Document_And_Entity_Informatio
Document And Entity Information | 6 Months Ended | |
Jun. 30, 2014 | Jul. 30, 2014 | |
Document and Entity Information [Abstract] | ' | ' |
Entity Registrant Name | 'Armour Residential REIT, Inc. | ' |
Entity Central Index Key | '0001428205 | ' |
Entity Current Reporting Status | 'Yes | ' |
Entity Voluntary Filers | 'No | ' |
Current Fiscal Year End Date | '--12-31 | ' |
Entity Filer Category | 'Large Accelerated Filer | ' |
Entity Well-known Seasoned Issuer | 'Yes | ' |
Document Type | '10-Q | ' |
Document Period End Date | 30-Jun-14 | ' |
Document Fiscal Year Focus | '2014 | ' |
Document Fiscal Period Focus (Q1,Q2,Q3,FY) | 'Q2 | ' |
Amendment Flag | 'false | ' |
Entity Common Stock, Shares Outstanding | ' | 357,192,562 |
Condensed_Consolidated_Balance
Condensed Consolidated Balance Sheets (Unaudited) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
Assets | ' | ' | ||
Cash | $433,149 | $496,478 | ||
Cash collateral posted | 14,134 | 35,917 | ||
Agency Securities, available for sale, at fair value (including pledged securities of $16,284,466 and $13,832,482) | 16,962,134 | 14,648,178 | ||
Derivatives, at fair value | 169,877 | [1] | 508,988 | [1] |
Principal payments receivable | 108 | 70 | ||
Accrued interest receivable | 44,901 | 42,034 | ||
Prepaid and other assets | 447 | 852 | ||
Total Assets | 17,624,750 | 15,732,517 | ||
Liabilities: | ' | ' | ||
Repurchase agreements, net | 14,393,580 | 13,151,504 | ||
Obligations to return securities received as collateral, at fair value | 1,021,484 | 0 | ||
Cash collateral held | 128,168 | 387,845 | ||
Payable for unsettled purchases | 38,816 | 159,159 | ||
Derivatives, at fair value | 70,472 | [1] | 102,795 | [1] |
Accrued interest payable- repurchase agreements | 7,888 | 6,629 | ||
Accrued interest payable- U.S. Treasury Securities sold short | 10,256 | 0 | ||
Accounts payable and other accrued expenses | 3,203 | 23,357 | ||
Total Liabilities | 15,673,867 | 13,831,289 | ||
Commitments and contingencies | ' | ' | ||
Preferred stock, $0.001 par value, 50,000 shares authorized; | ' | ' | ||
Common stock, $0.001 par value, 1,000,000 shares authorized, 357,189 and 357,613 shares issued and outstanding at June 30, 2014 and December 31, 2013 | 357 | 358 | ||
Additional paid-in capital | 2,732,647 | 2,734,480 | ||
Accumulated deficit | -848,544 | -643,138 | ||
Accumulated other comprehensive income (loss) | 66,415 | -190,480 | ||
Total Stockholders’ Equity | 1,950,883 | 1,901,228 | ||
Total Liabilities and Stockholders’ Equity | 17,624,750 | 15,732,517 | ||
Series A Preferred Stock | ' | ' | ||
Preferred stock, $0.001 par value, 50,000 shares authorized; | ' | ' | ||
Preferred Stock, Value, Issued | 2 | 2 | ||
Total Stockholders’ Equity | 2 | 2 | ||
Series B Preferred Stock | ' | ' | ||
Preferred stock, $0.001 par value, 50,000 shares authorized; | ' | ' | ||
Preferred Stock, Value, Issued | 6 | 6 | ||
Total Stockholders’ Equity | $6 | $6 | ||
[1] | See Note 5, “Fair Value of Financial Instruments†for additional discussion. |
Condensed_Consolidated_Balance1
Condensed Consolidated Balance Sheets (Unaudited) (Parentheticals) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 | Feb. 11, 2013 | Jun. 06, 2012 | Jun. 06, 2012 | Jun. 30, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | Jun. 06, 2012 | Feb. 11, 2013 | Jun. 30, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | Feb. 11, 2013 |
In Thousands, except Share data, unless otherwise specified | Series A Preferred Stock | Series A Preferred Stock | Series A Preferred Stock | Series A Preferred Stock | Series A Preferred Stock | Series B Preferred Stock | Series B Preferred Stock | Series B Preferred Stock | Series B Preferred Stock | Series B Preferred Stock | ||||
Pledged securities, fair value | $16,284,466 | $13,832,482 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Preferred stock, par value (in dollars per share) | $0.00 | $0.00 | ' | ' | ' | $0.00 | $0.00 | ' | ' | ' | $0.00 | $0.00 | ' | ' |
Preferred stock, shares authorized (in shares) | 50,000,000 | 50,000,000 | 50,000,000 | 50,000,000 | ' | 9,610,000 | ' | ' | 1,610,000 | ' | ' | ' | ' | 6,210,000 |
Preferred stock, shares issued | ' | ' | ' | ' | ' | 2,181,000 | 2,181,000 | ' | ' | ' | 5,650,000 | 5,650,000 | ' | ' |
Preferred stock, shares outstanding | ' | ' | ' | ' | ' | 2,181,000 | 2,181,000 | ' | ' | ' | 5,650,000 | 5,650,000 | ' | ' |
Preferred stock, aggregate liquidation preference | ' | ' | ' | ' | ' | $54,514 | $54,514 | ' | ' | ' | $141,250 | $141,250 | ' | ' |
Preferred stock, dividend rate | ' | ' | ' | ' | 8.25% | 8.25% | 8.25% | 8.25% | ' | 7.88% | 7.88% | 7.88% | 7.88% | ' |
Common stock, par value (in Dollars per share) | $0.00 | $0.00 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Common stock, shares authorized (in Shares) | 1,000,000,000 | 1,000,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Common stock, shares issued (in Shares) | 357,189,000 | 357,613,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Common stock, shares outstanding (in Shares) | 357,189,000 | 357,613,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Condensed_Consolidated_Stateme
Condensed Consolidated Statements of Operations (Unaudited) (USD $) | 3 Months Ended | 6 Months Ended | ||||||
In Thousands, except Per Share data, unless otherwise specified | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 | ||||
Income Statement [Abstract] | ' | ' | ' | ' | ||||
Interest income, net of amortization of premium on Agency Securities | $113,892 | $141,159 | $236,974 | $271,797 | ||||
Interest expense- repurchase agreements | -14,979 | -23,595 | -29,726 | -49,070 | ||||
Interest expense- U.S. Treasury Securities sold short | -4,263 | 0 | -4,263 | 0 | ||||
Net interest income | 94,650 | 117,564 | 202,985 | 222,727 | ||||
Other Income (Loss): | ' | ' | ' | ' | ||||
Realized gain on sale of Agency Securities (reclassified from Other comprehensive income (loss)) | 11,167 | 20,876 | 81,036 | 39,390 | ||||
Realized gain on short sale of U.S. Treasury Securities | 0 | 639 | 0 | 639 | ||||
Unrealized loss on U.S. Treasury Securities sold short | -15,781 | -21,717 | -15,781 | -21,717 | ||||
Subtotal | -4,614 | -202 | 65,255 | 18,312 | ||||
Realized loss on derivatives | -34,498 | [1] | -38,858 | [1] | -46,236 | [1] | -67,911 | [1] |
Unrealized gain (loss) on derivatives | -116,273 | 412,183 | -292,629 | 428,484 | ||||
Subtotal | -150,771 | 373,325 | -338,865 | 360,573 | ||||
Total Other Income (Loss) | -155,385 | 373,123 | -273,610 | 378,885 | ||||
Expenses: | ' | ' | ' | ' | ||||
Management fee | 6,964 | 7,869 | 13,929 | 14,502 | ||||
Professional fees | 901 | 522 | 2,175 | 1,526 | ||||
Insurance | 186 | 90 | 369 | 168 | ||||
Compensation | 734 | 257 | 1,446 | 514 | ||||
Other | 670 | 564 | 1,424 | 1,227 | ||||
Total expenses | 9,455 | 9,302 | 19,343 | 17,937 | ||||
Income (loss) before taxes | -70,190 | 481,385 | -89,968 | 583,675 | ||||
Income tax benefit (expense) | 0 | 0 | 0 | 0 | ||||
Net Income (Loss) | -70,190 | 481,385 | -89,968 | 583,675 | ||||
Dividends declared on preferred stock | -3,905 | -3,905 | -7,812 | -6,403 | ||||
Net Income (Loss) available (related) to common stockholders | ($74,095) | $477,480 | ($97,780) | $577,272 | ||||
Net income (loss) available (related) per share to common stockholders | ' | ' | ' | ' | ||||
Basic (in usd per share) | ($0.21) | $1.28 | ($0.27) | $1.62 | ||||
Diluted (in usd per share) | ($0.21) | $1.28 | ($0.27) | $1.62 | ||||
Dividends declared per common share (in usd per share) | $0.15 | $0.21 | $0.30 | $0.45 | ||||
Weighted average common shares outstanding: | ' | ' | ' | ' | ||||
Basic (in shares) | 357,111 | 372,591 | 357,302 | 355,359 | ||||
Diluted (in shares) | 357,111 | 374,135 | 357,302 | 356,897 | ||||
[1] | Interest expense related to our interest rate swap contracts is recorded in realized loss on derivatives on the condensed consolidated statements of operations. For additional information, see Note 8 to the condensed consolidated financial statements. |
Condensed_Consolidated_Stateme1
Condensed Consolidated Statements of Comprehensive Income (Loss) (Unaudited) (USD $) | 3 Months Ended | 6 Months Ended | ||
In Thousands, unless otherwise specified | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 |
Statement of Comprehensive Income [Abstract] | ' | ' | ' | ' |
Net Income (Loss) | ($70,190) | $481,385 | ($89,968) | $583,675 |
Other comprehensive income (loss): | ' | ' | ' | ' |
Reclassification adjustment for realized gain on sale of available for sale Agency Securities | -11,167 | -20,876 | -81,036 | -39,390 |
Net unrealized gain (loss) on available for sale Agency Securities | 221,767 | -851,155 | 337,931 | -1,031,210 |
Other comprehensive income (loss) | 210,600 | -872,031 | 256,895 | -1,070,600 |
Comprehensive Income (Loss) | $140,410 | ($390,646) | $166,927 | ($486,925) |
Condensed_Consolidated_Stateme2
Condensed Consolidated Statements of Stockholders' Equity (Unaudited) (USD $) | Total | Series A Preferred Stock | Series B Preferred Stock | Common Stock | Additional Paid-in Capital | Additional Paid-in Capital | Additional Paid-in Capital | Additional Paid-in Capital | Retained Earnings | Retained Earnings | Retained Earnings | Accumulated Other Comprehensive Income (Loss) |
In Thousands, except Share data, unless otherwise specified | Series A Preferred Stock | Series B Preferred Stock | Common Stock | Series A Preferred Stock | Series B Preferred Stock | |||||||
Balance at Dec. 31, 2013 | $1,901,228 | $2 | $6 | $358 | $2,734,480 | $53,172 | $136,547 | $2,544,761 | ($643,138) | ' | ' | ($190,480) |
Balance (in Shares) at Dec. 31, 2013 | ' | 2,181,000 | 5,650,000 | 357,613,000 | ' | ' | ' | ' | ' | ' | ' | ' |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Preferred Dividends Declared | ' | -2,250 | -5,562 | ' | ' | ' | ' | ' | ' | -2,250 | -5,562 | ' |
Common stock dividends declared | -107,626 | ' | ' | ' | ' | ' | ' | ' | -107,626 | ' | ' | ' |
Issuance of common stock, net (in Shares) | ' | ' | ' | 37,000 | ' | ' | ' | ' | ' | ' | ' | ' |
Issuance of common stock, net | 154 | ' | ' | ' | 154 | ' | ' | 154 | ' | ' | ' | ' |
Stock based compensation, net of withholding requirements | 597 | ' | ' | ' | 597 | ' | ' | 597 | ' | ' | ' | ' |
Stock based compensation, net of withholding requirements (in Shares) | ' | ' | ' | 139,000 | ' | ' | ' | ' | ' | ' | ' | ' |
Common stock repurchased | -2,585 | ' | ' | -1 | -2,584 | ' | ' | -2,584 | ' | ' | ' | ' |
Common stock repurchased (in Shares) | ' | ' | ' | -600,000 | ' | ' | ' | ' | ' | ' | ' | ' |
Net Income (Loss) | -89,968 | ' | ' | ' | ' | ' | ' | ' | -89,968 | ' | ' | ' |
Other comprehensive income | 256,895 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 256,895 |
Balance at Jun. 30, 2014 | $1,950,883 | $2 | $6 | $357 | $2,732,647 | $53,172 | $136,547 | $2,542,928 | ($848,544) | ' | ' | $66,415 |
Balance (in Shares) at Jun. 30, 2014 | ' | 2,181,000 | 5,650,000 | 357,189,000 | ' | ' | ' | ' | ' | ' | ' | ' |
Condensed_Consolidated_Stateme3
Condensed Consolidated Statements of Cash Flows (Unaudited) (USD $) | 6 Months Ended | |||||
In Thousands, unless otherwise specified | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 |
Series A Preferred Stock | Series A Preferred Stock | Series B Preferred Stock | Series B Preferred Stock | |||
Cash Flows From Operating Activities: | ' | ' | ' | ' | ' | ' |
Net Income (Loss) | ($89,968) | $583,675 | ' | ' | ' | ' |
Adjustments to reconcile net income (loss) to net cash provided by operating activities: | ' | ' | ' | ' | ' | ' |
Net amortization of premium on Agency Securities | 30,668 | 107,649 | ' | ' | ' | ' |
Realized gain on sale of Agency Securities | -81,036 | -39,390 | ' | ' | ' | ' |
(Gain) Loss on short sale of U.S. Treasury Securities | 15,781 | -639 | ' | ' | ' | ' |
Stock based compensation | 597 | 604 | ' | ' | ' | ' |
Changes in operating assets and liabilities: | ' | ' | ' | ' | ' | ' |
Increase in accrued interest receivable | -2,867 | -8,082 | ' | ' | ' | ' |
(Increase) decrease in prepaid and other assets | 424 | -744 | ' | ' | ' | ' |
(Increase) decrease in derivatives, at fair value | 306,788 | -427,989 | ' | ' | ' | ' |
Increase in accrued interest payable- repurchase agreements | 1,259 | 21 | ' | ' | ' | ' |
Increase in accrued interest payable- U.S. Treasury Securities sold short | 4,254 | 0 | ' | ' | ' | ' |
Decrease in accounts payable and other accrued expenses | -20,154 | -1,158 | ' | ' | ' | ' |
Net cash provided by operating activities | 165,746 | 213,947 | ' | ' | ' | ' |
Cash Flows From Investing Activities: | ' | ' | ' | ' | ' | ' |
Purchases of Agency Securities | -9,640,164 | -11,708,449 | ' | ' | ' | ' |
Principal repayments of Agency Securities | 733,237 | 2,154,730 | ' | ' | ' | ' |
Proceeds from sales of Agency Securities | 6,779,853 | 5,514,294 | ' | ' | ' | ' |
Disbursements on reverse repurchase agreements | -3,080,908 | -7,712,796 | ' | ' | ' | ' |
Receipts from reverse repurchase agreements | 2,052,247 | 5,834,000 | ' | ' | ' | ' |
(Increase) decrease in cash collateral | -237,894 | 188,810 | ' | ' | ' | ' |
Net cash used in investing activities | -3,393,629 | -5,729,411 | ' | ' | ' | ' |
Cash Flows From Financing Activities: | ' | ' | ' | ' | ' | ' |
Proceeds from issuance of preferred stock, net of expenses | ' | ' | 0 | 4,380 | 0 | 136,553 |
Issuance of common stock, net of expenses | 135 | 438,406 | ' | ' | ' | ' |
Proceeds from repurchase agreements | 43,073,379 | 79,296,965 | ' | ' | ' | ' |
Principal repayments on repurchase agreements | -40,802,642 | -76,020,640 | ' | ' | ' | ' |
Proceeds from short sales of U.S. Treasury Securities | 1,011,705 | 2,811,277 | ' | ' | ' | ' |
Purchases of U.S. Treasury Securities | 0 | -934,701 | ' | ' | ' | ' |
Preferred dividends paid | ' | ' | -2,250 | -2,232 | -5,562 | -4,171 |
Common stock dividends paid | -107,626 | -158,543 | ' | ' | ' | ' |
Common stock repurchased | -2,585 | -20,260 | ' | ' | ' | ' |
Net cash provided by financing activities | 3,164,554 | 5,547,034 | ' | ' | ' | ' |
Net increase in cash | -63,329 | 31,570 | ' | ' | ' | ' |
Cash - beginning of period | 496,478 | 771,282 | ' | ' | ' | ' |
Cash - end of period | 433,149 | 802,852 | ' | ' | ' | ' |
Supplemental Disclosure: | ' | ' | ' | ' | ' | ' |
Cash paid during the period for interest | 101,956 | 103,563 | ' | ' | ' | ' |
Non-Cash Investing and Financing Activities: | ' | ' | ' | ' | ' | ' |
Receivable for unsettled sales | 0 | 66,992 | ' | ' | ' | ' |
Payable for unsettled purchases | 38,816 | 0 | ' | ' | ' | ' |
Net unrealized gain (loss) on available for sale Agency Securities | 337,931 | -1,031,210 | ' | ' | ' | ' |
Amounts receivable for issuance of common stock | $19 | $5 | ' | ' | ' | ' |
Basis_of_Presentation
Basis of Presentation | 6 Months Ended |
Jun. 30, 2014 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | ' |
Basis of Presentation | ' |
Basis of Presentation | |
The accompanying consolidated financial statements have been prepared in accordance with generally accepted accounting principles in the United States (“GAAP”) for interim financial information and with the instructions to Form 10-Q and Rule 10-01 of Regulation S-X promulgated by the Securities and Exchange Commission (the “SEC”). Accordingly, they do not include all of the information and footnotes required by GAAP for complete financial statements. In the opinion of management, all adjustments (consisting of normal recurring accruals) considered necessary for a fair presentation have been included. Operating results for the quarter and six months ended June 30, 2014 are not necessarily indicative of the results that may be expected for the calendar year ending December 31, 2014. These unaudited financial statements should be read in conjunction with the audited financial statements and notes thereto included in our annual report on Form 10-K for the year ended December 31, 2013. | |
The condensed consolidated financial statements include the accounts of ARMOUR Residential REIT, Inc. and its subsidiary. All intercompany accounts and transactions have been eliminated. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. Significant estimates affecting the accompanying condensed financial statements include the valuation of Agency Securities (as defined below) and derivative instruments. |
Organization_and_Nature_of_Bus
Organization and Nature of Business Operations | 6 Months Ended |
Jun. 30, 2014 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | ' |
Organization and Nature of Business Operations | ' |
Organization and Nature of Business Operations | |
References to “we,” “us,” “our,” "ARMOUR" or the “Company” are to ARMOUR Residential REIT, Inc. References to "ARRM" are to ARMOUR Residential Management LLC, a Delaware limited liability company. | |
We are an externally managed Maryland corporation organized in 2008, managed by ARRM, an investment advisor registered with the SEC (see Note 14, “Related Party Transactions” for additional discussion). We invest in residential mortgage backed securities issued or guaranteed by a United States (“U.S.”) Government-sponsored entity (“GSE”), such as the Federal National Mortgage Association (Fannie Mae), the Federal Home Loan Mortgage Corporation (Freddie Mac) or guaranteed by the Government National Mortgage Administration (Ginnie Mae) (collectively, "Agency Securities"). We also may invest in other securities backed by residential mortgages for which the payment of principal and interest is not guaranteed by a GSE or government agency (collectively, "Non-Agency Securities"). While we remain committed to investing in Agency Securities for so long as an adequate supply and pricing exists, we have the flexibility to invest in Non-Agency Securities and respond to changes in GSE policy as needed. At June 30, 2014 and December 31, 2013, Agency Securities accounted for 100% of our securities portfolio. It is expected that the percentage will continue to be 100% or close thereto. Our securities portfolio consists primarily of Agency Securities backed by fixed rate home loans. From time to time, a portion of our assets may be invested in Agency Securities backed by hybrid adjustable rate and adjustable rate home loans as well as unsecured notes and bonds issued by GSEs, U.S. Treasuries and money market instruments, subject to certain income tests we must satisfy for our qualification as a real estate investment trust (“REIT”). | |
We have elected to be taxed as a REIT under the Internal Revenue Code (“the Code”). Our qualification as a REIT depends on our ability to meet, on a continuing basis, various complex requirements under the Code relating to, among other things, the sources of our gross income, the composition and values of our assets, our distribution levels and the concentration of ownership of our capital stock. We believe that we are organized in conformity with the requirements for qualification as a REIT under the Code and our manner of operations enables us to meet the requirements for taxation as a REIT for federal income tax purposes. | |
As a REIT, we will generally not be subject to federal income tax on the REIT taxable income that we currently distribute to our stockholders. If we fail to qualify as a REIT in any taxable year and do not qualify for certain statutory relief provisions, we will be subject to federal income tax at regular corporate rates. Even if we qualify as a REIT for federal income tax purposes, we may still be subject to some federal, state and local taxes on our income. |
Summary_of_Significant_Account
Summary of Significant Accounting Policies | 6 Months Ended |
Jun. 30, 2014 | |
Accounting Policies [Abstract] | ' |
Summary of Significant Accounting Policies | ' |
Summary of Significant Accounting Policies | |
Cash | |
Cash includes cash on deposit with financial institutions. We may maintain deposits in federally insured financial institutions in excess of federally insured limits. However, management believes we are not exposed to significant credit risk due to the financial position and creditworthiness of the depository institutions in which those deposits are held. | |
Cash Collateral Posted/Held | |
Cash collateral posted or held represents cash posted by us to counterparties or held by us from counterparties as collateral for our interest rate swap contracts, Eurodollar Futures Contracts (“Futures Contracts”) and repurchase agreements on our Agency Securities. | |
Agency Securities, at Fair Value | |
We generally intend to hold most of our Agency Securities for extended periods of time. We may, from time to time, sell any of our Agency Securities as part of the overall management of our securities portfolio. Management determines the appropriate classifications of the securities at the time they are acquired and evaluates the appropriateness of such classifications at each balance sheet date. At June 30, 2014 and December 31, 2013, all of our Agency Securities were classified as available for sale. Agency Securities classified as available for sale are reported at their estimated fair values with unrealized gains and losses excluded from earnings and reported as part of the condensed consolidated statements of comprehensive income (loss). | |
We evaluate Agency Securities for other than temporary impairment at least on a quarterly basis and more frequently when economic or market concerns warrant such evaluation. We consider an impairment to be other than temporary if we (1) have the intent to sell the Agency Securities, (2) believe it is more likely than not that we will be required to sell the securities before recovery (for example, because of liquidity requirements or contractual obligations) or (3) a credit loss exists. Impairment losses recognized establish a new cost basis for the related Agency Securities. | |
Accrued Interest Receivable and Payable | |
Accrued interest receivable includes interest accrued between payment dates on Agency Securities. Accrued interest payable includes interest payable on our repurchase agreements and U.S. Treasury Securities sold short. | |
Repurchase Agreements, net | |
