |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | |
Assets, Realized Gain (Loss) | (50) | 0 | |
Assets, Change In Net Unrealized Gain/(Loss) | 0 | 0 | |
Assets, Purchases | 0 | 0 | |
Assets, Sales | 0 | 0 | |
Assets, Transfers into Level 3 | 0 | 0 | |
Assets, Transfers out of Level 3 | 0 | 0 | |
Assets, Ending Balance | 100 | 100 | |
Financial Derivatives - Liabilities [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Liabilities, Begining Balance | (4,883) | (239) | |
Liabilities, Accreted Discounts/Amortized Premiums | 0 | 0 | |
Liabilities, Realized Gain/(Loss) | (2,267) | (19) | |
Liabilities, Change In Net Unrealized Gain/(Loss) | 3,989 | (307) | |
Liabilities, Purchases | 2,337 | 0 | |
Liabilities, Sales | (71) | 19 | |
Liabilities, Transfers into Level 3 | 0 | 0 | |
Liabilities, Transfers out of Level 3 | 0 | 0 | |
Liabilities, Ending Balance | (895) | (546) | |
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 | (221) | (239) | |
Liabilities, Accreted Discounts/Amortized Premiums | 0 | 0 | |
Liabilities, Realized Gain/(Loss) | (16) | (19) | |
Liabilities, Change In Net Unrealized Gain/(Loss) | 1 | 0 | |
Liabilities, Purchases | 0 | 0 | |
Liabilities, Sales | 16 | 19 | |
Liabilities, Transfers into Level 3 | 0 | 0 | |
Liabilities, Transfers out of Level 3 | 0 | 0 | |
Liabilities, Ending Balance | (220) | (239) | |
Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Liabilities, Begining Balance | (4,662) | 0 | |
Liabilities, Accreted Discounts/Amortized Premiums | 0 | 0 | |
Liabilities, Realized Gain/(Loss) | (2,251) | 0 | |
Liabilities, Change In Net Unrealized Gain/(Loss) | 3,988 | (307) | |
Liabilities, Purchases | 2,337 | 0 | |
Liabilities, Sales | (87) | 0 | |
Liabilities, Transfers into Level 3 | 0 | 0 | |
Liabilities, Transfers out of Level 3 | 0 | 0 | |
Liabilities, Ending Balance | (675) | $ (307) | |
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 | (448) | ||
Liabilities, Accreted Discounts/Amortized Premiums | 1 | ||
Liabilities, Realized Gain/(Loss) | 360 | ||
Liabilities, Change In Net Unrealized Gain/(Loss) | (249) | ||
Liabilities, Purchases | 887 | ||
Liabilities, Sales | (3,580) | ||
Liabilities, Transfers into Level 3 | 0 | ||
Liabilities, Transfers out of Level 3 | 0 | ||
Liabilities, Ending Balance | (3,029) | ||
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 | (448) | ||
Liabilities, Accreted Discounts/Amortized Premiums | 1 | ||
Liabilities, Realized Gain/(Loss) | 360 | ||
Liabilities, Change In Net Unrealized Gain/(Loss) | (249) | ||
Liabilities, Purchases | 887 | ||
Liabilities, Sales | (3,580) | ||
Liabilities, Transfers into Level 3 | 0 | ||
Liabilities, Transfers out of Level 3 | 0 | ||
Liabilities, Ending Balance | $ (3,029) | ||
[1] | Conformed to prior period presentation. |
To Be Announced RMBS (Details)
To Be Announced RMBS (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | ||
To Be Announced Securities [Line Items] | ||||
Fair Value | $ 1,625,585 | $ 1,661,118 | ||
Financial Instruments Sold, Not yet Purchased, at Fair Value | (712,128) | (728,747) | ||
Payable for securities purchased | (103,376) | (165,365) | ||
To Be Announced Fixed Rate Agency Securities [Member] | ||||
To Be Announced Securities [Line Items] | ||||
Fair Value | 74,886 | [1],[2],[3] | 98,009 | [4],[5],[6] |
Investment Owned, Balance, Principal Amount | 71,245 | 94,602 | ||
Receivable for securities sold | 569,375 | 613,023 | ||
TBA - Fixed Rate Agency Securities Sold Short [Member] | ||||
To Be Announced Securities [Line Items] | ||||
Financial Instruments Sold, Not yet Purchased, at Fair Value | (571,063) | [2],[7] | (612,777) | [5],[8] |
Investment Sold, Not yet Purchased, Balance, Principal Amount | (535,080) | (580,992) | ||
Payable for securities purchased | (74,681) | (98,049) | ||
Investment Owned At Fair Value, Net | $ (496,177) | $ (514,768) | ||
[1] | At March 31, 2016, 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 78.59%, 42.93%, and 24.06% of equity, respectively. | |||
[2] | See Note 2 and Note 3 in Notes to Consolidated Financial Statements. | |||
[3] | The table below shows the Company's long investment ratings from Moody's, Standard and Poor's, or Fitch, as well as the Company's long investments that were unrated but guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, or the Government National Mortgage Association. Ratings tend to be a lagging credit indicator; as a result, the credit quality of the Company's long investment holdings may be lower than the credit quality implied based on the ratings listed below. In situations where an investment has a split rating, the lowest provided rating is used. The ratings descriptions include ratings qualified with a "+," "-," "1," "2," or "3."Rating Description Percent of EquityUnrated but Agency-Guaranteed 145.58%Aaa/AAA/AAA 1.97%A/A/A 0.32%Baa/BBB/BBB 0.88%Ba/BB/BB or below 30.77%Unrated 54.40% | |||
[4] | 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. | |||
[5] | See Note 2 and Note 3 in Notes to Consolidated Financial Statements. | |||
[6] | The table below shows the ratings on the Company's long investments from Moody's, Standard and Poor's, or Fitch, as well as the Company's long investments that were unrated but guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, or the Government National Mortgage Association. Ratings tend to be a lagging credit indicator; as a result, the credit quality of the Company's long investment holdings may be lower than the credit quality implied based on the ratings listed below. In situations where an investment has a split rating, the lowest provided rating is used. The ratings descriptions include ratings qualified with a "+," "-," "1," "2," or "3."Rating Description Percent 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% | |||
[7] | At March 31, 2016, 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 57.42%, 18.46%, and 6.30% of equity, respectively. | |||
[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. |
Financial Derivatives (Schedule
Financial Derivatives (Schedule Of Gains And Losses On Derivative Contracts) (Details) - USD ($) $ in Thousands | 3 Months Ended | ||||
Mar. 31, 2016 | Mar. 31, 2015 | ||||
Derivative [Line Items] | |||||
Foreign currency transactions | $ 420 | $ 733 | |||
Net Realized Gain/Loss on Financial Derivatives | (10,358) | [1] | (38) | ||
Unrealized Gain (Loss) on Financial Derivatives | (20,310) | [2] | (5,148) | [3] | |
Foreign currency translation | 3,219 | (5,063) | |||
Financial Derivatives - Assets [Member] | |||||
Derivative [Line Items] | |||||
Net Realized Gain/Loss on Financial Derivatives | 16,461 | [1] | 25,306 | ||
Unrealized Gain (Loss) on Financial Derivatives | 9,812 | [2] | (7,156) | [3] | |
Financial Derivatives - Liabilities [Member] | |||||
Derivative [Line Items] | |||||
Net Realized Gain/Loss on Financial Derivatives | (26,819) | [1] | (25,344) | ||
Unrealized Gain (Loss) on Financial Derivatives | (30,122) | [2] | 2,008 | [3] | |
Derivative [Member] | |||||
Derivative [Line Items] | |||||
Foreign currency transactions | 28 | ||||
Foreign currency translation | 1,600 | 1,000 | |||
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 | 91 | [1] | 401 | ||
Unrealized Gain (Loss) on Financial Derivatives | (105) | [2] | (355) | [3] | |
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 | 2,745 | [1] | 226 | ||
Unrealized Gain (Loss) on Financial Derivatives | (839) | [2] | (1,252) | [3] | |
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 | (1,957) | [1] | (3,014) | ||
Unrealized Gain (Loss) on Financial Derivatives | 3,239 | [2] | 828 | [3] | |
Credit Risk [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Bonds [Member] | |||||
Derivative [Line Items] | |||||
Net Realized Gain/Loss on Financial Derivatives | [1] | 477 | |||
Unrealized Gain (Loss) on Financial Derivatives | [2] | 5 | |||
Credit Risk [Member] | Financial Derivatives - Assets [Member] | Warrant [Member] | |||||
Derivative [Line Items] | |||||
Net Realized Gain/Loss on Financial Derivatives | [1] | (50) | |||
Unrealized Gain (Loss) on Financial Derivatives | [2] | 0 | |||
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 | (16) | [1] | (19) | ||
Unrealized Gain (Loss) on Financial Derivatives | 1 | [2] | 0 | [3] | |
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 | (159) | [1] | 145 | ||
Unrealized Gain (Loss) on Financial Derivatives | (92) | [2] | 206 | [3] | |
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 | (5,143) | [1] | 2,124 | ||
Unrealized Gain (Loss) on Financial Derivatives | (13,636) | [2] | (2,656) | [3] | |
Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Bonds [Member] | |||||
Derivative [Line Items] | |||||
Net Realized Gain/Loss on Financial Derivatives | (505) | [1] | (668) | ||
Unrealized Gain (Loss) on Financial Derivatives | 118 | [2] | 485 | [3] | |
Equity Market/Credit Risk [Member] | Financial Derivatives - Assets [Member] | Total Return Swaps [Member] | |||||
Derivative [Line Items] | |||||
Net Realized Gain/Loss on Financial Derivatives | (877) | [1] | 1,810 | ||
Unrealized Gain (Loss) on Financial Derivatives | 989 | [2] | 110 | [3] | |
Equity Market/Credit Risk [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member] | |||||
Derivative [Line Items] | |||||
Net Realized Gain/Loss on Financial Derivatives | (4,789) | [1] | (458) | ||
Unrealized Gain (Loss) on Financial Derivatives | 3,858 | [2] | (304) | [3] | |
Interest Rate Risk [Member] | Financial Derivatives - Assets [Member] | Interest Rate Swaps [Member] | |||||
Derivative [Line Items] | |||||
Net Realized Gain/Loss on Financial Derivatives | 12,725 | [1] | 19,460 | ||
Unrealized Gain (Loss) on Financial Derivatives | 7,169 | [2] | (6,987) | [3] | |
Interest Rate Risk [Member] | Financial Derivatives - Assets [Member] | Futures [Member] | |||||
Derivative [Line Items] | |||||
Net Realized Gain/Loss on Financial Derivatives | 2,398 | ||||
Unrealized Gain (Loss) on Financial Derivatives | [3] | 824 | |||
Interest Rate Risk [Member] | Financial Derivatives - Assets [Member] | Purchase Commitment [Member] | |||||
Derivative [Line Items] | |||||
Net Realized Gain/Loss on Financial Derivatives | [1] | 0 | |||
Unrealized Gain (Loss) on Financial Derivatives | [2] | 43 | |||
Interest Rate Risk [Member] | Financial Derivatives - Liabilities [Member] | Interest Rate Swaps [Member] | |||||