We finance the acquisition of our Agency Securities through the use of repurchase agreements. Our repurchase agreements are secured by our Agency Securities and bear interest rates that have historically moved in close relationship to the Federal Funds Rate and the London Interbank Offered Rate (“LIBOR”). Under these repurchase agreements, we sell Agency Securities to a lender and agree to repurchase the same Agency Securities in the future for a price that is higher than the original sales price. The difference between the sales price that we receive and the repurchase price that we pay represents interest paid to the lender. A repurchase agreement operates as a financing arrangement under which we pledge our Agency Securities as collateral to secure a loan which is equal in value to a specified percentage of the estimated fair value of the pledged collateral. We retain beneficial ownership of the pledged collateral. At the maturity of a repurchase agreement, we are required to repay the loan and concurrently receive back our pledged collateral from the lender or, with the consent of the lender, we may renew such agreement at the then prevailing interest rate. The repurchase agreements may require us to pledge additional assets to the lender in the event the estimated fair value of the existing pledged collateral declines. | |
In addition to the repurchase agreement financing discussed above, at certain times we have entered into reverse repurchase agreements with certain of our repurchase agreement counterparties. Under a typical reverse repurchase agreement, we purchase U.S. Treasury Securities from a borrower in exchange for cash and agree to sell the same securities in the future in exchange for a price that is higher than the original purchase price. The difference between the purchase price originally paid and the sale price represents interest received from the borrower. Reverse repurchase agreement receivables and repurchase agreement liabilities are presented net when they meet certain criteria, including being with the same counterparty, being governed by the same master repurchase agreement ("MRA"), settlement through the same brokerage or clearing account and maturing on the same day. | |
Obligations to Return Securities Received as Collateral, at Fair Value | |
At certain times, we also sell to third parties the U.S. Treasury Securities received as collateral for reverse repurchase agreements and recognize the resulting obligation to return said U.S. Treasury Securities as a liability on our condensed consolidated balance sheets. Interest is recorded on the repurchase agreements, reverse repurchase agreements and U.S. Treasury Securities sold short on an accrual basis and presented as interest expense. Both parties to the transaction have the right to make daily margin calls based on changes in the fair value of the collateral received and/or pledged. | |
Derivatives, at Fair Value | |
We recognize all derivatives as either assets or liabilities at fair value on our condensed consolidated balance sheets. All changes in the fair values of our derivatives are reflected in our condensed consolidated statements of operations. We designate derivatives as hedges for tax purposes and any unrealized derivative gains or losses do not affect our distributable net taxable income. | |
Preferred Stock | |
At June 30, 2014, we were authorized to issue up to 50,000 shares of preferred stock, par value $0.001 per share with such designations, voting and other rights and preferences as may be determined from time to time by our Board of Directors (“Board”) or a committee thereof. | |
Series A Cumulative Preferred Shares (“Series A Preferred Stock”) | |
On June 6, 2012, we filed with the Maryland State Department of Assessments and Taxation to designate 1,610 shares of the 50,000 authorized preferred stock as 8.250% Series A Preferred Stock with the powers, designations, preferences and other rights as set forth therein. On July 13, 2012, we entered into an At Market Issuance Sales Agreement with MLV & Co. LLC, as our agent, to offer and sell, from time to time, up to 6,000 shares of Series A Preferred Stock. On July 27, 2012, we entered into an Equity Distribution Agreement with Citadel Securities LLC, as our agent, to offer and sell, from time to time, up to 2,000 shares of Series A Preferred Stock. At June 30, 2014, there were 9,610 shares designated as Series A Preferred Stock. | |
At June 30, 2014 and December 31, 2013, we had 2,181 shares of Series A Preferred Stock issued and outstanding with a par value of $0.001 per share and a liquidation preference of $25.00 per share, or $54,514 in the aggregate. At June 30, 2014 and December 31, 2013, there were no accrued or unpaid dividends on the Series A Preferred Stock. The Series A Preferred Stock is entitled to a dividend at a rate of 8.250% per year based on the $25.00 per share liquidation preference before the common stock is entitled to receive any dividends. The Series A Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends exclusively at our option commencing on June 7, 2017 (subject to our right under limited circumstances to redeem the Series A Preferred Stock earlier in order to preserve our qualification as a REIT). The Series A Preferred Stock is senior to our common stock and therefore in the event of liquidation, dissolution or winding up, the Series A Preferred Stock will receive a liquidation preference of $25.00 per share plus accumulated and unpaid dividends before distributions are paid to holders of our common stock, with no right or claim to any of our remaining assets thereafter. The Series A Preferred Stock generally does not have voting rights except if we fail to pay dividends on the Series A Preferred Stock for eighteen months, whether or not consecutive. Under such circumstances, the Series A Preferred Stock will be entitled to vote to elect two additional directors to the Board, until all unpaid dividends have been paid or declared and set aside for payment. The Series A Preferred Stock has no stated maturity, is not subject to any sinking fund or mandatory redemption and will remain outstanding indefinitely unless repurchased or redeemed by us or converted into our common stock in connection with a change of control by the holders of Series A Preferred Stock. | |
Series B Cumulative Preferred Shares (“Series B Preferred Stock”) | |
On February 11, 2013, we filed with the Maryland State Department of Assessments and Taxation to designate 6,210 shares of the 50,000 authorized preferred stock as 7.875% Series B Preferred Stock with the powers, designations, preferences and other rights as set forth therein. | |
At June 30, 2014 and December 31, 2013, we had 5,650 shares of Series B Preferred Stock issued and outstanding with a par value of $0.001 per share and a liquidation preference of $25.00 per share, or $141,250 in the aggregate. At June 30, 2014 and December 31, 2013, there were no accrued or unpaid dividends on the Series B Preferred Stock. The Series B Preferred Stock is entitled to a dividend at a rate of 7.875% per year based on the $25.00 per share liquidation preference before the common stock is entitled to receive any dividends. The Series B Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends exclusively at our option commencing on February 12, 2018 (subject to our right under limited circumstances to redeem the Series A Preferred Stock earlier in order to preserve our qualification as a REIT). The Series B Preferred Stock is senior to our common stock and rank on parity with the Series A Preferred Stock. In the event of liquidation, dissolution or winding up, the Series B Preferred Stock will receive a liquidation preference of $25.00 per share plus accumulated and unpaid dividends before distributions are paid to holders of our common stock, with no right or claim to any of our remaining assets thereafter. The Series B Preferred Stock generally does not have voting rights except if we fail to pay dividends on the Series B Preferred Stock for eighteen months, whether or not consecutive. Under such circumstances, the Series B Preferred Stock will be entitled to vote to elect two additional directors to the Board, until all unpaid dividends have been paid or declared and set aside for payment. The Series B Preferred Stock has no stated maturity, is not subject to any sinking fund or mandatory redemption and will remain outstanding indefinitely unless repurchased or redeemed by us or converted into our common stock in connection with a change of control by the holders of Series B Preferred Stock. | |
Common Stock | |
Common Stock | |
At June 30, 2014, we were authorized to issue up to 1,000,000 shares of common stock, par value $0.001 per share, with such designations, voting and other rights and preferences as may be determined from time to time by our Board. We had 357,189 shares of common stock issued and outstanding at June 30, 2014 and 357,613 shares of common stock issued and outstanding at December 31, 2013. | |
Common Stock Repurchased | |
On December 17, 2012, we announced that our Board had authorized a stock repurchase program of up to $100,000 of shares of our common stock outstanding (the “Repurchase Program”). On March 5, 2014, our Board increased the authorization to 50,000 shares of our common stock outstanding. Under the Repurchase Program shares may be purchased in the open market, including block trades, through privately negotiated transactions, or pursuant to a trading plan separately adopted in the future. The timing, manner, price and amount of any repurchases will be at our discretion, subject to the requirements of the Securities Exchange Act of 1934, as amended, and related rules. We are not required to repurchase any shares under the Repurchase Program and it may be modified, suspended or terminated at any time for any reason. We do not intend to purchase shares from our Board or other affiliates. Under Maryland law, such repurchased shares are treated as authorized but unissued. For the six months ended June 30, 2014, we repurchased 600 shares of our common stock under the Repurchase Program for an aggregate of $2,585. At June 30, 2014, there were 49,400 remaining shares authorized for repurchase under our Repurchase Program. | |
Revenue Recognition | |
Interest income is earned and recognized on Agency Securities based on their unpaid principal amounts and their contractual terms. Premiums and discounts associated with the purchase of Agency Securities are amortized or accreted into interest income over the actual lives of the securities, reflecting actual prepayments as they occur. | |
Comprehensive Income (Loss) | |
Comprehensive income (loss) refers to changes in equity during a period from transactions and other events and circumstances from non-owner sources. It includes all changes in equity during a period except those resulting from investments by owners and distributions to owners. |
Recent_Accounting_Pronouncemen
Recent Accounting Pronouncements | 6 Months Ended |
Jun. 30, 2014 | |
Accounting Changes and Error Corrections [Abstract] | ' |
Recent Accounting Pronouncements | ' |
Recent Accounting Pronouncements | |
In June 2014, the Financial Accounting Standards Board issued ASU 2014-11, Repurchase-to Maturity Transactions, Repurchase Financing, and Disclosures, Transfers and Servicing (Topic 860). We do not have repurchase-to-maturity transactions or repurchase financing arrangements of the type covered by ASU 2014-11, therefore this change will not affect our consolidated financial statements. The amendment also requires certain additional disclosures about repurchase agreements beginning in the second quarter of 2015. |
Fair_Value_of_Financial_Instru
Fair Value of Financial Instruments | 6 Months Ended | ||||||||||||||||||||
Jun. 30, 2014 | |||||||||||||||||||||
Fair Value Disclosures [Abstract] | ' | ||||||||||||||||||||
Fair Value of Financial Instruments | ' | ||||||||||||||||||||
Fair Value of Financial Instruments | |||||||||||||||||||||
Our valuation techniques for financial instruments are based on observable and unobservable inputs. Observable inputs reflect readily obtainable data from third party sources, while unobservable inputs reflect management’s market assumptions. The Accounting Standards Codification Topic No. 820 “Fair Value Measurement” classifies these inputs into the following hierarchy: | |||||||||||||||||||||
Level 1 Inputs - Quoted prices for identical instruments in active markets. | |||||||||||||||||||||
Level 2 Inputs - Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. | |||||||||||||||||||||
Level 3 Inputs - Prices determined using significant unobservable inputs. Unobservable inputs may be used in situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period). Unobservable inputs reflect management’s assumptions about the factors that market participants would use in pricing an asset or liability, and would be based on the best information available. | |||||||||||||||||||||
The following describes the valuation methodologies used for our assets and liabilities measured at fair value, as well as the general classification of such instruments pursuant to the valuation hierarchy. Any transfers between levels are assumed to occur at the beginning of the reporting period. | |||||||||||||||||||||
Cash - Cash includes cash on deposit with financial institutions. The carrying amount of cash is deemed to be its fair value. Our cash balances are classified as Level 1. Cash balances posted by us to counterparties or held by us from counterparties as collateral are classified as Level 2. | |||||||||||||||||||||
Agency Securities, Available for Sale - Fair value for the Agency Securities in our securities portfolio is based on obtaining a valuation for each Agency Security from third party pricing services and/or dealer quotes. The third party pricing services use common market pricing methods that may include pricing models that may incorporate such factors as coupons, prepayment speeds, spread to the Treasury curves and interest rate swap curves, duration, periodic and life caps and credit enhancement. If the fair value of an Agency Security is not available from the third party pricing services or such data appears unreliable, we obtain quotes from up to three dealers who make markets in similar Agency Securities. In general, the dealers incorporate common market pricing methods, including a spread measurement to the Treasury curve or interest rate swap curve as well as underlying characteristics of the particular Agency Security including coupon, periodic and life caps, collateral type, rate reset period and seasoning or age of the Agency Security. Management reviews pricing used to ensure that current market conditions are properly reflected. This review includes, but is not limited to, comparisons of similar market transactions or alternative third party pricing services, dealer quotes and comparisons to a third party pricing model. Fair values obtained from the third party pricing services for similar instruments are classified as Level 2 securities if the inputs to the pricing methods used are consistent with the Level 2 definition. If quoted prices for a security are not reasonably available from the third party pricing service, but dealer quotes are, the security will be classified as a Level 2 security. If neither is available, management will determine the fair value based on characteristics of the security that we receive from the issuer and based on available market information received from dealers and classify it as a Level 3 security. At June 30, 2014 and December 31, 2013, all of our Agency Security fair values were based solely on third party pricing services and dealer quotes and therefore were classified as Level 2. | |||||||||||||||||||||
Repurchase Agreements - The fair value of repurchase agreements reflects the present value of the contractual cash flows discounted at the estimated LIBOR based market interest rates at the valuation date for repurchase agreements with a term equivalent to the remaining term to interest rate repricing, which may be at maturity, of our repurchase agreements. The fair value of the repurchase agreements approximates their carrying amount due to the short-term nature of these financial instruments. Our repurchase agreements are classified as Level 2. | |||||||||||||||||||||
Derivative Transactions - Our Futures Contracts are traded on the Chicago Mercantile Exchange (“CME”) and are classified as Level 1. The fair values of our interest rate swap contracts and interest rate swaptions are valued using third party pricing services that incorporate common market pricing methods that may include current interest rate curves, forward interest rate curves and market spreads to interest rate curves. Management compares pricing used to dealer quotes to ensure that the current market conditions are properly reflected. The fair values of our interest rate swap contracts and our interest rate swaptions are classified as Level 2. | |||||||||||||||||||||
The following tables provide a summary of our assets and liabilities that are measured at fair value on a recurring basis at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||
Quoted Prices | Significant | Significant | Balance at June 30, 2014 | ||||||||||||||||||
in Active | Observable | Unobservable | |||||||||||||||||||
Markets for | Inputs | Inputs | |||||||||||||||||||
Identical Assets | (Level 2) | (Level 3) | |||||||||||||||||||
(Level 1) | |||||||||||||||||||||
Assets at Fair Value: | |||||||||||||||||||||
Agency Securities, available for sale | $ | — | $ | 16,962,134 | $ | — | $ | 16,962,134 | |||||||||||||
Derivatives | $ | — | $ | 169,877 | $ | — | $ | 169,877 | |||||||||||||
Liabilities at Fair Value: | |||||||||||||||||||||
Derivatives | $ | 639 | $ | 69,833 | $ | — | $ | 70,472 | |||||||||||||
There were no transfers of assets or liabilities between the levels of the fair value hierarchy during the six months ended June 30, 2014. | |||||||||||||||||||||
Quoted Prices | Significant | Significant | Balance at December 31, 2013 | ||||||||||||||||||
in Active | Observable | Unobservable | |||||||||||||||||||
Markets for | Inputs | Inputs | |||||||||||||||||||
Identical Assets | (Level 2) | (Level 3) | |||||||||||||||||||
(Level 1) | |||||||||||||||||||||
Assets at Fair Value: | |||||||||||||||||||||
Agency Securities, available for sale | $ | — | $ | 14,648,178 | $ | — | $ | 14,648,178 | |||||||||||||
Derivatives | $ | — | $ | 508,988 | $ | — | $ | 508,988 | |||||||||||||
Liabilities at Fair Value: | |||||||||||||||||||||
Derivatives | $ | 1,503 | $ | 101,292 | $ | — | $ | 102,795 | |||||||||||||
There were no transfers of assets or liabilities between the levels of the fair value hierarchy during the year ended December 31, 2013. | |||||||||||||||||||||
The following tables provide a summary of the carrying values and fair values of our financial assets and liabilities not carried at fair value but for which fair value is required to be disclosed at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||
30-Jun-14 | Fair Value Measurements using: | ||||||||||||||||||||
Carrying Value | Fair | Quoted Prices | Significant | Significant | |||||||||||||||||
Value | in Active | Observable | Unobservable | ||||||||||||||||||
Markets for | Inputs | Inputs | |||||||||||||||||||
Identical | (Level 2) | (Level 3) | |||||||||||||||||||
Assets | |||||||||||||||||||||
(Level 1) | |||||||||||||||||||||
Financial Assets: | |||||||||||||||||||||
Cash | $ | 433,149 | $ | 433,149 | $ | 433,149 | $ | — | $ | — | |||||||||||
Cash collateral posted | $ | 14,134 | $ | 14,134 | $ | — | $ | 14,134 | $ | — | |||||||||||
Principal payments receivable | $ | 108 | $ | 108 | $ | — | $ | 108 | $ | — | |||||||||||
Accrued interest receivable | $ | 44,901 | $ | 44,901 | $ | — | $ | 44,901 | $ | — | |||||||||||
Financial Liabilities: | |||||||||||||||||||||
Repurchase agreements, net | $ | 14,393,580 | $ | 14,393,580 | $ | — | $ | 14,393,580 | $ | — | |||||||||||
Obligations to return securities received as collateral | $ | 1,021,484 | $ | 1,021,484 | $ | — | $ | 1,021,484 | $ | — | |||||||||||
Cash collateral held | $ | 128,168 | $ | 128,168 | $ | — | $ | 128,168 | $ | — | |||||||||||
Payable for unsettled purchases | $ | 38,816 | $ | 38,816 | $ | — | $ | 38,816 | $ | — | |||||||||||
Accrued interest payable- repurchase agreements | $ | 7,888 | $ | 7,888 | $ | — | $ | 7,888 | $ | — | |||||||||||
Accrued interest payable- U.S. Treasury Securities sold short | $ | 10,256 | $ | 10,256 | $ | — | $ | 10,256 | $ | — | |||||||||||
31-Dec-13 | Fair Value Measurements using: | ||||||||||||||||||||
Carrying Value | Fair | Quoted Prices | Significant | Significant | |||||||||||||||||
Value | in Active | Observable | Unobservable | ||||||||||||||||||
Markets for | Inputs | Inputs | |||||||||||||||||||
Identical | (Level 2) | (Level 3) | |||||||||||||||||||
Assets | |||||||||||||||||||||
(Level 1) | |||||||||||||||||||||
Financial Assets: | |||||||||||||||||||||
Cash | $ | 496,478 | $ | 496,478 | $ | 496,478 | $ | — | $ | — | |||||||||||
Cash collateral posted | $ | 35,917 | $ | 35,917 | $ | — | $ | 35,917 | $ | — | |||||||||||
Principal payments receivable | $ | 70 | $ | 70 | $ | — | $ | 70 | $ | — | |||||||||||
Accrued interest receivable | $ | 42,034 | $ | 42,034 | $ | — | $ | 42,034 | $ | — | |||||||||||
Financial Liabilities: | |||||||||||||||||||||
Repurchase agreements, net | $ | 13,151,504 | $ | 13,151,504 | $ | — | $ | 13,151,504 | $ | — | |||||||||||
Cash collateral held | $ | 387,845 | $ | 387,845 | $ | — | $ | 387,845 | $ | — | |||||||||||
Payable for unsettled purchases | $ | 159,159 | $ | 159,159 | $ | — | $ | 159,159 | $ | — | |||||||||||
Accrued interest payable- repurchase agreements | $ | 6,629 | $ | 6,629 | $ | — | $ | 6,629 | $ | — | |||||||||||
Agency_Securities_Available_fo
Agency Securities, Available for Sale | 6 Months Ended | ||||||||||||||||||||||||
Jun. 30, 2014 | |||||||||||||||||||||||||
Investments, Debt and Equity Securities [Abstract] | ' | ||||||||||||||||||||||||
Agency Securities, Available for Sale | ' | ||||||||||||||||||||||||
Agency Securities, Available for Sale | |||||||||||||||||||||||||
All of our Agency Securities are classified as available for sale and, as such, are reported at their estimated fair value and changes in fair value reported as part of the statements of comprehensive income (loss). At June 30, 2014 and December 31, 2013, investments in Agency Securities accounted for 100% of our securities portfolio. | |||||||||||||||||||||||||