Derivative [Line Items] | |||||
Net Realized Gain/Loss on Financial Derivatives | (16,509) | [1] | (25,197) | ||
Unrealized Gain (Loss) on Financial Derivatives | (13,112) | [2] | 4,321 | [3] | |
Interest Rates/Equity Market Risk [Member] | Financial Derivatives - Assets [Member] | Futures [Member] | |||||
Derivative [Line Items] | |||||
Net Realized Gain/Loss on Financial Derivatives | [1] | (63) | |||
Unrealized Gain (Loss) on Financial Derivatives | [2] | 99 | |||
Interest Rates/Equity Market Risk [Member] | Financial Derivatives - Liabilities [Member] | Futures [Member] | |||||
Derivative [Line Items] | |||||
Net Realized Gain/Loss on Financial Derivatives | (471) | [1] | (32) | ||
Unrealized Gain (Loss) on Financial Derivatives | 28 | [2] | (411) | [3] | |
Currency risk [Member] | Financial Derivatives - Assets [Member] | Forwards [Member] | |||||
Derivative [Line Items] | |||||
Net Realized Gain/Loss on Financial Derivatives | (307) | [1] | 7,285 | ||
Unrealized Gain (Loss) on Financial Derivatives | (1,138) | [2] | (884) | [3] | |
Currency risk [Member] | Financial Derivatives - Liabilities [Member] | Forwards [Member] | |||||
Derivative [Line Items] | |||||
Net Realized Gain/Loss on Financial Derivatives | (25) | [1] | (1,489) | ||
Unrealized Gain (Loss) on Financial Derivatives | (1,909) | [2] | (581) | [3] | |
Credit/Interest Rate Risk [Member] | Financial Derivatives - Assets [Member] | Options [Member] | |||||
Derivative [Line Items] | |||||
Net Realized Gain/Loss on Financial Derivatives | 3,677 | [1] | (3,260) | ||
Unrealized Gain (Loss) on Financial Derivatives | 350 | [2] | 560 | [3] | |
Credit/Interest Rate Risk [Member] | Financial Derivatives - Liabilities [Member] | Options [Member] | |||||
Derivative [Line Items] | |||||
Net Realized Gain/Loss on Financial Derivatives | 250 | ||||
Unrealized Gain (Loss) on Financial Derivatives | [3] | $ 948 | |||
Credit/Interest Rate/Equity Market Risk [Member] | Financial Derivatives - Liabilities [Member] | Options [Member] | |||||
Derivative [Line Items] | |||||
Net Realized Gain/Loss on Financial Derivatives | [1] | 798 | |||
Unrealized Gain (Loss) on Financial Derivatives | [2] | $ (5,378) | |||
[1] | Includes gain/(loss) on foreign currency transactions on derivatives in the amount of $28 thousand, for the three month period ended March 31, 2016, 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 $1.6 million, for the three month period ended March 31, 2016, which is included on the Consolidated Statement of Operations in Change in net unrealized gain (loss) on foreign currency translation. | ||||
[3] | Includes foreign currency translation on derivatives in the amount of $1.0 million which is shown on the Consolidated Statement of Operations in Change in net unrealized gain (loss) on foreign currency translation. |
Financial Derivatives Financial
Financial Derivatives Financial Derivatives (Schedule of Derivative Activity) (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2016 | Dec. 31, 2015 | |
Interest Rate Swaps [Member] | ||
Derivative [Line Items] | ||
Average Monthly Notional Amount | $ 2,258,733 | $ 2,463,892 |
Credit Default Swap [Member] | ||
Derivative [Line Items] | ||
Average Monthly Notional Amount | 2,146,231 | 1,080,772 |
Total Return Swaps [Member] | ||
Derivative [Line Items] | ||
Average Monthly Notional Amount | 89,435 | 112,641 |
Futures [Member] | ||
Derivative [Line Items] | ||
Average Monthly Notional Amount | 634,975 | 880,682 |
Options [Member] | ||
Derivative [Line Items] | ||
Average Monthly Notional Amount | 900,488 | 865,600 |
Forwards [Member] | ||
Derivative [Line Items] | ||
Average Monthly Notional Amount | 96,351 | 107,448 |
Warrant [Member] | ||
Derivative [Line Items] | ||
Average Monthly Notional Amount | 1,555 | 1,554 |
Mortgage Loan Purchase Commitments [Member] | ||
Derivative [Line Items] | ||
Average Monthly Notional Amount | $ 10,043 | $ 2,093 |
Financial Derivatives (Schedu49
Financial Derivatives (Schedule Of Credit Derivatives) (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | |
Credit Default Swap, Selling Protection [Member] | |||
Credit Derivatives [Line Items] | |||
Fair Value of Written Credit Derivatives, Net | $ 138,402 | $ 135,443 | |
Notional value | [1] | (818,611) | (799,750) |
Credit Default Swap, Buying Protection [Member] | |||
Credit Derivatives [Line Items] | |||
Fair Value of Written Credit Derivatives, Net | [2] | (460) | (369) |
Notional value | [2] | $ 17,218 | $ 17,322 |
[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 | 3 Months Ended | 12 Months Ended |
Mar. 31, 2016 | Dec. 31, 2015 | |
Credit Default Swap, Selling Protection [Member] | ||
Derivative [Line Items] | ||
Total net up-front payments received | $ 136 | $ 137.8 |
Minimum [Member] | ||
Derivative [Line Items] | ||
Low Range Of Spread On Written Credit Derivatives | 0.185% | 0.195% |
Maximum [Member] | ||
Derivative [Line Items] | ||
Low Range Of Spread On Written Credit Derivatives | 36.671% | 46.287% |
Schedule of Reverse Repurchase
Schedule of Reverse Repurchase Agreements by Maturity (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2016 | Dec. 31, 2015 | ||