We evaluated our Agency Securities with unrealized losses at June 30, 2014, June 30, 2013 and December 31, 2013, to determine whether there was an other than temporary impairment. The decline in value of our Agency Securities in 2013 was solely due to market conditions and not the credit quality of the assets. All of our Agency Securities are issued and guaranteed by GSEs or Ginnie Mae. The GSEs have a long term credit rating of AA+. At June 30, 2014, June 30, 2013 and December 31, 2013, we also considered whether we intended to sell Agency Securities and whether it was more likely than not that we could meet our liquidity requirements and contractual obligations without selling Agency Securities. There was no other than temporary impairment recognized for the quarter and six months ended June 30, 2014 and June 30, 2013. At December 31, 2013, anticipating portfolio repositioning sales in the first quarter of 2014, we concluded that the December 31, 2013 unrealized losses on our 25-year and 30-year fixed rate Agency Securities represented an other than temporary impairment. Accordingly, at December 31, 2013, we recognized losses totaling $401,500 in our 2013 statements of operations, thereby establishing a new cost basis for those Agency Securities with aggregate fair value of $6,800,000 at December 31, 2013. We also determined that at December 31, 2013, there was no other than temporary impairment of our other Agency Securities, which are primarily 20-year and 15-year fixed rate securities. | |||||||||||||||||||||||||
At June 30, 2014, we had the following Agency Securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities at June 30, 2014 are also presented below. Our Agency Securities had a weighted average coupon of 3.34% at June 30, 2014. | |||||||||||||||||||||||||
June 30, 2014 | Amortized Cost | Gross Unrealized Loss | Gross Unrealized Gain | Fair Value | Percent of Total | ||||||||||||||||||||
Fannie Mae | |||||||||||||||||||||||||
ARMs & Hybrids | $ | 46,089 | $ | (323 | ) | $ | 759 | $ | 46,525 | 0.27 | % | ||||||||||||||
Multi-Family MBS | 480,190 | (229 | ) | 5,767 | 485,728 | 2.86 | |||||||||||||||||||
10 Year Fixed | 4,295 | (1 | ) | 213 | 4,507 | 0.03 | |||||||||||||||||||
15 Year Fixed | 11,199,040 | (257 | ) | 89,570 | 11,288,353 | 66.55 | |||||||||||||||||||
20 Year Fixed | 2,744,651 | (28,988 | ) | 12,597 | 2,728,260 | 16.08 | |||||||||||||||||||
Total Fannie Mae | $ | 14,474,265 | $ | (29,798 | ) | $ | 108,906 | $ | 14,553,373 | 85.79 | % | ||||||||||||||
Freddie Mac | |||||||||||||||||||||||||
ARMs & Hybrids | 16,247 | (74 | ) | 342 | 16,515 | 0.1 | |||||||||||||||||||
10 Year Fixed | 328 | (5 | ) | 4 | 327 | 0 | |||||||||||||||||||
15 Year Fixed | 270,249 | (596 | ) | 2,776 | 272,429 | 1.61 | |||||||||||||||||||
20 Year Fixed | 2,011,474 | (22,940 | ) | 7,185 | 1,995,719 | 11.77 | |||||||||||||||||||
Total Freddie Mac | $ | 2,298,298 | $ | (23,615 | ) | $ | 10,307 | $ | 2,284,990 | 13.48 | % | ||||||||||||||
Ginnie Mae | |||||||||||||||||||||||||
ARMs & Hybrids | 122,746 | (351 | ) | 939 | 123,334 | 0.73 | |||||||||||||||||||
15 Year Fixed | 410 | — | 27 | 437 | 0 | ||||||||||||||||||||
Total Ginnie Mae | $ | 123,156 | $ | (351 | ) | $ | 966 | $ | 123,771 | 0.73 | % | ||||||||||||||
Total Agency Securities | $ | 16,895,719 | $ | (53,764 | ) | $ | 120,179 | $ | 16,962,134 | 100 | % | ||||||||||||||
Included in the table above are unsettled purchases with an aggregate cost of $38,816 and estimated fair value of $38,847 at June 30, 2014. | |||||||||||||||||||||||||
At December 31, 2013, we had the following securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities at December 31, 2013 are also presented below. Our Agency Securities had a weighted average coupon of 3.52% at December 31, 2013. | |||||||||||||||||||||||||
December 31, 2013 | Amortized Cost | Gross Unrealized Loss | Gross Unrealized Gain | Fair Value | Percent of Total | ||||||||||||||||||||
Fannie Mae | |||||||||||||||||||||||||
ARMs&Hybrids | $ | 55,266 | $ | (48 | ) | $ | 1,174 | $ | 56,392 | 0.4 | % | ||||||||||||||
10 Year Fixed | 1,144 | — | 25 | 1,169 | 0.01 | ||||||||||||||||||||
15 Year Fixed | 2,556,986 | (20,420 | ) | 2,257 | 2,538,823 | 17.33 | |||||||||||||||||||
20 Year Fixed | 2,876,743 | (104,357 | ) | 56 | 2,772,442 | 18.93 | |||||||||||||||||||
25 Year Fixed | 207,946 | — | — | 207,946 | 1.42 | ||||||||||||||||||||
30 Year Fixed | 5,230,008 | — | — | 5,230,008 | 35.7 | ||||||||||||||||||||
Total Fannie Mae | $ | 10,928,093 | $ | (124,825 | ) | $ | 3,512 | $ | 10,806,780 | 73.79 | % | ||||||||||||||
Freddie Mac | |||||||||||||||||||||||||
ARMs&Hybrids | 17,281 | (29 | ) | 428 | 17,680 | 0.12 | |||||||||||||||||||
10 Year Fixed | 406 | (6 | ) | 2 | 402 | 0 | |||||||||||||||||||
15 Year Fixed | 295,357 | (3,287 | ) | 1,560 | 293,630 | 2 | |||||||||||||||||||
20 Year Fixed | 2,093,482 | (69,617 | ) | 694 | 2,024,559 | 13.82 | |||||||||||||||||||
25 Year Fixed | 67,436 | — | — | 67,436 | 0.46 | ||||||||||||||||||||
30 Year Fixed | 1,290,623 | — | — | 1,290,623 | 8.81 | ||||||||||||||||||||
Total Freddie Mac | $ | 3,764,585 | $ | (72,939 | ) | $ | 2,684 | $ | 3,694,330 | 25.21 | % | ||||||||||||||
Ginnie Mae | |||||||||||||||||||||||||
ARMs&Hybrids | 145,558 | (64 | ) | 1,129 | 146,623 | 1 | |||||||||||||||||||
15YrFixed | 422 | — | 23 | 445 | 0 | ||||||||||||||||||||
Total Ginnie Mae | $ | 145,980 | $ | (64 | ) | $ | 1,152 | $ | 147,068 | 1 | % | ||||||||||||||
Total Agency Securities | $ | 14,838,658 | $ | (197,828 | ) | $ | 7,348 | $ | 14,648,178 | 100 | % | ||||||||||||||
Included in the table above are unsettled purchases with an aggregate cost of $159,159 and estimated fair value of $158,850 at December 31, 2013. | |||||||||||||||||||||||||
Actual maturities of Agency Securities are generally shorter than stated contractual maturities because actual maturities of Agency Securities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. | |||||||||||||||||||||||||
The following table summarizes the weighted average lives of our Agency Securities at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||||
June 30, 2014 | December 31, 2013 | ||||||||||||||||||||||||
Weighted Average Life of all Agency Securities | Fair Value | Amortized | Fair Value | Amortized | |||||||||||||||||||||
Cost | Cost | ||||||||||||||||||||||||
Less than one year | $ | — | $ | — | $ | 2 | $ | 2 | |||||||||||||||||
Greater than or equal to one year and less than three years | 2,148,650 | 2,133,709 | 20,289 | 20,127 | |||||||||||||||||||||
Greater than or equal to three years and less than five years | 13,990,697 | 13,940,498 | 3,809,418 | 3,837,530 | |||||||||||||||||||||
Greater than or equal to five years | 822,787 | 821,512 | 10,818,469 | 10,980,999 | |||||||||||||||||||||
Total Agency Securities | $ | 16,962,134 | $ | 16,895,719 | $ | 14,648,178 | $ | 14,838,658 | |||||||||||||||||
We use a third party model to calculate the weighted average lives of our Agency Securities. Weighted average life is calculated based on expectations for estimated prepayments for the underlying mortgage loans of our Agency Securities. These estimated prepayments are based on assumptions such as interest rates, current and future home prices, housing policy and borrower incentives. The weighted average lives of our Agency Securities at June 30, 2014 and December 31, 2013 in the table above are based upon market factors, assumptions, models and estimates from the third party model and also incorporate management’s judgment and experience. The actual weighted average lives of our Agency Securities could be longer or shorter than estimated. | |||||||||||||||||||||||||
The following table presents the unrealized losses and estimated fair value of our Agency Securities by length of time that such securities have been in a continuous unrealized loss position at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||||
Unrealized Loss Position For: | |||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||||
Fair Value | Unrealized | Fair Value | Unrealized | Fair Value | Unrealized | ||||||||||||||||||||
Losses | Losses | Losses | |||||||||||||||||||||||
June 30, 2014 | $ | 258,307 | $ | (999 | ) | $ | 3,331,685 | $ | (52,765 | ) | $ | 3,589,992 | $ | (53,764 | ) | ||||||||||
December 31, 2013 | $ | 7,175,317 | $ | (197,536 | ) | $ | 17,737 | $ | (292 | ) | $ | 7,193,054 | $ | (197,828 | ) | ||||||||||
During the quarter and six months ended June 30, 2014, we sold $1,206,494 and $6,782,481 of Agency Securities to reposition our portfolio, which resulted in realized gains of $11,167 and $81,036, respectively. During the quarter and six months ended June 30, 2013, we sold $2,696,655 and $4,935,258 of Agency Securities resulting in realized gains of $20,876 and $39,390, respectively. |
Repurchase_Agreements_net
Repurchase Agreements, net | 6 Months Ended | ||||||||||||||||||||||||
Jun. 30, 2014 | |||||||||||||||||||||||||
Disclosure of Repurchase Agreements [Abstract] | ' | ||||||||||||||||||||||||
Repurchase Agreements, net | ' | ||||||||||||||||||||||||
Repurchase Agreements, net | |||||||||||||||||||||||||
The following table represents the contractual repricing regarding our repurchase agreements, net to finance Agency Security purchases at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||||
30-Jun-14 | 31-Dec-13 | ||||||||||||||||||||||||
Repurchase Agreements | Weighted Average Contractual Rate | Repurchase Agreements | Weighted Average Contractual Rate | ||||||||||||||||||||||
Within 30 days (net of reverse repurchase agreements of $1,028,661 at June 30, 2014) | $ | 4,259,485 | 0.42 | % | $ | 3,990,434 | 0.41 | % | |||||||||||||||||
31 days to 60 days | 5,375,136 | 0.35 | % | 7,098,298 | 0.41 | % | |||||||||||||||||||
61 days to 90 days | 1,725,911 | 0.38 | % | 1,226,694 | 0.44 | % | |||||||||||||||||||
Greater than 90 days | 3,033,048 | 0.41 | % | 836,078 | 0.43 | % | |||||||||||||||||||
Total or Weighted Average | $ | 14,393,580 | 0.39 | % | $ | 13,151,504 | 0.42 | % | |||||||||||||||||
The following table represents the MRAs and other information regarding our repurchase agreements to finance Agency Security purchases at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||||
30-Jun-14 | 31-Dec-13 | ||||||||||||||||||||||||
Number of MRAs | 37 | 35 | |||||||||||||||||||||||
Number of counterparties with repurchase agreements outstanding | 30 | 27 | |||||||||||||||||||||||
Weighted average maturity in days | 58 | 45 | |||||||||||||||||||||||
Haircut for repurchase agreements (1) | 4.89 | % | 4.96 | % | |||||||||||||||||||||
-1 | The Haircut represents the weighted average margin requirement, or the percentage amount by which the collateral value must exceed the loan amount. | ||||||||||||||||||||||||
We have 7 repurchase agreement counterparties that individually account for between 5% and 10% of our aggregate borrowings. In total, these counterparties accounted for approximately 45.72% of our repurchase agreement borrowings outstanding at June 30, 2014. | |||||||||||||||||||||||||
Obligations to return securities received as collateral associated with the reverse repurchase agreements of $1,021,484 at June 30, 2014, are all due within 30 days. | |||||||||||||||||||||||||
During the quarter and six months ended June 30, 2014, we sold short $1,011,705 of U.S. Treasury Securities resulting in a net unrealized loss of $15,781. During the quarter and six months ended June 30, 2013, we sold short $2,789,560 of U.S. Treasury Securities. During the quarter and six months ended June 30, 2013 we purchased $935,340 resulting in a realized gain of $639. The outstanding balance resulted in an unrealized loss of $(21,717) for the quarter and six months ended June 30, 2013. | |||||||||||||||||||||||||
The following tables present the gross and net securities purchased and sold under repurchase agreements at June 30, 2014. At December 31, 2013, there were no reverse repurchase agreement receivables or obligations. | |||||||||||||||||||||||||
30-Jun-14 | Amounts Not Offset in the | ||||||||||||||||||||||||
Condensed Consolidated Balance Sheet | |||||||||||||||||||||||||
Asset | Gross Amounts | Gross | Net | Financial Instruments | Net Cash | Net | |||||||||||||||||||
of Assets | Amounts | Amounts of | Collateral | Amount | |||||||||||||||||||||
offset in the Condensed | Assets | ||||||||||||||||||||||||
Consolidated | Presented in | ||||||||||||||||||||||||
Balance | the Condensed Consolidated | ||||||||||||||||||||||||
Sheet | Balance | ||||||||||||||||||||||||
Sheet | |||||||||||||||||||||||||
Reverse Repurchase Agreements | $ | 1,028,661 | $ | (1,028,661 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Totals | $ | 1,028,661 | $ | (1,028,661 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
30-Jun-14 | Amounts Not Offset in the | ||||||||||||||||||||||||
Condensed Consolidated Balance Sheet | |||||||||||||||||||||||||
Liability | Gross Amounts of Liabilities | Gross | Net | Financial Instruments (1) | Net Cash | Net | |||||||||||||||||||
Amounts | Amounts of | Collateral | Amount | ||||||||||||||||||||||
offset in the Condensed Consolidated | Liabilities | ||||||||||||||||||||||||
Balance | Presented in | ||||||||||||||||||||||||
Sheet | the Condensed | ||||||||||||||||||||||||
Consolidated | |||||||||||||||||||||||||
Balance | |||||||||||||||||||||||||
Sheet | |||||||||||||||||||||||||
Repurchase Agreements | $ | (15,422,241 | ) | $ | 1,028,661 | $ | (14,393,580 | ) | $ | 14,393,580 | $ | (62,959 | ) | $ | (62,959 | ) | |||||||||
Totals | $ | (15,422,241 | ) | $ | 1,028,661 | $ | (14,393,580 | ) | $ | 14,393,580 | $ | (62,959 | ) | $ | (62,959 | ) | |||||||||
(1) The fair value of securities pledged against our repurchase agreements was $16,284,466 at June 30, 2014. |
Derivatives
Derivatives | 6 Months Ended | |||||||||||||||||||
Jun. 30, 2014 | ||||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ' | |||||||||||||||||||
Derivatives | ' | |||||||||||||||||||
Derivatives | ||||||||||||||||||||
We enter into derivative transactions to manage our interest rate risk exposure. These transactions include entering into interest rate swap contracts and interest rate swaptions as well as purchasing or selling Futures Contracts. These transactions are designed to lock in funding costs for repurchase agreements associated with our assets in such a way to help assure the realization of net interest margins. Such transactions are based on assumptions about prepayments which, if not realized, will cause transaction results to differ from expectations. Our derivatives are carried on our condensed consolidated balance sheets, as assets or as liabilities at their fair value. We do not designate our derivatives as cash flow hedges and as such, we recognize changes in the fair value of these derivatives through earnings. | ||||||||||||||||||||
We have agreements with our swap (including swaption) counterparties that provide for the posting of collateral based on the fair values of our interest rate swap contracts. Through this margin process, either we or our swap counterparty may be required to pledge cash or Agency Securities as collateral. Collateral requirements vary by counterparty and change over time based on the market value, notional amount and remaining term of the contracts. Certain interest rate swap contracts provide for cross collateralization and cross default with repurchase agreements and other contracts with the same counterparty. | ||||||||||||||||||||
Interest rate swaptions generally provide us the option to enter into an interest rate swap agreement at a certain point of time in the future with a predetermined notional amount, stated term and stated rate of interest in the fixed leg and interest rate index on the floating leg. | ||||||||||||||||||||
Our Futures Contracts are traded on the CME which requires the use of daily mark-to-market collateral and the CME provides substantial credit support. The collateral requirements of the CME require us to pledge assets under a bi-lateral margin arrangement, including either cash or Agency Securities and these requirements may vary and change over time based on the market value, notional amount and remaining term of the Futures Contracts. In the event we are unable to meet a margin call under one of our Futures Contracts, the counterparty to such agreement may have the option to terminate or close-out all of the outstanding Futures Contracts with us. In addition, any close-out amount due to the counterparty upon termination of the counterparty’s transactions would be immediately payable by us pursuant to the applicable agreement. | ||||||||||||||||||||
The following tables present information about interest rate swap contracts, interest rate swaptions and Futures Contracts which are included in derivatives on the accompanying condensed consolidated balance sheets at June 30, 2014 and December 31, 2013. | ||||||||||||||||||||
June 30, 2014 | ||||||||||||||||||||
Derivative Type | Remaining / Underlying Term | Weighted Average Remaining Swap / Option Term (Months) | Weighted Average Rate | Notional Amount | Asset Fair Value (1) | Liability Fair Value (1) | ||||||||||||||
Interest rate swap contracts | 0-12 Months | 9 | 1.43 | % | $ | 555,000 | $ | — | $ | (7,312 | ) | |||||||||
Interest rate swap contracts | 13-24 Months | 20 | 1.16 | % | 2,725,000 | — | (47,964 | ) | ||||||||||||
Interest rate swap contracts | 25-36 Months | 25 | 1.24 | % | 550,000 | — | (14,557 | ) | ||||||||||||
Interest rate swap contracts | 37-48 Months | 40 | 0.8 | % | 650,000 | 2,440 | — | |||||||||||||
Interest rate swap contracts | 49-60 Months | 0 | 0 | % | — | — | — | |||||||||||||
Interest rate swap contracts | 61-72 Months | 67 | 1.48 | % | 300,000 | 4,570 | — | |||||||||||||
Interest rate swap contracts | 73-84 Months | 0 | 0 | % | — | — | — | |||||||||||||
Interest rate swap contracts | 85-96 Months | 95 | 1.54 | % | 550,000 | 23,212 | — | |||||||||||||
Interest rate swap contracts | 97-108 Months | 101 | 1.82 | % | 4,700,000 | 138,798 | — | |||||||||||||
Interest rate swap contracts | 109-120 Months | 0 | 0 | % | — | — | — | |||||||||||||
Futures Contracts | 0-21 Months | 11 | 2.13 | % | 25,000 | — | (639 | ) | ||||||||||||
Interest rate swaptions | 60 Months | 3 | 2.73 | % | 4,000,000 | 765 | — | |||||||||||||
Interest rate swaptions | 120 Months | 3 | 3.63 | % | 1,250,000 | 92 | — | |||||||||||||
Total or Weighted Average | 43 | 1.99 | % | $ | 15,305,000 | $ | 169,877 | $ | (70,472 | ) | ||||||||||
-1 | See Note 5, “Fair Value of Financial Instruments” for additional discussion. | |||||||||||||||||||
December 31, 2013 | ||||||||||||||||||||
Derivative Type | Remaining / Underlying Term | Weighted Average Remaining Swap / Option Term (Months) | Weighted Average Rate | Notional Amount | Asset Fair Value (1) | Liability Fair Value (1) | ||||||||||||||
Interest rate swap contracts | 0-12 Months | 2 | 1.14 | % | $ | 200,000 | $ | — | $ | (2,089 | ) | |||||||||
Interest rate swap contracts | 13-24 Months | 17 | 1.13 | % | 920,000 | — | (18,095 | ) | ||||||||||||
Interest rate swap contracts | 25-36 Months | 28 | 1.23 | % | 2,900,000 | — | (81,108 | ) | ||||||||||||
Interest rate swap contracts | 37-48 Months | 43 | 0.63 | % | 350,000 | 2,614 | — | |||||||||||||
Interest rate swap contracts | 49-60 Months | 49 | 1 | % | 300,000 | 3,817 | — | |||||||||||||
Interest rate swap contracts | 61-72 Months | 0 | 0 | % | — | — | — | |||||||||||||
Interest rate swap contracts | 73-84 Months | 73 | 1.48 | % | 300,000 | 11,112 | — | |||||||||||||
Interest rate swap contracts | 85-96 Months | 0 | 0 | % | — | — | — | |||||||||||||
Interest rate swap contracts | 97-108 Months | 103 | 1.47 | % | 2,450,000 | 195,221 | — | |||||||||||||
Interest rate swap contracts | 109-120 Months | 110 | 2.08 | % | 2,800,000 | 184,456 | — | |||||||||||||
Futures Contracts | 0-21 Months | 13 | 1.97 | % | 55,000 | — | (1,503 | ) | ||||||||||||
Interest rate swaptions | 60 Months | 9 | 2.73 | % | 4,000,000 | 35,937 | — | |||||||||||||
Interest rate swaptions | 120 Months | 6 | 3.16 | % | 1,750,000 | 75,831 | — | |||||||||||||
Total or Weighted Average | 47 | 1.98 | % | $ | 16,025,000 | $ | 508,988 | $ | (102,795 | ) | ||||||||||
-1 | See Note 5, “Fair Value of Financial Instruments” for additional discussion. | |||||||||||||||||||
We have netting arrangements in place with all derivative counterparties pursuant to standard documentation developed by the International Swap and Derivatives Association. We are also required to post or hold cash collateral based upon the net underlying market value of our open positions with the counterparty. | ||||||||||||||||||||
The following tables present information about interest rate swap contracts, interest rate swaptions and Futures Contracts and the potential effects of netting if we were to offset the assets and liabilities of these financial instruments on the accompanying condensed consolidated balance sheets. Currently, we present these financial instruments at their gross amounts and they are included in derivatives, at fair value on the accompanying condensed consolidated balance sheet at June 30, 2014. | ||||||||||||||||||||
30-Jun-14 | Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet | |||||||||||||||||||
Assets | Gross and Net Amounts of Assets Presented in the Condensed Consolidated Balance Sheet | Financial | Net Cash Collateral | Net Amount | ||||||||||||||||
Instruments | Held | |||||||||||||||||||
Interest rate swap contracts | $ | 169,020 | $ | (69,833 | ) | $ | (51,767 | ) | $ | 47,420 | ||||||||||
Interest rate swaptions | 857 | — | — | 857 | ||||||||||||||||
Totals | $ | 169,877 | $ | (69,833 | ) | $ | (51,767 | ) | $ | 48,277 | ||||||||||
30-Jun-14 | Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet | |||||||||||||||||||
Liabilities | Gross and Net Amounts of Liabilities Presented in the Condensed Consolidated Balance Sheet | Financial | Cash Collateral | Net Amount | ||||||||||||||||
Instruments | Posted | |||||||||||||||||||
Interest rate swap contracts | $ | (69,833 | ) | $ | 69,833 | $ | — | $ | — | |||||||||||
Futures Contracts | (639 | ) | — | 692 | 53 | |||||||||||||||
Totals | $ | (70,472 | ) | $ | 69,833 | $ | 692 | $ | 53 | |||||||||||
The following tables present information about interest rate swap contracts, interest rate swaptions and Futures Contracts and the potential effects of netting if we were to offset the assets and liabilities of these financial instruments on the accompanying condensed consolidated balance sheets. Currently, we present these financial instruments at their gross amounts and they are included in derivatives, at fair value on the accompanying condensed consolidated balance sheet at December 31, 2013. | ||||||||||||||||||||
31-Dec-13 | Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet | |||||||||||||||||||
Assets | Gross and Net Amounts of Assets Presented in the Condensed Consolidated | Financial | Cash Collateral | Net Amount | ||||||||||||||||
Balance Sheet | Instruments | Held | ||||||||||||||||||
Interest rate swap contracts | $ | 397,219 | $ | (101,292 | ) | $ | (313,229 | ) | $ | (17,302 | ) | |||||||||
Interest rate swaptions | 111,769 | — | — | 111,769 | ||||||||||||||||