Repurchase Agreements and Securitized Debt [Line Items] | |||
Reverse repurchase agreements | [1] | $ 1,149,064 | $ 1,174,189 |
Debt, Weighted Average Interest Rate | 1.09% | 0.97% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 79 days | 100 days | |
Agency residential mortgage-backed securities [Member] | |||
Repurchase Agreements and Securitized Debt [Line Items] | |||
Reverse repurchase agreements | $ 893,758 | $ 933,320 | |
Debt, Weighted Average Interest Rate | 0.67% | 0.58% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 39 days | 56 days | |
Agency residential mortgage-backed securities [Member] | Maturity up to 30 days [Member] | |||
Repurchase Agreements and Securitized Debt [Line Items] | |||
Reverse repurchase agreements | $ 420,442 | $ 295,277 | |
Debt, Weighted Average Interest Rate | 0.61% | 0.54% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 14 days | 14 days | |
Agency residential mortgage-backed securities [Member] | Maturity 31 to 60 days [Member] | |||
Repurchase Agreements and Securitized Debt [Line Items] | |||
Reverse repurchase agreements | $ 319,396 | $ 203,144 | |
Debt, Weighted Average Interest Rate | 0.70% | 0.54% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 43 days | 44 days | |
Agency residential mortgage-backed securities [Member] | Maturity 61 to 90 days [Member] | |||
Repurchase Agreements and Securitized Debt [Line Items] | |||
Reverse repurchase agreements | $ 117,846 | $ 239,431 | |
Debt, Weighted Average Interest Rate | 0.77% | 0.68% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 75 days | 74 days | |
Agency residential mortgage-backed securities [Member] | Maturity 91 to 120 days [Member] | |||
Repurchase Agreements and Securitized Debt [Line Items] | |||
Reverse repurchase agreements | $ 0 | $ 193,962 | |
Debt, Weighted Average Interest Rate | 0.00% | 0.56% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 0 days | 106 days | |
Agency residential mortgage-backed securities [Member] | Maturity 151 to 180 days [Member] | |||
Repurchase Agreements and Securitized Debt [Line Items] | |||
Reverse repurchase agreements | $ 36,074 | $ 1,506 | |
Debt, Weighted Average Interest Rate | 0.82% | 1.57% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 167 days | 175 days | |
Credit Portfolio [Member] | |||
Repurchase Agreements and Securitized Debt [Line Items] | |||
Reverse repurchase agreements | $ 241,641 | $ 240,869 | |
Debt, Weighted Average Interest Rate | 2.70% | 2.47% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 230 days | 272 days | |
Credit Portfolio [Member] | Maturity up to 30 days [Member] | |||
Repurchase Agreements and Securitized Debt [Line Items] | |||
Reverse repurchase agreements | $ 19,044 | $ 14,674 | |
Debt, Weighted Average Interest Rate | 2.23% | 1.94% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 17 days | 17 days | |
Credit Portfolio [Member] | Maturity 31 to 60 days [Member] | |||
Repurchase Agreements and Securitized Debt [Line Items] | |||
Reverse repurchase agreements | $ 19,620 | $ 26,419 | |
Debt, Weighted Average Interest Rate | 2.08% | 1.87% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 33 days | 39 days | |
Credit Portfolio [Member] | Maturity 61 to 90 days [Member] | |||
Repurchase Agreements and Securitized Debt [Line Items] | |||
Reverse repurchase agreements | $ 89,927 | $ 82,292 | |
Debt, Weighted Average Interest Rate | 2.61% | 2.46% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 70 days | 67 days | |
Credit Portfolio [Member] | Maturity 91 to 120 days [Member] | |||
Repurchase Agreements and Securitized Debt [Line Items] | |||
Reverse repurchase agreements | $ 2,478 | $ 0 | |
Debt, Weighted Average Interest Rate | 2.47% | 0.00% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 116 days | 0 days | |
Credit Portfolio [Member] | Maturity 151 to 180 days [Member] | |||
Repurchase Agreements and Securitized Debt [Line Items] | |||
Reverse repurchase agreements | $ 2,912 | $ 24,193 | |
Debt, Weighted Average Interest Rate | 2.29% | 2.62% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 168 days | 164 days | |
Credit Portfolio [Member] | Maturity 181 to 360 days [Member] | |||
Repurchase Agreements and Securitized Debt [Line Items] | |||
Reverse repurchase agreements | $ 61,114 | $ 23,877 | |
Debt, Weighted Average Interest Rate | 3.06% | 2.80% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 334 days | 346 days | |
Credit Portfolio [Member] | Maturity greater than 360 days [Member] | |||
Repurchase Agreements and Securitized Debt [Line Items] | |||
Reverse repurchase agreements | $ 46,546 | $ 69,414 | |
Debt, Weighted Average Interest Rate | 2.69% | 2.51% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 575 days | 666 days | |
US Treasury Securities [Member] | |||
Repurchase Agreements and Securitized Debt [Line Items] | |||
Reverse repurchase agreements | $ 13,665 | $ 0 | |
Debt, Weighted Average Interest Rate | 0.27% | 0.00% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 1 day | 0 days | |
US Treasury Securities [Member] | Maturity up to 30 days [Member] | |||
Repurchase Agreements and Securitized Debt [Line Items] | |||
Reverse repurchase agreements | $ 13,665 | $ 0 | |
Debt, Weighted Average Interest Rate | 0.27% | 0.00% | |
Remaining Days to Maturity, Reverse Repurchase Agreements | 1 day | 0 days | |
[1] | In the Company's Consolidated Statement of Assets, Liabilities, and Equity, all balances associated with repurchase agreements, reverse repurchase agreements, and financial derivatives are presented on a gross basis. |
Borrowings under Repurchase Agr
Borrowings under Repurchase Agreements and Securitized Debt (Details) $ in Thousands | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2016USD ($)counterparties | Dec. 31, 2015USD ($)counterparties | ||
Repurchase Agreements and Securitized Debt [Line Items] | |||
Number of Counterparties with Outstanding Reverse Repurchase Agreements | counterparties | 18 | 18 | |
Concentration Risk, Reverse Repurchase Agreements | 17.00% | 15.00% | |
Number Counterparties With Concentration Risk, Reverse Repurchase Agreements | counterparties | 1 | 1 | |
Forward Starting Reverse Repurchase Agreements | $ 8,100 | $ 4,400 | |
Investments held with dealers as collateral | 1,330,000 | 1,350,000 | |
Pledged Financial Instruments, Not Separately Reported, Securities For Repurchase Agreements Unsettled | 27,900 | 16,800 | |
Securitized Debt | 23,238 | $ 0 | |
Loans and REO pledged as collateral | $ 39,100 | ||
Investment Interest Rate Range Start | 3.25% | ||
Minimum [Member] | |||
Repurchase Agreements and Securitized Debt [Line Items] | |||
Reverse Repurchase Agreements Maturity | 30 days | ||
Reverse Repurchase Agreements Remaining Terms | 1 day | 4 days | |
Reverse Repurchase Agreements Interest Rate | 0.10% | 0.37% | |
Maximum [Member] | |||
Repurchase Agreements and Securitized Debt [Line Items] | |||
Reverse Repurchase Agreements Maturity | 180 days | ||
Reverse Repurchase Agreements Remaining Terms | 575 days | 666 days | |
Reverse Repurchase Agreements Interest Rate | 3.50% | 2.92% | |
Reverse Repurchase Agreements [Member] | |||
Repurchase Agreements and Securitized Debt [Line Items] | |||
Cash collateral posted for securities sold under agreements to repurchase | [1],[2] | $ 34,491 | $ 25,542 |
Security Owned and Pledged as Collateral, Fair Value | $ 2,700 | $ 5,100 | |
[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 March 31, 2016 and December 31, 2015 were $1.34 billion and $1.36 billion, respectively. As of March 31, 2016 and December 31, 2015, total cash collateral on financial derivative assets excludes excess net cash collateral pledged of $16.3 million and $4.1 million, respectively. As of March 31, 2016 and December 31, 2015, total cash collateral on financial derivative liabilities excludes excess cash collateral pledged of $35.1 million and $45.8 million, respectively. | ||
[2] | When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a specific asset or liability. As a result, in preparing the above tables, the Company has made assumptions in allocating pledged or posted collateral among the various rows. |
Related Party Transactions (Det
Related Party Transactions (Details) | 3 Months Ended | ||
Mar. 31, 2016USD ($) | Mar. 31, 2015USD ($) | Dec. 31, 2015USD ($) | |
Financial Instruments Owned and Pledged as Collateral [Line Items] | |||
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 | $ 2,611,000 | $ 2,952,000 | |
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 March 31, 2016 there was a Loss Carryforward of $23.2 million. 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% | ||
Expense Reimbursement Period | 60 days | ||
Expense Reimbursement - Manager | $ 2,000,000 | $ 900,000 | |
Number of investments in mortgage originators that represent related party transactions | 2 | ||
Warehouse facility, monetary amount | $ 3,000,000 | ||
Warehouse facility, interest rate | 5.00% | ||
Advances made under warehouse facility | $ 0 | ||
Fair value of loans held in related party trust | $ 4,100,000 | $ 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. | ||
Securitized Debt | $ 23,238,000 | $ 0 | |
Securitized Debt [Member] | |||
Financial Instruments Owned and Pledged as Collateral [Line Items] | |||
Debt issued by trust under multi-borrower financing facility | $ 37,500,000 |
Long-Term Incentive Plan Unit54
Long-Term Incentive Plan Units (Narrative) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | ||
Share-based LTIP expense | $ 100 | $ 98 |
Long-Term Incentive Plan Unit55
Long-Term Incentive Plan Units Long-Term Incentive Plan Units (Unvested LTIP Units) (Details) - Long-Term Incentive Plan Units [Member] | 3 Months Ended | |
Mar. 31, 2016shares | ||
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 Unit56
Long-Term Incentive Plan Units (Roll-Forward Of Company's LTIP Units Outstanding) (Details) - Long-Term Incentive Plan Units [Member] - shares | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding [Roll Forward] | ||
LTIP Units Outstanding, beginning of period | 449,938 | 429,314 |
Granted | 0 | 0 |
Exercised | 0 | 0 |
LTIP Units Outstanding, end of period | 449,938 | 429,314 |
LTIP Units Vested and Outstanding | 421,120 | 404,859 |
Manager [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 |