Totals | $ | 508,988 | $ | (101,292 | ) | $ | (313,229 | ) | $ | 94,467 | ||||||||||
31-Dec-13 | Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet | |||||||||||||||||||
Liabilities | Gross and Net Amounts of Liabilities Presented in the Condensed Consolidated Balance Sheet | Financial | Cash Collateral | Net Amount | ||||||||||||||||
Instruments | Posted | |||||||||||||||||||
Interest rate swap contracts | $ | (101,292 | ) | $ | 101,292 | $ | — | $ | — | |||||||||||
Futures Contracts | (1,503 | ) | — | 1,599 | 96 | |||||||||||||||
Totals | $ | (102,795 | ) | $ | 101,292 | $ | 1,599 | $ | 96 | |||||||||||
The following table represents the location and information regarding our derivatives which are included in Other Income (Loss) in the accompanying condensed consolidated statements of operations for the quarter and six months ended June 30, 2014 and June 30, 2013. | ||||||||||||||||||||
Income (Loss) Recognized | ||||||||||||||||||||
For the Quarter | For the Six Months Ended | |||||||||||||||||||
Ended | ||||||||||||||||||||
Derivatives | Location on condensed consolidated statements of operations | June 30, 2014 | June 30, 2013 | June 30, 2014 | June 30, 2013 | |||||||||||||||
Interest rate swap contracts: | ||||||||||||||||||||
Interest income | Realized loss on derivatives | $ | 3,505 | $ | 5,059 | 6,742 | 9,158 | |||||||||||||
Interest expense | Realized loss on derivatives | (37,536 | ) | (43,229 | ) | (75,388 | ) | (75,730 | ) | |||||||||||
Changes in fair value | Unrealized gain (loss) on derivatives | (98,356 | ) | 383,541 | (201,663 | ) | 400,495 | |||||||||||||
$ | (132,387 | ) | $ | 345,371 | $ | (270,309 | ) | $ | 333,923 | |||||||||||
Interest rate swaptions: | ||||||||||||||||||||
Realized gain | Realized loss on derivatives | — | — | 23,318 | — | |||||||||||||||
Changes in fair value | Unrealized gain (loss) on derivatives | (18,372 | ) | 27,950 | (91,830 | ) | 26,640 | |||||||||||||
$ | (18,372 | ) | $ | 27,950 | $ | (68,512 | ) | $ | 26,640 | |||||||||||
Futures Contracts: | ||||||||||||||||||||
Realized loss | Realized loss on derivatives | (467 | ) | (688 | ) | (908 | ) | (1,339 | ) | |||||||||||
Changes in fair value | Unrealized gain (loss) on derivatives | 455 | 692 | 864 | 1,349 | |||||||||||||||
$ | (12 | ) | $ | 4 | $ | (44 | ) | $ | 10 | |||||||||||
Totals | $ | (150,771 | ) | $ | 373,325 | $ | (338,865 | ) | $ | 360,573 | ||||||||||
Commitments_and_Contingencies
Commitments and Contingencies | 6 Months Ended |
Jun. 30, 2014 | |
Commitments and Contingencies Disclosure [Abstract] | ' |
Commitments and Contingencies | ' |
Commitments and Contingencies | |
Management Agreement with ARRM | |
As discussed in Note 14 “Related Party Transactions,” we are externally managed by ARRM pursuant to a management agreement (the “Management Agreement”), which was most recently amended on February 25, 2014. The Management Agreement entitles ARRM to receive a management fee payable monthly in arrears. Currently, the monthly management fee is 1/12th of the sum of (a) 1.5% of gross equity raised up to $1.0 billion plus (b) 0.75% of gross equity raised in excess of $1.0 billion. The cost of repurchased stock and any dividend representing a return of capital for tax purposes will reduce the amount of gross equity raised used to calculate the monthly management fee. At June 30, 2014, the effective management fee was 1.03% based on gross equity raised. The ARRM monthly management fee is not calculated based on the performance of our assets. Accordingly, the payment of our monthly management fee may not decline in the event of a decline in our earnings and may cause us to incur losses. We are also responsible for any costs and expenses that ARRM incurred solely on behalf of ARMOUR other than the various overhead expenses specified in the terms of the Management Agreement. ARRM is further entitled to receive a termination fee from us under certain circumstances. | |
Pursuant to a Sub-Management Agreement between ARMOUR, ARRM and Staton Bell Blank Check LLC (“SBBC”), ARRM is responsible for the monthly payment of a sub-management fee to SBBC in an amount equal to 25% of the monthly management fee earned by ARRM, net of expenses. On November 6, 2014, SBBC has the option of terminating the Sub-Management Agreement. If the Sub-Management Agreement is terminated, we would be required to make a final payment to SBBC in the amount of 6.16 times the annualized rate of the sub-management fee for the prior three months. Thereafter, we will be entitled to receive the sub-management fee or, at the option of ARRM, reimbursement of the final payment by ARRM. The payments from ARRM to SBBC for the three months preceding June 30, 2014 totaled $1,361. If the Sub-Management Agreement had been terminated on June 30, 2014, the payment due from ARMOUR would have been $33,535. | |
Indemnifications and Litigation | |
We enter into certain contracts that contain a variety of indemnifications, principally with ARRM and underwriters, against third party claims for errors and omissions in connection with their services to us. We have not incurred any costs to defend lawsuits or settle claims related to these indemnification agreements. As a result, the estimated fair value of these agreements, as well as the maximum amount attributable to past events, is not material. Accordingly, we have no liabilities recorded for these agreements at June 30, 2014 and December 31, 2013. | |
We are not party to any pending, threatened or contemplated litigation. |
Stock_Based_Compensation
Stock Based Compensation | 6 Months Ended | |||||||
Jun. 30, 2014 | ||||||||
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | ' | |||||||
Stock Based Compensation | ' | |||||||
Stock Based Compensation | ||||||||
We adopted the 2009 Stock Incentive Plan (the “Plan”) to attract, retain and reward directors and other persons who provide services to us in the course of operations. The Plan authorizes the Board to grant awards including common stock, restricted shares of common stock (“Restricted Shares”), stock options, performance shares, performance units, stock appreciation rights and other equity and cash-based awards (collectively “Awards”), subject to terms as provided in the Plan. | ||||||||
On May 8, 2014, our stockholders approved an amendment to the Plan to increase the number of shares issuable thereunder from 2,000 to 15,000 shares and the Plan was amended accordingly. Approximately 150 shares awarded in 2013 were awarded subject to stockholder approval of an increase in the number of shares issuable under the Plan. Accordingly, those 150 shares are shown below as awarded during the quarter ended June 30, 2014. | ||||||||
Transactions related to Restricted Shares for the six months ended June 30, 2014 are summarized below: | ||||||||
June 30, 2014 | ||||||||
Number of | Weighted | |||||||
Awards | Average Grant | |||||||
Date Fair | ||||||||
Value per | ||||||||
Award | ||||||||
Unvested Awards Outstanding beginning of period | 1,329 | $ | 6.94 | |||||
Awards issued upon stockholders' approval of Plan amendment | 150 | $ | 6.78 | |||||
Vested | (212 | ) | $ | 7.1 | ||||
Unvested Awards Outstanding end of period | 1,267 | $ | 6.92 | |||||
At June 30, 2014, there was approximately $5,771 of unvested non-cash stock based compensation related to the Awards (based on the June 30, 2014 stock price of $4.33 per share), that we expect to recognize as an expense over the remaining average service period of 2.3 years. |
Shareholders_Equity
Shareholders' Equity | 6 Months Ended | |||||||||||||
Jun. 30, 2014 | ||||||||||||||
Equity [Abstract] | ' | |||||||||||||
Stockholders' Equity | ' | |||||||||||||
Stockholders’ Equity | ||||||||||||||
Dividends | ||||||||||||||
The following table presents our common stock dividend transactions for the six months ended June 30, 2014. | ||||||||||||||
Record Date | Payment Date | Rate per common share | Aggregate | |||||||||||
amount paid to | ||||||||||||||
holders of record | ||||||||||||||
15-Jan-14 | 30-Jan-14 | $ | 0.05 | $ | 17,954 | |||||||||
14-Feb-14 | 27-Feb-14 | $ | 0.05 | $ | 17,954 | |||||||||
17-Mar-14 | 28-Mar-14 | $ | 0.05 | $ | 17,945 | |||||||||
15-Apr-14 | 29-Apr-14 | $ | 0.05 | $ | 17,925 | |||||||||
15-May-14 | 29-May-14 | $ | 0.05 | $ | 17,924 | |||||||||
16-Jun-14 | 27-Jun-14 | $ | 0.05 | $ | 17,924 | |||||||||
Total dividends paid | $ | 107,626 | ||||||||||||
The following table presents our Series A Preferred Stock dividend transactions for the six months ended June 30, 2014. | ||||||||||||||
Record Date | Payment Date | Rate per | Aggregate | |||||||||||
Series A | amount paid to | |||||||||||||
Preferred | holders of record | |||||||||||||
Share | ||||||||||||||
15-Jan-14 | 27-Jan-14 | $ | 0.17 | $ | 375 | |||||||||
15-Feb-14 | 27-Feb-14 | $ | 0.17 | $ | 375 | |||||||||
15-Mar-14 | 27-Mar-14 | $ | 0.17 | $ | 375 | |||||||||
15-Apr-14 | 28-Apr-14 | $ | 0.17 | $ | 375 | |||||||||
15-May-14 | 27-May-14 | $ | 0.17 | $ | 375 | |||||||||
15-Jun-14 | 27-Jun-14 | $ | 0.17 | $ | 375 | |||||||||
Total dividends paid | $ | 2,250 | ||||||||||||
The following table presents our Series B Preferred Stock dividend transactions for the six months ended June 30, 2014. | ||||||||||||||
Record Date | Payment Date | Rate per | Aggregate | |||||||||||
Series B | amount paid to | |||||||||||||
Preferred | holders of record | |||||||||||||
Share | ||||||||||||||
15-Jan-14 | 27-Jan-14 | $ | 0.16 | $ | 927 | |||||||||
15-Feb-14 | 27-Feb-14 | $ | 0.16 | $ | 927 | |||||||||
15-Mar-14 | 27-Mar-14 | $ | 0.16 | $ | 927 | |||||||||
15-Apr-14 | 28-Apr-14 | $ | 0.16 | $ | 927 | |||||||||
15-May-14 | 27-May-14 | $ | 0.16 | $ | 927 | |||||||||
15-Jun-14 | 27-Jun-14 | $ | 0.16 | $ | 927 | |||||||||
Total dividends paid | $ | 5,562 | ||||||||||||
Equity Capital Raising Activities | ||||||||||||||
The following table presents our equity transactions for the six months ended June 30, 2014. | ||||||||||||||
Transaction Type | Completion Date | Number of | Per Share | Net Proceeds | ||||||||||
Shares | price (1) | |||||||||||||
Common stock dividend reinvestment program | January 27, 2014 through June 27, 2014 | 37 | $ | 4.2 | $ | 154 | ||||||||
-1 | Weighted average price | |||||||||||||
Common Stock Repurchases | ||||||||||||||
The following table presents our common stock repurchases for the six months ended June 30, 2014. | ||||||||||||||
Transaction Type | Completion Date | Number of | Per Share price (1) | Net Cost | ||||||||||
Shares | ||||||||||||||
Repurchased common shares | March 12, 2014 through March 14, 2014 | 600 | 4.31 | $ | 2,585 | |||||||||
-1 | Weighted average price |
Net_Loss_Income_per_Common_Sha
Net (Loss) Income per Common Share | 6 Months Ended | |||||||||||||||
Jun. 30, 2014 | ||||||||||||||||
Earnings Per Share [Abstract] | ' | |||||||||||||||
Income (Loss) per Common Share | ' | |||||||||||||||
Income (Loss) per Common Share | ||||||||||||||||
The following table presents a reconciliation of net income (loss) and the shares used in calculating weighted average basic and diluted earnings per common share for the quarter and six months ended June 30, 2014 and June 30, 2013. | ||||||||||||||||
For the Quarter | For the Six Months Ended | |||||||||||||||
Ended | ||||||||||||||||
30-Jun-14 | 30-Jun-13 | June 30, 2014 | June 30, 2013 | |||||||||||||
Net Income (loss) | $ | (70,190 | ) | $ | 481,385 | $ | (89,968 | ) | $ | 583,675 | ||||||
Less: Preferred dividends | (3,905 | ) | (3,905 | ) | (7,812 | ) | (6,403 | ) | ||||||||
Net income (loss) available (related) to common stockholders | $ | (74,095 | ) | $ | 477,480 | $ | (97,780 | ) | $ | 577,272 | ||||||
Weighted average common shares outstanding – basic | 357,111 | 372,591 | 357,302 | 355,359 | ||||||||||||
Add: Effect of dilutive non-vested restricted stock unit awards, assumed vested | — | 1,544 | — | 1,538 | ||||||||||||
Weighted average common shares outstanding – diluted | 357,111 | 374,135 | 357,302 | 356,897 | ||||||||||||
Income_Taxes
Income Taxes | 6 Months Ended | |||||||||||||||
Jun. 30, 2014 | ||||||||||||||||
Income Tax Disclosure [Abstract] | ' | |||||||||||||||
Income Taxes | ' | |||||||||||||||
Income Taxes | ||||||||||||||||
We have elected to be taxed as a REIT under the Code. We will generally not be subject to federal income tax to the extent that we distribute our taxable income to our stockholders and as long as we satisfy the ongoing REIT requirements under the Code including meeting certain asset, income and stock ownership tests. | ||||||||||||||||
The following table reconciles our GAAP net income to estimated REIT taxable income for the quarter and six months ended June 30, 2014 and June 30, 2013. | ||||||||||||||||
For the Quarter | For the Six Months Ended | |||||||||||||||
Ended | ||||||||||||||||
30-Jun-14 | 30-Jun-13 | June 30, 2014 | June 30, 2013 | |||||||||||||
GAAP net income (loss) | $ | (70,190 | ) | $ | 481,385 | $ | (89,968 | ) | $ | 583,675 | ||||||
Book to tax differences: | ||||||||||||||||
Changes in interest rate contracts | 116,273 | (412,183 | ) | 269,311 | (428,484 | ) | ||||||||||
(Gains) Losses on Security Sales | 4,614 | 21,717 | (65,255 | ) | 21,717 | |||||||||||
Amortization of deferred hedging gains | 461 | 492 | 755 | 492 | ||||||||||||
Net premium amortization differences | (266 | ) | — | (5,609 | ) | — | ||||||||||
Other | 5 | 7 | 11 | 16 | ||||||||||||
Estimated taxable income | $ | 50,897 | $ | 91,418 | $ | 109,245 | $ | 177,416 | ||||||||
The aggregate tax basis of our assets and liabilities was less than our total Stockholders’ Equity at June 30, 2014 by approximately $226,338, or approximately $0.63 per common share (based on the 357,189 common shares then outstanding). | ||||||||||||||||
We are required and intend to timely distribute substantially all of our REIT taxable income in order to maintain our REIT status under the Code. Total dividend payments to stockholders were $57,679 and $115,438 for the quarter and six months ended June 30, 2014. Our estimated REIT taxable income available to pay dividends was $50,897 and $109,245 for the quarter and six months ended June 30, 2014. Realized losses on derivatives for the six months ended June 30, 2014 include realized gains on swaptions of $23,318 which are amortized for tax purposes over the ten years terms of the referenced interest rate swap contract. There were no realized gains on swaptions for the quarter ended June 30, 2014. Our taxable REIT income and dividend requirements to maintain our REIT status are determined on an annual basis. Dividends in excess of taxable REIT income for the year (including amounts carried forward from prior years) will generally not be taxable to common stockholders. | ||||||||||||||||
Net capital losses realized in 2013 and 2014 totaling $(579,322) and $(314,896) will be available to offset future capital gains realized through 2018 and 2019, respectively. | ||||||||||||||||
Our management is responsible for determining whether tax positions taken by us are more likely than not to be sustained on their merits. We have no material unrecognized tax benefits or material uncertain tax positions. |
Related_Party_Transactions
Related Party Transactions | 6 Months Ended | |
Jun. 30, 2014 | ||
Related Party Transactions [Abstract] | ' | |
Related Party Transactions | ' | |
Related Party Transactions | ||
We are externally managed by ARRM pursuant to the Management Agreement. All of our executive officers are also employees of ARRM. ARRM manages our day-to-day operations, subject to the direction and oversight of the Board. The Management Agreement expires after an initial term of ten years on June 18, 2022 and is thereafter automatically renewed for an additional five-year term unless terminated under certain circumstances. Either party must provide 180 days prior written notice of any such termination. | ||
Under the terms of the Management Agreement, ARRM is responsible for costs incident to the performance of its duties, such as compensation of its employees and various overhead expenses. ARRM is responsible for the following primary roles: | ||
• | Advising us with respect to, arranging for and managing the acquisition, financing, management and disposition of, elements of our investment portfolio; | |
• | Evaluating the duration risk and prepayment risk within the investment portfolio and arranging borrowing and hedging strategies; | |
• | Coordinating capital raising activities; | |
• | Advising us on the formulation and implementation of operating strategies and policies, arranging for the acquisition of assets, monitoring the performance of those assets and providing administrative and managerial services in connection with our day-to-day operations; and | |
• | Providing executive and administrative personnel, office space and other appropriate services required in rendering management services to us. | |
In accordance with the Management Agreement, we incurred $6,964 and $13,929 in management fees for the quarter and six months ended June 30, 2014. For the quarter and six months ended June 30, 2013, we incurred $7,869 and $14,502 in management fees. | ||
We are required to take actions as may be reasonably required to permit and enable ARRM to carry out its duties and obligations. We are also responsible for any costs and expenses that ARRM incurred solely on behalf of ARMOUR other than the various overhead expenses specified in the terms of the Management Agreement. For the quarter and six months ended June 30, 2014, we reimbursed ARRM $419 and $878, respectively, for other expenses incurred on our behalf and $244 and $477, respectively, for stock based compensation expense. For the quarter and six months ended June 30, 2013, we reimbursed ARRM $387 and $783, respectively, for expenses incurred on our behalf and $264 and $636, respectively, for stock based compensation expense (see Note 10, “Stock Based Compensation” for additional discussion). | ||
See Note 9, "Commitments and Contingencies" for discussion of the Sub-Management Agreement. |
Interest_Rate_Risk
Interest Rate Risk | 6 Months Ended |
Jun. 30, 2014 | |
Interest Rate Risk [Abstract] | ' |
Interest Rate Risk | ' |
Interest Rate Risk | |
Our primary market risk is interest rate risk. Interest rates are highly sensitive to many factors, including governmental monetary and tax policies, domestic and international economic and political considerations and other factors beyond our control. Changes in the general level of interest rates can affect net interest income, which is the difference between the interest income earned and the interest expense incurred in connection with the liabilities, by affecting the spread between the interest-earning assets and interest-bearing liabilities. Changes in the level of interest rates also can affect the value of Agency Securities and our ability to realize gains from the sale of these assets. A decline in the value of the Agency Securities pledged as collateral for borrowings under repurchase agreements could result in the counterparties demanding additional collateral pledges or liquidation of some of the existing collateral to reduce borrowing levels. |
Subsequent_Events
Subsequent Events | 6 Months Ended |
Jun. 30, 2014 | |
Subsequent Events [Abstract] | ' |
Subsequent Events | ' |
Subsequent Events | |
On July 28, 2014, a cash dividend of $0.17 per outstanding share of Series A Preferred Stock, or $375 in the aggregate, and $0.16 per outstanding share of Series B Preferred Stock, or $927 in the aggregate, was paid to holders of record on July 15, 2014. | |
On July 30, 2014, a cash dividend of $0.05 per outstanding common share, or $17,859 in the aggregate, was paid to holders of record on July 15, 2014. |
Summary_of_Significant_Account1
Summary of Significant Accounting Policies (Policies) | 6 Months Ended |
Jun. 30, 2014 | |
Accounting Policies [Abstract] | ' |
Basis of Presentation | ' |
The accompanying consolidated financial statements have been prepared in accordance with generally accepted accounting principles in the United States (“GAAP”) for interim financial information and with the instructions to Form 10-Q and Rule 10-01 of Regulation S-X promulgated by the Securities and Exchange Commission (the “SEC”). Accordingly, they do not include all of the information and footnotes required by GAAP for complete financial statements. In the opinion of management, all adjustments (consisting of normal recurring accruals) considered necessary for a fair presentation have been included. Operating results for the quarter and six months ended June 30, 2014 are not necessarily indicative of the results that may be expected for the calendar year ending December 31, 2014. These unaudited financial statements should be read in conjunction with the audited financial statements and notes thereto included in our annual report on Form 10-K for the year ended December 31, 2013. | |
The condensed consolidated financial statements include the accounts of ARMOUR Residential REIT, Inc. and its subsidiary. All intercompany accounts and transactions have been eliminated. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. Significant estimates affecting the accompanying condensed financial statements include the valuation of Agency Securities (as defined below) and derivative instruments. | |
Cash | ' |
Cash | |
Cash includes cash on deposit with financial institutions. We may maintain deposits in federally insured financial institutions in excess of federally insured limits. However, management believes we are not exposed to significant credit risk due to the financial position and creditworthiness of the depository institutions in which those deposits are held. | |
Cash Collateral Posted/Held | ' |
Cash Collateral Posted/Held | |
Cash collateral posted or held represents cash posted by us to counterparties or held by us from counterparties as collateral for our interest rate swap contracts, Eurodollar Futures Contracts (“Futures Contracts”) and repurchase agreements on our Agency Securities. | |
Agency Securities, at Fair Value | ' |
Agency Securities, at Fair Value | |
We generally intend to hold most of our Agency Securities for extended periods of time. We may, from time to time, sell any of our Agency Securities as part of the overall management of our securities portfolio. Management determines the appropriate classifications of the securities at the time they are acquired and evaluates the appropriateness of such classifications at each balance sheet date. At June 30, 2014 and December 31, 2013, all of our Agency Securities were classified as available for sale. Agency Securities classified as available for sale are reported at their estimated fair values with unrealized gains and losses excluded from earnings and reported as part of the condensed consolidated statements of comprehensive income (loss). | |