Granted | 0 | 0 |
Exercised | 0 | 0 |
LTIP Units Outstanding, end of period | 375,000 | 375,000 |
LTIP Units Vested and Outstanding | 375,000 | 375,000 |
Non-Manager [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding [Roll Forward] | ||
LTIP Units Outstanding, beginning of period | 74,938 | 54,314 |
Granted | 0 | 0 |
Exercised | 0 | 0 |
LTIP Units Outstanding, end of period | 74,938 | 54,314 |
LTIP Units Vested and Outstanding | 46,120 | 29,859 |
Non-controlling Interests (Deta
Non-controlling Interests (Details) - USD ($) $ in Thousands | Jan. 02, 2013 | Mar. 31, 2016 | Dec. 31, 2015 | Mar. 31, 2015 | Dec. 31, 2014 |
Noncontrolling Interest [Line Items] | |||||
Stockholders' Equity Attributable to Noncontrolling Interest | $ 5,578 | $ 6,903 | |||
Noncontrolling Interest [Member] | |||||
Noncontrolling Interest [Line Items] | |||||
Stockholders' Equity Attributable to Noncontrolling Interest | $ 5,578 | $ 6,903 | $ 5,933 | $ 6,389 | |
Non-controlling interest in Operating Partnership [Member] | Noncontrolling Interest [Member] | |||||
Noncontrolling Interest [Line Items] | |||||
Operating Partnership Units Issued | 212,000 | ||||
Operating Partnership Units | 212,000 | ||||
Noncontrolling Interest, Ownership Percentage by Noncontrolling Owners | 0.60% | ||||
Non-controlling interest of joint venture partner [Member] | Noncontrolling Interest [Member] | |||||
Noncontrolling Interest [Line Items] | |||||
Noncontrolling Interest, Ownership Percentage by Noncontrolling Owners | 5.00% | ||||
Stockholders' Equity Attributable to Noncontrolling Interest | $ 1,100 |
Common Share Capitalization (Na
Common Share Capitalization (Narrative) (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | Aug. 03, 2015 | |
Common Stock Capitalization [Line Items] | |||
Dividends (in usd per share) | $ 0.50 | $ 0.65 | |
Payments of Dividends | $ 16,872 | $ 22,159 | |
Common Shares Issued And Outstanding Upon Conversion of All Convertible Securities | 33,624,917 | 34,090,992 | |
Stock Repurchase Program, Number of Shares Authorized to be Repurchased | 1,700,000 | ||
Shares repurchased | 163,033 | 0 | |
Stock Repurchased and Retired During Period, Value | $ 2,834 | $ 0 | |
Stock Repurchases, Average Price Per Share | $ 17.38 |
Common Share Capitalization (Su
Common Share Capitalization (Summary Of Common Shares Outstanding) (Details) - shares | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Common Shares Outstanding, period begin | 33,126,012 | 33,449,678 |
Shares repurchased | (163,033) | 0 |
Common Shares Outstanding, period end | 32,962,979 | 33,449,678 |
Earnings Per Share (Details)
Earnings Per Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | ||
Net increase (decrease) in shareholders' equity resulting from operations | |||
Net Income (Loss) Attributable to Parent | $ (23,200) | $ 19,261 | |
Net Income (Loss) Attributable to Participating Non-controlling Interest | [1] | (147) | 120 |
Net income (loss) attributable to parent and participating non-controlling interest | (23,347) | 19,381 | |
Net increase (decrease) in shareholders' equity resulting from operations– common shares | (22,889) | 19,017 | |
Net increase (decrease) in shareholders' equity resulting from operations– LTIP units | (311) | 244 | |
Dividends Paid: | |||
Common shareholders | [2] | (16,541) | (21,743) |
LTIP unit holders | [2] | (225) | (279) |
Non-controlling Interest | [2] | (106) | (137) |
Total dividends paid to common shareholders, LTIP unit holders, and non-controlling interest | [2],[3] | (16,872) | (22,159) |
Undistributed (Distributed in excess of) earnings: | |||
Common shareholders | (39,430) | (2,726) | |
LTIP unit holders | (536) | (35) | |
Non-controlling interest | (253) | (17) | |
Total undistributed (distributed in excess of) earnings attributable to common shareholders, LTIP unit holders, and non-controlling interest | $ (40,219) | $ (2,778) | |
Weighted average shares outstanding (basic and diluted): | |||
Weighted average common shares outstanding | 33,083,682 | 33,449,678 | |
Weighted average participating LTIP units | 449,938 | 429,314 | |
Weighted average non-controlling interest units | 212,000 | 212,000 | |
Basic earnings per common share: | |||
Distributed (in usd per share) | $ 0.50 | $ 0.65 | |
Undistributed (Distributed in excess of) (in usd per share) | (1.19) | (0.08) | |
Basic earnings per common share (in usd per share) | (0.69) | 0.57 | |
Diluted earnings per common share: | |||
Distributed (in usd per share) | 0.50 | 0.65 | |
Undistributed (Distributed in excess of) (in usd per share) | (1.19) | (0.08) | |
Diluted earnings per common share (in usd per share) | $ (0.69) | $ 0.57 | |
Net Income (Loss) Attributable to Non-Participating Non-controlling Interest | $ 200 | $ 36 | |
[1] | For the three month periods ended March 31, 2016 and 2015, excludes net increase in equity resulting from operations of $0.2 million and $36 thousand, 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. | ||
[3] | For the three month periods ended March 31, 2016 and 2015, dividends totaling $0.50 and $0.65, respectively, per common share and convertible unit outstanding, were declared and paid. |