We evaluate Agency Securities for other than temporary impairment at least on a quarterly basis and more frequently when economic or market concerns warrant such evaluation. We consider an impairment to be other than temporary if we (1) have the intent to sell the Agency Securities, (2) believe it is more likely than not that we will be required to sell the securities before recovery (for example, because of liquidity requirements or contractual obligations) or (3) a credit loss exists. Impairment losses recognized establish a new cost basis for the related Agency Securities. | |
Accrued Interest Receivable and Payable | ' |
Accrued Interest Receivable and Payable | |
Accrued interest receivable includes interest accrued between payment dates on Agency Securities. Accrued interest payable includes interest payable on our repurchase agreements | |
Repurchase Agreements | ' |
Repurchase Agreements, net | |
We finance the acquisition of our Agency Securities through the use of repurchase agreements. Our repurchase agreements are secured by our Agency Securities and bear interest rates that have historically moved in close relationship to the Federal Funds Rate and the London Interbank Offered Rate (“LIBOR”). Under these repurchase agreements, we sell Agency Securities to a lender and agree to repurchase the same Agency Securities in the future for a price that is higher than the original sales price. The difference between the sales price that we receive and the repurchase price that we pay represents interest paid to the lender. A repurchase agreement operates as a financing arrangement under which we pledge our Agency Securities as collateral to secure a loan which is equal in value to a specified percentage of the estimated fair value of the pledged collateral. We retain beneficial ownership of the pledged collateral. At the maturity of a repurchase agreement, we are required to repay the loan and concurrently receive back our pledged collateral from the lender or, with the consent of the lender, we may renew such agreement at the then prevailing interest rate. The repurchase agreements may require us to pledge additional assets to the lender in the event the estimated fair value of the existing pledged collateral declines. | |
In addition to the repurchase agreement financing discussed above, at certain times we have entered into reverse repurchase agreements with certain of our repurchase agreement counterparties. Under a typical reverse repurchase agreement, we purchase U.S. Treasury Securities from a borrower in exchange for cash and agree to sell the same securities in the future in exchange for a price that is higher than the original purchase price. The difference between the purchase price originally paid and the sale price represents interest received from the borrower. Reverse repurchase agreement receivables and repurchase agreement liabilities are presented net when they meet certain criteria, including being with the same counterparty, being governed by the same master repurchase agreement ("MRA"), settlement through the same brokerage or clearing account and maturing on the same day. | |
Obligations to Return Securities Received as Collateral, at Fair Value | ' |
Obligations to Return Securities Received as Collateral, at Fair Value | |
At certain times, we also sell to third parties the U.S. Treasury Securities received as collateral for reverse repurchase agreements and recognize the resulting obligation to return said U.S. Treasury Securities as a liability on our condensed consolidated balance sheets. Interest is recorded on the repurchase agreements, reverse repurchase agreements and U.S. Treasury Securities sold short on an accrual basis and presented as interest expense. Both parties to the transaction have the right to make daily margin calls based on changes in the fair value of the collateral received and/or pledged. | |
Derivatives, at Fair Value | ' |
Derivatives, at Fair Value | |
We recognize all derivatives as either assets or liabilities at fair value on our condensed consolidated balance sheets. All changes in the fair values of our derivatives are reflected in our condensed consolidated statements of operations. We designate derivatives as hedges for tax purposes and any unrealized derivative gains or losses do not affect our distributable net taxable income. | |
Common Stock | ' |
Preferred Stock | |
At June 30, 2014, we were authorized to issue up to 50,000 shares of preferred stock, par value $0.001 per share with such designations, voting and other rights and preferences as may be determined from time to time by our Board of Directors (“Board”) or a committee thereof. | |
Series A Cumulative Preferred Shares (“Series A Preferred Stock”) | |
On June 6, 2012, we filed with the Maryland State Department of Assessments and Taxation to designate 1,610 shares of the 50,000 authorized preferred stock as 8.250% Series A Preferred Stock with the powers, designations, preferences and other rights as set forth therein. On July 13, 2012, we entered into an At Market Issuance Sales Agreement with MLV & Co. LLC, as our agent, to offer and sell, from time to time, up to 6,000 shares of Series A Preferred Stock. On July 27, 2012, we entered into an Equity Distribution Agreement with Citadel Securities LLC, as our agent, to offer and sell, from time to time, up to 2,000 shares of Series A Preferred Stock. At June 30, 2014, there were 9,610 shares designated as Series A Preferred Stock. | |
At June 30, 2014 and December 31, 2013, we had 2,181 shares of Series A Preferred Stock issued and outstanding with a par value of $0.001 per share and a liquidation preference of $25.00 per share, or $54,514 in the aggregate. At June 30, 2014 and December 31, 2013, there were no accrued or unpaid dividends on the Series A Preferred Stock. The Series A Preferred Stock is entitled to a dividend at a rate of 8.250% per year based on the $25.00 per share liquidation preference before the common stock is entitled to receive any dividends. The Series A Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends exclusively at our option commencing on June 7, 2017 (subject to our right under limited circumstances to redeem the Series A Preferred Stock earlier in order to preserve our qualification as a REIT). The Series A Preferred Stock is senior to our common stock and therefore in the event of liquidation, dissolution or winding up, the Series A Preferred Stock will receive a liquidation preference of $25.00 per share plus accumulated and unpaid dividends before distributions are paid to holders of our common stock, with no right or claim to any of our remaining assets thereafter. The Series A Preferred Stock generally does not have voting rights except if we fail to pay dividends on the Series A Preferred Stock for eighteen months, whether or not consecutive. Under such circumstances, the Series A Preferred Stock will be entitled to vote to elect two additional directors to the Board, until all unpaid dividends have been paid or declared and set aside for payment. The Series A Preferred Stock has no stated maturity, is not subject to any sinking fund or mandatory redemption and will remain outstanding indefinitely unless repurchased or redeemed by us or converted into our common stock in connection with a change of control by the holders of Series A Preferred Stock. | |
Series B Cumulative Preferred Shares (“Series B Preferred Stock”) | |
On February 11, 2013, we filed with the Maryland State Department of Assessments and Taxation to designate 6,210 shares of the 50,000 authorized preferred stock as 7.875% Series B Preferred Stock with the powers, designations, preferences and other rights as set forth therein. | |
At June 30, 2014 and December 31, 2013, we had 5,650 shares of Series B Preferred Stock issued and outstanding with a par value of $0.001 per share and a liquidation preference of $25.00 per share, or $141,250 in the aggregate. At June 30, 2014 and December 31, 2013, there were no accrued or unpaid dividends on the Series B Preferred Stock. The Series B Preferred Stock is entitled to a dividend at a rate of 7.875% per year based on the $25.00 per share liquidation preference before the common stock is entitled to receive any dividends. The Series B Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends exclusively at our option commencing on February 12, 2018 (subject to our right under limited circumstances to redeem the Series A Preferred Stock earlier in order to preserve our qualification as a REIT). The Series B Preferred Stock is senior to our common stock and rank on parity with the Series A Preferred Stock. In the event of liquidation, dissolution or winding up, the Series B Preferred Stock will receive a liquidation preference of $25.00 per share plus accumulated and unpaid dividends before distributions are paid to holders of our common stock, with no right or claim to any of our remaining assets thereafter. The Series B Preferred Stock generally does not have voting rights except if we fail to pay dividends on the Series B Preferred Stock for eighteen months, whether or not consecutive. Under such circumstances, the Series B Preferred Stock will be entitled to vote to elect two additional directors to the Board, until all unpaid dividends have been paid or declared and set aside for payment. The Series B Preferred Stock has no stated maturity, is not subject to any sinking fund or mandatory redemption and will remain outstanding indefinitely unless repurchased or redeemed by us or converted into our common stock in connection with a change of control by the holders of Series B Preferred Stock. | |
Common Stock | |
Common Stock | |
At June 30, 2014, we were authorized to issue up to 1,000,000 shares of common stock, par value $0.001 per share, with such designations, voting and other rights and preferences as may be determined from time to time by our Board. We had 357,189 shares of common stock issued and outstanding at June 30, 2014 and 357,613 shares of common stock issued and outstanding at December 31, 2013. | |
Common Stock Repurchased | |
On December 17, 2012, we announced that our Board had authorized a stock repurchase program of up to $100,000 of shares of our common stock outstanding (the “Repurchase Program”). On March 5, 2014, our Board increased the authorization to 50,000 shares of our common stock outstanding. Under the Repurchase Program shares may be purchased in the open market, including block trades, through privately negotiated transactions, or pursuant to a trading plan separately adopted in the future. The timing, manner, price and amount of any repurchases will be at our discretion, subject to the requirements of the Securities Exchange Act of 1934, as amended, and related rules. We are not required to repurchase any shares under the Repurchase Program and it may be modified, suspended or terminated at any time for any reason. We do not intend to purchase shares from our Board or other affiliates. Under Maryland law, such repurchased shares are treated as authorized but unissued. For the six months ended June 30, 2014, we repurchased 600 shares of our common stock under the Repurchase Program for an aggregate of $2,585. At June 30, 2014, there were 49,400 remaining shares authorized for repurchase under our Repurchase Program. | |
Revenue Recognition | ' |
Revenue Recognition | |
Interest income is earned and recognized on Agency Securities based on their unpaid principal amounts and their contractual terms. Premiums and discounts associated with the purchase of Agency Securities are amortized or accreted into interest income over the actual lives of the securities, reflecting actual prepayments as they occur. | |
Comprehensive Income | ' |
Comprehensive Income (Loss) | |
Comprehensive income (loss) refers to changes in equity during a period from transactions and other events and circumstances from non-owner sources. It includes all changes in equity during a period except those resulting from investments by owners and distributions to owners. |
Fair_Value_of_Financial_Instru1
Fair Value of Financial Instruments (Tables) | 6 Months Ended | ||||||||||||||||||||
Jun. 30, 2014 | |||||||||||||||||||||
Fair Value Disclosures [Abstract] | ' | ||||||||||||||||||||
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis | ' | ||||||||||||||||||||
Quoted Prices | Significant | Significant | Balance at December 31, 2013 | ||||||||||||||||||
in Active | Observable | Unobservable | |||||||||||||||||||
Markets for | Inputs | Inputs | |||||||||||||||||||
Identical Assets | (Level 2) | (Level 3) | |||||||||||||||||||
(Level 1) | |||||||||||||||||||||
Assets at Fair Value: | |||||||||||||||||||||
Agency Securities, available for sale | $ | — | $ | 14,648,178 | $ | — | $ | 14,648,178 | |||||||||||||
Derivatives | $ | — | $ | 508,988 | $ | — | $ | 508,988 | |||||||||||||
Liabilities at Fair Value: | |||||||||||||||||||||
Derivatives | $ | 1,503 | $ | 101,292 | $ | — | $ | 102,795 | |||||||||||||
The following tables provide a summary of our assets and liabilities that are measured at fair value on a recurring basis at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||
Quoted Prices | Significant | Significant | Balance at June 30, 2014 | ||||||||||||||||||
in Active | Observable | Unobservable | |||||||||||||||||||
Markets for | Inputs | Inputs | |||||||||||||||||||
Identical Assets | (Level 2) | (Level 3) | |||||||||||||||||||
(Level 1) | |||||||||||||||||||||
Assets at Fair Value: | |||||||||||||||||||||
Agency Securities, available for sale | $ | — | $ | 16,962,134 | $ | — | $ | 16,962,134 | |||||||||||||
Derivatives | $ | — | $ | 169,877 | $ | — | $ | 169,877 | |||||||||||||
Liabilities at Fair Value: | |||||||||||||||||||||
Derivatives | $ | 639 | $ | 69,833 | $ | — | $ | 70,472 | |||||||||||||
Carrying Values and Fair Values of Financial Assets and Liabilities | ' | ||||||||||||||||||||
The following tables provide a summary of the carrying values and fair values of our financial assets and liabilities not carried at fair value but for which fair value is required to be disclosed at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||
30-Jun-14 | Fair Value Measurements using: | ||||||||||||||||||||
Carrying Value | Fair | Quoted Prices | Significant | Significant | |||||||||||||||||
Value | in Active | Observable | Unobservable | ||||||||||||||||||
Markets for | Inputs | Inputs | |||||||||||||||||||
Identical | (Level 2) | (Level 3) | |||||||||||||||||||
Assets | |||||||||||||||||||||
(Level 1) | |||||||||||||||||||||
Financial Assets: | |||||||||||||||||||||
Cash | $ | 433,149 | $ | 433,149 | $ | 433,149 | $ | — | $ | — | |||||||||||
Cash collateral posted | $ | 14,134 | $ | 14,134 | $ | — | $ | 14,134 | $ | — | |||||||||||
Principal payments receivable | $ | 108 | $ | 108 | $ | — | $ | 108 | $ | — | |||||||||||
Accrued interest receivable | $ | 44,901 | $ | 44,901 | $ | — | $ | 44,901 | $ | — | |||||||||||
Financial Liabilities: | |||||||||||||||||||||
Repurchase agreements, net | $ | 14,393,580 | $ | 14,393,580 | $ | — | $ | 14,393,580 | $ | — | |||||||||||
Obligations to return securities received as collateral | $ | 1,021,484 | $ | 1,021,484 | $ | — | $ | 1,021,484 | $ | — | |||||||||||
Cash collateral held | $ | 128,168 | $ | 128,168 | $ | — | $ | 128,168 | $ | — | |||||||||||
Payable for unsettled purchases | $ | 38,816 | $ | 38,816 | $ | — | $ | 38,816 | $ | — | |||||||||||
Accrued interest payable- repurchase agreements | $ | 7,888 | $ | 7,888 | $ | — | $ | 7,888 | $ | — | |||||||||||
Accrued interest payable- U.S. Treasury Securities sold short | $ | 10,256 | $ | 10,256 | $ | — | $ | 10,256 | $ | — | |||||||||||
31-Dec-13 | Fair Value Measurements using: | ||||||||||||||||||||
Carrying Value | Fair | Quoted Prices | Significant | Significant | |||||||||||||||||
Value | in Active | Observable | Unobservable | ||||||||||||||||||
Markets for | Inputs | Inputs | |||||||||||||||||||
Identical | (Level 2) | (Level 3) | |||||||||||||||||||
Assets | |||||||||||||||||||||
(Level 1) | |||||||||||||||||||||
Financial Assets: | |||||||||||||||||||||
Cash | $ | 496,478 | $ | 496,478 | $ | 496,478 | $ | — | $ | — | |||||||||||
Cash collateral posted | $ | 35,917 | $ | 35,917 | $ | — | $ | 35,917 | $ | — | |||||||||||
Principal payments receivable | $ | 70 | $ | 70 | $ | — | $ | 70 | $ | — | |||||||||||
Accrued interest receivable | $ | 42,034 | $ | 42,034 | $ | — | $ | 42,034 | $ | — | |||||||||||
Financial Liabilities: | |||||||||||||||||||||
Repurchase agreements, net | $ | 13,151,504 | $ | 13,151,504 | $ | — | $ | 13,151,504 | $ | — | |||||||||||
Cash collateral held | $ | 387,845 | $ | 387,845 | $ | — | $ | 387,845 | $ | — | |||||||||||
Payable for unsettled purchases | $ | 159,159 | $ | 159,159 | $ | — | $ | 159,159 | $ | — | |||||||||||
Accrued interest payable- repurchase agreements | $ | 6,629 | $ | 6,629 | $ | — | $ | 6,629 | $ | — | |||||||||||
Agency_Securities_Available_fo1
Agency Securities, Available for Sale (Tables) | 6 Months Ended | ||||||||||||||||||||||||
Jun. 30, 2014 | |||||||||||||||||||||||||
Investments, Debt and Equity Securities [Abstract] | ' | ||||||||||||||||||||||||
Available-for-sale Securities | ' | ||||||||||||||||||||||||
At June 30, 2014, we had the following Agency Securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities at June 30, 2014 are also presented below. Our Agency Securities had a weighted average coupon of 3.34% at June 30, 2014. | |||||||||||||||||||||||||
June 30, 2014 | Amortized Cost | Gross Unrealized Loss | Gross Unrealized Gain | Fair Value | Percent of Total | ||||||||||||||||||||
Fannie Mae | |||||||||||||||||||||||||
ARMs & Hybrids | $ | 46,089 | $ | (323 | ) | $ | 759 | $ | 46,525 | 0.27 | % | ||||||||||||||
Multi-Family MBS | 480,190 | (229 | ) | 5,767 | 485,728 | 2.86 | |||||||||||||||||||
10 Year Fixed | 4,295 | (1 | ) | 213 | 4,507 | 0.03 | |||||||||||||||||||
15 Year Fixed | 11,199,040 | (257 | ) | 89,570 | 11,288,353 | 66.55 | |||||||||||||||||||
20 Year Fixed | 2,744,651 | (28,988 | ) | 12,597 | 2,728,260 | 16.08 | |||||||||||||||||||
Total Fannie Mae | $ | 14,474,265 | $ | (29,798 | ) | $ | 108,906 | $ | 14,553,373 | 85.79 | % | ||||||||||||||
Freddie Mac | |||||||||||||||||||||||||
ARMs & Hybrids | 16,247 | (74 | ) | 342 | 16,515 | 0.1 | |||||||||||||||||||
10 Year Fixed | 328 | (5 | ) | 4 | 327 | 0 | |||||||||||||||||||
15 Year Fixed | 270,249 | (596 | ) | 2,776 | 272,429 | 1.61 | |||||||||||||||||||
20 Year Fixed | 2,011,474 | (22,940 | ) | 7,185 | 1,995,719 | 11.77 | |||||||||||||||||||
Total Freddie Mac | $ | 2,298,298 | $ | (23,615 | ) | $ | 10,307 | $ | 2,284,990 | 13.48 | % | ||||||||||||||
Ginnie Mae | |||||||||||||||||||||||||
ARMs & Hybrids | 122,746 | (351 | ) | 939 | 123,334 | 0.73 | |||||||||||||||||||
15 Year Fixed | 410 | — | 27 | 437 | 0 | ||||||||||||||||||||
Total Ginnie Mae | $ | 123,156 | $ | (351 | ) | $ | 966 | $ | 123,771 | 0.73 | % | ||||||||||||||
Total Agency Securities | $ | 16,895,719 | $ | (53,764 | ) | $ | 120,179 | $ | 16,962,134 | 100 | % | ||||||||||||||
At December 31, 2013, we had the following securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities at December 31, 2013 are also presented below. Our Agency Securities had a weighted average coupon of 3.52% at December 31, 2013. | |||||||||||||||||||||||||
December 31, 2013 | Amortized Cost | Gross Unrealized Loss | Gross Unrealized Gain | Fair Value | Percent of Total | ||||||||||||||||||||
Fannie Mae | |||||||||||||||||||||||||
ARMs&Hybrids | $ | 55,266 | $ | (48 | ) | $ | 1,174 | $ | 56,392 | 0.4 | % | ||||||||||||||
10 Year Fixed | 1,144 | — | 25 | 1,169 | 0.01 | ||||||||||||||||||||
15 Year Fixed | 2,556,986 | (20,420 | ) | 2,257 | 2,538,823 | 17.33 | |||||||||||||||||||
20 Year Fixed | 2,876,743 | (104,357 | ) | 56 | 2,772,442 | 18.93 | |||||||||||||||||||
25 Year Fixed | 207,946 | — | — | 207,946 | 1.42 | ||||||||||||||||||||
30 Year Fixed | 5,230,008 | — | — | 5,230,008 | 35.7 | ||||||||||||||||||||
Total Fannie Mae | $ | 10,928,093 | $ | (124,825 | ) | $ | 3,512 | $ | 10,806,780 | 73.79 | % | ||||||||||||||
Freddie Mac | |||||||||||||||||||||||||
ARMs&Hybrids | 17,281 | (29 | ) | 428 | 17,680 | 0.12 | |||||||||||||||||||
10 Year Fixed | 406 | (6 | ) | 2 | 402 | 0 | |||||||||||||||||||
15 Year Fixed | 295,357 | (3,287 | ) | 1,560 | 293,630 | 2 | |||||||||||||||||||
20 Year Fixed | 2,093,482 | (69,617 | ) | 694 | 2,024,559 | 13.82 | |||||||||||||||||||
25 Year Fixed | 67,436 | — | — | 67,436 | 0.46 | ||||||||||||||||||||
30 Year Fixed | 1,290,623 | — | — | 1,290,623 | 8.81 | ||||||||||||||||||||
Total Freddie Mac | $ | 3,764,585 | $ | (72,939 | ) | $ | 2,684 | $ | 3,694,330 | 25.21 | % | ||||||||||||||
Ginnie Mae | |||||||||||||||||||||||||
ARMs&Hybrids | 145,558 | (64 | ) | 1,129 | 146,623 | 1 | |||||||||||||||||||
15YrFixed | 422 | — | 23 | 445 | 0 | ||||||||||||||||||||
Total Ginnie Mae | $ | 145,980 | $ | (64 | ) | $ | 1,152 | $ | 147,068 | 1 | % | ||||||||||||||
Total Agency Securities | $ | 14,838,658 | $ | (197,828 | ) | $ | 7,348 | $ | 14,648,178 | 100 | % | ||||||||||||||
Investments Classified by Contractual Maturity Date | ' | ||||||||||||||||||||||||
The following table summarizes the weighted average lives of our Agency Securities at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||||
June 30, 2014 | December 31, 2013 | ||||||||||||||||||||||||
Weighted Average Life of all Agency Securities | Fair Value | Amortized | Fair Value | Amortized | |||||||||||||||||||||
Cost | Cost | ||||||||||||||||||||||||
Less than one year | $ | — | $ | — | $ | 2 | $ | 2 | |||||||||||||||||
Greater than or equal to one year and less than three years | 2,148,650 | 2,133,709 | 20,289 | 20,127 | |||||||||||||||||||||
Greater than or equal to three years and less than five years | 13,990,697 | 13,940,498 | 3,809,418 | 3,837,530 | |||||||||||||||||||||
Greater than or equal to five years | 822,787 | 821,512 | 10,818,469 | 10,980,999 | |||||||||||||||||||||
Total Agency Securities | $ | 16,962,134 | $ | 16,895,719 | $ | 14,648,178 | $ | 14,838,658 | |||||||||||||||||
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | ' | ||||||||||||||||||||||||
The following table presents the unrealized losses and estimated fair value of our Agency Securities by length of time that such securities have been in a continuous unrealized loss position at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||||
Unrealized Loss Position For: | |||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||||
Fair Value | Unrealized | Fair Value | Unrealized | Fair Value | Unrealized | ||||||||||||||||||||
Losses | Losses | Losses | |||||||||||||||||||||||
June 30, 2014 | $ | 258,307 | $ | (999 | ) | $ | 3,331,685 | $ | (52,765 | ) | $ | 3,589,992 | $ | (53,764 | ) | ||||||||||
December 31, 2013 | $ | 7,175,317 | $ | (197,536 | ) | $ | 17,737 | $ | (292 | ) | $ | 7,193,054 | $ | (197,828 | ) | ||||||||||
Repurchase_Agreements_net_Tabl
Repurchase Agreements, net (Tables) | 6 Months Ended | ||||||||||||||||||||||||
Jun. 30, 2014 | |||||||||||||||||||||||||
Assets Sold under Agreements to Repurchase [Line Items] | ' | ||||||||||||||||||||||||
Schedule of Repurchase Agreements | ' | ||||||||||||||||||||||||
The following table represents the contractual repricing regarding our repurchase agreements, net to finance Agency Security purchases at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||||
30-Jun-14 | 31-Dec-13 | ||||||||||||||||||||||||
Repurchase Agreements | Weighted Average Contractual Rate | Repurchase Agreements | Weighted Average Contractual Rate | ||||||||||||||||||||||
Within 30 days (net of reverse repurchase agreements of $1,028,661 at June 30, 2014) | $ | 4,259,485 | 0.42 | % | $ | 3,990,434 | 0.41 | % | |||||||||||||||||
31 days to 60 days | 5,375,136 | 0.35 | % | 7,098,298 | 0.41 | % | |||||||||||||||||||
61 days to 90 days | 1,725,911 | 0.38 | % | 1,226,694 | 0.44 | % | |||||||||||||||||||
Greater than 90 days | 3,033,048 | 0.41 | % | 836,078 | 0.43 | % | |||||||||||||||||||
Total or Weighted Average | $ | 14,393,580 | 0.39 | % | $ | 13,151,504 | 0.42 | % | |||||||||||||||||
The following table represents the MRAs and other information regarding our repurchase agreements to finance Agency Security purchases at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||||
30-Jun-14 | 31-Dec-13 | ||||||||||||||||||||||||
Number of MRAs | 37 | 35 | |||||||||||||||||||||||
Number of counterparties with repurchase agreements outstanding | 30 | 27 | |||||||||||||||||||||||
Weighted average maturity in days | 58 | 45 | |||||||||||||||||||||||
Haircut for repurchase agreements (1) | 4.89 | % | 4.96 | % | |||||||||||||||||||||
-1 | The Haircut represents the weighted average margin requirement, or the percentage amount by which the collateral value must exceed the loan amount. | ||||||||||||||||||||||||
Repurchase Agreements | ' | ||||||||||||||||||||||||
Assets Sold under Agreements to Repurchase [Line Items] | ' | ||||||||||||||||||||||||
Offsetting Assets | ' | ||||||||||||||||||||||||
The following tables present the gross and net securities purchased and sold under repurchase agreements at June 30, 2014. At December 31, 2013, there were no reverse repurchase agreement receivables or obligations. | |||||||||||||||||||||||||
30-Jun-14 | Amounts Not Offset in the | ||||||||||||||||||||||||
Condensed Consolidated Balance Sheet | |||||||||||||||||||||||||
Asset | Gross Amounts | Gross | Net | Financial Instruments | Net Cash | Net | |||||||||||||||||||
of Assets | Amounts | Amounts of | Collateral | Amount | |||||||||||||||||||||
offset in the Condensed | Assets | ||||||||||||||||||||||||
Consolidated | Presented in | ||||||||||||||||||||||||
Balance | the Condensed Consolidated | ||||||||||||||||||||||||
Sheet | Balance | ||||||||||||||||||||||||
Sheet | |||||||||||||||||||||||||
Reverse Repurchase Agreements | $ | 1,028,661 | $ | (1,028,661 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Totals | $ | 1,028,661 | $ | (1,028,661 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Offsetting Liabilities | ' | ||||||||||||||||||||||||
30-Jun-14 | Amounts Not Offset in the | ||||||||||||||||||||||||
Condensed Consolidated Balance Sheet | |||||||||||||||||||||||||
Liability | Gross Amounts of Liabilities | Gross | Net | Financial Instruments (1) | Net Cash | Net | |||||||||||||||||||
Amounts | Amounts of | Collateral | Amount | ||||||||||||||||||||||
offset in the Condensed Consolidated | Liabilities | ||||||||||||||||||||||||
Balance | Presented in | ||||||||||||||||||||||||
Sheet | the Condensed | ||||||||||||||||||||||||
Consolidated | |||||||||||||||||||||||||
Balance | |||||||||||||||||||||||||
Sheet | |||||||||||||||||||||||||
Repurchase Agreements | $ | (15,422,241 | ) | $ | 1,028,661 | $ | (14,393,580 | ) | $ | 14,393,580 | $ | (62,959 | ) | $ | (62,959 | ) | |||||||||
Totals | $ | (15,422,241 | ) | $ | 1,028,661 | $ | (14,393,580 | ) | $ | 14,393,580 | $ | (62,959 | ) | $ | (62,959 | ) | |||||||||
(1) The fair value of securities pledged against our repurchase agreements was $16,284,466 at June 30, 2014. |
Derivatives_Tables
Derivatives (Tables) | 6 Months Ended | |||||||||||||||||||
Jun. 30, 2014 | ||||||||||||||||||||
Derivative [Line Items] | ' | |||||||||||||||||||
Schedule of Derivative Instruments | ' | |||||||||||||||||||
The following tables present information about interest rate swap contracts, interest rate swaptions and Futures Contracts which are included in derivatives on the accompanying condensed consolidated balance sheets at June 30, 2014 and December 31, 2013. | ||||||||||||||||||||
June 30, 2014 | ||||||||||||||||||||
Derivative Type | Remaining / Underlying Term | Weighted Average Remaining Swap / Option Term (Months) | Weighted Average Rate | Notional Amount | Asset Fair Value (1) | Liability Fair Value (1) | ||||||||||||||
Interest rate swap contracts | 0-12 Months | 9 | 1.43 | % | $ | 555,000 | $ | — | $ | (7,312 | ) | |||||||||
Interest rate swap contracts | 13-24 Months | 20 | 1.16 | % | 2,725,000 | — | (47,964 | ) | ||||||||||||
Interest rate swap contracts | 25-36 Months | 25 | 1.24 | % | 550,000 | — | (14,557 | ) | ||||||||||||
Interest rate swap contracts | 37-48 Months | 40 | 0.8 | % | 650,000 | 2,440 | — | |||||||||||||
Interest rate swap contracts | 49-60 Months | 0 | 0 | % | — | — | — | |||||||||||||
Interest rate swap contracts | 61-72 Months | 67 | 1.48 | % | 300,000 | 4,570 | — | |||||||||||||
Interest rate swap contracts | 73-84 Months | 0 | 0 | % | — | — | — | |||||||||||||
Interest rate swap contracts | 85-96 Months | 95 | 1.54 | % | 550,000 | 23,212 | — | |||||||||||||
Interest rate swap contracts | 97-108 Months | 101 | 1.82 | % | 4,700,000 | 138,798 | — | |||||||||||||
Interest rate swap contracts | 109-120 Months | 0 | 0 | % | — | — | — | |||||||||||||
Futures Contracts | 0-21 Months | 11 | 2.13 | % | 25,000 | — | (639 | ) | ||||||||||||
Interest rate swaptions | 60 Months | 3 | 2.73 | % | 4,000,000 | 765 | — | |||||||||||||
Interest rate swaptions | 120 Months | 3 | 3.63 | % | 1,250,000 | 92 | — | |||||||||||||
Total or Weighted Average | 43 | 1.99 | % | $ | 15,305,000 | $ | 169,877 | $ | (70,472 | ) | ||||||||||
-1 | See Note 5, “Fair Value of Financial Instruments” for additional discussion. | |||||||||||||||||||
December 31, 2013 | ||||||||||||||||||||
Derivative Type | Remaining / Underlying Term | Weighted Average Remaining Swap / Option Term (Months) | Weighted Average Rate | Notional Amount | Asset Fair Value (1) | Liability Fair Value (1) | ||||||||||||||
Interest rate swap contracts | 0-12 Months | 2 | 1.14 | % | $ | 200,000 | $ | — | $ | (2,089 | ) | |||||||||
Interest rate swap contracts | 13-24 Months | 17 | 1.13 | % | 920,000 | — | (18,095 | ) | ||||||||||||
Interest rate swap contracts | 25-36 Months | 28 | 1.23 | % | 2,900,000 | — | (81,108 | ) | ||||||||||||
Interest rate swap contracts | 37-48 Months | 43 | 0.63 | % | 350,000 | 2,614 | — | |||||||||||||
Interest rate swap contracts | 49-60 Months | 49 | 1 | % | 300,000 | 3,817 | — | |||||||||||||
Interest rate swap contracts | 61-72 Months | 0 | 0 | % | — | — | — | |||||||||||||
Interest rate swap contracts | 73-84 Months | 73 | 1.48 | % | 300,000 | 11,112 | — | |||||||||||||
Interest rate swap contracts | 85-96 Months | 0 | 0 | % | — | — | — | |||||||||||||
Interest rate swap contracts | 97-108 Months | 103 | 1.47 | % | 2,450,000 | 195,221 | — | |||||||||||||
Interest rate swap contracts | 109-120 Months | 110 | 2.08 | % | 2,800,000 | 184,456 | — | |||||||||||||
Futures Contracts | 0-21 Months | 13 | 1.97 | % | 55,000 | — | (1,503 | ) | ||||||||||||
Interest rate swaptions | 60 Months | 9 | 2.73 | % | 4,000,000 | 35,937 | — | |||||||||||||
Interest rate swaptions | 120 Months | 6 | 3.16 | % | 1,750,000 | 75,831 | — | |||||||||||||
Total or Weighted Average | 47 | 1.98 | % | $ | 16,025,000 | $ | 508,988 | $ | (102,795 | ) | ||||||||||
-1 | See Note 5, “Fair Value of Financial Instruments” for additional discussion. | |||||||||||||||||||
Derivative Instruments, Gain (Loss) | ' | |||||||||||||||||||
The following table represents the location and information regarding our derivatives which are included in Other Income (Loss) in the accompanying condensed consolidated statements of operations for the quarter and six months ended June 30, 2014 and June 30, 2013. | ||||||||||||||||||||
Income (Loss) Recognized | ||||||||||||||||||||
For the Quarter | For the Six Months Ended | |||||||||||||||||||
Ended | ||||||||||||||||||||
Derivatives | Location on condensed consolidated statements of operations | June 30, 2014 | June 30, 2013 | June 30, 2014 | June 30, 2013 | |||||||||||||||
Interest rate swap contracts: | ||||||||||||||||||||
Interest income | Realized loss on derivatives | $ | 3,505 | $ | 5,059 | 6,742 | 9,158 | |||||||||||||
Interest expense | Realized loss on derivatives | (37,536 | ) | (43,229 | ) | (75,388 | ) | (75,730 | ) | |||||||||||
Changes in fair value | Unrealized gain (loss) on derivatives | (98,356 | ) | 383,541 | (201,663 | ) | 400,495 | |||||||||||||
$ | (132,387 | ) | $ | 345,371 | $ | (270,309 | ) | $ | 333,923 | |||||||||||
Interest rate swaptions: | ||||||||||||||||||||
Realized gain | Realized loss on derivatives | — | — | 23,318 | — | |||||||||||||||
Changes in fair value | Unrealized gain (loss) on derivatives | (18,372 | ) | 27,950 | (91,830 | ) | 26,640 | |||||||||||||
$ | (18,372 | ) | $ | 27,950 | $ | (68,512 | ) | $ | 26,640 | |||||||||||
Futures Contracts: | ||||||||||||||||||||
Realized loss | Realized loss on derivatives | (467 | ) | (688 | ) | (908 | ) | (1,339 | ) | |||||||||||
Changes in fair value | Unrealized gain (loss) on derivatives | 455 | 692 | 864 | 1,349 | |||||||||||||||
$ | (12 | ) | $ | 4 | $ | (44 | ) | $ | 10 | |||||||||||
Totals | $ | (150,771 | ) | $ | 373,325 | $ | (338,865 | ) | $ | 360,573 | ||||||||||
Derivative | ' | |||||||||||||||||||
Derivative [Line Items] | ' | |||||||||||||||||||
Offsetting Assets | ' | |||||||||||||||||||
The following tables present information about interest rate swap contracts, interest rate swaptions and Futures Contracts and the potential effects of netting if we were to offset the assets and liabilities of these financial instruments on the accompanying condensed consolidated balance sheets. Currently, we present these financial instruments at their gross amounts and they are included in derivatives, at fair value on the accompanying condensed consolidated balance sheet at June 30, 2014. | ||||||||||||||||||||
30-Jun-14 | Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet | |||||||||||||||||||
Assets | Gross and Net Amounts of Assets Presented in the Condensed Consolidated Balance Sheet | Financial | Net Cash Collateral | Net Amount | ||||||||||||||||
Instruments | Held | |||||||||||||||||||
Interest rate swap contracts | $ | 169,020 | $ | (69,833 | ) | $ | (51,767 | ) | $ | 47,420 | ||||||||||
Interest rate swaptions | 857 | — | — | 857 | ||||||||||||||||
Totals | $ | 169,877 | $ | (69,833 | ) | $ | (51,767 | ) | $ | 48,277 | ||||||||||
The following tables present information about interest rate swap contracts, interest rate swaptions and Futures Contracts and the potential effects of netting if we were to offset the assets and liabilities of these financial instruments on the accompanying condensed consolidated balance sheets. Currently, we present these financial instruments at their gross amounts and they are included in derivatives, at fair value on the accompanying condensed consolidated balance sheet at December 31, 2013. | ||||||||||||||||||||
31-Dec-13 | Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet | |||||||||||||||||||
Assets | Gross and Net Amounts of Assets Presented in the Condensed Consolidated | Financial | Cash Collateral | Net Amount | ||||||||||||||||
Balance Sheet | Instruments | Held | ||||||||||||||||||
Interest rate swap contracts | $ | 397,219 | $ | (101,292 | ) | $ | (313,229 | ) | $ | (17,302 | ) | |||||||||
Interest rate swaptions | 111,769 | — | — | 111,769 | ||||||||||||||||
Totals | $ | 508,988 | $ | (101,292 | ) | $ | (313,229 | ) | $ | 94,467 | ||||||||||
Offsetting Liabilities | ' | |||||||||||||||||||
31-Dec-13 | Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet | |||||||||||||||||||
Liabilities | Gross and Net Amounts of Liabilities Presented in the Condensed Consolidated Balance Sheet | Financial | Cash Collateral | Net Amount | ||||||||||||||||
Instruments | Posted | |||||||||||||||||||
Interest rate swap contracts | $ | (101,292 | ) | $ | 101,292 | $ | — | $ | — | |||||||||||
Futures Contracts | (1,503 | ) | — | 1,599 | 96 | |||||||||||||||
Totals | $ | (102,795 | ) | $ | 101,292 | $ | 1,599 | $ | 96 | |||||||||||
30-Jun-14 | Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet | |||||||||||||||||||
Liabilities | Gross and Net Amounts of Liabilities Presented in the Condensed Consolidated Balance Sheet | Financial | Cash Collateral | Net Amount | ||||||||||||||||
Instruments | Posted | |||||||||||||||||||
Interest rate swap contracts | $ | (69,833 | ) | $ | 69,833 | $ | — | $ | — | |||||||||||
Futures Contracts | (639 | ) | — | 692 | 53 | |||||||||||||||
Totals | $ | (70,472 | ) | $ | 69,833 | $ | 692 | $ | 53 | |||||||||||
Stock_Based_Compensation_Table
Stock Based Compensation (Tables) | 6 Months Ended | |||||||
Jun. 30, 2014 | ||||||||
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | ' | |||||||
Schedule of Nonvested Restricted Stock Units Activity | ' | |||||||
Transactions related to Restricted Shares for the six months ended June 30, 2014 are summarized below: | ||||||||
June 30, 2014 | ||||||||
Number of | Weighted | |||||||
Awards | Average Grant | |||||||
Date Fair | ||||||||
Value per | ||||||||
Award | ||||||||
Unvested Awards Outstanding beginning of period | 1,329 | $ | 6.94 | |||||
Awards issued upon stockholders' approval of Plan amendment | 150 | $ | 6.78 | |||||
Vested | (212 | ) | $ | 7.1 | ||||
Unvested Awards Outstanding end of period | 1,267 | $ | 6.92 | |||||
Shareholders_Equity_Tables
Shareholders' Equity (Tables) | 6 Months Ended | |||||||||||||
Jun. 30, 2014 | ||||||||||||||
Equity [Abstract] | ' | |||||||||||||
Dividends Transactions | ' | |||||||||||||
The following table presents our common stock dividend transactions for the six months ended June 30, 2014. | ||||||||||||||
Record Date | Payment Date | Rate per common share | Aggregate | |||||||||||
amount paid to | ||||||||||||||
holders of record | ||||||||||||||
15-Jan-14 | 30-Jan-14 | $ | 0.05 | $ | 17,954 | |||||||||
14-Feb-14 | 27-Feb-14 | $ | 0.05 | $ | 17,954 | |||||||||
17-Mar-14 | 28-Mar-14 | $ | 0.05 | $ | 17,945 | |||||||||
15-Apr-14 | 29-Apr-14 | $ | 0.05 | $ | 17,925 | |||||||||
15-May-14 | 29-May-14 | $ | 0.05 | $ | 17,924 | |||||||||
16-Jun-14 | 27-Jun-14 | $ | 0.05 | $ | 17,924 | |||||||||
Total dividends paid | $ | 107,626 | ||||||||||||
The following table presents our Series A Preferred Stock dividend transactions for the six months ended June 30, 2014. | ||||||||||||||
Record Date | Payment Date | Rate per | Aggregate | |||||||||||
Series A | amount paid to | |||||||||||||
Preferred | holders of record | |||||||||||||
Share | ||||||||||||||
15-Jan-14 | 27-Jan-14 | $ | 0.17 | $ | 375 | |||||||||
15-Feb-14 | 27-Feb-14 | $ | 0.17 | $ | 375 | |||||||||
15-Mar-14 | 27-Mar-14 | $ | 0.17 | $ | 375 | |||||||||
15-Apr-14 | 28-Apr-14 | $ | 0.17 | $ | 375 | |||||||||
15-May-14 | 27-May-14 | $ | 0.17 | $ | 375 | |||||||||
15-Jun-14 | 27-Jun-14 | $ | 0.17 | $ | 375 | |||||||||
Total dividends paid | $ | 2,250 | ||||||||||||
The following table presents our Series B Preferred Stock dividend transactions for the six months ended June 30, 2014. | ||||||||||||||
Record Date | Payment Date | Rate per | Aggregate | |||||||||||
Series B | amount paid to | |||||||||||||
Preferred | holders of record | |||||||||||||
Share | ||||||||||||||
15-Jan-14 | 27-Jan-14 | $ | 0.16 | $ | 927 | |||||||||
15-Feb-14 | 27-Feb-14 | $ | 0.16 | $ | 927 | |||||||||
15-Mar-14 | 27-Mar-14 | $ | 0.16 | $ | 927 | |||||||||
15-Apr-14 | 28-Apr-14 | $ | 0.16 | $ | 927 | |||||||||
15-May-14 | 27-May-14 | $ | 0.16 | $ | 927 | |||||||||
15-Jun-14 | 27-Jun-14 | $ | 0.16 | $ | 927 | |||||||||
Total dividends paid | $ | 5,562 | ||||||||||||
Schedule of Stockholders Equity | ' | |||||||||||||
The following table presents our equity transactions for the six months ended June 30, 2014. | ||||||||||||||
Transaction Type | Completion Date | Number of | Per Share | Net Proceeds | ||||||||||
Shares | price (1) | |||||||||||||
Common stock dividend reinvestment program | January 27, 2014 through June 27, 2014 | 37 | $ | 4.2 | $ | 154 | ||||||||
-1 | Weighted average price | |||||||||||||
The following table presents our common stock repurchases for the six months ended June 30, 2014. | ||||||||||||||
Transaction Type | Completion Date | Number of | Per Share price (1) | Net Cost | ||||||||||
Shares | ||||||||||||||
Repurchased common shares | March 12, 2014 through March 14, 2014 | 600 | 4.31 | $ | 2,585 | |||||||||
-1 | Weighted average price |
Income_Loss_per_Common_Share_T
Income (Loss) per Common Share (Tables) | 6 Months Ended | |||||||||||||||
Jun. 30, 2014 | ||||||||||||||||
Earnings Per Share [Abstract] | ' | |||||||||||||||
Schedule of Weighted Average Number of Shares | ' | |||||||||||||||
The following table presents a reconciliation of net income (loss) and the shares used in calculating weighted average basic and diluted earnings per common share for the quarter and six months ended June 30, 2014 and June 30, 2013. | ||||||||||||||||
For the Quarter | For the Six Months Ended | |||||||||||||||
Ended | ||||||||||||||||
30-Jun-14 | 30-Jun-13 | June 30, 2014 | June 30, 2013 | |||||||||||||
Net Income (loss) | $ | (70,190 | ) | $ | 481,385 | $ | (89,968 | ) | $ | 583,675 | ||||||
Less: Preferred dividends | (3,905 | ) | (3,905 | ) | (7,812 | ) | (6,403 | ) | ||||||||
Net income (loss) available (related) to common stockholders | $ | (74,095 | ) | $ | 477,480 | $ | (97,780 | ) | $ | 577,272 | ||||||
Weighted average common shares outstanding – basic | 357,111 | 372,591 | 357,302 | 355,359 | ||||||||||||
Add: Effect of dilutive non-vested restricted stock unit awards, assumed vested | — | 1,544 | — | 1,538 | ||||||||||||
Weighted average common shares outstanding – diluted | 357,111 | 374,135 | 357,302 | 356,897 | ||||||||||||
Income_Taxes_Tables
Income Taxes (Tables) | 6 Months Ended | |||||||||||||||
Jun. 30, 2014 | ||||||||||||||||
Income Tax Disclosure [Abstract] | ' | |||||||||||||||
Schedule of Effective Income Tax Rate Reconciliation | ' | |||||||||||||||
The following table reconciles our GAAP net income to estimated REIT taxable income for the quarter and six months ended June 30, 2014 and June 30, 2013. | ||||||||||||||||
For the Quarter | For the Six Months Ended | |||||||||||||||
Ended | ||||||||||||||||
30-Jun-14 | 30-Jun-13 | June 30, 2014 | June 30, 2013 | |||||||||||||
GAAP net income (loss) | $ | (70,190 | ) | $ | 481,385 | $ | (89,968 | ) | $ | 583,675 | ||||||
Book to tax differences: | ||||||||||||||||
Changes in interest rate contracts | 116,273 | (412,183 | ) | 269,311 | (428,484 | ) | ||||||||||
(Gains) Losses on Security Sales | 4,614 | 21,717 | (65,255 | ) | 21,717 | |||||||||||
Amortization of deferred hedging gains | 461 | 492 | 755 | 492 | ||||||||||||
Net premium amortization differences | (266 | ) | — | (5,609 | ) | — | ||||||||||
Other | 5 | 7 | 11 | 16 | ||||||||||||
Estimated taxable income | $ | 50,897 | $ | 91,418 | $ | 109,245 | $ | 177,416 | ||||||||
Organization_and_Nature_of_Bus1
Organization and Nature of Business Operations (Details) (Portfolio Concentration Risk, Available-for-sale Securities) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2014 | Dec. 31, 2013 | |
Portfolio Concentration Risk | Available-for-sale Securities | ' | ' |
Concentration Risk [Line Items] | ' | ' |
Percentage of portfolio invested in agency securities | 100.00% | 100.00% |
Expected percentage of portfolio invested in agency securities | 100.00% | ' |
Summary_of_Significant_Account2
Summary of Significant Accounting Policies (Details) (USD $) | 0 Months Ended | 6 Months Ended | 0 Months Ended | 6 Months Ended | 12 Months Ended | 0 Months Ended | 6 Months Ended | 12 Months Ended | |||||||||||
Mar. 14, 2014 | Jun. 30, 2014 | Dec. 31, 2013 | Feb. 11, 2013 | Dec. 17, 2012 | Jun. 06, 2012 | Mar. 05, 2012 | Jun. 06, 2012 | Jun. 30, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | Jun. 06, 2012 | Feb. 11, 2013 | Jun. 30, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | Feb. 11, 2013 | Jul. 13, 2012 | Jul. 27, 2012 | |
Series A Preferred Stock | Series A Preferred Stock | Series A Preferred Stock | Series A Preferred Stock | Series A Preferred Stock | Series B Preferred Stock | Series B Preferred Stock | Series B Preferred Stock | Series B Preferred Stock | Series B Preferred Stock | MLV & Co. LLC | Citadel Securities LLC | ||||||||
M | director | Series A Preferred Stock | Series A Preferred Stock | ||||||||||||||||
director | M | ||||||||||||||||||
Class of Stock [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Preferred stock, shares authorized (in shares) | ' | 50,000,000 | 50,000,000 | 50,000,000 | ' | 50,000,000 | ' | ' | 9,610,000 | ' | ' | 1,610,000 | ' | ' | ' | ' | 6,210,000 | ' | ' |
Preferred stock, par value (in dollars per share) | ' | $0.00 | $0.00 | ' | ' | ' | ' | ' | $0.00 | $0.00 | ' | ' | ' | $0.00 | $0.00 | ' | ' | ' | ' |
Preferred stock, dividend rate | ' | ' | ' | ' | ' | ' | ' | 8.25% | 8.25% | 8.25% | 8.25% | ' | 7.88% | 7.88% | 7.88% | 7.88% | ' | ' | ' |
Preferred stock, shares authorized to be sold by agent | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 6,000,000 | 2,000,000 |
Preferred stock, shares issued | ' | ' | ' | ' | ' | ' | ' | ' | 2,181,000 | 2,181,000 | ' | ' | ' | 5,650,000 | 5,650,000 | ' | ' | ' | ' |
Preferred stock, shares outstanding | ' | ' | ' | ' | ' | ' | ' | ' | 2,181,000 | 2,181,000 | ' | ' | ' | 5,650,000 | 5,650,000 | ' | ' | ' | ' |
Preferred stock, liquidation preference per share (in dollars per share) | ' | ' | ' | ' | ' | ' | ' | ' | $25 | $25 | ' | ' | ' | $25 | $25 | ' | ' | ' | ' |