Counterparty Risk (Narrative) (
Counterparty Risk (Narrative) (Details) - USD ($) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2016 | Dec. 31, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | |
Risks and Uncertainties [Abstract] | ||||
Collateral Pledged on Reverse Repurchase Agreements Segregated under Securities Exchange Commission Regulation | $ 1,330,000 | |||
Pledged Financial Instruments, Not Separately Reported, Securities For Repurchase Agreements Unsettled | 27,900 | $ 16,800 | ||
Unencumbered investments held in custody | 73,600 | |||
Cash and Cash Equivalents, at Carrying Value | $ 142,082 | $ 183,909 | $ 156,250 | $ 114,140 |
Concentration risk threshold | 15.00% |
Counterparty Risk (% Of Total C
Counterparty Risk (% Of Total Collateral On Reverse Repurchase Agreements) (Details) | Mar. 31, 2016 |
Royal Bank of Canada [Member] | |
Concentration Risk [Line Items] | |
% of Total Collateral on Reverse Repurchase Agreements | 16.00% |
Counterparty Risk (% Of Due fro
Counterparty Risk (% Of Due from Brokers) (Details) | Mar. 31, 2016 |
JP Morgan Securities Inc [Member] | |
Concentration Risk [Line Items] | |
% of Total Due from Brokers | 39.00% |
Morgan Stanley [Member] | |
Concentration Risk [Line Items] | |
% of Total Due from Brokers | 19.00% |
Counterparty Risk (% Of Total R
Counterparty Risk (% Of Total Receivable For Securities Sold) (Details) | Mar. 31, 2016 |
CS First Boston [Member] | |
Concentration Risk [Line Items] | |
% of Total Receivable for Securities Sold | 29.00% |
Counterparty Risk (Cash and Cas
Counterparty Risk (Cash and Cash Equivalents) (Details) | Mar. 31, 2016 | Dec. 31, 2015 |
Bank of New York Mellon Corporation [Member] | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage, cash and cash equivalents | 65.00% | 13.00% |
BlackRock Liquidity Temp Fund [Member] | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage, cash and cash equivalents | 35.00% | 54.00% |
J.P. Morgan US Dollar Liquidity Fund [Member] | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage, cash and cash equivalents | 0.00% | 27.00% |
J.P. Morgan US Treasury Plus Premier Fund [Member] | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage, cash and cash equivalents | 0.00% | 6.00% |
Schedule of Restricted Cash (De
Schedule of Restricted Cash (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Restricted Cash [Line Items] | ||
Restricted Cash | $ 4,485 | $ 4,857 |
Warehouse facility [Member] | ||
Restricted Cash [Line Items] | ||
Restricted Cash | 3,000 | 427 |
Line of Credit [Member] | ||
Restricted Cash [Line Items] | ||
Restricted Cash | 230 | 230 |
Flow purchase and sale agreement [Member] | ||
Restricted Cash [Line Items] | ||
Restricted Cash | 750 | 3,700 |
Minimum Required Regulatory Balance [Member] | ||
Restricted Cash [Line Items] | ||
Restricted Cash | $ 505 | $ 500 |
Offsetting of Assets and Liab67
Offsetting of Assets and Liabilities (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | |||
Offsetting of Assets and Liabilities [Line Items] | |||||
Financial derivatives–assets, at fair value- | [1] | $ 190,798 | $ 162,905 | ||
Fair value repurchase agreements | [1] | 127,468 | 105,700 | ||
Financial derivatives–liabilities, at fair value- | [1] | (85,679) | (60,472) | ||
Reverse Repurchase Agreements | [1] | (1,149,064) | (1,174,189) | ||
Derivative Liability Instruments available for offset | (37,443) | (18,644) | |||
Reverse Repurchase Agreements Available for Offset | (127,468) | (105,700) | |||
Derivative Asset Instruments available for offset | 37,443 | 18,644 | |||
Repurchase Agreements Available for Offset | 127,468 | 105,700 | |||
Repurchase Agreements and Related Collateral Net | 0 | 0 | |||
Reverse Repurchase Agreements and Related Collateral Net | 0 | 0 | |||
Securities Collateral relating to Reverse Repurchase Agreements | 1,340,000 | 1,360,000 | |||
Financial Derivatives - Assets [Member] | |||||
Offsetting of Assets and Liabilities [Line Items] | |||||
Financial derivatives–assets, at fair value- | 190,798 | [2] | 162,905 | [3] | |
Financial Instruments Pledged as Collateral | [4],[5] | 0 | 0 | ||
Cash collateral received | [4],[5] | (104,879) | (105,202) | ||
Derivatives and Related Collateral Net | 48,476 | 39,059 | |||
Excess cash collateral | 16,300 | 4,100 | |||
Repurchase Agreements [Member] | |||||
Offsetting of Assets and Liabilities [Line Items] | |||||
Financial Instruments Pledged as Collateral | [4],[5] | 0 | 0 | ||
Cash collateral received | [4],[5] | 0 | 0 | ||
Reverse Repurchase Agreements [Member] | |||||
Offsetting of Assets and Liabilities [Line Items] | |||||
Financial Instruments Pledged as Collateral | [4],[5] | 987,105 | 1,042,947 | ||
Cash collateral pledged | [4],[5] | 34,491 | 25,542 | ||
Financial Derivatives - Liabilities [Member] | |||||
Offsetting of Assets and Liabilities [Line Items] | |||||
Financial derivatives–liabilities, at fair value- | (85,679) | [2] | (60,472) | [3] | |
Financial Instruments Pledged as Collateral | [4],[5] | 0 | 0 | ||
Cash collateral pledged | [4],[5] | 48,236 | 41,699 | ||
Derivatives and Related Collateral Net | 0 | (129) | |||
Excess cash collateral | $ 35,100 | $ 45,800 | |||