Preferred stock, aggregate liquidation preference | ' | ' | ' | ' | ' | ' | ' | ' | $54,514,000 | $54,514,000 | ' | ' | ' | $141,250,000 | $141,250,000 | ' | ' | ' | ' |
Preferred stock, redemption price per share (in dollars per share) | ' | ' | ' | ' | ' | ' | ' | ' | $25 | ' | ' | ' | ' | $25 | ' | ' | ' | ' | ' |
Period stock receives voting rights if dividends are not paid | ' | ' | ' | ' | ' | ' | ' | ' | 18 | ' | ' | ' | ' | 18 | ' | ' | ' | ' | ' |
Number of additional directors elected | ' | ' | ' | ' | ' | ' | ' | ' | 2 | ' | ' | ' | ' | 2 | ' | ' | ' | ' | ' |
Common stock, shares authorized (in Shares) | ' | 1,000,000,000 | 1,000,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Common stock, par value (in Dollars per share) | ' | $0.00 | $0.00 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Common stock, shares issued (in Shares) | ' | 357,189,000 | 357,613,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Common stock, shares outstanding (in Shares) | ' | 357,189,000 | 357,613,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Stock repurchase program, authorized amount | ' | ' | ' | ' | 100,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Stock repurchase program, shares authorized (in Shares) | ' | ' | ' | ' | ' | ' | 50,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Common stock repurchased (in Shares) | 600,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Common stock repurchased | $2,585,000 | $2,585,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Stock repurchase program, remaining authorized (in Shares) | ' | 49,400,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Fair_Value_of_Financial_Instru2
Fair Value of Financial Instruments Fair Value of Financial Instruments (Details) - Additional Information | 6 Months Ended |
Jun. 30, 2014 | |
dealer | |
Fair Value Disclosures [Abstract] | ' |
Number of dealers received quotes from | 3 |
Fair_Value_of_Financial_Instru3
Fair Value of Financial Instruments (Details) - Summary of Assets and Liabilities Measured at Fair Value on a Recurring Basis (USD $) | Jun. 30, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
Assets at Fair Value: | ' | ' | ||
Derivatives | $169,877 | [1] | $508,988 | [1] |
Liabilities at Fair Value: | ' | ' | ||
Derivatives | 70,472 | [1] | 102,795 | [1] |
Fair Value, Measurements, Recurring | ' | ' | ||
Assets at Fair Value: | ' | ' | ||
Agency Securities, available for sale | 16,962,134 | 14,648,178 | ||
Derivatives | 169,877 | 508,988 | ||
Liabilities at Fair Value: | ' | ' | ||
Derivatives | 70,472 | 102,795 | ||
Fair Value, Measurements, Recurring | Quoted Prices in Active Markets for Identical Assets (Level 1) | ' | ' | ||
Liabilities at Fair Value: | ' | ' | ||
Derivatives | 639 | 1,503 | ||
Fair Value, Measurements, Recurring | Significant Observable Inputs (Level 2) | ' | ' | ||
Assets at Fair Value: | ' | ' | ||
Agency Securities, available for sale | 16,962,134 | 14,648,178 | ||
Derivatives | 169,877 | 508,988 | ||
Liabilities at Fair Value: | ' | ' | ||
Derivatives | $69,833 | $101,292 | ||
[1] | See Note 5, “Fair Value of Financial Instruments†for additional discussion. |
Fair_Value_of_Financial_Instru4
Fair Value of Financial Instruments (Details) - Carrying Values and Fair Values of Financial Assets and Liabilities (USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Financial Liabilities: | ' | ' |
Obligations to return securities received as collateral, at fair value | $1,021,484 | $0 |
Payable for unsettled purchases | 38,847 | 158,850 |
Carrying Value | ' | ' |
Financial Assets: | ' | ' |
Cash | 433,149 | 496,478 |
Cash collateral posted | 14,134 | 35,917 |
Principal payments receivable | 108 | 70 |
Accrued interest receivable | 44,901 | 42,034 |
Financial Liabilities: | ' | ' |
Repurchase agreements, net | 14,393,580 | 13,151,504 |
Obligations to return securities received as collateral, at fair value | 1,021,484 | ' |
Cash collateral held | 128,168 | 387,845 |
Payable for unsettled purchases | 38,816 | 159,159 |
Accrued interest payable- repurchase agreements | 7,888 | 6,629 |
Accrued interest payable- U.S. Treasury Securities sold short | 10,256 | ' |
Fair Value | ' | ' |
Financial Assets: | ' | ' |
Cash | 433,149 | 496,478 |
Cash collateral posted | 14,134 | 35,917 |
Principal payments receivable | 108 | 70 |
Accrued interest receivable | 44,901 | 42,034 |
Financial Liabilities: | ' | ' |
Repurchase agreements, net | 14,393,580 | 13,151,504 |
Obligations to return securities received as collateral, at fair value | 1,021,484 | ' |
Cash collateral held | 128,168 | 387,845 |
Payable for unsettled purchases | 38,816 | 159,159 |
Accrued interest payable- repurchase agreements | 7,888 | 6,629 |
Accrued interest payable- U.S. Treasury Securities sold short | 10,256 | ' |
Quoted Prices in Active Markets for Identical Assets (Level 1) | ' | ' |
Financial Assets: | ' | ' |
Cash | 433,149 | 496,478 |
Significant Observable Inputs (Level 2) | ' | ' |
Financial Assets: | ' | ' |
Cash collateral posted | 14,134 | 35,917 |
Principal payments receivable | 108 | 70 |
Accrued interest receivable | 44,901 | 42,034 |
Financial Liabilities: | ' | ' |
Repurchase agreements, net | 14,393,580 | 13,151,504 |
Obligations to return securities received as collateral, at fair value | 1,021,484 | ' |
Cash collateral held | 128,168 | 387,845 |
Payable for unsettled purchases | 38,816 | 159,159 |
Accrued interest payable- repurchase agreements | 7,888 | 6,629 |
Accrued interest payable- U.S. Treasury Securities sold short | $10,256 | ' |
Agency_Securities_Available_fo2
Agency Securities, Available for Sale (Details) (USD $) | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 | Dec. 31, 2013 | |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | ' | ' |
Other than temporary impairment losses | $0 | $0 | $0 | $0 | $401,500,000 |
Available-for-sale securities fair value | 16,962,134,000 | ' | 16,962,134,000 | ' | 14,648,178,000 |
Weighted average coupon rate | 3.34% | ' | 3.34% | ' | 3.52% |
Payable for unsettled purchases | 38,816,000 | ' | 38,816,000 | ' | 159,159,000 |
Payable for unsettled purchases, fair value | 38,847,000 | ' | 38,847,000 | ' | 158,850,000 |
Gross realized gains (losses) from sale proceeds | 1,206,494,000 | 2,696,655,000 | 6,782,481,000 | 4,935,258,000 | ' |
Realized gain on sale of Agency Securities | 11,167,000 | 20,876,000 | 81,036,000 | 39,390,000 | ' |
25-Year and 30-Year Fixed Rate Agency Securities | ' | ' | ' | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | ' | ' |
Available-for-sale securities fair value | ' | ' | ' | ' | $6,800,000,000 |
Available-for-sale Securities | Portfolio Concentration Risk | ' | ' | ' | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | ' | ' |
Percentage of portfolio invested in agency securities | ' | ' | 100.00% | ' | 100.00% |
Agency_Securities_Available_fo3
Agency Securities, Available for Sale (Details) - Unrealized Gain or Loss Position and Components of Carrying Value of Available for Sale Agency Securities (June 30, 2013) (USD $) | 6 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Jun. 30, 2014 | Dec. 31, 2013 |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | 16,895,719 | 14,838,658 |
Gross Unrealized Loss | -53,764 | -197,828 |
Gross Unrealized Gain | 120,179 | 7,348 |
Fair Value | 16,962,134 | 14,648,178 |
Portfolio Concentration Risk | Available-for-sale Securities | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Percentage of concentration risk | 100.00% | 100.00% |
Fannie Mae | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | 14,474,265 | 10,928,093 |
Gross Unrealized Loss | -29,798 | -124,825 |
Gross Unrealized Gain | 108,906 | 3,512 |
Fair Value | 14,553,373 | 10,806,780 |
Fannie Mae | Portfolio Concentration Risk | Available-for-sale Securities | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Percentage of concentration risk | 85.79% | 73.79% |
Fannie Mae | ARMs & Hybrids | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | 46,089 | 55,266 |
Gross Unrealized Loss | -323 | -48 |
Gross Unrealized Gain | 759 | 1,174 |
Fair Value | 46,525 | 56,392 |
Fannie Mae | ARMs & Hybrids | Portfolio Concentration Risk | Available-for-sale Securities | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Percentage of concentration risk | 0.27% | 0.40% |
Fannie Mae | Multi-Family MBS | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | 480,190 | ' |
Gross Unrealized Loss | -229 | ' |
Gross Unrealized Gain | 5,767 | ' |
Fair Value | 485,728 | ' |
Fannie Mae | Multi-Family MBS | Portfolio Concentration Risk | Available-for-sale Securities | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Percentage of concentration risk | 2.86% | ' |
Fannie Mae | 10 Year Fixed | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | 4,295 | 1,144 |
Gross Unrealized Loss | -1 | 0 |
Gross Unrealized Gain | 213 | 25 |
Fair Value | 4,507 | 1,169 |
Fannie Mae | 10 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Percentage of concentration risk | 0.03% | 0.01% |
Fannie Mae | 15 Year Fixed | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | 11,199,040 | 2,556,986 |
Gross Unrealized Loss | -257 | -20,420 |
Gross Unrealized Gain | 89,570 | 2,257 |
Fair Value | 11,288,353 | 2,538,823 |
Fannie Mae | 15 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Percentage of concentration risk | 66.55% | 17.33% |
Fannie Mae | 20 Year Fixed | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | 2,744,651 | 2,876,743 |
Gross Unrealized Loss | -28,988 | -104,357 |
Gross Unrealized Gain | 12,597 | 56 |
Fair Value | 2,728,260 | 2,772,442 |
Fannie Mae | 20 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Percentage of concentration risk | 16.08% | 18.93% |
Fannie Mae | 25 Year Fixed | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | ' | 207,946 |
Gross Unrealized Loss | ' | 0 |
Gross Unrealized Gain | ' | 0 |
Fair Value | ' | 207,946 |
Fannie Mae | 25 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Percentage of concentration risk | ' | 1.42% |
Fannie Mae | 30 Year Fixed | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | ' | 5,230,008 |
Gross Unrealized Loss | ' | 0 |
Gross Unrealized Gain | ' | 0 |
Fair Value | ' | 5,230,008 |
Fannie Mae | 30 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Percentage of concentration risk | ' | 35.70% |
Freddie Mac | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | 2,298,298 | 3,764,585 |
Gross Unrealized Loss | -23,615 | -72,939 |
Gross Unrealized Gain | 10,307 | 2,684 |
Fair Value | 2,284,990 | 3,694,330 |
Freddie Mac | Portfolio Concentration Risk | Available-for-sale Securities | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Percentage of concentration risk | 13.48% | 25.21% |
Freddie Mac | ARMs & Hybrids | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | 16,247 | 17,281 |
Gross Unrealized Loss | -74 | -29 |
Gross Unrealized Gain | 342 | 428 |
Fair Value | 16,515 | 17,680 |
Freddie Mac | ARMs & Hybrids | Portfolio Concentration Risk | Available-for-sale Securities | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Percentage of concentration risk | 0.10% | 0.12% |
Freddie Mac | 10 Year Fixed | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | 328 | 406 |
Gross Unrealized Loss | -5 | -6 |
Gross Unrealized Gain | 4 | 2 |
Fair Value | 327 | 402 |
Freddie Mac | 10 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Percentage of concentration risk | 0.00% | 0.00% |
Freddie Mac | 15 Year Fixed | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | 270,249 | 295,357 |
Gross Unrealized Loss | -596 | -3,287 |
Gross Unrealized Gain | 2,776 | 1,560 |
Fair Value | 272,429 | 293,630 |
Freddie Mac | 15 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Percentage of concentration risk | 1.61% | 2.00% |
Freddie Mac | 20 Year Fixed | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | 2,011,474 | 2,093,482 |
Gross Unrealized Loss | -22,940 | -69,617 |
Gross Unrealized Gain | 7,185 | 694 |
Fair Value | 1,995,719 | 2,024,559 |
Freddie Mac | 20 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Percentage of concentration risk | 11.77% | 13.82% |
Freddie Mac | 25 Year Fixed | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | ' | 67,436 |
Gross Unrealized Loss | ' | 0 |
Gross Unrealized Gain | ' | 0 |
Fair Value | ' | 67,436 |
Freddie Mac | 25 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Percentage of concentration risk | ' | 0.46% |
Freddie Mac | 30 Year Fixed | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | ' | 1,290,623 |
Gross Unrealized Loss | ' | 0 |
Gross Unrealized Gain | ' | 0 |
Fair Value | ' | 1,290,623 |
Freddie Mac | 30 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Percentage of concentration risk | ' | 8.81% |
Ginnie Mae | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | 123,156 | 145,980 |
Gross Unrealized Loss | -351 | -64 |
Gross Unrealized Gain | 966 | 1,152 |
Fair Value | 123,771 | 147,068 |
Ginnie Mae | Portfolio Concentration Risk | Available-for-sale Securities | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Percentage of concentration risk | 0.73% | 1.00% |
Ginnie Mae | ARMs & Hybrids | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | 122,746 | 145,558 |
Gross Unrealized Loss | -351 | -64 |
Gross Unrealized Gain | 939 | 1,129 |
Fair Value | 123,334 | 146,623 |
Ginnie Mae | ARMs & Hybrids | Portfolio Concentration Risk | Available-for-sale Securities | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Percentage of concentration risk | 0.73% | 1.00% |
Ginnie Mae | 15 Year Fixed | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | 410 | 422 |
Gross Unrealized Loss | 0 | 0 |
Gross Unrealized Gain | 27 | 23 |
Fair Value | 437 | 445 |
Ginnie Mae | 15 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Percentage of concentration risk | 0.00% | 0.00% |
Agency_Securities_Available_fo4
Agency Securities, Available for Sale (Details) - Summary of Weighted Average Lives of Agency Securities (USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Fair Value | ' | ' |
Less than one year | $0 | $2 |
Greater than or equal to one year and less than three years | 2,148,650 | 20,289 |
Greater than or equal to three years and less than five years | 13,990,697 | 3,809,418 |
Greater than or equal to five years | 822,787 | 10,818,469 |
Total Agency Securities | 16,962,134 | 14,648,178 |
Amortized Cost | ' | ' |
Less than one year | 0 | 2 |
Greater than or equal to one year and less than three years | 2,133,709 | 20,127 |
Greater than or equal to three years and less than five years | 13,940,498 | 3,837,530 |
Greater than or equal to five years | 821,512 | 10,980,999 |
Amortized Cost | $16,895,719 | $14,838,658 |
Agency_Securities_Available_fo5
Agency Securities, Available for Sale (Details) - Gross Unrealized Losses and Estimated Fair Value of Agency Securities (USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Fair Value | ' | ' |
Less than 12 Months | $258,307 | $7,175,317 |
12 Months or More | 3,331,685 | 17,737 |
Total | 3,589,992 | 7,193,054 |
Unrealized Losses | ' | ' |
Less than 12 Months | -999 | -197,536 |
Unrealized Losses | -52,765 | -292 |
Unrealized Losses | ($53,764) | ($197,828) |
Repurchase_Agreements_net_Deta
Repurchase Agreements, net (Details) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 |
In Thousands, unless otherwise specified | agreement | counterparty | Counterparty Concentration Risk | Counterparty Concentration Risk | Counterparty Concentration Risk |
Repurchase Agreement Borrowings | Repurchase Agreement Borrowings | Repurchase Agreement Borrowings | |||
counterparty | Minimum | Maximum | |||
Concentration Risk [Line Items] | ' | ' | ' | ' | ' |
Number of counterparties | 30 | 27 | 7 | ' | ' |
Percentage of concentration risk | ' | ' | 45.72% | 5.00% | 10.00% |
Obligations to return securities received as collateral, at fair value | $1,021,484 | $0 | ' | ' | ' |
Repurchase_Agreements_net_Deta1
Repurchase Agreements, net (Details) - Contractual Repricing, Master Repurchase Agreement and Other Information Regarding Repurchase Agreements (USD $) | 6 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Jun. 30, 2014 | Dec. 31, 2013 |
agreement | counterparty | |
counterparty | agreement | |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Reverse repurchase agreements | $1,028,661 | ' |
Repurchase Agreements | 14,393,580 | 13,151,504 |
Weighted Average Contractual Rate | 0.39% | 0.42% |
Number of MRAs | 37 | 35 |
Number of counterparties with repurchase agreements outstanding | 30 | 27 |
Weighted average maturity in days | '58 days | '45 days |
Haircut for repurchase agreements | 4.89% | 4.96% |
Maturity up to 30 days | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Repurchase Agreements | 4,259,485 | 3,990,434 |
Weighted Average Contractual Rate | 0.42% | 0.41% |
Maturity 31 to 60 Days | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Repurchase Agreements | 5,375,136 | 7,098,298 |
Weighted Average Contractual Rate | 0.35% | 0.41% |
Maturity 61 to 90 Days | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Repurchase Agreements | 1,725,911 | 1,226,694 |
Weighted Average Contractual Rate | 0.38% | 0.44% |
Maturity over 90 days | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Repurchase Agreements | $3,033,048 | $836,078 |
Weighted Average Contractual Rate | 0.41% | 0.43% |
Repurchase_Agreements_net_Deta2
Repurchase Agreements, net (Details) - Securities Purchased and Sold Under Repurchase Agreements (USD $) | Jun. 30, 2014 | Dec. 31, 2013 | |
Reverse Repurchase Agreements | ' | ' | |
Gross Amounts of Assets | $1,028,661,000 | ' | |
Gross Amounts offset in the Condensed Consolidated Balance Sheet | -1,028,661,000 | ' | |
Net Amounts of Assets Presented in the Condensed Consolidated Balance Sheet | 0 | ' | |
Amounts Not Offset in the Condensed Consolidated Balance Sheet, Financial Instruments | 0 | ' | |
Amounts Not Offset in the Condensed Consolidated Balance Sheet, Cash Collateral Held | 0 | ' | |
Net Amount | 0 | ' | |
Repurchase Agreements | ' | ' | |
Gross Amounts of Liabilities | -15,422,241,000 | ' | |
Gross Amounts offset in the Condensed Consolidated Balance Sheet | 1,028,661,000 | ' | |
Net Amounts of Liabilities Presented in the Condensed Consolidated Balance Sheet | -14,393,580,000 | -13,151,504,000 | |
Amounts Not Offset in the Condensed Consolidated Balance Sheet, Financial Instruments | 14,393,580,000 | [1] | ' |
Amounts Not Offset in the Condensed Consolidated Balance Sheet, Cash Collateral Posted | -62,959,000 | ' | |
Net Amount | -62,959,000 | ' | |
Pledged securities, fair value | $16,284,466,000 | $13,832,482,000 | |
[1] | The fair value of securities pledged against our repurchase agreements was $16,284,466 at June 30, 2014. |
Repurchase_Agreements_net_Deta3
Repurchase Agreements, net (Details) - US Treasury Securities Sold Short (Details) (USD $) | 3 Months Ended | 6 Months Ended | ||
In Thousands, unless otherwise specified | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 |
Disclosure of Repurchase Agreements [Abstract] | ' | ' | ' | ' |
Proceeds from short sales of U.S. Treasury Securities | ($1,011,705) | ($2,789,560) | ($1,011,705) | ($2,811,277) |
Purchases of U.S. Treasury Securities | ' | ' | ' | 935,340 |
Realized gain on short sale of U.S. Treasury Securities | 0 | 639 | 0 | 639 |
Unrealized loss on U.S. Treasury Securities sold short | -15,781 | -21,717 | -15,781 | -21,717 |
Proceeds from Short Sales of U.S. Treasury Securities Net of Unrealized Gain (Loss), Financing Activities | ' | ' | ' | $2,789,560 |
Derivatives_Details_Interest_R
Derivatives (Details) - Interest Rate Swap Contracts, Swaptions and Futures Contracts (USD $) | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2014 | Dec. 31, 2013 | |||
Derivative [Line Items] | ' | ' | ||
Weighted Average Remaining Swap / Option Term (Months) | '43 months | '47 months | ||
Weighted Average Rate | 1.99% | 1.98% | ||
Notional Amount | $15,305,000,000 | $16,025,000,000 | ||
Asset Fair Value | 169,877,000 | [1] | 508,988,000 | [1] |
Liability Fair Value | -70,472,000 | [1] | -102,795,000 | [1] |
Swap | Interest Rate Swap 0-12 Months | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Remaining / Underlying Term-Minimum | '0 months | '0 months | ||
Remaining / Underlying Term-Maximum | '12 months | '12 months | ||
Weighted Average Remaining Swap / Option Term (Months) | '9 months | '2 months | ||
Weighted Average Rate | 1.43% | 1.14% | ||
Notional Amount | 555,000,000 | 200,000,000 | ||
Asset Fair Value | 0 | [1] | 0 | [1] |
Liability Fair Value | -7,312,000 | [1] | -2,089,000 | [1] |
Swap | Interest Rate Swap 13-24 Months | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Remaining / Underlying Term-Minimum | '13 months | '13 months | ||
Remaining / Underlying Term-Maximum | '24 months | '24 months | ||
Weighted Average Remaining Swap / Option Term (Months) | '20 months | '17 months | ||
Weighted Average Rate | 1.16% | 1.13% | ||
Notional Amount | 2,725,000,000 | 920,000,000 | ||
Asset Fair Value | 0 | [1] | 0 | [1] |
Liability Fair Value | -47,964,000 | [1] | -18,095,000 | [1] |
Swap | Interest Rate Swap 25-36 Months | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Remaining / Underlying Term-Minimum | '25 months | '25 months | ||
Remaining / Underlying Term-Maximum | '36 months | '36 months | ||
Weighted Average Remaining Swap / Option Term (Months) | '25 months | '28 months | ||
Weighted Average Rate | 1.24% | 1.23% | ||
Notional Amount | 550,000,000 | 2,900,000,000 | ||
Asset Fair Value | 0 | [1] | 0 | [1] |
Liability Fair Value | -14,557,000 | [1] | -81,108,000 | [1] |
Swap | Interest Rate Swap 37-48 Months | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Remaining / Underlying Term-Minimum | '37 months | '37 months | ||
Remaining / Underlying Term-Maximum | '48 months | '48 months | ||
Weighted Average Remaining Swap / Option Term (Months) | '40 months | '43 months | ||
Weighted Average Rate | 0.80% | 0.63% | ||
Notional Amount | 650,000,000 | 350,000,000 | ||
Asset Fair Value | 2,440,000 | [1] | 2,614,000 | [1] |
Liability Fair Value | 0 | [1] | 0 | [1] |
Swap | Interest Rate Swap 49-60 Months | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Remaining / Underlying Term-Minimum | '49 months | '49 months | ||
Remaining / Underlying Term-Maximum | '60 months | '60 months | ||
Weighted Average Remaining Swap / Option Term (Months) | '0 months | '49 months | ||
Weighted Average Rate | 0.00% | 1.00% | ||
Notional Amount | 0 | 300,000,000 | ||
Asset Fair Value | 0 | [1] | 3,817,000 | [1] |
Liability Fair Value | 0 | [1] | 0 | [1] |
Swap | Interest Rate Swap 61-72 Months | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Remaining / Underlying Term-Minimum | '61 months | '61 months | ||