[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] | See Note 2 and Note 3 in Notes to Consolidated Financial Statements. | ||||
[4] | 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 March 31, 2016 and December 31, 2015 were $1.34 billion and $1.36 billion, respectively. As of March 31, 2016 and December 31, 2015, total cash collateral on financial derivative assets excludes excess net cash collateral pledged of $16.3 million and $4.1 million, respectively. As of March 31, 2016 and December 31, 2015, total cash collateral on financial derivative liabilities excludes excess cash collateral pledged of $35.1 million and $45.8 million, respectively. | ||||
[5] | 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 | 3 Months Ended |
Mar. 31, 2016USD ($) | |
Consumer Loan [Member] | |
Other Commitments [Line Items] | |
Purchase Commitment, Remaining Minimum Amount Committed | $ 34.1 |
Purchase commitment | 100 |
Purchases made in connection with purchase commitments | 85 |
Purchase commitment principal balance | 375 |
Purchases made in connection with purchase commitments principal balance | 2.7 |
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 | 12.5 |
Flow agreement March 2015 with mortgage originator [Member] | |
Other Commitments [Line Items] | |
Purchase commitment | 200 |
Purchases made in connection with purchase commitments | 24 |
Mortgage Loan Purchase Commitments [Member] | Flow agreement March 2015 with mortgage originator [Member] | |
Other Commitments [Line Items] | |
Derivative Asset, Notional Amount | 13.6 |
Performance Guarantee [Member] | |
Other Commitments [Line Items] | |
Participation Interest in Repo Facility | 10 |
Amount of Utilization | $ 123.6 |
Additional amount to be posted | 5.00% |
Financing Duration | 6 months |
Maximum Borrowings under Repo Facility | $ 200 |
Financial Highlights (Narrative
Financial Highlights (Narrative) (Details) | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Financial Highlights [Abstract] | ||
Market Based Total Return | 6.77% | 2.96% |
Financial Highlights (Results O
Financial Highlights (Results Of Operations For A Share Outstanding) (Details) - $ / shares | 3 Months Ended | ||||
Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | Dec. 31, 2014 | ||
Increase (Decrease) Equity Per Share [Roll Forward] | |||||
Beginning Shareholders' Equity Per Share (12/31/2015 and 12/31/2014, respectively) | $ 22.10 | $ 23.38 | |||
Net Investment Income | 0.36 | 0.52 | |||
Net Realized/Unrealized Gains (Losses) | (1.06) | 0.06 | |||
Results of Operations Attributable to Equity | (0.70) | 0.58 | |||
Less: Results of Operations Attributable to Non-controlling Interests | 0 | 0 | |||
Results of Operations Attributable to Shareholders' Equity | [1] | (0.70) | 0.58 | ||
Dividends Paid to Common Shareholders | (0.50) | (0.65) | |||
Weighted Average Share Impact on Dividends Paid | [2] | (0.01) | (0.01) | ||
Accretive (Dilutive) Effect of Share Issuances (Net of Offering Costs), Share Repurchases, and Adjustments to Non-controlling Interest | 0.02 | 0 | |||
Ending Shareholders' Equity Per Share (3/31/2016 and 3/31/2015, respectively)(3) | [3] | $ 20.91 | $ 23.30 | ||
Shares Outstanding, end of period | 32,962,979 | 33,449,678 | 33,126,012 | 33,449,678 | |
Shareholders Equity Per Share Upon Conversion Of All Convertible Units (in usd per share) | $ 20.63 | $ 23.01 | |||
[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 March 31, 2016 and 2015, shareholders' equity per share would be $20.63 and $23.01, respectively. |
Financial Highlights (Net Asset
Financial Highlights (Net Asset Value Based Total Return For A Shareholder) (Details) | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | ||
Financial Highlights [Abstract] | |||
Total Return | [1] | (3.17%) | 2.47% |
[1] | Total return is calculated assuming reinvestment of distributions at shareholders' equity per share during the period. |
Financial Highlights (Net Inves
Financial Highlights (Net Investment Income Ratio To Average Equity) (Details) | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | ||
Financial Highlights [Abstract] | |||
Net Investment Income | [1],[2] | 6.58% | 8.92% |
[1] | Average equity is calculated using month end values. | ||
[2] | Includes all items of income and expense on an annualized basis |
Financial Highlights (Expense R
Financial Highlights (Expense Ratios To Average Equity) (Details) | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | ||
Financial Highlights [Abstract] | |||
Operating expenses, before interest expense and other investment related expenses | [1],[2] | (2.82%) | (2.63%) |
Interest expense and other investment related expenses | [1],[2] | (2.90%) | (2.14%) |
Total Expenses | [1],[2] | (5.72%) | (4.77%) |
[1] | Average equity is calculated using month end values. | ||
[2] | Includes all items of income and expense on an annualized basis. |
Subsequent Events (Details)
Subsequent Events (Details) - Subsequent Event [Member] | May. 02, 2016$ / shares |
Subsequent Event [Line Items] | |
Dividend Per Share | $ 0.50 |
Declared date | May 2, 2016 |
Payment Date | Jun. 15, 2016 |
Record Date | Jun. 1, 2016 |