Remaining / Underlying Term-Maximum | '72 months | '72 months | ||
Weighted Average Remaining Swap / Option Term (Months) | '67 months | '0 months | ||
Weighted Average Rate | 1.48% | 0.00% | ||
Notional Amount | 300,000,000 | 0 | ||
Asset Fair Value | 4,570,000 | [1] | 0 | [1] |
Liability Fair Value | 0 | [1] | 0 | [1] |
Swap | Interest Rate Swap 73-84 Months | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Remaining / Underlying Term-Minimum | '73 months | '73 months | ||
Remaining / Underlying Term-Maximum | '84 months | '84 months | ||
Weighted Average Remaining Swap / Option Term (Months) | '0 months | '73 months | ||
Weighted Average Rate | 0.00% | 1.48% | ||
Notional Amount | 0 | 300,000,000 | ||
Asset Fair Value | 0 | [1] | 11,112,000 | [1] |
Liability Fair Value | 0 | [1] | 0 | [1] |
Swap | Interest Rate Swap 85-96 Months | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Remaining / Underlying Term-Minimum | '85 months | '85 months | ||
Remaining / Underlying Term-Maximum | '96 months | '96 months | ||
Weighted Average Remaining Swap / Option Term (Months) | '95 months | '0 months | ||
Weighted Average Rate | 1.54% | 0.00% | ||
Notional Amount | 550,000,000 | 0 | ||
Asset Fair Value | 23,212,000 | [1] | 0 | [1] |
Liability Fair Value | 0 | [1] | 0 | [1] |
Swap | Interest Rate Swap 97-108 Months | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Remaining / Underlying Term-Minimum | '97 months | '97 months | ||
Remaining / Underlying Term-Maximum | '108 months | '108 months | ||
Weighted Average Remaining Swap / Option Term (Months) | '101 months | '103 months | ||
Weighted Average Rate | 1.82% | 1.47% | ||
Notional Amount | 4,700,000,000 | 2,450,000,000 | ||
Asset Fair Value | 138,798,000 | [1] | 195,221,000 | [1] |
Liability Fair Value | 0 | [1] | 0 | [1] |
Swap | Interest Rate Swap 109-120 Months | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Remaining / Underlying Term-Minimum | '109 months | '109 months | ||
Remaining / Underlying Term-Maximum | '120 months | '120 months | ||
Weighted Average Remaining Swap / Option Term (Months) | '0 months | '110 months | ||
Weighted Average Rate | 0.00% | 2.08% | ||
Notional Amount | 0 | 2,800,000,000 | ||
Asset Fair Value | 0 | [1] | 184,456,000 | [1] |
Liability Fair Value | 0 | [1] | 0 | [1] |
Swap | Interest Rate Swaptions 60 Months | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Remaining / Underlying Term-Minimum | '60 months | '60 months | ||
Swap | Interest Rate Swaptions 120 Months | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Remaining / Underlying Term-Minimum | '120 months | '120 months | ||
Future | Futures Contracts | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Remaining / Underlying Term-Minimum | '0 months | '0 months | ||
Remaining / Underlying Term-Maximum | '21 months | '21 months | ||
Weighted Average Remaining Swap / Option Term (Months) | '11 months | '13 months | ||
Weighted Average Rate | 2.13% | 1.97% | ||
Notional Amount | 25,000,000 | 55,000,000 | ||
Asset Fair Value | 0 | [1] | 0 | [1] |
Liability Fair Value | -639,000 | [1] | -1,503,000 | [1] |
Swaption | Interest Rate Swaptions 60 Months | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Weighted Average Remaining Swap / Option Term (Months) | '3 months | '9 months | ||
Weighted Average Rate | 2.73% | 2.73% | ||
Notional Amount | 4,000,000,000 | 4,000,000,000 | ||
Asset Fair Value | 765,000 | [1] | 35,937,000 | [1] |
Liability Fair Value | 0 | [1] | 0 | [1] |
Swaption | Interest Rate Swaptions 120 Months | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Weighted Average Remaining Swap / Option Term (Months) | '3 months | '6 months | ||
Weighted Average Rate | 3.63% | 3.16% | ||
Notional Amount | 1,250,000,000 | 1,750,000,000 | ||
Asset Fair Value | 92,000 | [1] | 75,831,000 | [1] |
Liability Fair Value | $0 | [1] | $0 | [1] |
[1] | See Note 5, “Fair Value of Financial Instruments†for additional discussion. |
Derivatives_Details_Offsetting
Derivatives (Details) - Offsetting Assets (USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Offsetting Assets [Line Items] | ' | ' |
Gross Amounts of Assets Presented in the Condensed Consolidated Balance Sheets | $169,877 | $508,988 |
Net Amounts of Assets Presented in the Condensed Consolidated Balance Sheet | 169,877 | 508,988 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Financial Instruments | -69,833 | -101,292 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Net Cash Collateral Held | -51,767 | -313,229 |
Net Amount | 48,277 | 94,467 |
Interest rate swap contracts | ' | ' |
Offsetting Assets [Line Items] | ' | ' |
Gross Amounts of Assets Presented in the Condensed Consolidated Balance Sheets | 169,020 | 397,219 |
Net Amounts of Assets Presented in the Condensed Consolidated Balance Sheet | 169,020 | 397,219 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Financial Instruments | -69,833 | -101,292 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Net Cash Collateral Held | -51,767 | -313,229 |
Net Amount | 47,420 | -17,302 |
Interest rate swaptions | ' | ' |
Offsetting Assets [Line Items] | ' | ' |
Gross Amounts of Assets Presented in the Condensed Consolidated Balance Sheets | 857 | 111,769 |
Net Amounts of Assets Presented in the Condensed Consolidated Balance Sheet | 857 | 111,769 |
Net Amount | $857 | $111,769 |
Derivatives_Details_Offsetting1
Derivatives (Details) - Offsetting Liabilities (USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Offsetting Liabilities [Line Items] | ' | ' |
Gross Amounts of Liabilities Presented in the Condensed Consolidated Balance Sheet | ($70,472) | ($102,795) |
Net Amounts of Liabilities Presented in the Condensed Consolidated Balance Sheet | -70,472 | -102,795 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Financial Instruments | 69,833 | 101,292 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Cash Collateral Posted | 692 | 1,599 |
Net Amount | 53 | 96 |
Interest rate swap contracts | ' | ' |
Offsetting Liabilities [Line Items] | ' | ' |
Gross Amounts of Liabilities Presented in the Condensed Consolidated Balance Sheet | -69,833 | -101,292 |
Net Amounts of Liabilities Presented in the Condensed Consolidated Balance Sheet | -69,833 | -101,292 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Financial Instruments | 69,833 | 101,292 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Cash Collateral Posted | 0 | 0 |
Net Amount | 0 | 0 |
Futures Contracts | ' | ' |
Offsetting Liabilities [Line Items] | ' | ' |
Gross Amounts of Liabilities Presented in the Condensed Consolidated Balance Sheet | -639 | -1,503 |
Net Amounts of Liabilities Presented in the Condensed Consolidated Balance Sheet | -639 | -1,503 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Cash Collateral Posted | 692 | 1,599 |
Net Amount | $53 | $96 |
Derivatives_Details_Location_a
Derivatives (Details) - Location and Information of Derivatives (USD $) | 3 Months Ended | 6 Months Ended | ||||||
In Thousands, unless otherwise specified | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' | ||||
Realized gain (loss) | ($34,498) | [1] | ($38,858) | [1] | ($46,236) | [1] | ($67,911) | [1] |
Unrealized gain (loss) on derivatives | -116,273 | 412,183 | -292,629 | 428,484 | ||||
Total | -150,771 | 373,325 | -338,865 | 360,573 | ||||
Interest rate swap contracts | ' | ' | ' | ' | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' | ||||
Total | -132,387 | 345,371 | -270,309 | 333,923 | ||||
Interest rate swap contracts | Realized loss on derivatives | ' | ' | ' | ' | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' | ||||
Interest income | 3,505 | 5,059 | 6,742 | 9,158 | ||||
Interest expense | -37,536 | -43,229 | -75,388 | -75,730 | ||||
Interest rate swap contracts | Unrealized gain (loss) on derivatives | ' | ' | ' | ' | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' | ||||
Unrealized gain (loss) on derivatives | -98,356 | 383,541 | -201,663 | 400,495 | ||||
Interest rate swaptions | ' | ' | ' | ' | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' | ||||
Total | -18,372 | 27,950 | -68,512 | 26,640 | ||||
Interest rate swaptions | Realized loss on derivatives | ' | ' | ' | ' | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' | ||||
Realized gain (loss) | 0 | 0 | -23,318 | 0 | ||||
Interest rate swaptions | Unrealized gain (loss) on derivatives | ' | ' | ' | ' | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' | ||||
Unrealized gain (loss) on derivatives | -18,372 | 27,950 | -91,830 | 26,640 | ||||
Futures Contracts | ' | ' | ' | ' | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' | ||||
Total | -12 | 4 | -44 | 10 | ||||
Futures Contracts | Realized loss on derivatives | ' | ' | ' | ' | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' | ||||
Realized gain (loss) | -467 | -688 | -908 | -1,339 | ||||
Futures Contracts | Unrealized gain (loss) on derivatives | ' | ' | ' | ' | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' | ||||
Unrealized gain (loss) on derivatives | $455 | $692 | $864 | $1,349 | ||||
[1] | Interest expense related to our interest rate swap contracts is recorded in realized loss on derivatives on the condensed consolidated statements of operations. For additional information, see Note 8 to the condensed consolidated financial statements. |
Commitments_and_Contingencies_
Commitments and Contingencies (Details) (USD $) | 6 Months Ended | 3 Months Ended | 6 Months Ended | ||
In Thousands, unless otherwise specified | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Feb. 25, 2014 |
ARRM | ARRM | ARRM | ARRM | ||
Other Commitments [Line Items] | ' | ' | ' | ' | ' |
Monthly percentage of effective management fee percentage | 8.33% | ' | ' | ' | ' |
Percentage of gross equity raised used in calculation of management fee up to 1 Billion | ' | ' | ' | ' | 1.50% |
Percentage of gross equity raised used in calculation of management fee in excess of 1 Billion | ' | ' | ' | ' | 0.75% |
Effective management fee | ' | ' | ' | 1.03% | ' |
Percentage of sub-management fee payabe | ' | ' | 25.00% | ' | ' |
Percentage of annualized rate of sub-management fee payable if terminated | 616.00% | ' | ' | ' | ' |
Selling, general and administrative expenses from transactions with related party | ' | $1,361 | ' | ' | ' |
Payment to sub-manager in event of termination | ' | ' | $33,535 | ' | ' |
Stock_Based_Compensation_Detai
Stock Based Compensation (Details) (The 2009 Stock Incentive Plan, USD $) | 6 Months Ended | ||
In Thousands, except Share data, unless otherwise specified | Jun. 30, 2014 | 8-May-14 | Jul. 18, 2011 |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ' | ' | ' |
Number of shares authorized | ' | 15,000,000 | 2,000,000 |
Compensation cost not yet recognized | $5,771 | ' | ' |
Share price (in Dollars per share) | $4.33 | ' | ' |
Period for recognition for compensation cost not yet recognized | '2 years 4 months | ' | ' |
Restricted Stock | ' | ' | ' |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ' | ' | ' |
Awards issued upon stockholders' approval of Plan amendment | 150,000 | ' | ' |
Stock_Based_Compensation_Detai1
Stock Based Compensation (Details) - Restricted Shares (The 2009 Stock Incentive Plan, Restricted Stock, USD $) | 6 Months Ended |
In Thousands, except Per Share data, unless otherwise specified | Jun. 30, 2014 |
The 2009 Stock Incentive Plan | Restricted Stock | ' |
Number of Awards | ' |
Unvested Awards Outstanding beginning of period | 1,329 |
Awards issued upon stockholders' approval of Plan amendment | 150 |
Vested | -212 |
Unvested Awards Outstanding end of period | 1,267 |
Weighted Average Grant Date Fair Value per Award | ' |
Unvested Awards Outstanding beginning of period | $6.94 |
Awards issued upon stockholders' approval of Plan amendment | $6.78 |
Vested | $7.10 |
Unvested Awards Outstanding end of period | $6.92 |
Shareholders_Equity_Details_Di
Shareholders' Equity (Details) - Dividend Transactions (USD $) | 0 Months Ended | 3 Months Ended | 6 Months Ended | 0 Months Ended | 6 Months Ended | 0 Months Ended | 6 Months Ended | |||||||||||||||||||||||||||||||||||||
In Thousands, except Per Share data, unless otherwise specified | Jun. 27, 2014 | Jun. 16, 2014 | 29-May-14 | 15-May-14 | Apr. 29, 2014 | Apr. 15, 2014 | Mar. 28, 2014 | Mar. 17, 2014 | Feb. 27, 2014 | Feb. 14, 2014 | Jan. 30, 2014 | Jan. 15, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 27, 2014 | Jun. 15, 2014 | 27-May-14 | 15-May-14 | Apr. 28, 2014 | Apr. 15, 2014 | Mar. 27, 2014 | Mar. 15, 2014 | Feb. 27, 2014 | Feb. 15, 2014 | Jan. 27, 2014 | Jan. 15, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 27, 2014 | Jun. 15, 2014 | 27-May-14 | 15-May-14 | Apr. 28, 2014 | Apr. 15, 2014 | Mar. 27, 2014 | Mar. 15, 2014 | Feb. 27, 2014 | Feb. 15, 2014 | Jan. 27, 2014 | Jan. 15, 2014 | Jun. 30, 2014 | Jun. 30, 2013 |
Series A Preferred Stock | Series A Preferred Stock | Series A Preferred Stock | Series A Preferred Stock | Series A Preferred Stock | Series A Preferred Stock | Series A Preferred Stock | Series A Preferred Stock | Series A Preferred Stock | Series A Preferred Stock | Series A Preferred Stock | Series A Preferred Stock | Series A Preferred Stock | Series A Preferred Stock | Series B Preferred Stock | Series B Preferred Stock | Series B Preferred Stock | Series B Preferred Stock | Series B Preferred Stock | Series B Preferred Stock | Series B Preferred Stock | Series B Preferred Stock | Series B Preferred Stock | Series B Preferred Stock | Series B Preferred Stock | Series B Preferred Stock | Series B Preferred Stock | Series B Preferred Stock | |||||||||||||||||
Class of Stock [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Dividends declared per common share (in usd per share) | ' | $0.05 | ' | $0.05 | ' | $0.05 | ' | $0.05 | ' | $0.05 | ' | $0.05 | $0.15 | $0.21 | $0.30 | $0.45 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Rate Per Common Share | $0.05 | ' | $0.05 | ' | $0.05 | ' | $0.05 | ' | $0.05 | ' | $0.05 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Aggregate Amount Paid To Holders Of Record (in Dollars) | $17,924 | ' | $17,924 | ' | $17,925 | ' | $17,945 | ' | $17,954 | ' | $17,954 | ' | ' | ' | $107,626 | $158,543 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Preferred stock dividends declared (in usd per share) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $0.17 | ' | $0.17 | ' | $0.17 | ' | $0.17 | ' | $0.17 | ' | $0.17 | ' | ' | ' | $0.16 | ' | $0.16 | ' | $0.16 | ' | $0.16 | ' | $0.16 | ' | $0.16 | ' | ' |
Rate Per Preferred Share | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $0.17 | ' | $0.17 | ' | $0.17 | ' | $0.17 | ' | $0.17 | ' | $0.17 | ' | ' | ' | $0.16 | ' | $0.16 | ' | $0.16 | ' | $0.16 | ' | $0.16 | ' | $0.16 | ' | ' | ' |
Aggregate Amount Paid To Holders Of Record (in Dollars) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $375 | ' | $375 | ' | $375 | ' | $375 | ' | $375 | ' | $375 | ' | $2,250 | $2,232 | $927 | ' | $927 | ' | $927 | ' | $927 | ' | $927 | ' | $927 | ' | $5,562 | $4,171 |
Shareholders_Equity_Details_Eq
Shareholders' Equity (Details) - Equity Transactions (USD $) | 5 Months Ended | 6 Months Ended |
In Thousands, except Per Share data, unless otherwise specified | Jun. 27, 2014 | Jun. 30, 2014 |
Class of Stock [Line Items] | ' | ' |
Number of Shares (in Shares) | 37 | ' |
Net Proceeds (in Dollars) | $154 | $154 |
Weighted Average | ' | ' |
Class of Stock [Line Items] | ' | ' |
Per Share Price | $4.20 | ' |
Shareholders_Equity_Shareholde
Shareholders' Equity Shareholders' Equity (Details) - Common Stock Repurchased (Details) (USD $) | 0 Months Ended | 6 Months Ended | |
In Thousands, except Share data, unless otherwise specified | Mar. 14, 2014 | Jun. 30, 2014 | |
Equity [Abstract] | ' | ' | |
Common stock repurchased (in Shares) | 600,000 | ' | |
Common stock repurchased (in usd per share) | $4.31 | [1] | ' |
Repurchase of Common Stock (in Dollars) | $2,585 | $2,585 | |
[1] | Weighted average price |
Income_Loss_per_Common_Share_D
Income (Loss) per Common Share (Details) - Reconciliation of Net Income (Loss) and Shares Used in Calculating Basic and Diluted Earnings Per Share (USD $) | 3 Months Ended | 6 Months Ended | ||
In Thousands, unless otherwise specified | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 |
Earnings Per Share [Abstract] | ' | ' | ' | ' |
Net Income (loss) | ($70,190) | $481,385 | ($89,968) | $583,675 |
Less: Preferred dividends | -3,905 | -3,905 | -7,812 | -6,403 |
Net Income (Loss) available (related) to common stockholders | ($74,095) | $477,480 | ($97,780) | $577,272 |
Weighted average common shares outstanding – basic | 357,111 | 372,591 | 357,302 | 355,359 |
Add: Effect of dilutive non-vested restricted stock unit awards, assumed vested | 0 | 1,544 | 0 | 1,538 |
Weighted average common shares outstanding – diluted | 357,111 | 374,135 | 357,302 | 356,897 |
Income_Taxes_Details
Income Taxes (Details) (USD $) | 3 Months Ended | 6 Months Ended | |||||||
In Thousands, except Per Share data, unless otherwise specified | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 | Dec. 31, 2013 | ||||
Tax Credit Carryforward [Line Items] | ' | ' | ' | ' | ' | ||||
Aggregate tax basis of stockholders' equity in excess of assets and liabilities | $226,338 | ' | $226,338 | ' | ' | ||||
Aggregate tax basis of stockholders' equity in excess of assets and liabilities (dollars per share) | $0.63 | ' | $0.63 | ' | ' | ||||
Common Stock, Shares, Issued | 357,189 | ' | 357,189 | ' | 357,613 | ||||
Common stock, shares outstanding (in Shares) | 357,189 | ' | 357,189 | ' | 357,613 | ||||
Payment of dividends | 57,679 | ' | 115,438 | ' | ' | ||||
Estimated REIT Taxable Income | 50,897 | 91,418 | 109,245 | 177,416 | ' | ||||
Realized gain (loss) | 34,498 | [1] | 38,858 | [1] | 46,236 | [1] | 67,911 | [1] | ' |
Capital Loss Carryforward | ' | ' | ' | ' | ' | ||||
Tax Credit Carryforward [Line Items] | ' | ' | ' | ' | ' | ||||
Tax credit carryforward | -314,896 | ' | -314,896 | ' | -579,322 | ||||
Interest rate swaptions | ' | ' | ' | ' | ' | ||||
Tax Credit Carryforward [Line Items] | ' | ' | ' | ' | ' | ||||
Amortization period for tax purposes on unrealized losses on derivatives | ' | ' | '10 years | ' | ' | ||||
Interest rate swaptions | Realized loss on derivatives | ' | ' | ' | ' | ' | ||||
Tax Credit Carryforward [Line Items] | ' | ' | ' | ' | ' | ||||
Realized gain (loss) | $0 | $0 | $23,318 | $0 | ' | ||||
[1] | Interest expense related to our interest rate swap contracts is recorded in realized loss on derivatives on the condensed consolidated statements of operations. For additional information, see Note 8 to the condensed consolidated financial statements. |
Income_Taxes_Details_Reconcili
Income Taxes (Details) - Reconciliation of GAAP Net Income to Estimated REIT Taxable Income (USD $) | 3 Months Ended | 6 Months Ended | ||
In Thousands, unless otherwise specified | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 |
Income Tax Disclosure [Abstract] | ' | ' | ' | ' |
GAAP net income (loss) | ($70,190) | $481,385 | ($89,968) | $583,675 |
Book to tax differences: | ' | ' | ' | ' |
Changes in interest rate contracts | 116,273 | -412,183 | 269,311 | -428,484 |
(Gains) Losses on Security Sales | 4,614 | 21,717 | -65,255 | 21,717 |
Amortization of deferred hedging gains | 461 | 492 | 755 | 492 |
Net premium amortization differences | -266 | 0 | -5,609 | 0 |
Other | 5 | 7 | 11 | 16 |
Estimated taxable income | $50,897 | $91,418 | $109,245 | $177,416 |
Related_Party_Transactions_Det
Related Party Transactions (Details) (USD $) | 3 Months Ended | 6 Months Ended | ||
In Thousands, unless otherwise specified | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 |
Related Party Transaction [Line Items] | ' | ' | ' | ' |
Management fee | $6,964 | $7,869 | $13,929 | $14,502 |
ARRM | ' | ' | ' | ' |
Related Party Transaction [Line Items] | ' | ' | ' | ' |
Initial term of management agreement | ' | ' | '10 years | ' |
Automatic renewal period of management agreement | ' | ' | '5 years | ' |
Period of written notice of termination | ' | ' | '180 days | ' |
Management fee | 6,964 | 7,869 | 13,929 | 14,502 |
ARRM | Other Expense | ' | ' | ' | ' |
Related Party Transaction [Line Items] | ' | ' | ' | ' |
Management fee | 419 | 387 | 878 | 783 |
ARRM | Stock Based Compensation Expense | ' | ' | ' | ' |
Related Party Transaction [Line Items] | ' | ' | ' | ' |
Management fee | $244 | $264 | $477 | $636 |
Subsequent_Events_Details
Subsequent Events (Details) (USD $) | 0 Months Ended | 6 Months Ended | 0 Months Ended | 6 Months Ended | 0 Months Ended | 6 Months Ended | 0 Months Ended | ||||||||||||||||||||
In Thousands, except Per Share data, unless otherwise specified | Jun. 27, 2014 | 29-May-14 | Apr. 29, 2014 | Mar. 28, 2014 | Feb. 27, 2014 | Jan. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jul. 30, 2014 | Jun. 27, 2014 | 27-May-14 | Apr. 28, 2014 | Mar. 27, 2014 | Feb. 27, 2014 | Jan. 27, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jul. 28, 2014 | Jun. 27, 2014 | 27-May-14 | Apr. 28, 2014 | Mar. 27, 2014 | Feb. 27, 2014 | Jan. 27, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jul. 28, 2014 |
Subsequent Event | Series A Preferred Stock | Series A Preferred Stock | Series A Preferred Stock | Series A Preferred Stock | Series A Preferred Stock | Series A Preferred Stock | Series A Preferred Stock | Series A Preferred Stock | Series A Preferred Stock | Series B Preferred Stock | Series B Preferred Stock | Series B Preferred Stock | Series B Preferred Stock | Series B Preferred Stock | Series B Preferred Stock | Series B Preferred Stock | Series B Preferred Stock | Series B Preferred Stock | |||||||||
Subsequent Event | Subsequent Event | ||||||||||||||||||||||||||
Subsequent Event [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Rate Per Preferred Share | ' | ' | ' | ' | ' | ' | ' | ' | ' | $0.17 | $0.17 | $0.17 | $0.17 | $0.17 | $0.17 | ' | ' | $0.17 | $0.16 | $0.16 | $0.16 | $0.16 | $0.16 | $0.16 | ' | ' | $0.16 |
Aggregate Amount Paid To Holders Of Record (in Dollars) | ' | ' | ' | ' | ' | ' | ' | ' | ' | $375 | $375 | $375 | $375 | $375 | $375 | $2,250 | $2,232 | $375 | $927 | $927 | $927 | $927 | $927 | $927 | $5,562 | $4,171 | $927 |
Common Stock, Dividends, Per Share, Cash Paid (in Dollars per share) | $0.05 | $0.05 | $0.05 | $0.05 | $0.05 | $0.05 | ' | ' | $0.05 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Aggregate Amount Paid To Holders Of Record (in Dollars) | $17,924 | $17,924 | $17,925 | $17,945 | $17,954 | $17,954 | $107,626 | $158,543 | $17,859 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |