Document_and_Entity_Informatio
Document and Entity Information (USD $) | 12 Months Ended | ||
Dec. 31, 2014 | Mar. 02, 2015 | Jun. 30, 2014 | |
Document and Entity Information | |||
Entity Registrant Name | Western Asset Mortgage Capital Corp | ||
Entity Central Index Key | 1465885 | ||
Document Type | 10-K | ||
Document Period End Date | 31-Dec-14 | ||
Amendment Flag | FALSE | ||
Current Fiscal Year End Date | -19 | ||
Entity Well-known Seasoned Issuer | No | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Filer Category | Accelerated Filer | ||
Entity Public Float | $573,490,515 | ||
Entity Common Stock, Shares Outstanding | 41,719,801 | ||
Document Fiscal Year Focus | 2014 | ||
Document Fiscal Period Focus | FY |
Consolidated_Balance_Sheets
Consolidated Balance Sheets (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Assets: | ||
Cash and cash equivalents | $47,222 | $48,525 |
Mortgage-backed securities and other securities, at fair value ($4,362,532 and $2,818,947 pledged as collateral, at fair value, respectively) | 4,385,723 | 2,853,587 |
Residential whole-loans, at fair value ($7,220 pledged as collateral, at fair value) | 7,220 | |
Linked transactions, net, at fair value | 20,627 | 18,559 |
Investment related receivable | 162,837 | 341 |
Accrued interest receivable | 27,309 | 12,266 |
Due from counterparties | 184,757 | 55,434 |
Derivative assets, at fair value | 73,256 | 105,826 |
Other assets | 326 | 339 |
Total Assets | 4,909,277 | 3,094,877 |
Liabilities: | ||
Borrowings under repurchase agreements | 3,875,721 | 2,579,067 |
Accrued interest payable | 17,573 | 12,534 |
Investment related payables | 166,608 | |
Due to counterparties | 12,180 | 65,861 |
Derivative liability, at fair value | 180,280 | 4,673 |
Accounts payable and accrued expenses | 1,794 | 1,353 |
Underwriting and offering costs payable | 8 | |
Payable to related party | 2,705 | 1,842 |
Dividend payable | 29,204 | 19,445 |
Total Liabilities | 4,286,065 | 2,684,783 |
Commitments and contingencies | ||
Stockholders' Equity: | ||
Common stock, $0.01 par value, 500,000,000 shares authorized, 41,719,801 and 26,853, 287 (including 2,548,784 shares declared as a stock dividend on December 19, 2013, issued on January 28, 2014) shares issued and outstanding, respectively | 417 | 268 |
Preferred stock, $0.01 par value, 100,000,000 shares authorized and no shares outstanding | ||
Additional paid-in capital | 760,925 | 544,143 |
Retained earnings (accumulated deficit) | -138,130 | -134,317 |
Total Stockholders' Equity | 623,212 | 410,094 |
Total Liabilities and Stockholders' Equity | $4,909,277 | $3,094,877 |
Consolidated_Balance_Sheets_Pa
Consolidated Balance Sheets (Parenthetical) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, except Share data, unless otherwise specified | ||
Balance Sheets | ||
Fair value of mortgage-backed securities pledged as collateral (in dollars) | $4,362,532 | $2,818,947 |
Fair value of residential whole-loans pledged as collateral | $7,220 | |
Common stock, par value (in dollars per share) | $0.01 | $0.01 |
Common stock, shares authorized | 500,000,000 | 500,000,000 |
Common stock, shares issued | 41,719,801 | 26,853,287 |
Common stock, shares outstanding | 41,719,801 | 26,853,287 |
Preferred stock, par value (in dollars per share) | $0.01 | $0.01 |
Preferred stock, shares authorized | 100,000,000 | 100,000,000 |
Preferred stock, shares outstanding | 0 | 0 |
Consolidated_Statement_of_Oper
Consolidated Statement of Operations (USD $) | 2 Months Ended | 3 Months Ended | 6 Months Ended | 8 Months Ended | 9 Months Ended | 12 Months Ended | |||||||||||
In Thousands, except Per Share data, unless otherwise specified | Jun. 30, 2012 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Jun. 30, 2014 | Dec. 31, 2012 | Sep. 30, 2014 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Net Interest Income: | |||||||||||||||||
Interest income | $7,083 | $40,358 | $40,718 | $44,604 | $23,430 | $28,182 | $30,654 | $32,742 | $33,750 | $33,248 | $12,987 | $53,318 | $149,110 | $125,328 | |||
Interest expense | 725 | 6,434 | 6,468 | 5,971 | 3,390 | 4,043 | 4,273 | 4,522 | 5,181 | 5,434 | 1,935 | 8,094 | 22,263 | 18,019 | |||
Net Interest Income | 6,358 | 33,924 | 34,250 | 38,633 | 20,040 | 24,139 | 26,381 | 28,220 | 28,569 | 27,814 | 11,052 | 45,224 | 126,847 | 107,309 | |||
Other Income (Loss): | |||||||||||||||||
Interest income on cash balances and other income (loss), net | 479 | 942 | 24 | -12 | 35 | 11 | 12 | 33 | 9 | 2 | 11 | 1,433 | 91 | ||||
Realized gain (loss) on sale of Mortgage-backed securities and other securities, net | 1,157 | 472 | 4,912 | -11,278 | 3,716 | -46,827 | -46,142 | -6,083 | -11,660 | 12,962 | 6,635 | 20,754 | -2,178 | -110,712 | |||
Other loss on Mortgage-backed securities and other securities | -87 | -9,449 | -2,857 | -2,999 | -1,709 | -3,694 | -2,363 | -3,533 | -2,268 | -1,767 | -1,352 | -3,206 | -17,014 | -11,858 | |||
Unrealized gain (loss) on Mortgage-backed securities, other securities and whole-loans, net | 2,983 | 48,256 | -4,453 | 114,117 | 31,091 | 13,408 | 37,528 | -156,286 | -54,759 | -15,278 | 26,225 | 13,930 | 189,011 | -160,109 | |||
Gain on linked transactions, net | 204 | -1,241 | 688 | 2,219 | 179 | -547 | 3,909 | 596 | 1,870 | 4,137 | |||||||
Gain (loss) on derivative instruments, net | -5,159 | -53,512 | -401 | -66,677 | -59,906 | 37,042 | -3,809 | 109,474 | 14,840 | 4,298 | -12,245 | -13,106 | -180,496 | 157,547 | |||
Other Income (Loss), net | -1,106 | -13,550 | -3,098 | 33,875 | -24,601 | 143 | -15,322 | -52,507 | -53,218 | 224 | 19,265 | 18,383 | -7,374 | -120,904 | |||
Operating Expenses: | |||||||||||||||||
General and administrative (includes $2,203, $1,087 and $367 non-cash stock based compensation, respectively) | 584 | 2,424 | 2,253 | 2,375 | 2,075 | 1,684 | 1,484 | 1,541 | 1,737 | 1,292 | 1,321 | 3,197 | 9,127 | 6,446 | |||
Management fee - related party | 407 | 2,506 | 2,763 | 2,559 | 1,805 | 1,843 | 2,032 | 1,826 | 2,113 | 1,924 | 802 | 3,133 | 9,633 | 7,814 | |||
Total Operating Expenses | 991 | 4,930 | 5,016 | 4,934 | 3,880 | 3,527 | 3,516 | 3,367 | 3,850 | 3,216 | 2,123 | 6,330 | 18,760 | 14,260 | |||
Net income (loss) available to Common Stock and participating securities | $4,261 | $15,444 | $26,136 | $67,574 | ($8,441) | $20,755 | $7,543 | ($27,654) | ($28,499) | $24,822 | $28,194 | $59,133 | $57,277 | $85,269 | $100,713 | ($27,855) | $57,277 |
Net income(loss) per Common Share - Basic (in dollars per share) | $0.41 | $0.37 | $0.63 | $1.68 | ($0.32) | $0.83 | $0.31 | ($1.16) | ($1.18) | $1.04 | $2.73 | $3.64 | $2.67 | ($1.19) | |||
Net income (loss) per Common Share - Diluted (in dollars per share) | $0.41 | $0.37 | $0.63 | $1.68 | ($0.32) | $0.83 | $0.31 | ($1.16) | ($1.18) | $1.04 | $2.72 | $3.63 | $2.67 | ($1.19) |
Consolidated_Statement_of_Oper1
Consolidated Statement of Operations (Parenthetical) (USD $) | 8 Months Ended | 12 Months Ended | |
In Thousands, unless otherwise specified | Dec. 31, 2012 | Dec. 31, 2014 | Dec. 31, 2013 |
Statement of Operations | |||
General and administrative, non-cash stock based compensation | $367 | $2,203 | $1,087 |
Consolidated_Statement_of_Chan
Consolidated Statement of Changes in Stockholders' Equity (USD $) | Common Stock | Additional Paid-In Capital | Retained Earnings (Accumulated Deficit). | Total |
In Thousands, except Share data, unless otherwise specified | ||||
Balance at Dec. 31, 2011 | $1 | $1 | ||
Balance (in shares) at Dec. 31, 2011 | 100 | |||
Increase (Decrease) in Stockholders' Equity | ||||
Redemption of common stock | -1 | -1 | ||
Redemption of common stock (in shares) | -100 | |||
Proceeds from public offering of common stock, net | 218 | 461,312 | 461,530 | |
Proceeds from public offering of common stock, net (in shares) | 21,800,000 | |||
Offering costs, public offerings of common stock | -1,759 | -1,759 | ||
Proceeds from private placement of common stock | 23 | 42,588 | 42,611 | |
Proceeds from private placement of common stock (in shares) | 2,277,830 | |||
Warrants | 2,946 | 2,946 | ||
Grants of restricted stock (in shares) | 66,114 | |||
Vesting of restricted stock | 367 | 367 | ||
Net income (loss) | 57,277 | 57,277 | ||
Dividends on common stock | -39,764 | -39,764 | ||
Balance at Dec. 31, 2012 | 241 | 505,454 | 17,513 | 523,208 |
Balance (in shares) at Dec. 31, 2012 | 24,143,944 | |||
Increase (Decrease) in Stockholders' Equity | ||||
Grants of restricted stock | 2 | -2 | ||
Grants of restricted stock (in shares) | 160,559 | |||
Vesting of restricted stock | 1,024 | 1,024 | ||
Net income (loss) | -27,855 | -27,855 | ||
Dividends on common stock | 25 | 37,667 | -123,975 | -86,283 |
Dividends on common stock (in shares) | 2,548,784 | |||
Balance at Dec. 31, 2013 | 268 | 544,143 | -134,317 | 410,094 |
Balance (in shares) at Dec. 31, 2013 | 26,853,287 | 26,853,287 | ||
Increase (Decrease) in Stockholders' Equity | ||||
Proceeds from public offering of common stock, net | 140 | 205,240 | 205,380 | |
Proceeds from public offering of common stock, net (in shares) | 14,000,000 | |||
Offering costs, public offerings of common stock | -400 | -400 | ||
Proceeds from private placement of common stock | 7 | 9,646 | 9,653 | |
Proceeds from private placement of common stock (in shares) | 650,000 | |||
Grants of restricted stock | 2 | -2 | ||
Grants of restricted stock (in shares) | 216,514 | |||
Vesting of restricted stock | 2,266 | 2,266 | ||
Net income (loss) | 100,713 | 100,713 | ||
Dividends on common stock | 32 | -104,526 | -104,494 | |
Balance at Dec. 31, 2014 | $417 | $760,925 | ($138,130) | $623,212 |
Balance (in shares) at Dec. 31, 2014 | 41,719,801 | 41,719,801 |
Consolidated_Statement_of_Cash
Consolidated Statement of Cash Flows (USD $) | 8 Months Ended | 12 Months Ended | ||
In Thousands, unless otherwise specified | Dec. 31, 2012 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Cash flows from operating activities: | ||||
Net income (loss) | $57,277 | $100,713 | ($27,855) | $57,277 |
Adjustments to reconcile net income (loss) to net cash provided by operating activities: | ||||
Premium amortization and (discount accretion) on Mortgage-backed securities, other securities and whole-loans, net | 16,725 | 10,257 | 21,053 | |
Restricted stock amortization expense | 367 | 2,203 | 1,087 | |
Premium amortization for MAC interest rate swaps | -1,818 | |||
Interest payments and basis recovered on MAC interest rate swaps | 7,164 | |||
Premium on purchase of Residential whole-loans | -131 | |||
Unrealized gain (loss) on Mortgage-backed securities and other securities and whole-loans, net | -13,930 | -189,011 | 160,109 | |
Mark-to-market adjustments on linked transactions | 1,762 | -856 | ||
Mark-to-market adjustments on derivative instruments | -1,241 | 178,125 | -84,788 | |
Other loss on Mortgage-backed securities and other securities | 3,206 | 17,014 | 11,858 | |
Realized (gain) loss on sale of Mortgage-backed securities and other securities, net | -20,754 | 2,178 | 110,712 | |
Realized loss on sale of Interest-Only Strips accounted for as derivatives, net | 753 | 1,124 | ||
Realized loss on termination of MAC interest rate swaps containing an other-than-insignificant financing element | 4,835 | |||
Realized (gain) loss on sale of TBAs, net | -40,015 | 1,499 | ||
Realized (gain) loss on sale of swaptions, net | 3,606 | -23,671 | ||
Realized loss on futures | 16,495 | |||
Realized loss on forward contracts | 1,759 | |||
Realized loss on expiration of option derivatives, net | 2,813 | 925 | ||
Realized gain on linked transaction, net | -1,397 | -3,049 | ||
Realized gain on foreign currency transactions | -1,306 | |||
Changes in operating assets and liabilities: | ||||
Decrease (increase) in accrued interest receivable | -17,361 | -15,043 | 5,095 | |
Decrease (increase) in other assets | -244 | 13 | -95 | |
Increase in accrued interest payable | 6,561 | 5,039 | 5,973 | |
Increase in accounts payable and accrued expenses | 988 | 503 | 302 | |
Increase (decrease) in payable to related party | 1,924 | 863 | -82 | |
Net cash provided by operating activities | 33,518 | 107,374 | 179,341 | |
Cash flows from investing activities: | ||||
Purchase of Mortgage-backed securities and other securities | -7,798,967 | -4,007,240 | -2,004,596 | |
Purchase of securities underlying linked transactions | -54,739 | -176,628 | ||
Proceeds from sale of Mortgage-backed securities and other securities | 2,490,326 | 2,375,264 | 3,620,488 | |
Proceeds from sale of securities underlying linked transactions | 6,215 | 21,735 | ||
Principal payments and basis recovered on Mortgage-backed securities and other securities | 105,748 | 332,581 | 305,433 | |
Principal payments and basis recovered on securities underlying linked transactions | 4,801 | 2,008 | ||
Purchase of Residential whole-loans | -7,030 | |||
Principal payments on Residential whole-loans | 9 | |||
Payment of premium for option derivatives | -2,813 | -4,675 | ||
Premium received from option derivatives | 3,750 | |||
Proceeds from gross settlement of TBAs | 208,313 | |||
Net settlements of TBAs | 37,829 | -995 | ||
Payment on termination of futures | -16,495 | |||
Proceeds from sale of interest rate swaptions | 8,710 | 60,482 | ||
Premium for MAC interest rate swaps, net | 11,011 | |||
Payments on termination of MAC interest rate swaps | 2,791 | |||
Interest payments and basis recovered on MAC interest rate swaps | 706 | |||
Premium for interest rate swaptions, net | -13,267 | -3,278 | -32,904 | |
Net cash provided by (used in) investing activities | -5,216,160 | -1,311,678 | 2,002,411 | |
Cash flows from financing activities: | ||||
Proceeds from issuance of common stock | 461,530 | 205,380 | ||
Proceeds from private placement of common stock (concurrent with initial public offering) | 45,557 | 9,653 | ||
Payment of offering costs | -1,684 | -408 | -67 | |
Redemption of common stock | -1 | |||
Proceeds from repurchase agreement borrowings | 14,511,707 | 22,819,986 | 29,948,206 | |
Proceeds from repurchase agreement borrowings underlying linked transactions | 180,935 | 165,089 | ||
Repayments of repurchase agreement borrowings | -9,716,977 | -21,523,332 | -32,163,869 | |
Repayments of repurchase agreement borrowings underlying linked transactions | -208,177 | -103,902 | ||
Proceeds from (Repayment of) cash overdraft | 5,666 | -5,666 | ||
Proceeds from forward contracts | 44,897 | |||
Repayments of forward contracts | -46,656 | |||
Premium for MAC interest rate swaps containing an other-than-insignificant financing element | 20,479 | |||
Payments on termination of MAC interest rate swaps containing an other-than-insignificant financing element | -14,147 | |||
Interest payments and basis recovered on MAC interest rate swaps containing an other-than-insignificant financing element | -7,870 | |||
Due from counterparties, net | -54,142 | -129,323 | -1,292 | |
Due to counterparties, net | -53,681 | 65,861 | ||
Dividends on common stock | -12,723 | -94,735 | -93,879 | |
Net cash provided by (used in) financing activities | 5,238,933 | 1,203,001 | -2,189,519 | |
Net increase (decrease) in cash and cash equivalents | 56,291 | -1,303 | -7,767 | |
Cash and cash equivalents beginning of period | 1 | 48,525 | 56,292 | |
Cash and cash equivalents end of period | 56,292 | 47,222 | 48,525 | 56,292 |
Supplemental disclosure of operating cash flow information: | ||||
Interest paid | 4,640 | 20,553 | 19,751 | |
Supplemental disclosure of non-cash financing/investing activities: | ||||
Underlying and offering costs payable | 75 | 75 | ||
Principal payments of mortgage-backed securities, not settled | 45 | 341 | ||
Mortgage-backed securities and other securities purchased, not settled | -6,002 | |||
Mortgage-backed securities used to settle TBAs | -208,817 | |||
Mortgage-backed securities recorded upon unlinking of linked transactions | -69,838 | -77,046 | ||
Net unsettled TBAs | 2,186 | |||
Stock dividends declared, not issued | 37,671 | |||
Dividends and distributions declared, not paid | $27,041 | $29,204 | $19,445 | $27,041 |
Organization
Organization | 12 Months Ended |
Dec. 31, 2014 | |
Organization | |
Organization | |
Note 1—Organization | |
Western Asset Mortgage Capital Corporation and Subsidiaries (is referred to throughout this report as the "Company") is a real estate finance company. At the Company's launch in May 2012, its initial investment strategy focused primarily on Agency RMBS (including TBAs as defined herein). Over time, the Company expanded its investment strategy to include Non-Agency RMBS and subsequently, Agency and Non-Agency CMBS, including Non U.S. CMBS. In addition, and to a significantly lesser extent, the Company has invested in other securities including certain Agency obligations that are not technically MBS and in asset backed securities ("ABS"). The Company's Manager, as defined below, is also actively pursuing investing in whole-loans or whole-loan securities as set forth in more detail herein and completed its first purchase of these instruments during the quarter ended December 31, 2014. These changes in the Company's investment strategy, including future changes, are based on the Manager's perspective of which mix of portfolio assets it believes provide the Company with the best risk-reward opportunities at any given time. | |
The Company is externally managed by Western Asset Management Company ("WAM", or the "Manager"), an investment advisor registered with the Securities and Exchange Commission ("SEC"). WAM is a wholly-owned subsidiary of Legg Mason, Inc. The Company operates and has elected to be taxed as a real estate investment trust or "REIT" commencing with its taxable year ended December 31, 2012. | |
In light of the aforementioned developments and given the Manager's current market outlook and investment view, while it can be expected that Agency RMBS will continue to be a significant part of the Company's portfolio, Agency RMBS will not necessarily be our primary investment in the future. Going forward, the Manager may vary the allocation among various asset classes subject to maintaining the Company's qualification as a REIT and maintaining its exemption from the Investment Company Act of 1940 (the "1940 Act"). These restrictions limit the Company's ability to invest in non-real estate assets and/or assets which are not secured by real estate. Accordingly, the Company's portfolio will continue to be principally invested in MBS and other real estate related assets. | |
Revision_of_Previously_Issued_
Revision of Previously Issued Financial Statements for Errors Affecting Certain Items Presented in the Statements of Cash Flows and Notes to Financial Statements | 12 Months Ended | |||||||||||||||||||
Dec. 31, 2014 | ||||||||||||||||||||
Revision of Previously Issued Financial Statements for Errors Affecting Certain Items Presented in the Statements of Cash Flows and Notes to Financial Statements | ||||||||||||||||||||
Revision of Previously Issued Financial Statements for Errors Affecting Certain Items Presented in the Statements of Cash Flows and Notes to Financial Statements | Note 2-Revision of Previously Issued Financial Statements for Errors Affecting Certain Items Presented in the Statements of Cash Flows and Notes to Financial Statements | |||||||||||||||||||
During the process of preparing the Company's 2014 financial statements, the Company discovered that the treatment of premiums received on the market agreed coupon ("MAC") interest rate swaps and treatment of proceeds and repayment on rehypothecation of non-cash collateral in its Statements of Cash Flows and a voluntary disclosure surrounding the breakdown between realized and unrealized portion of the change in fair value for derivative instrument were not presented in accordance with GAAP. The Company has evaluated the impact of these errors and has concluded that individually and in the aggregate, these errors were not material to any previously issued financial statements. However, the Company has elected to revise the Statements of Cash Flows for the six months ended June 30, 2014 and for the nine months ended September 30, 2014 and the voluntary disclosure for the three and six months ended June 30, 2014 and for the three and nine months ended September 30, 2014 when they are next filed in the Company's quarterly financial statements on Form 10-Q for the quarters ending June 30, 2015 and September 30, 2015 to correct these errors. The corrections resulted in a reclassification of premiums received and periodic interest payments on interest rate swaps previously reported in cash flows from operating activities and the reclassification of proceeds and repayment on rehypothecation of non-cash collateral previously reported as repurchase agreement proceeds and repayments (as indicated in the tables below). In accordance with the Company's accounting policies, proceeds and repayment on rehypothecation of non-cash collateral is reported on a net basis in Due to counterparties, net. These revisions had no effect on net income, shareholders' equity, net change in cash, or total assets, of the Company reported for these periods. | ||||||||||||||||||||
Statements of Cash Flows (summarized) for the six months ended June 30, 2014 and nine months ended September 30, 2014: | ||||||||||||||||||||
For the six months ended June 30, 2014 | For the nine months ended | |||||||||||||||||||
September 30, 2014 | ||||||||||||||||||||
Amounts in thousands | As | Adjustments | Revised | As | Adjustments | Revised | ||||||||||||||
Originally | Originally | |||||||||||||||||||
Reported | Reported | |||||||||||||||||||
Statement of Cash Flows (effect on individual line items) | ||||||||||||||||||||
Net income | $ | 59,133 | $ | — | $ | 59,133 | $ | 85,269 | $ | — | $ | 85,269 | ||||||||
Adjustments to reconcile net income to net cash provided by operating activities: | ||||||||||||||||||||
Premium amortization for MAC interest rate swaps | — | — | — | — | (928 | ) | (928 | ) | ||||||||||||
Interest payments and basis recovered on MAC interest rate swaps | — | — | — | — | (545 | ) | (545 | ) | ||||||||||||
Mark-to-market adjustments on derivative instruments | 132,126 | (22,784 | ) | 109,342 | 147,968 | (21,856 | ) | 126,112 | ||||||||||||
All other items | (132,097 | ) | — | (132,097 | ) | (132,229 | ) | — | (132,229 | ) | ||||||||||
| | | | | | | | | | | | | | | | | | | | |
Net cash provided by operating activities | 59,162 | (22,784 | ) | 36,378 | 101,008 | (23,329 | ) | 77,679 | ||||||||||||
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Cash flows from investing activities: | ||||||||||||||||||||
Premium for MAC interest rate swaps, net | — | 13,245 | 13,245 | (2,235 | ) | 13,245 | 11,010 | |||||||||||||
All other items | (1,650,680 | ) | — | (1,650,680 | ) | (1,350,036 | ) | — | (1,350,036 | ) | ||||||||||
| | | | | | | | | | | | | | | | | | | | |
Net cash used in investing activities | (1,650,680 | ) | 13,245 | (1,637,435 | ) | (1,352,271 | ) | 13,245 | (1,339,026 | ) | ||||||||||
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Cash flows from financing activities: | ||||||||||||||||||||
Proceeds from repurchase agreement borrowings | 11,783,312 | (2,757 | ) | 11,780,555 | 18,164,190 | (2,757 | ) | 18,161,433 | ||||||||||||
Repayments of repurchase agreement borrowings | (10,241,325 | ) | 2,757 | (10,238,568 | ) | (16,861,130 | ) | 2,757 | (16,858,373 | ) | ||||||||||
Premium for MAC interest rate swaps containing an other-than-insignificant financing element | — | 9,539 | 9,539 | 1,040 | 9,539 | 10,579 | ||||||||||||||
Interest payments and basis recovered on MAC interest rate swaps containing an other-than-insignificant financing element | — | — | — | — | 545 | 545 | ||||||||||||||
All other items | 2,053 | — | 2,053 | (45,295 | ) | — | (45,295 | ) | ||||||||||||
| | | | | | | | | | | | | | | | | | | | |
Net cash provided by financing activities | 1,544,040 | 9,539 | 1,553,579 | 1,258,805 | 10,084 | 1,268,889 | ||||||||||||||
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in cash and cash equivalents | (47,478 | ) | — | (47,478 | ) | 7,542 | — | 7,542 | ||||||||||||
Cash and cash equivalents beginning of period | 48,525 | — | 48,525 | 48,525 | — | 48,525 | ||||||||||||||
| | | | | | | | | | | | | | | | | | | | |
Cash and cash equivalents end of period | $ | 1,047 | $ | — | $ | 1,047 | $ | 56,067 | $ | — | $ | 56,067 | ||||||||
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
The below tables summarize the effect of interest rate swaps, interest rate swaptions, foreign currency swaps, foreign currency forwards, options, futures contracts, Agency and Non-Agency Interest-Only Strips as derivatives and TBAs reported in Gain (loss) on derivative instruments, net on our Consolidated Statements of Operations for the three months ended June 30, 2014, six months ended June 30, 2014, three months ended September 30, 2014, and nine months ended September 30, 2014 (dollars in thousands—summarized): | ||||||||||||||||||||
As Originally Reported | ||||||||||||||||||||
Three months ended June 30, 2014 | ||||||||||||||||||||
Description | Realized | Contractual | Return | Mark-to- | Total | |||||||||||||||
Gain | interest | (Recovery) | market | |||||||||||||||||
(Loss), net | income | of Basis | adjustments | |||||||||||||||||
(expense), | ||||||||||||||||||||
net(1) | ||||||||||||||||||||
Interest rate swaps | $ | 15,996 | $ | (6,083 | ) | $ | — | $ | (84,619 | ) | $ | (74,706 | ) | |||||||
All other items with no changes | (2,487 | ) | 6,140 | (4,507 | ) | 8,883 | 8,029 | |||||||||||||
| | | | | | | | | | | | | | | | | ||||
Total | $ | 13,509 | $ | 57 | $ | (4,507 | ) | $ | (75,736 | ) | $ | (66,677 | ) | |||||||
| | | | | | | | | | | | | | | | | ||||
| | | | | | | | | | | | | | | | | ||||
Adjustments | ||||||||||||||||||||
Description | Realized | Contractual | Return | Mark-to- | Total | |||||||||||||||
Gain | interest | (Recovery) | market | |||||||||||||||||
(Loss), net | income | of Basis | adjustments | |||||||||||||||||
(expense), | ||||||||||||||||||||
net(1) | ||||||||||||||||||||
Interest rate swaps | $ | (22,784 | ) | $ | — | $ | — | $ | 22,784 | $ | — | |||||||||
All other items with no changes | — | — | — | — | — | |||||||||||||||
| | | | | | | | | | | | | | | | | ||||
Total | $ | (22,784 | ) | $ | — | $ | — | $ | 22,784 | $ | — | |||||||||
| | | | | | | | | | | | | | | | | ||||
| | | | | | | | | | | | | | | | | ||||
Revised | ||||||||||||||||||||
Description | Realized | Contractual | Return | Mark-to- | Total | |||||||||||||||
Gain | interest | (Recovery) | market | |||||||||||||||||
(Loss), net | income | of Basis | adjustments | |||||||||||||||||
(expense), | ||||||||||||||||||||
net(1) | ||||||||||||||||||||
Interest rate swaps | $ | (6,788 | ) | $ | (6,083 | ) | $ | — | $ | (61,835 | ) | $ | (74,706 | ) | ||||||
All other items with no changes | (2,487 | ) | 6,140 | (4,507 | ) | 8,883 | 8,029 | |||||||||||||
| | | | | | | | | | | | | | | | | ||||
Total | $ | (9,275 | ) | $ | 57 | $ | (4,507 | ) | $ | (52,952 | ) | $ | (66,677 | ) | ||||||
| | | | | | | | | | | | | | | | | ||||
| | | | | | | | | | | | | | | | | ||||
-1 | Contractual interest income (expense), net on derivative instruments includes interest settlement paid or received. | |||||||||||||||||||
As Originally Reported | ||||||||||||||||||||
Six months ended June 30, 2014 | ||||||||||||||||||||
Description | Realized | Contractual | Return | Mark-to- | Total | |||||||||||||||
Gain | interest | (Recovery) | market | |||||||||||||||||
(Loss), net | income | of Basis | adjustments | |||||||||||||||||
(expense), | ||||||||||||||||||||
net(1) | ||||||||||||||||||||
Interest rate swaps | $ | 15,998 | $ | (13,936 | ) | $ | — | $ | (130,115 | ) | $ | (128,053 | ) | |||||||
All other items with no changes | (986 | ) | 14,566 | (10,099 | ) | (2,011 | ) | 1,470 | ||||||||||||
| | | | | | | | | | | | | | | | | ||||
Total | $ | 15,012 | $ | 630 | $ | (10,099 | ) | $ | (132,126 | ) | $ | (126,583 | ) | |||||||
| | | | | | | | | | | | | | | | | ||||
| | | | | | | | | | | | | | | | | ||||
Adjustments | ||||||||||||||||||||
Description | Realized | Contractual | Return | Mark-to- | Total | |||||||||||||||
Gain | interest | (Recovery) | market | |||||||||||||||||
(Loss), net | income | of Basis | adjustments | |||||||||||||||||
(expense), | ||||||||||||||||||||
net(1) | ||||||||||||||||||||
Interest rate swaps | $ | (22,784 | ) | $ | — | $ | — | $ | 22,784 | $ | — | |||||||||
All other items with no changes | — | — | — | — | — | |||||||||||||||
| | | | | | | | | | | | | | | | | ||||
Total | $ | (22,784 | ) | $ | — | $ | — | $ | 22,784 | $ | — | |||||||||
| | | | | | | | | | | | | | | | | ||||
| | | | | | | | | | | | | | | | | ||||
Revised | ||||||||||||||||||||
Description | Realized | Contractual | Return | Mark-to- | Total | |||||||||||||||
Gain | interest | (Recovery) | market | |||||||||||||||||
(Loss), net | income | of Basis | adjustments | |||||||||||||||||
(expense), | ||||||||||||||||||||
net(1) | ||||||||||||||||||||
Interest rate swaps | $ | (6,786 | ) | $ | (13,936 | ) | $ | — | $ | (107,331 | ) | $ | (128,053 | ) | ||||||
All other items with no changes | (986 | ) | 14,566 | (10,099 | ) | (2,011 | ) | 1,470 | ||||||||||||
| | | | | | | | | | | | | | | | | ||||
Total | $ | (7,772 | ) | $ | 630 | $ | (10,099 | ) | $ | (109,342 | ) | $ | (126,583 | ) | ||||||
| | | | | | | | | | | | | | | | | ||||
| | | | | | | | | | | | | | | | | ||||
-1 | Contractual interest income (expense), net on derivative instruments includes interest settlement paid or received. | |||||||||||||||||||
As Originally Reported | ||||||||||||||||||||
Three months ended September 30, 2014 | ||||||||||||||||||||
Description | Realized | Contractual | Return | Mark-to- | Total | |||||||||||||||
Gain | interest | (Recovery) | market | |||||||||||||||||
(Loss), net | income | of Basis | adjustments | |||||||||||||||||
(expense), | ||||||||||||||||||||
net(1) | ||||||||||||||||||||
Interest rate swaps | $ | 23,798 | $ | (11,848 | ) | $ | — | $ | (14,767 | ) | $ | (2,817 | ) | |||||||
All other items with no changes | 1,815 | 5,863 | (4,187 | ) | (1,075 | ) | 2,416 | |||||||||||||
| | | | | | | | | | | | | | | | | ||||
Total | $ | 25,613 | $ | (5,985 | ) | $ | (4,187 | ) | $ | (15,842 | ) | $ | (401 | ) | ||||||
| | | | | | | | | | | | | | | | | ||||
| | | | | | | | | | | | | | | | | ||||
Adjustments | ||||||||||||||||||||
Description | Realized | Contractual | Return | Mark-to- | Total | |||||||||||||||
Gain | interest | (Recovery) | market | |||||||||||||||||
(Loss), net | income | of Basis | adjustments | |||||||||||||||||
(expense), | ||||||||||||||||||||
net(1) | ||||||||||||||||||||
Interest rate swaps | $ | — | $ | — | $ | 820 | $ | (820 | ) | $ | — | |||||||||
All other items with no changes | — | — | — | — | — | |||||||||||||||
| | | | | | | | | | | | | | | | | ||||
Total | $ | — | $ | — | $ | 820 | $ | (820 | ) | $ | — | |||||||||
| | | | | | | | | | | | | | | | | ||||
| | | | | | | | | | | | | | | | | ||||
Revised | ||||||||||||||||||||
Description | Realized | Contractual | Return | Mark-to- | Total | |||||||||||||||
Gain | interest | (Recovery) | market | |||||||||||||||||
(Loss), net | income | of Basis | adjustments | |||||||||||||||||
(expense), | ||||||||||||||||||||
net(1) | ||||||||||||||||||||
Interest rate swaps | $ | 23,798 | $ | (11,848 | ) | $ | 820 | $ | (15,587 | ) | $ | (2,817 | ) | |||||||
All other items with no changes | 1,815 | 5,863 | (4,187 | ) | (1,075 | ) | 2,416 | |||||||||||||
| | | | | | | | | | | | | | | | | ||||
Total | $ | 25,613 | $ | (5,985 | ) | $ | (3,367 | ) | $ | (16,662 | ) | $ | (401 | ) | ||||||
| | | | | | | | | | | | | | | | | ||||
| | | | | | | | | | | | | | | | | ||||
-1 | Contractual interest income (expense), net on derivative instruments includes interest settlement paid or received. | |||||||||||||||||||
As Originally Reported | ||||||||||||||||||||
Nine months ended September 30, 2014 | ||||||||||||||||||||
Description | Realized | Contractual | Return | Mark-to- | Total | |||||||||||||||
Gain | interest | (Recovery) | market | |||||||||||||||||
(Loss), net | income | of Basis | adjustments | |||||||||||||||||
(expense), | ||||||||||||||||||||
net(1) | ||||||||||||||||||||
Interest rate swaps | $ | 39,796 | $ | (25,784 | ) | $ | — | $ | (144,882 | ) | $ | (130,870 | ) | |||||||
All other items with no changes | 829 | 20,429 | (14,286 | ) | (3,086 | ) | 3,886 | |||||||||||||
| | | | | | | | | | | | | | | | | ||||
Total | $ | 40,625 | $ | (5,355 | ) | $ | (14,286 | ) | $ | (147,968 | ) | $ | (126,984 | ) | ||||||
| | | | | | | | | | | | | | | | | ||||
| | | | | | | | | | | | | | | | | ||||
Adjustments | ||||||||||||||||||||
Description | Realized | Contractual | Return | Mark-to- | Total | |||||||||||||||
Gain | interest | (Recovery) | market | |||||||||||||||||
(Loss), net | income | of Basis | adjustments | |||||||||||||||||
(expense), | ||||||||||||||||||||
net(1) | ||||||||||||||||||||
Interest rate swaps | $ | (22,784 | ) | $ | — | $ | 928 | $ | 21,856 | $ | — | |||||||||
All other items with no changes | — | — | — | — | — | |||||||||||||||
| | | | | | | | | | | | | | | | | ||||
Total | $ | (22,784 | ) | $ | — | $ | 928 | $ | 21,856 | $ | — | |||||||||
| | | | | | | | | | | | | | | | | ||||
| | | | | | | | | | | | | | | | | ||||
Revised | ||||||||||||||||||||
Description | Realized | Contractual | Return | Mark-to- | Total | |||||||||||||||
Gain | interest | (Recovery) | market | |||||||||||||||||
(Loss), net | income | of Basis | adjustments | |||||||||||||||||
(expense), | ||||||||||||||||||||
net(1) | ||||||||||||||||||||
Interest rate swaps | $ | 17,012 | $ | (25,784 | ) | $ | 928 | $ | (123,026 | ) | $ | (130,870 | ) | |||||||
All other items with no changes | 829 | 20,429 | (14,286 | ) | (3,086 | ) | 3,886 | |||||||||||||
| | | | | | | | | | | | | | | | | ||||
Total | $ | 17,841 | $ | (5,355 | ) | $ | (13,358 | ) | $ | (126,112 | ) | $ | (126,984 | ) | ||||||
| | | | | | | | | | | | | | | | | ||||
| | | | | | | | | | | | | | | | | ||||
-1 | Contractual interest income (expense), net on derivative instruments includes interest settlement paid or received. | |||||||||||||||||||
Summary_of_Significant_Account
Summary of Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2014 | |
Summary of Significant Accounting Policies | |
Summary of Significant Accounting Policies | |
Note 3—Summary of Significant Accounting Policies | |
Basis of Presentation and Consolidation | |
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America ("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 periods. Actual results could differ from those estimates. | |
The consolidated financial statements include the Company's accounts and those of its consolidated subsidiary. The consolidated financial statements also include the consolidation of a trust that meets the definition of a variable interest entity ("VIE") related to the acquisition of residential whole-loans in which the Company has been deemed itself to be the primary beneficiary of the trust. The trust has issued trust certificates to the Company which are collateralized by pools of residential mortgage loans held by the trust. The Company includes the underlying residential mortgage loans owned by the trusts in Residential whole-loans at fair value on the Consolidated Balance Sheets and has eliminated the intercompany trust certificates in consolidation. The Company records interest income earned on the residential whole-loans in Interest Income on the Consolidated Statements of Operations. The Company records the initial underlying assets and liabilities of the consolidated trusts at their fair value upon consolidation into the Company and, as such, a gain or loss would be recorded upon consolidation if appropriate. Upon consolidation of the VIE during 2014, the Company recorded no gain or loss upon consolidation. Refer to Note 6—"Variable Interest Entities" for additional information regarding the impact of consolidation of trusts. All intercompany amounts between the Company and its subsidiary and consolidated trusts have been eliminated in consolidation. | |
The Company currently operates as one business segment. | |
Cash and Cash Equivalents | |
The Company considers all highly-liquid short term investments with original maturities of 90 days or less when purchased to be cash equivalents. Cash and cash equivalents are exposed to concentrations of credit risk. The Company places its cash and cash equivalents with what it believes to be high credit quality institutions. At times such investments may be in excess of the Federal Deposit Insurance Corporation insurance limit. | |
Classification of mortgage-backed securities, other securities and residential whole-loans and valuations of financial instruments | |
Mortgage-backed securities, other securities and residential whole-loans—Fair value election | |
The Company has elected the fair value option for all of its MBS, other securities and residential whole-loans at the date of purchase, which permits the Company to measure these securities and whole-loans at fair value with the change in fair value included as a component of earnings. In the Manager's view, this election more appropriately reflects the results of the Company's operations for a particular reporting period, as financial asset fair value changes are presented in a manner consistent with the presentation and timing of the fair value changes of economic hedging instruments. | |
Balance Sheet Presentation | |
The Company's mortgage-backed securities and other securities purchases and sales are recorded on the trade date, which results in an investment related payable (receivable) for MBS and other securities purchased (sold) for which settlement has not taken place as of the balance sheet date. In addition, the Company's TBAs, as defined herein, which matured but have not settled as of the balance sheet date result in an investment related payable (receivable). The Company's MBS and other securities are pledged as collateral against borrowings under repurchase agreements. Other than MBS and other securities which are accounted for as linked transactions, described below, the Company's MBS and other securities are included in Mortgage-backed securities and other securities at fair value and Investment related receivables on the Consolidated Balance Sheets, with the fair value of such MBS and other securities pledged disclosed parenthetically. Residential whole-loans purchases and sales are recorded on the settlement date and are included in Residential whole-loans at fair value on the Consolidated Balance Sheets. | |
Valuation of financial instruments | |
The Company discloses the fair value of its financial instruments according to a fair value hierarchy (Levels I, II, and III, as defined below). In accordance with GAAP, the Company is required to provide enhanced disclosures regarding instruments in the Level III category (which require significant management judgment), including a separate reconciliation of the beginning and ending balances for each major category of assets and liabilities. GAAP establishes a framework for measuring fair value and expands financial statement disclosure requirements for fair value measurements. GAAP further specifies a hierarchy of valuation techniques, which is based on whether the inputs into the valuation technique are observable or unobservable. The hierarchy is as follows: | |
Level I—Quoted prices in active markets for identical assets or liabilities. | |
Level II—Quoted prices for similar assets and liabilities 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 III—Prices are determined using significant unobservable inputs. 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 may be used. | |
The level in the fair value hierarchy within which a fair value measurement in its entirety falls is based on the lowest level input that is significant to the fair value measurement in its entirety. Transfers between levels are determined by the Company at the end of the reporting period. | |
When available, the Company uses quoted market prices to determine the fair value of an asset or liability. If quoted market prices are not available, the Company consults with independent pricing services or obtains third party broker quotes. If independent pricing service, or third party broker quotes are not available, the Company determines the fair value of the securities using valuation techniques that use, when possible, current market-based or independently-sourced market parameters, such as interest rates and when applicable, estimates of prepayment and credit losses. | |
Valuation techniques for MBS, residential whole-loans and other securities may be based upon models that consider the estimated cash flows of the security. Depending on the security and the underlying collateral, the primary inputs to the model include yields for Agency To-Be-Announced securities (also known as "TBAs"), Agency MBS, the U.S. Treasury market and floating rate indices such as the London interbank offered rate or LIBOR, the Constant Maturity Treasury rate and the prime rate as a benchmark yield. In addition, the model may incorporate the current weighted average maturity and additional pool level information such as prepayment speeds, default frequencies and default severities, if applicable. To the extent such inputs are observable and timely, these securities are categorized as Level II of the fair value hierarchy; otherwise, unless alternative pricing information as described above is available, they are categorized as Level III. | |
While linked transactions, described below, are treated as derivatives for GAAP, the securities underlying the Company's linked transactions are valued using similar techniques to those used for the Company's securities portfolio. The value of the underlying security is then netted against the carrying amount (which approximates fair value) of the repurchase agreement at the valuation date. Additionally, TBA instruments are similar in substance to the Company's Agency RMBS portfolio, and the Company therefore estimates fair value based on similar methods. | |
The Company determines the fair value of derivative financial instruments by obtaining quotes from third party pricing services, whose pricing is subject to review by the Manager's pricing committee. In valuing its over-the-counter interest rate derivatives, such as swaps and swaptions, and its currency derivatives, such as swaps and forwards, the Company considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each derivative agreement, from the perspective of both the Company and its counterparties. The majority of the Company's interest rate swaps are cleared through a central clearing house and subject to the clearing house margin requirements. The Company's agreements with its derivative counterparties also contain netting provisions; however the Company has elected to report its interest rate swaps and currency swaps on a gross basis. No credit valuation adjustment was made in determining the fair value of interest rate and/or currency derivatives for the years ended December 31, 2014 and 2013. | |
Fair value under GAAP represents an exit price in the normal course of business, not a forced liquidation price. If the Company is forced to sell assets in a short period to meet liquidity needs, the prices it receives can be substantially less than their recorded fair values. Furthermore, the analysis of whether it is more likely than not that the Company will not be required to sell securities in an unrealized loss position before recovery of its amortized cost basis, the amount of such expected required sales, and the projected identification of which securities will be sold is also subject to significant judgment, particularly in times of market illiquidity. | |
Any changes to the valuation methodology will be reviewed by the Company and its Manager to ensure the changes are appropriate. As markets and products develop and the pricing for certain products becomes more transparent, the Company will continue to refine its valuation methodologies. The Company utilizes and follows the pricing methodology and fair value hierarchy employed by its Manager, including its review and challenge process. The methods used by the Company may produce a fair value calculation that may not be indicative of net realizable value or reflective of future fair values. Furthermore, while the Company anticipates that its valuation methods will be appropriate and consistent with other market participants, the use of different methodologies, or assumptions, to determine the fair value of certain financial instruments can result in a different estimate of fair value at the reporting date. The Company uses inputs that are current as of the measurement date, which may include periods of market dislocation, during which price transparency may be reduced. | |
All valuations received from independent pricing services are non-binding. The Company primarily utilizes an independent third party pricing service as the primary source for valuing the Company's assets. | |
The Company generally receives one independent pricing service price for each investment in the Company's portfolio. The Manager has established a process to review and validate the pricing received from the independent pricing service and has a process for challenging prices received from the independent pricing service when necessary. The Company utilizes our Manager's policies in this regard. The Company's and the Manager's review of the independent third party pricing data may consist of a review of the daily change in the prices provided by the independent pricing vendor which exceed established tolerances or comparisons to executed transaction prices. The Manager's pricing group, which functions independently from its portfolio management personnel, corroborates the price differences or changes in price by comparing the vendor price to alternate sources including other independent pricing services or broker quotations. If the price change or difference cannot be corroborated, the Manager's pricing group consults with the portfolio management team for market color in reviewing such pricing data as warranted. To the extent that the Manager has information, typically in the form of broker quotations that would indicate that a price received from the independent pricing service is outside of a tolerance range, our Manager generally challenges the independent pricing service price. | |
To ensure proper fair value hierarchy, The Company and the Manager review the methodology and data used by the third party pricing service to understand whether observable market data is being utilized in the vendor's pricing methodology. Generally, this review is conducted annually, however ad-hoc reviews of the pricing methodology and the data does occur. The review of the assumptive data received from the vendor includes comparing key inputs. In addition, as part of the Company's regular review of pricing, the Manager's pricing group may have informal discussions with the independent pricing vendor regarding their evaluation methodology or the market data utilized in their determination as well as performing back-testing with regard to the sale of securities. The conclusion that a price should be overridden in accordance with the Manager's pricing methodology may impact the fair value hierarchy of the security for which such price has been adjusted. | |
Interest income recognition and Impairment | |
Agency MBS, Non-Agency MBS and other securities, excluding Interest-Only Strips, rated AA and higher at the time of purchase | |
Interest income on mortgage-backed and other securities is accrued based on the respective outstanding principal balances and corresponding contractual terms. Premiums and discounts associated with Agency MBS, Non-Agency MBS and other securities, excluding Interest-Only Strips, rated AA and higher at the time of purchase, are amortized into interest income over the estimated life of such securities using the effective yield method. Adjustments to premium and discount amortization are made for actual prepayment activity. The Company estimates prepayments at least quarterly for its securities and as a result, if prepayments increase (or are expected to increase), the Company will accelerate the rate of amortization on premiums or discounts and make a retrospective adjustment to historical amortization. Alternatively, if prepayments decrease (or are expected to decrease) the Company will reduce the rate of amortization on the premiums or discounts and make a retrospective adjustment to historical amortization. | |
The Company's conversion to a new accounting system in the calculation methodology used to determine the amortization of bond premium as of April 1, 2014, resulted in a change in estimate of approximately $1.2 million. The impact of the change in estimate had no impact on Net income and was limited to an increase of approximately $1.2 million to Interest Income and an equal offsetting reduction to Unrealized gain (loss) on Mortgage-backed securities, other securities and whole-loans, net on the Consolidated Statement of Operations. The Company does not believe the aforementioned change in estimate will have a material impact to subsequent periods. | |
The Company assesses its Agency MBS, Non-Agency MBS and other securities, excluding Interest-Only Strips, rated AA and higher at the time of purchase for other-than-temporary impairment on at least a quarterly basis. When the fair value of an investment is less than its amortized cost at the balance sheet date of the reporting period for which impairment is assessed, the impairment is designated as either "temporary" or "other-than-temporary." In deciding on whether or not a security is other-than-temporarily impaired, the Company considers several factors, including the nature of the investment, communications (if any) from the trustees of securitizations regarding the credit quality of the security, the severity and duration of the impairment, the cause of the impairment, and the Company's intent not to sell the security and whether it is more likely than not that Company will not be required to sell the security until recovery of its amortized cost basis. An other-than-temporary impairment is deemed to have occurred when there is an adverse change in the expected cash flows (principal or interest) to be received and the fair value of the security is less than its carrying amount. In determining whether an adverse change in cash flows occurred, the present value of the remaining cash flows, as estimated at the initial transaction date (or the last date previously revised), is compared to the present value of the expected cash flows at the current reporting date. The estimated cash flows reflect those a "market participant" would use and are discounted at a rate equal to the current yield used to accrete interest income. These adjustments are reflected in the Company's Consolidated Statement of Operations as Other loss on Mortgage-backed securities and other securities. | |
The determination as to whether an other-than-temporary impairment exists is subject to management estimates based on consideration of both factual information available at the time of assessment as well as the Company's estimates of the future performance and projected amount and timing of cash flows expected to be collected on the security. As a result, the timing and amount of an other-than-temporary impairment constitutes an accounting estimate that may change materially over time. | |
Non-Agency MBS and other securities that are rated below AA at the time of purchase and Interest-Only Strips that are not classified as derivatives | |
Interest income on Non-Agency MBS and other securities that are rated below AA at the time of purchase and Interest-Only Strips that are not classified as derivatives are recognized based on the effective yield method. The effective yield on these securities is based on the projected cash flows from each security, which is estimated based on the Company's observation of the then current information and events, where applicable, and will include assumptions related to interest rates, prepayment rates and the timing and amount of credit losses. On at least a quarterly basis, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on input and analysis received from external sources, internal models, and its judgment about interest rates, prepayment rates, the timing and amount of credit losses (if applicable), and other factors. Where appropriate, the Company may include in its cash flow projections the U.S Department of Justice's settlements with the major residential mortgage originators, regarding certain lending practices. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the yield/interest income recognized on such securities. Actual maturities of the securities are affected by the contractual lives of the underlying collateral, periodic payments of scheduled principal, and prepayments of principal. Therefore, actual maturities of the securities will generally be shorter than stated contractual maturities. | |
Based on the projected cash flow of such securities purchased at a discount to par value, the Company may designate a portion of such purchase discount as credit protection against future credit losses and, therefore, not accrete such amount into interest income. The amount designated as credit discount may be adjusted over time, based on the actual performance of the security, its underlying collateral, actual and projected cash flow from such collateral, economic conditions and other factors. If the performance of a security with a credit discount is more favorable than forecasted, a portion of the amount designated as credit discount may be accreted into interest income prospectively. | |
In addition, an other-than-temporary impairment is deemed to have occurred when there is an adverse change in the expected cash flows (principal or interest) to be received and the fair value of the security is less than its carrying amount. In determining whether an adverse change in cash flows occurred, the present value of the remaining cash flows, as estimated at the initial transaction date (or the last date previously revised), is compared to the present value of the expected cash flows at the current reporting date. The estimated cash flows reflect those a "market participant" would use and are discounted at a rate equal to the current yield used to accrete interest income. These adjustments are reflected in the Company's Consolidated Statements of Operations as Other loss on Mortgage-backed securities and other securities. | |
Securities denominated in a foreign currency contain additional risk in that the amortized cost basis for those securities may not be recovered due to declines in currency exchange rates. The Company considers the length of time that the security's fair value has declined due to the decline in foreign exchange rates, when assessing other-than temporary impairment. | |
The determination as to whether an other-than-temporary impairment exists is subject to management estimates based on consideration of both factual information available at the time of assessment as well as the Company's estimates of the future performance and projected amount and timing of cash flows expected to be collected on the security. As a result, the timing and amount of an other-than-temporary impairment constitutes an accounting estimate that may change materially over time. | |
Finally, certain of the Company's MBS and other securities that are in an unrealized loss position at December 31, 2014 are also not considered other-than-temporarily impaired because the Company has no intent to sell these investments, it is more likely than not that the Company will not be required to sell the investment before recovery of its amortized cost basis and the Company is not required to sell the security for regulatory or other reasons. | |
Residential whole-loans | |
The Company records its purchases of residential whole-loans as the amount paid to the seller plus any fees paid or less any fees received. All other costs incurred in connection with acquiring purchased residential whole-loans or committing to purchased residential whole-loans are charged to expense as incurred. The Company amortizes or accretes any premium or discount over the life of the related loan utilizing the effective interest method, using contractual payments terms of the loans. On at least a quarterly basis, the Company evaluates the collectability of both interest and principal of each loan, if circumstances warrant, to determine whether they are impaired. A loan is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. When a loan is impaired, the Company does not record a loss accrual as we have elected the fair value option. However, income recognition is suspended for loans at the earlier of the date at which payments become 90-days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful. When the ultimate collectability of the principal of an impaired loan is in doubt, all payments are applied to principal under the cost recovery method. When the ultimate collectability of the principal of an impaired loan is not in doubt, contractual interest is recorded as interest income when received, under the cash basis method until an accrual is resumed when the loan becomes contractually current and performance is demonstrated to be resumed. A loan is written off when it is no longer realizable and/or legally discharged. | |
Sales of securities | |
Sales of securities are driven by the Company's portfolio management process. The Company seeks to mitigate risks including those associated with prepayments and will opportunistically rotate the portfolio into securities and/or other assets the Company's Manager believes have more favorable attributes. Strategies may also be employed to manage net capital gains, which need to be distributed for tax purposes. Realized gains or losses on sales of securities, including Agency Interest-Only Strips not characterized as derivatives, are included in the net Realized gain (loss) on sale of Mortgage-backed securities and other securities, net line item on the Consolidated Statements of Operations, and are recorded at the time of disposition. Realized gains or losses on sales of securities which are part of a linked transaction are included in Gain (loss) on linked transactions, net while realized gains losses on Interest-Only Strips which are characterized as derivatives are included in Gain (loss) on derivative instruments, net line item in the Consolidated Statements of Operations. The cost of positions sold is calculated using the specific identification method. | |
Securities in an unrealized loss position at the end of each reporting period are evaluated by the Company's Manager to determine whether the Company has the intent to sell such securities. To the extent the Company has no intent as of the end of such reporting period to sell such investments and it is more likely than not that the Company will not be required to sell the investment before recovery of its amortized cost basis, such unrealized loss is included in Unrealized gain (loss) on Mortgage-backed securities, other securities and whole-loans, net in the Consolidated Statements of Operations. Otherwise, when the Company has determined its intent to sell such securities, the unrealized loss is characterized as a realized loss and included in Other loss on Mortgage-backed securities and other securities on the Consolidated Statements of Operations. The Company has no intent to sell any of its investments in an unrealized loss position at December 31, 2014. | |
Foreign currency transactions | |
The Company has and expects to continue to enter into transactions denominated in foreign currency from time to time. At the date the transaction is recognized, the asset and/or liability will be measured and recorded using the exchange rate in effect at the date of the transaction. At each balance sheet date, such foreign currency assets and liabilities are re-measured using the exchange rate in effect at the date of the balance sheet, resulting in unrealized foreign currency gains or losses. Unrealized foreign currency gains or losses on MBS and other securities are recorded in Unrealized gain (loss) on Mortgage-backed securities, other securities and whole-loans, net on the Consolidated Statement of Operations. In addition, the Company evaluates whether an other-than-temporary impairment is deemed to have occurred on MBS and other securities denominated in a foreign currency. Cash flows from MBS and other securities denominated in foreign currencies are received in a foreign currency, and as a result, the Company may incur a loss due to changes in foreign exchange rates even when all contractual cash flows are received. These adjustments are reflected in our Consolidated Statements of Operations as Other loss on Mortgage-backed securities and other securities. Unrealized and realized foreign currency gains or losses on borrowings under repurchase agreements are recorded in Interest income on cash balances and other income (loss), net on the Consolidated Statement of Operations. Interest income from investments denominated in a foreign currency and interest expense on borrowings denominated in a foreign currency are recorded at the average rate of exchange during the period. | |
Variable Interest Entities ("VIEs") | |
VIEs are defined as entities in which equity investors either do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support, are unable to direct the entity's activities or are not exposed to the entity's losses or entitled to its residual returns. VIEs are required to be consolidated by their primary beneficiary. The primary beneficiary of a VIE is determined to be the party that has both the power to direct the activities of a VIE that most significantly impact the VIE's economic performance and the obligation to absorb losses of the VIE that could potentially be significant to the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE. This determination of the requirement to consolidate a VIE and the requirement to disclose information about the Company's involvement in a VIE can sometimes involve complex and subjective analyses. Ongoing assessments of whether an enterprise is the primary beneficiary of a VIE is required. | |
Due from counterparties/Due to counterparties | |
Due from counterparties represents cash posted by the Company with its counterparties as collateral for the Company's interest rate and/or currency derivative financial instruments, repurchase agreements, and TBAs. Due to counterparties represents cash posted with the Company by its counterparties as collateral under the Company's interest rate and/or currency derivative financial instruments, repurchase agreements, and TBAs. In addition, as provided below, Due to counterparties may include non-cash collateral in which the Company has the obligation to return the collateral upon the Company either selling or pledging the non-cash collateral. To the extent the Company receives collateral other than cash from its counterparties such assets are not included in the Company's Consolidated Balance Sheets. Notwithstanding the foregoing, if the Company either rehypothecates such assets or pledges the assets as collateral pursuant to a repurchase agreement, the cash received and the corresponding liability is reflected on the Consolidated Balance Sheets. | |
Derivatives and hedging activities | |
Subject to maintaining its qualification as a REIT for U.S. federal income tax purposes, the Company utilizes derivative financial instruments, including interest rate swaps, interest rate swaptions, mortgage put options, currency forwards, futures contracts, TBAs and Agency and Non-Agency Interest-Only Strips to hedge the interest rate and currency risk associated with its portfolio and related borrowings. Derivatives, subject to REIT requirements, are used for hedging purposes rather than speculation. The Company determines the fair value of its derivative positions and obtains quotations from third parties, including the Chicago Mercantile Exchange or CME, to facilitate the process of determining such fair values. If the Company's hedging activities do not achieve the desired results, reported earnings may be adversely affected. | |
GAAP requires an entity to recognize all derivatives as either assets or liabilities and to measure those instruments at fair value. The accounting for changes in the fair value of derivatives depends on the intended use of the derivative, whether the Company has elected to designate a derivative in a hedging relationship and apply hedge accounting and whether the hedging relationship has satisfied the criteria necessary to apply hedge accounting. Derivatives are classified as either hedges of the fair value of a recognized asset or liability or of an unrecognized firm commitment (fair value hedge) or hedges of a forecasted transaction or the variability of cash flows to be received or paid related to a recognized asset or liability (cash flow hedge). Fair value adjustments are recorded in earnings immediately, if the Company does not elect hedge accounting for a derivative instrument. | |
The Company elected not to apply hedge accounting for its derivative instruments and records the change in fair value, net interest rate swap payments (including accrued amounts) and net currency payments (including accrued amounts) related to interest rate swaps and currency swaps, respectively in Gain (loss) on derivative instruments, net in its Consolidated Statements of Operations. In the Company's Consolidated Statements of Cash Flows, premiums received and paid on termination of its interest rate swaps, excluding interest rate swaps containing an other-than-insignificant financing element and the unamortized premium of MAC interest rate swaps, are included in cash flows from operating activities. On the other hand, proceeds and payments on settlement of swaptions, mortgage put options, futures contracts and TBAs are included in cash flows from investing activities. Proceeds and payments on settlement of forward contracts are reflected in cash flows from financing activities in the Company's Consolidated Statement of Cash Flows. While payments made at the time of entering MAC interest rate swaps are included in cash flows from investing activities, payments received by the Company upon entering MAC interest rate swaps are included in either cash flows from investing activities or cash flows financing activities, depending on whether or not the derivative instrument includes an other-than-insignificant financing element. For MAC interest rate swaps containing an other-than-insignificant financing element, all cash flows over the life of the derivative are treated as cash flows from financing activities. Return and recovery of basis activity for MAC interest rate swaps is included in cash flows from investing activities for swaps not containing an other-than-insignificant financing element in the Company's Consolidated Statement of Cash Flows. For Agency and Non-Agency Interest-Only Strips accounted for as derivatives, the purchase, sale and recovery of basis activity is included with MBS and other securities under cash flows from investing activities in the Company's Consolidated Statement of Cash Flows. | |
The Company also invests in Agency and Non-Agency Interest-Only Strips, interest rate swaptions, currency forwards, futures contracts and TBAs. The Company evaluates the terms and conditions of its holdings of Agency and Non-Agency Interest-Only Strips, interest rate swaptions, currency forwards, futures contracts and TBAs to determine if these instruments have the characteristics of an investment or should be considered a derivative under GAAP. In determining the classification of its holdings of Interest-Only Strips, the Company evaluates the securities to determine if the nature of the cash flows has been altered from that of the underlying mortgage collateral. Generally, Interest-Only Strips for which the security represents a strip off of a mortgage pass through security will be considered a hybrid instrument classified as a MBS investment on the Consolidated Balance Sheets utilizing the fair value option. Alternatively, those Interest-Only Strips, for which the underlying mortgage collateral has been included into a structured security that alters the cash flows from the underlying mortgage collateral, are accounted for as derivatives at fair value. Accordingly, Agency and Non-Agency Interest-Only Strips, interest rate swaptions, currency forwards, futures contracts and TBAs having the characteristics of derivatives are accounted for at fair value with such changes recognized in Gain (loss) on derivative instruments, net in its Consolidated Statements of Operations, along with any interest earned (including accrued amounts). The carrying value of the Agency and Non-Agency Interest-Only Strips, accounted for as derivatives, is included in Mortgage-backed securities on the Consolidated Balance Sheets. The carrying value of interest rate swaptions, currency forwards, futures contracts and TBAs is included in Derivative assets or Derivative liabilities on the Consolidated Balance Sheets. | |
The Company evaluates all of its financial instruments to determine if such instruments are derivatives or contain features that qualify as embedded derivatives. An embedded derivative is separated from the host contact and accounted for separately when all of the guidance criteria are met. Hybrid instruments that are remeasured at fair value through earnings, including the fair value option are not bifurcated. Derivative instruments, including derivative instruments accounted for as liabilities, are recorded at fair value and are re-valued at each reporting date, with changes in the fair value together with interest earned (including accrued amounts) reported in the Gain (loss) on derivatives, net in the Statements of Operations. While accounted for as derivative instruments, linked transactions, including changes in fair value and interest earned (including accrued amounts) are reported separately in our Consolidated Balance Sheets, Consolidated Statements of Operations and Consolidated Statements of Cash Flows. See "Warrants" below. | |
Repurchase agreements | |
Mortgage-backed securities and other securities sold under repurchase agreements are treated as collateralized financing transactions, unless they meet sales treatment. Securities financed through a repurchase agreement remain on the Company's Consolidated Balance Sheets as assets and cash received from the lender is recorded in the Company's Consolidated Balance Sheets as a liability, unless such transaction is accounted for as a linked transaction, described below. Interest payable in accordance with repurchase agreements is recorded as accrued interest payable on the Consolidated Balance Sheets. Interest paid in accordance with repurchase agreements is recorded as interest expense, unless the repurchase agreement is accounted for as a linked transaction, described below. The Company reflects all proceeds from repurchase agreement borrowings and repayment of repurchase agreement borrowings which are not linked transactions, including transactions pertaining to collateral received with respect to certain swap transactions, on a gross basis on the Consolidated Statements of Cash Flows. | |
Linked transactions | |
In instances where the Company acquires a security through a repurchase agreement with the same counterparty from which the security was purchased, the Company evaluates such transaction in accordance with GAAP. This guidance requires that if the initial transfer of a financial asset and repurchase financing are entered into contemporaneously with, or in contemplation of, one another such transaction shall be considered linked unless all of the criteria found in the guidance are met at the inception of the transaction. If the transaction meets all of the conditions, the initial transfer shall be accounted for separately from the repurchase financing, and the Company will record the security and the related financing on a gross basis on its Consolidated Balance Sheets with the corresponding interest income and interest expense in the Consolidated Statements of Operations. If the transaction is determined to be linked, the Company will record the initial transfer and repurchase financing on a net basis and record a forward commitment to purchase the security as a derivative instrument with changes in market value being recorded on the Consolidated Statements of Operations. Such forward commitment is recorded at fair value with subsequent changes in fair value recognized in Gain (loss) on linked transactions, net on its Consolidated Statements of Operations. The Company refers to these transactions as Linked Transactions. When or if a transaction is no longer considered to be linked, the security and related repurchase financing will be reported on a gross basis. The unlinking of a transaction causes a realized event in which the fair value of the security as of the date of unlinking will become the cost basis of the real estate security. The difference between the fair value on the unlinking date and the existing cost basis of the security will be the realized gain or loss. Recognition of effective yield for such security will be calculated prospectively using the new cost basis. For linked transactions, the Company reflects purchases and sales of securities within the investing section of the Consolidated Statements of Cash Flows. Proceeds from repurchase agreements borrowings and repayments of repurchase agreement borrowings are reflected in the financing section of the Consolidated Statements of Cash Flows. Starting in 2015, GAAP will no longer require the segregation and treatment of linked transactions as derivatives. Accordingly, the Company will report such securities and the corresponding repurchase agreement on a gross basis on its Consolidated Balance Sheets and with the corresponding interest income and interest expense reported in its Consolidated Statements of Operations. See "Recent accounting pronouncements" for details. | |
Share-based compensation | |
The Company accounts for share-based compensation to its independent directors, to any employee, to its Manager and to employees of its Manager and its affiliates using the fair value based methodology prescribed by GAAP. Compensation cost related to restricted common stock issued to the Company's independent directors including any such restricted stock which is subject to a deferred compensation program, and any employee of the Company is measured at its fair value at the grant date, and amortized into expense over the service period on a straight-line basis. Compensation cost related to restricted common stock issued to the Manager and to employees of the Manager, including officers of the Company who are employees of the Manager and its affiliates is initially measured at fair value at the grant date, and amortized into expense over the vesting period on a straight-line basis and re-measured on subsequent dates to the extent the awards are unvested. | |
Warrants | |
For the Company's warrants, the Company uses a variation of the adjusted Black-Scholes option valuation model to record the financial instruments at their relative fair values at issuance. The warrants issued with the Company's common stock in the private placement to certain accredited institutional investors on May 15, 2012, were evaluated by the Company and were recorded at their relative fair value as a component of equity at the date of issuance. See "Derivatives and hedging activities" above. | |
Income taxes | |
The Company operates and has elected to be taxed as a REIT commencing with its taxable year ended December 31, 2012. Accordingly, the Company will generally not be subject to corporate U.S. federal or state income tax to the extent that the Company makes qualifying distributions to stockholders, and provided that the Company satisfies, on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, the Company will be subject to U.S. federal, state and local income taxes and may be precluded from qualifying as a REIT for the subsequent four taxable years following the year in which the Company lost its REIT qualification. Accordingly, the failure to qualify as a REIT could have a material adverse impact on the Company's results of operations and amounts available for distribution to stockholders. | |
The dividends paid deduction for qualifying dividends paid to stockholders is computed using the Company's taxable income as opposed to net income reported on the consolidated financial statements. Taxable income, generally, will differ from net income reported on the consolidated financial statements because the determination of taxable income is based on tax provisions and not GAAP. | |
The Company may create and elect to treat certain subsidiaries as Taxable REIT Subsidiaries ("TRS"). In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business. A TRS is subject to U.S. federal, state and local corporate income taxes, and its value may not exceed 25% of the value of the Company. While a TRS may generate net income, a TRS can declare dividends to the Company, which will be included in the Company's taxable income and necessitate a distribution to its stockholders. Conversely, if the Company retains earnings at the TRS level, no distribution is required and it can increase book equity of the consolidated entity. As of December 31, 2014, the Company has a single wholly owned subsidiary which it has jointly elected to be treated as a TRS. | |
The Company evaluates uncertain tax positions, if any, and classifies interest and penalties, if any, related to unrecognized tax benefits, if any, as a component of the provision for income taxes. | |
Offering costs | |
Offering costs borne by the Company in connection with its IPO and concurrent private placement completed on May 15, 2012 as well as its follow-on public stock offering completed on October 3, 2012 and its follow-on public stock offering and concurrent private placement completed on April 9, 2014 (inclusive of the partial exercise of the greenshoe which was completed on May 7, 2014) are reflected as a reduction of additional paid-in-capital. | |
Earnings per share | |
GAAP requires use of the two-class method of computing earnings per share for all periods presented for each class of common stock and participating securities as if all earnings for the period had been distributed. Under the two-class method, during periods of net income, the net income is first reduced for dividends declared on all classes of securities to arrive at undistributed earnings. During periods of net losses, the net loss is reduced for dividends declared on participating securities only if the security has the right to participate in the earnings of the entity and an objectively determinable contractual obligation to share in net losses of the entity. The Company's participating securities are not allocated a share of the net loss as the participating securities do not have a contractual obligation to share in the net losses of the Company. | |
The remaining earnings are allocated to common stockholders and participating securities, to the extent that each security shares in earnings, as if all of the earnings for the period had been distributed. Each total is then divided by the applicable number of shares to arrive at basic earnings per share. For the diluted earnings, the denominator includes all outstanding common shares and all potential common shares assumed issued if they are dilutive. The numerator is adjusted for any changes in income or loss that would result from the assumed conversion of these potential common shares. | |
Comprehensive Income (Loss) | |
The Company has none of the components of comprehensive income (loss) and therefore comprehensive income (loss) is not presented. | |
Accounting standards applicable to emerging growth companies | |
The JOBS Act contains provisions that relax certain requirements for "emerging growth companies", which includes the Company. For as long as the Company is an emerging growth company, which may be up to five full fiscal years, unlike other public companies, the Company will not be required to: (i) comply with any new or revised financial accounting standards applicable to public companies until such standards are also applicable to private companies under Section 102(b)(1) of the JOBS Act; (ii) provide an auditor's attestation report on management's assessment of the effectiveness of the Company's system of internal control over financial reporting pursuant to Section 404 of the Sarbanes-Oxley Act; (iii) comply with any new requirements adopted by the PCAOB requiring mandatory audit firm rotation or a supplement to the auditor's report in which the auditor would be required to provide additional information about the audit and the financial statements of the issuer; or (iv) comply with any new audit rules adopted by the PCAOB after April 5, 2012, unless the SEC determines otherwise. The Company currently take advantage of some of such exemptions. The Company's qualification for remaining an emerging growth company under the five full fiscal years expires on December 31, 2018. However, the Company may no longer qualify sooner if its gross revenues for any year equal $1.0 billion or more, the Company issued more than $1.0 billion in non-convertible debt during the three previous years, or on the date in which the Company is deemed to be a large accelerated filer. | |
As noted above, under the JOBS Act, emerging growth companies can delay adopting new or revised accounting standards that have different effective dates for public and private companies until such time as those standards apply to private companies. The Company intends to take advantage of such extended transition period. Since the Company will not be required to comply with new or revised accounting standards on the relevant dates on which adoption of such standards is required for other public companies, its financial statements may not be comparable to the financial statements of companies that comply with public company effective dates. If the Company were to elect to comply with these public company effective dates, such election would be irrevocable pursuant to Section 107 of the JOBS Act. | |
Recent accounting pronouncements | |
Accounting Standards to be Adopted in Future Periods | |
In April 2014, the Financial Accounting Standards Board issued updated guidance that changes the requirements for reporting discontinued operations. Under the new guidance, a discontinued operation is defined as a disposal of a component of an entity or group of components of an entity that is disposed of or is classified as held for sale and represents a strategic shift that has (or will have) a major effect on an entity's operations and financial results. The guidance is effective prospectively as of the first quarter of 2015, with early adoption permitted for new disposals or new classifications as held-for-sale. The guidance is effective for annual periods beginning on or after December 15, 2014 and interim periods within annual periods beginning on or after December 15, 2015. Early adoption is permitted but only for disposals (or classifications as held for sale) that have not been reported in financial statements previously issued or available for issue. The new guidance is not expected to have a material impact on the Company's consolidated financial statements. | |
In June 2014, the Financial Accounting Standards Board issued guidance that changes the accounting for repurchase-to-maturity transactions and repurchase financing arrangements. The new guidance aligns the accounting for repurchase-to-maturity transactions and repurchase agreements executed as a repurchase financing with the accounting for other typical repurchase agreements. These transactions would all be accounted for as secured borrowings. The guidance eliminates sale accounting for repurchase-to-maturity transactions and supersedes the guidance under which a transfer of a financial asset and a contemporaneous repurchase financing could be accounted for on a combined basis as a forward agreement, which has resulted in outcomes referred to as off-balance-sheet accounting. In addition, the guidance requires additional disclosures. The guidance is effective for the first interim or annual period beginning after December 15, 2014. Earlier application for a public company is prohibited. Certain disclosures under this guidance do not take effect until the first period beginning after March 15, 2015. The Company currently accounts for certain transfers as forward agreements under the existing guidance, which are currently classified as linked transactions. The new guidance will require the Company to record these transfers as secured borrowings. The implementation of the new guidance will result in a cumulative-effect adjustment to retained earnings as of the beginning of the period of adoption. The new guidance is not expected to have a material impact on the Company's consolidated financial statements. | |
In August 2014, the Financial Accounting Standards Board issued guidance that will require an entity's management to evaluate whether there is substantial doubt about an entity's ability to continue as a going concern and to provide related footnote disclosures. According to the new guidance, substantial doubt exists when conditions and events, considered in the aggregate, indicate that it is probable that the entity will be unable to meet its obligations as they become due within one year after the date the financial statements are issued. The term "probable" is used consistently with its current use in U.S. GAAP for loss contingencies. Disclosures will be required if conditions give rise to substantial doubt about the entity's ability to continue as a going concern, including whether management's plans that are intended to mitigate those conditions will alleviate the substantial doubt when implemented. The guidance is effective for annual periods ending after December 15, 2016. Early application is permitted. The Company's first assessment under the new guidance will be completed for the year ending December 31, 2016. | |
In January 2015, the FASB issued guidance to simplify income statement presentation by eliminating the concept of extraordinary items. U.S. GAAP currently requires that a company separately classify, disclose and present extraordinary events and transactions. The guidance eliminates the concept of extraordinary items from U.S. GAAP. Under the existing guidance, an entity is required to separately disclose extraordinary items, net of tax, in the income statement after income from continuing operations if an event or transaction is of an unusual nature and occurs infrequently. This separate, net-of-tax presentation (and corresponding earnings per share impact) will no longer be allowed. The existing requirement to separately present items that are of an unusual nature or occur infrequently on a pre-tax basis within income from continuing operations has been retained. The new guidance also requires similar separate presentation of items that are both unusual and infrequent. The standard is effective for periods beginning after December 15, 2015. Early adoption is permitted, but only as of the beginning of the fiscal year of adoption. Upon adoption, a reporting entity may elect prospective or retrospective application. If adopted prospectively, both the nature and amount of any subsequent adjustments to previously reported extraordinary items must be disclosed. The new guidance is not expected to have a material impact on the Company's consolidated financial statements. | |
In February 2015, the FASB issued guidance to simplify and reduce the number of consolidation models through the elimination of an indefinite deferral for certain entities and by placing more emphasis on risk of loss when determining a controlling financial interest. The guidance affects reporting entities that are required to evaluate whether they should consolidate certain legal entities. All legal entities are subject to reevaluation under the revised consolidation model. The standard is effective for fiscal years, and for interim periods within fiscal years beginning after December 15, 2015. Early adoption is permitted, including adoption in an interim period. If an entity early adopts the amendments in an interim period, any adjustments should be reflected as of the beginning of the fiscal year that includes that interim period. The Company is currently assessing the impact that this guidance will have on its consolidated financial statements when adopted. | |
Fair_Value_of_Financial_Instru
Fair Value of Financial Instruments | 12 Months Ended | |||||||||||||
Dec. 31, 2014 | ||||||||||||||
Fair Value of Financial Instruments | ||||||||||||||
Fair Value of Financial Instruments | ||||||||||||||
Note 4—Fair Value of Financial Instruments | ||||||||||||||
Fair Value Accounting Elections | ||||||||||||||
The Company's MBS and other securities are designated as available-for-sale and the Company has elected the fair value option for all of its MBS and other securities. In addition, the Company has designated its residential whole-loans as held-for-investment and has elected the fair value option and as a result, all changes in the fair value of MBS, other securities and residential whole-loans are reflected in the results of operations. | ||||||||||||||
Financial Instruments carried at Fair Value | ||||||||||||||
The following tables present the Company's financial instruments carried at fair value as of December 31, 2014 and December 31, 2013, based upon the valuation hierarchy (dollars in thousands): | ||||||||||||||
December 31, 2014 | ||||||||||||||
Fair Value | ||||||||||||||
Level I | Level II | Level III | Total | |||||||||||
Assets | ||||||||||||||
Agency RMBS: | ||||||||||||||
20-Year Mortgage | $ | — | $ | 1,120,031 | $ | — | $ | 1,120,031 | ||||||
30-Year Mortgage | — | 1,790,219 | — | 1,790,219 | ||||||||||
Agency RMBS Interest-Only Strips | — | 188,506 | — | 188,506 | ||||||||||
Agency and Non-Agency Interest-Only Strips accounted for as derivatives, included in MBS | — | 83,773 | 4,456 | 88,229 | ||||||||||
Non-Agency RMBS | — | 490,093 | 176,479 | 666,572 | ||||||||||
Agency and Non-Agency CMBS | — | 320,171 | 103,069 | 423,240 | ||||||||||
Other securities | — | 101,523 | 7,403 | 108,926 | ||||||||||
Residential whole-loans | — | — | 7,220 | 7,220 | ||||||||||
| | | | | | | | | | | | | | |
Subtotal | — | 4,094,316 | 298,627 | 4,392,943 | ||||||||||
Derivative assets | 451 | 72,805 | 73,256 | |||||||||||
— | ||||||||||||||
Non-Agency RMBS linked transactions | — | — | 1,596 | 1,596 | ||||||||||
Non-Agency CMBS linked transactions, including Non U.S. | — | — | 16,152 | 16,152 | ||||||||||
Other securities linked transactions | — | — | 2,879 | 2,879 | ||||||||||
| | | | | | | | | | | | | | |
Total | $ | 451 | $ | 4,167,121 | $ | 319,254 | $ | 4,486,826 | ||||||
| | | | | | | | | | | | | | |
Liabilities | ||||||||||||||
Derivative liabilities | $ | 1,191 | $ | 179,089 | $ | — | $ | 180,280 | ||||||
| | | | | | | | | | | | | | |
Total | $ | 1,191 | $ | 179,089 | $ | — | $ | 180,280 | ||||||
| | | | | | | | | | | | | | |
December 31, 2013 | ||||||||||||||
Fair Value | ||||||||||||||
Level I | Level II | Level III | Total | |||||||||||
Assets | ||||||||||||||
Agency RMBS | $ | $ | $ | $ | ||||||||||
20-Year Mortgage | — | 502,926 | — | 502,926 | ||||||||||
30-Year Mortgage | — | 1,694,238 | — | 1,694,238 | ||||||||||
Agency RMBS Interest-Only Strips | — | 162,909 | — | 162,909 | ||||||||||
Agency and Non-Agency Interest-Only Strips accounted for as derivatives, included in MBS | — | 109,235 | — | 109,235 | ||||||||||
Non-Agency RMBS | — | 325,371 | 6,152 | 331,523 | ||||||||||
Agency and Non-Agency CMBS | — | 16,542 | 9,529 | 26,071 | ||||||||||
Other securities | — | 26,685 | — | 26,685 | ||||||||||
| | | | | | | | | | | | | | |
Subtotal | — | 2,837,906 | 15,681 | 2,853,587 | ||||||||||
Derivative assets | — | 105,826 | — | 105,826 | ||||||||||
Non-Agency RMBS linked transactions | — | 18,559 | — | 18,559 | ||||||||||
| | | | | | | | | | | | | | |
Total | $ | — | $ | 2,962,291 | $ | 15,681 | $ | 2,977,972 | ||||||
| | | | | | | | | | | | | | |
Liabilities | ||||||||||||||
Derivative liabilities | $ | — | $ | 4,673 | $ | — | $ | 4,673 | ||||||
| | | | | | | | | | | | | | |
Total | $ | — | $ | 4,673 | $ | — | $ | 4,673 | ||||||
| | | | | | | | | | | | | | |
The following table presents additional information about the Company's financial instruments which are measured at fair value on a recurring basis for which the Company has utilized Level III inputs to determine fair value: | ||||||||||||||
Mortgage-backed securities and other securities | ||||||||||||||
$ in thousands | Year ended | Year ended | Period from May 15, | |||||||||||
December 31, 2014 | December 31, 2013 | 2012 (commencement | ||||||||||||
of operations) through | ||||||||||||||
December 31, 2012 | ||||||||||||||
Beginning balance | $ | 15,681 | $ | — | $ | — | ||||||||
Transfers into Level III from Level II | 118,174 | 9,529 | — | |||||||||||
Transfers out Level III into Level II | (10,732 | ) | — | — | ||||||||||
Purchases | 185,137 | 6,262 | — | |||||||||||
Sales and settlements | (14,649 | ) | — | — | ||||||||||
Principal repayments | (2,283 | ) | — | — | ||||||||||
Total net gains / (losses) included in net income | ||||||||||||||
Realized gains/(losses), net | 184 | — | — | |||||||||||
Other loss on Mortgage-backed securities | (996 | ) | (14 | ) | — | |||||||||
Unrealized gains/(losses), net(1) | 9,051 | (101 | ) | — | ||||||||||
Premium and discount amortization, net | (8,160 | ) | 5 | — | ||||||||||
| | | | | | | | | | | ||||
Ending balance | $ | 291,407 | $ | 15,681 | $ | — | ||||||||
| | | | | | | | | | | ||||
| | | | | | | | | | | ||||
-1 | For Mortgage-backed securities and other securities classified as Level III at December 31, 2014 and December 31, 2013, the Company recorded gross unrealized gains of approximately $9.0 million and $0 and gross unrealized losses of approximately $930 thousand and $101 thousand, respectively. These gains and losses are included in Unrealized gain (loss) on Mortgage-backed securities, other securities and whole-loans, net on the Consolidated Statements of Operations. | |||||||||||||
Residential whole-loans | ||||||||||||||
$ in thousands | Year ended | Year ended | Period from May 15, | |||||||||||
December 31, 2014 | December 31, 2013 | 2012 (commencement | ||||||||||||
of operations) through | ||||||||||||||
December 31, 2012 | ||||||||||||||
Beginning balance | $ | — | $ | — | $ | — | ||||||||
Transfers into Level III from Level II | — | — | — | |||||||||||
Transfers out Level III into Level II | — | — | — | |||||||||||
Purchases | 7,161 | — | — | |||||||||||
Sales and settlements | — | — | — | |||||||||||
Principal repayments | (9 | ) | — | — | ||||||||||
Total net gains / (losses) included in net income | — | — | ||||||||||||
Realized gains/(losses), net | — | — | — | |||||||||||
Other loss on Mortgage-backed securities | — | — | — | |||||||||||
Unrealized gains/(losses), net(1) | 94 | — | — | |||||||||||
Premium and discount amortization, net | (26 | ) | — | — | ||||||||||
| | | | | | | | | | | ||||
Ending balance | $ | 7,220 | $ | — | $ | — | ||||||||
| | | | | | | | | | | ||||
| | | | | | | | | | | ||||
Linked transactions | ||||||||||||||
$ in thousands | Year ended | Year ended | Period from May 15, | |||||||||||
December 31, 2014 | December 31, 2013 | 2012 (commencement | ||||||||||||
of operations) through | ||||||||||||||
December 31, 2012 | ||||||||||||||
Beginning balance | $ | — | $ | — | $ | — | ||||||||
Transfers into Level III from Level II | 10,944 | — | — | |||||||||||
Transfers out Level III into Level II | — | — | — | |||||||||||
Purchases | 10,008 | — | — | |||||||||||
Sales and settlements | — | — | — | |||||||||||
Principal repayments | — | — | — | |||||||||||
Total net gains / (losses) included in net income | — | — | ||||||||||||
Realized gains/(losses), net | 130 | — | — | |||||||||||
Other loss on Mortgage-backed securities | (2 | ) | — | — | ||||||||||
Unrealized gains/(losses), net(1) | (483 | ) | — | — | ||||||||||
Premium and discount amortization, net | 30 | — | — | |||||||||||
| | | | | | | | | | | ||||
Ending balance | $ | 20,627 | $ | — | $ | — | ||||||||
| | | | | | | | | | | ||||
| | | | | | | | | | | ||||
Transfers between hierarchy levels during operations for the years ended December 31, 2014 and December 31, 2013 were based on the availability of sufficient observable inputs to meet Level II versus Level III criteria. The valuation and leveling of these assets were based on information received from a third party pricing service which utilized significant unobservable inputs, along with the back-testing of historical sales transactions performed by the Manager. | ||||||||||||||
The Company primarily utilizes an independent third party pricing service as the main source for valuing the Company's assets. All valuations received from independent pricing services are non-binding. The Company generally receives one independent pricing service price for each investment in its portfolio. The Manager has established a process to review and validate the pricing received from the independent pricing service and has a process for challenging prices received from the independent pricing service when necessary. The Company utilizes its Manager's policies in this regard. The Company's and the Manager's review of the independent third party pricing data may consist of a review of the daily change in the prices provided by the independent pricing vendor which exceed established tolerances or comparisons to executed transaction prices. The Manager's pricing group, which functions independently from its portfolio management personnel, corroborates the price differences or changes in price by comparing the vendor price to alternate sources including other independent pricing services or broker quotations. If the price change or difference cannot be corroborated, the Manager's pricing group consults with the portfolio management team for market color in reviewing such pricing data as warranted. To the extent that the Manager has information, typically in the form of broker quotations that would indicate that a price received from the independent pricing service is outside of a tolerance range, the Manager generally challenges the independent pricing service price. To ensure proper fair value hierarchy, the Company and the Manager review the methodology used by the third party pricing service to understand whether observable market data is being utilized in the vendor's pricing methodology. Generally, this review is conducted annually, however ad-hoc reviews of the pricing methodology and the data does occur. In addition, as part of the Company's regular review of pricing, the Manager's pricing group may have informal discussions with the independent pricing vendor regarding their evaluation methodology or the market data utilized in their determination as well as performing back testing with regard to the sale of certain securities. | ||||||||||||||
Other Fair Value Disclosures | ||||||||||||||
Due from counterparties and Due to counterparties on the Company's Consolidated Balance Sheets are reflected at cost which approximates fair value. | ||||||||||||||
The fair value of the repurchase agreements is based on an expected present value technique. This method discounts future estimated cash flows using rates the Company determined best estimate current market interest rates that would be offered for loans with similar characteristics and credit quality. The use of different market assumptions or estimation methodologies could have a material effect on the fair value amounts. At December 31, 2014, the Company's borrowings under repurchase agreements had a fair value of approximately $3.9 billion and a carrying value of approximately $3.9 billion. Inputs used to arrive at the fair value of the repurchase agreement borrowings are generally observable, and therefore, they would be considered a Level II fair value measurement. | ||||||||||||||
MortgageBacked_Securities_and_
Mortgage-Backed Securities and other securities | 12 Months Ended | ||||||||||||||||||||||||||||
Dec. 31, 2014 | |||||||||||||||||||||||||||||
Mortgage-Backed Securities and other securities | |||||||||||||||||||||||||||||
Mortgage-Backed Securities and other securities | |||||||||||||||||||||||||||||
Note 5—Mortgage-Backed Securities and other securities | |||||||||||||||||||||||||||||
The following tables present certain information about the Company's investment portfolio at December 31, 2014 and December 31, 2013 (dollars in thousands). Real estate securities and other securities that are accounted for as a component of linked transactions are not reflected in the tables set forth in this note. See Note 9 for further details. | |||||||||||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||||||||||
Principal | Unamortized | Discount | Amortized | Unrealized | Estimated | Net | |||||||||||||||||||||||
Balance | Premium | Designated as | Cost | Gain (Loss), | Fair Value | Weighted | |||||||||||||||||||||||
(Discount), | Credit Reserve and | net | Average | ||||||||||||||||||||||||||
net | OTTI | Coupon(1) | |||||||||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||||||||||
20-Year Mortgage | $ | 1,054,864 | $ | 56,616 | $ | — | $ | 1,111,480 | $ | 8,551 | $ | 1,120,031 | 3.6 | % | |||||||||||||||
30-Year Mortgage | 1,657,640 | 127,876 | — | 1,785,516 | 4,703 | 1,790,219 | 4.1 | % | |||||||||||||||||||||
Agency RMBS Interest-Only Strips | N/A | N/A | N/A | 178,162 | 10,344 | 188,506 | 4.00% | -2 | |||||||||||||||||||||
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives(3) | N/A | N/A | N/A | N/A | N/A | 88,229 | 2.90% | -2 | |||||||||||||||||||||
Non-Agency RMBS | 759,068 | 6,941 | (178,883 | ) | 587,126 | 9,791 | 596,917 | 3.6 | % | ||||||||||||||||||||
Non-Agency RMBS Interest-Only Strips | N/A | N/A | N/A | 61,144 | 8,511 | 69,655 | 6.1 | % | |||||||||||||||||||||
Agency and Non-Agency CMBS | 449,617 | (31,216 | ) | (3,124 | ) | 415,277 | 3,848 | 419,125 | 5.3 | % | |||||||||||||||||||
Agency CMBS Interest-Only Strips | N/A | N/A | N/A | 4,017 | 98 | 4,115 | 4.8 | % | |||||||||||||||||||||
Other securities(4) | 102,323 | 699 | — | 110,425 | (1,499 | ) | 108,926 | 4.6 | % | ||||||||||||||||||||
| | | | | | | | | | | | | | | | | | | | | | | |||||||
Total | $ | 4,023,512 | $ | 160,916 | $ | (182,007 | ) | $ | 4,253,147 | $ | 44,347 | $ | 4,385,723 | 4 | % | ||||||||||||||
| | | | | | | | | | | | | | | | | | | | | | | |||||||
| | | | | | | | | | | | | | | | | | | | | | | |||||||
December 31, 2013 | |||||||||||||||||||||||||||||
Principal | Unamortized | Discount | Amortized | Unrealized | Estimated | Net | |||||||||||||||||||||||
Balance | Premium | Designated as | Cost | Gain (Loss), | Fair Value | Weighted | |||||||||||||||||||||||
(Discount), | Credit Reserve and | net | Average | ||||||||||||||||||||||||||
net | OTTI | Coupon(1) | |||||||||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||||||||||
20-Year Mortgage | $ | 504,023 | $ | 28,498 | $ | — | $ | 532,521 | $ | (29,595 | ) | $ | 502,926 | 3.2 | % | ||||||||||||||
30-Year Mortgage | 1,677,863 | 144,356 | — | 1,822,219 | (127,981 | ) | 1,694,238 | 3.8 | % | ||||||||||||||||||||
Agency RMBS Interest-Only Strips | N/A | N/A | N/A | 158,825 | 4,084 | 162,909 | 4.40% | -2 | |||||||||||||||||||||
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives(3) | N/A | N/A | N/A | N/A | N/A | 109,235 | 4.60% | -2 | |||||||||||||||||||||
Non-Agency RMBS | 446,473 | (49,334 | ) | (79,898 | ) | 317,241 | 6,792 | 324,033 | 2.3 | % | |||||||||||||||||||
Non-Agency RMBS Interest-Only Strips | N/A | N/A | N/A | 7,420 | 70 | 7,490 | 5.2 | % | |||||||||||||||||||||
Agency and Non-Agency CMBS | 11,979 | (3,446 | ) | — | 8,533 | 996 | 9,529 | 1.6 | % | ||||||||||||||||||||
CMBS Interest-Only Strips | N/A | N/A | N/A | 16,682 | (140 | ) | 16,542 | 4.70% | -2 | ||||||||||||||||||||
Other securities | 23,510 | 2,110 | — | 25,620 | 1,065 | 26,685 | 6.7 | % | |||||||||||||||||||||
| | | | | | | | | | | | | | | | | | | | | | | |||||||
Total | $ | 2,663,848 | $ | 122,184 | $ | (79,898 | ) | $ | 2,889,061 | $ | (144,709 | ) | $ | 2,853,587 | 3.6 | % | |||||||||||||
| | | | | | | | | | | | | | | | | | | | | | | |||||||
| | | | | | | | | | | | | | | | | | | | | | | |||||||
-1 | Net weighted average coupon as of December 31, 2014 and December 31, 2013 is presented, net of servicing and other fees. | ||||||||||||||||||||||||||||
-2 | Agency and Non-Agency Interest-Only Strips, accounted for as derivatives and CMBS Interest-Only Strips have no principal balances and earn contractual interest based on a notional balance. The notional balance is used solely to determine interest distributions on interest-only class of securities. | ||||||||||||||||||||||||||||
-3 | Interest on these securities is reported as a component of Gain (loss) on derivative instruments, net on the Consolidated Statements of Operations. | ||||||||||||||||||||||||||||
-4 | Other securities includes a residual interest in asset-backed securities which has no principal balance and an amortized cost of approximately $7.4 million. | ||||||||||||||||||||||||||||
As of December 31, 2014 and December 31, 2013 the weighted average expected remaining term to the expected maturity of the MBS and other securities investment portfolio, excluding linked transactions was 6.7 years and 8.5 years, respectively. | |||||||||||||||||||||||||||||
The components of the carrying value of the Company's real estate securities and other securities are as follows: | |||||||||||||||||||||||||||||
December 31, | December 31, | ||||||||||||||||||||||||||||
2014 | 2013 | ||||||||||||||||||||||||||||
Principal balance | $ | 4,023,512 | $ | 2,663,848 | |||||||||||||||||||||||||
Amortized cost of Interest-Only Strips and residual interests | 250,726 | 182,927 | |||||||||||||||||||||||||||
Carrying value of Agency and Non-Agency Interest-Only Strips accounted for as derivatives | 88,229 | 109,235 | |||||||||||||||||||||||||||
Unamortized premium | 218,561 | 183,324 | |||||||||||||||||||||||||||
Unamortized discount | (57,645 | ) | (61,140 | ) | |||||||||||||||||||||||||
Discount designated as Credit Reserve and OTTI | (182,007 | ) | (79,898 | ) | |||||||||||||||||||||||||
Gross unrealized gains | 75,444 | 19,798 | |||||||||||||||||||||||||||
Gross unrealized losses | (31,097 | ) | (164,507 | ) | |||||||||||||||||||||||||
| | | | | | | | ||||||||||||||||||||||
Fair value | $ | 4,385,723 | $ | 2,853,587 | |||||||||||||||||||||||||
| | | | | | | | ||||||||||||||||||||||
| | | | | | | | ||||||||||||||||||||||
The following tables present the changes in the components of the Company's purchase discount and amortizable premium on its Non-Agency RMBS, Non-Agency CMBS and other securities for the years ended December 31, 2014 and December 31, 2013 and for the period from May 15, 2012 (commencement of operations) through December 31, 2012 (dollars in thousands): | |||||||||||||||||||||||||||||
Year ended December 31, 2014 | |||||||||||||||||||||||||||||
Discount Designated as | Accretable Discount(1) | Amortizable Premium(1) | |||||||||||||||||||||||||||
Credit Reserve and | |||||||||||||||||||||||||||||
OTTI | |||||||||||||||||||||||||||||
Balance at beginning of period(2) | $ | (79,898 | ) | $ | (71,295 | ) | $ | 20,625 | |||||||||||||||||||||
Accretion of discount | — | 17,174 | — | ||||||||||||||||||||||||||
Amortization of premium | — | — | (9,135 | ) | |||||||||||||||||||||||||
Realized credit losses | 5,175 | — | — | ||||||||||||||||||||||||||
Purchases | (163,082 | ) | (117,396 | ) | 92,667 | ||||||||||||||||||||||||
Sales | 46,848 | 73,345 | (26,598 | ) | |||||||||||||||||||||||||
Net impairment losses recognized in earnings | (11,959 | ) | — | — | |||||||||||||||||||||||||
Unlinking of Linked Transactions | (13,889 | ) | (297 | ) | 32,132 | ||||||||||||||||||||||||
Transfers/release of credit reserve | 34,798 | (7,335 | ) | (27,463 | ) | ||||||||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
Balance at end of period(3) | $ | (182,007 | ) | $ | (105,804 | ) | $ | 82,228 | |||||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
-1 | Together with coupon interest, accretable purchase discount and amortizable premium is recognized as interest income over the life of the security. | ||||||||||||||||||||||||||||
-2 | The beginning of period balance for accretable discount does not agree to the end of period balance in the December 31, 2013 table since Non-Agency CMBS did not have a discount designated as credit reserve and OTTI for the year ended December 31, 2013; and therefore, the Non-Agency CMBS securities were not included in the table. Non-Agency CMBS is included in the table for December 31, 2014. | ||||||||||||||||||||||||||||
-3 | Subsequent reductions in the non-accretable discount results in a corresponding reduction in the amortizable premium. | ||||||||||||||||||||||||||||
Year ended December 31, 2013 | |||||||||||||||||||||||||||||
Discount Designated as | Accretable Discount(1) | Amortizable Premium | |||||||||||||||||||||||||||
Credit Reserve and | |||||||||||||||||||||||||||||
OTTI | |||||||||||||||||||||||||||||
Balance at beginning of period | $ | (12,659 | ) | $ | (5,523 | ) | $ | 12 | |||||||||||||||||||||
Accretion of discount | — | 10,722 | — | ||||||||||||||||||||||||||
Amortization of premium | — | — | (2,001 | ) | |||||||||||||||||||||||||
Realized credit losses | 541 | — | — | ||||||||||||||||||||||||||
Purchases | (133,242 | ) | (89,697 | ) | 35,416 | ||||||||||||||||||||||||
Sales | 81,144 | 34,894 | (20,709 | ) | |||||||||||||||||||||||||
Net impairment losses recognized in earnings | (550 | ) | — | — | |||||||||||||||||||||||||
Unlinking of Linked Transactions | (21,986 | ) | (6,922 | ) | 3,438 | ||||||||||||||||||||||||
Transfers/release of credit reserve | 6,854 | (11,323 | ) | 4,469 | |||||||||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
Balance of end of period | $ | (79,898 | ) | $ | (67,849 | ) | $ | 20,625 | |||||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
-1 | Together with coupon interest, accretable purchase discount and amortizable premium is recognized as interest income over the life of the security. | ||||||||||||||||||||||||||||
For the period from May 15, 2012 (commencement of operations) through | |||||||||||||||||||||||||||||
December 31, 2012 | |||||||||||||||||||||||||||||
Discount Designated as | Accretable Discount(1) | Amortizable Premium | |||||||||||||||||||||||||||
Credit Reserve and | |||||||||||||||||||||||||||||
OTTI | |||||||||||||||||||||||||||||
Balance at beginning of period | $ | — | $ | — | $ | — | |||||||||||||||||||||||
Accretion of discount | — | 123 | — | ||||||||||||||||||||||||||
Amortization of premium | — | — | — | ||||||||||||||||||||||||||
Realized credit losses | — | — | — | ||||||||||||||||||||||||||
Purchases | (12,659 | ) | (5,634 | ) | — | ||||||||||||||||||||||||
Sales | — | — | — | ||||||||||||||||||||||||||
Net impairment losses recognized in earnings | — | — | — | ||||||||||||||||||||||||||
Unlinking of Linked Transactions | — | — | — | ||||||||||||||||||||||||||
Transfers/release of credit reserve | — | (12 | ) | 12 | |||||||||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
Balance of end of period | $ | (12,659 | ) | $ | (5,523 | ) | $ | 12 | |||||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
-1 | Together with coupon interest, accretable purchase discount and amortizable premium is recognized as interest income over the life of the security. | ||||||||||||||||||||||||||||
The following tables present the fair value and contractual maturities of the Company's investment portfolio at December 31, 2014 and December 31, 2013 (dollars in thousands): | |||||||||||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||||||||||
< or equal to 10 | > 10 years and < or | > 20 years and < or | > 30 years | Total | |||||||||||||||||||||||||
years | equal to 20 years | equal to 30 years | |||||||||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||||||||||
20-Year Mortgage | $ | — | $ | 1,120,031 | $ | — | $ | — | $ | 1,120,031 | |||||||||||||||||||
30-Year Mortgage | — | — | 1,790,219 | — | 1,790,219 | ||||||||||||||||||||||||
Agency RMBS Interest-Only Strips | — | 52,975 | 135,531 | — | 188,506 | ||||||||||||||||||||||||
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives | — | 17,123 | 53,452 | 17,654 | 88,229 | ||||||||||||||||||||||||
Non-Agency RMBS | 22 | 26,632 | 193,852 | 376,411 | 596,917 | ||||||||||||||||||||||||
Non-Agency RMBS Interest-Only Strips | — | — | 30,217 | 39,438 | 69,655 | ||||||||||||||||||||||||
Agency and Non-Agency CMBS | 43,286 | 52,135 | 82,055 | 241,649 | 419,125 | ||||||||||||||||||||||||
Agency CMBS Interest-Only Strips | 4,115 | — | — | — | 4,115 | ||||||||||||||||||||||||
Other securities | 65,128 | — | 36,395 | 7,403 | 108,926 | ||||||||||||||||||||||||
| | | | | | | | | | | | | | | | | |||||||||||||
Total | $ | 112,551 | $ | 1,268,896 | $ | 2,321,721 | $ | 682,555 | $ | 4,385,723 | |||||||||||||||||||
| | | | | | | | | | | | | | | | | |||||||||||||
| | | | | | | | | | | | | | | | | |||||||||||||
December 31, 2013 | |||||||||||||||||||||||||||||
< or equal to 10 | > 10 years and < or | > 20 years and < or | > 30 years | Total | |||||||||||||||||||||||||
years | equal to 20 years | equal to 30 years | |||||||||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||||||||||
20-Year Mortgage | $ | — | $ | 502,926 | $ | — | $ | — | $ | 502,926 | |||||||||||||||||||
30-Year Mortgage | — | — | 1,694,238 | — | 1,694,238 | ||||||||||||||||||||||||
Agency RMBS Interest-Only Strips | — | 61,139 | 101,770 | — | 162,909 | ||||||||||||||||||||||||
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives | — | 22,525 | 86,710 | — | 109,235 | ||||||||||||||||||||||||
Non-Agency RMBS | — | 27,090 | 154,763 | 142,180 | 324,033 | ||||||||||||||||||||||||
Non-Agency RMBS Interest-Only Strips | — | — | 6,158 | 1,332 | 7,490 | ||||||||||||||||||||||||
Agency and Non-Agency CMBS | — | — | 9,529 | — | 9,529 | ||||||||||||||||||||||||
Agency CMBS Interest-Only Strips | — | — | — | 16,542 | 16,542 | ||||||||||||||||||||||||
Other securities | 26,685 | — | — | — | 26,685 | ||||||||||||||||||||||||
| | | | | | | | | | | | | | | | | |||||||||||||
Total | $ | 26,685 | $ | 613,680 | $ | 2,053,168 | $ | 160,054 | $ | 2,853,587 | |||||||||||||||||||
| | | | | | | | | | | | | | | | | |||||||||||||
| | | | | | | | | | | | | | | | | |||||||||||||
The following tables present the gross unrealized losses and estimated fair value of the Company's MBS and other securities by length of time that such securities have been in a continuous unrealized loss position at December 31, 2014 and December 31, 2013: | |||||||||||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||||||||
Fair Value | Unrealized | Number | Fair Value | Unrealized | Number | Fair Value | Unrealized | Number | |||||||||||||||||||||
Losses | of | Losses | of | Losses | of | ||||||||||||||||||||||||
Securities | Securities | Securities | |||||||||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||||||||||
20-Year Mortgage | $ | 1,475 | $ | (10 | ) | 1 | $ | 422,287 | $ | (5,426 | ) | 54 | $ | 423,762 | $ | (5,436 | ) | 55 | |||||||||||
30-Year Mortgage | 2,893 | (93 | ) | 5 | 882,482 | (18,358 | ) | 126 | 885,375 | (18,451 | ) | 131 | |||||||||||||||||
Agency RMBS Interest-Only Strips | 20,756 | (587 | ) | 11 | — | — | — | 20,756 | (587 | ) | 11 | ||||||||||||||||||
Non-Agency RMBS | 112,505 | (1,090 | ) | 20 | 11,564 | (149 | ) | 2 | 124,069 | (1,239 | ) | 22 | |||||||||||||||||
Non-Agency RMBS Interest-Only Strips | 5,081 | (411 | ) | 1 | — | — | — | 5,081 | (411 | ) | 1 | ||||||||||||||||||
Agency and Non-Agency CMBS | 173,139 | (1,716 | ) | 34 | — | — | — | 173,139 | (1,716 | ) | 34 | ||||||||||||||||||
Other securities | 62,345 | (3,257 | ) | 6 | — | — | — | 62,345 | (3,257 | ) | 6 | ||||||||||||||||||
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | $ | 378,194 | $ | (7,164 | ) | 78 | $ | 1,316,333 | $ | (23,933 | ) | 182 | $ | 1,694,527 | $ | (31,097 | ) | 260 | |||||||||||
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
December 31, 2013 | |||||||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||||||||
Fair Value | Unrealized | Number | Fair Value | Unrealized | Number | Fair Value | Unrealized | Number | |||||||||||||||||||||
Losses | of | Losses | of | Losses | of | ||||||||||||||||||||||||
Securities | Securities | Securities | |||||||||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||||||||||
20-Year Mortgage | $ | 395,979 | $ | (21,466 | ) | 52 | $ | 106,947 | $ | (8,129 | ) | 8 | $ | 502,926 | $ | (29,595 | ) | 60 | |||||||||||
30-Year Mortgage | 1,242,871 | (94,688 | ) | 151 | 439,811 | (33,328 | ) | 26 | 1,682,682 | (128,016 | ) | 177 | |||||||||||||||||
Agency Interest-Only Strips | 69,773 | (4,210 | ) | 19 | — | — | — | 69,773 | (4,210 | ) | 19 | ||||||||||||||||||
Non-Agency RMBS | 98,437 | (2,490 | ) | 16 | — | — | — | 98,437 | (2,490 | ) | 16 | ||||||||||||||||||
Agency and Non-Agency CMBS | 16,542 | (140 | ) | 3 | — | — | — | 16,542 | (140 | ) | 3 | ||||||||||||||||||
Other securities | 6,269 | (56 | ) | 2 | — | — | — | 6,269 | (56 | ) | 2 | ||||||||||||||||||
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | $ | 1,829,871 | $ | (123,050 | ) | 243 | $ | 546,758 | $ | (41,457 | ) | 34 | $ | 2,376,629 | $ | (164,507 | ) | 277 | |||||||||||
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At December 31, 2014, the Company did not intend to sell any of its MBS and other securities that were in an unrealized loss position, and it is "more likely than not" that the Company will not be required to sell these MBS and other securities before recovery of their amortized cost basis, which may be at their maturity. | |||||||||||||||||||||||||||||
The Company assesses its Agency MBS, Non-Agency MBS and other securities, excluding Interest-Only Strips, rated AA and higher at the time of purchase for other-than-temporary impairment on at least a quarterly basis. When the fair value of an investment is less than its amortized cost at the balance sheet date of the reporting period for which impairment is assessed, the impairment is designated as either "temporary" or "other-than-temporary." In deciding on whether or not a security is other-than-temporarily impaired, the Company considers several factors, including the nature of the investment, communications (if any) from the trustees of securitizations regarding the credit quality of the security, the severity and duration of the impairment, the cause of the impairment, and the Company's intent not to sell the security and that it is more likely than not that the Company will not be required to sell the security until recovery of its amortized cost. In addition, an other-than-temporary impairment is deemed to have occurred when there is an adverse change in the expected cash flows (principal or interest) to be received and the fair value of the security is less than its carrying amount. In determining whether an adverse change in cash flows occurred, the present value of the remaining cash flows, as estimated at the initial transaction date (or the last date previously revised), is compared to the present value of the expected cash flows at the current reporting date. The estimated cash flows reflect those a "market participant" would use and are discounted at a rate equal to the current yield used to accrete interest income. These adjustments are reflected in the Company's Consolidated Statement of Operations as Other loss on Mortgage-backed securities and other securities. | |||||||||||||||||||||||||||||
For Non-Agency MBS and other securities rated below AA at the time of purchase and Agency and Non-Agency Interest-Only Strips, excluding Interest-Only Strips classified as derivatives, an other-than-temporary impairment is deemed to have occurred when there is an adverse change in the expected cash flows (principal or interest) to be received and the fair value of the beneficial interest is less than its carrying amount. Other than for "plain-vanilla" variable rate Non-Agency MBS the Company does not bifurcate the loss between credit loss and loss attributed to change in interest rates, therefore, the entire loss is recorded as other-than-temporary. These adjustments are reflected in the Company's Consolidated Statement of Operations as Other loss on Mortgage-backed securities and other securities. In determining whether an adverse change in cash flows occurred, the present value of the remaining cash flows, as estimated at the initial transaction date (or the last date previously revised), is compared to the present value of the expected cash flows at the current reporting date. The estimated cash flows reflect those a "market participant" would use and are discounted at a rate equal to the current yield used to accrete interest income. If an other-than-temporary impairment is recognized as a result of this analysis, the yield is maintained at the current accretion rate. The last revised estimated cash flows are then used for future impairment analysis purposes. The Company's prepayment speed estimate is the primary assumption used to determine other-than temporary-impairments for Interest-Only Strips, excluding Agency and Non-Agency Interest-Only Strips accounted for as derivatives, for the years ended December 31, 2014 and December 31, 2013 and for the period from May 15, 2012 (commencement of operations) through December 31, 2012. | |||||||||||||||||||||||||||||
With respect to the Company's portfolio, OTTI is generally recorded when the credit quality of the underlying collateral deteriorates and or the schedule payments are faster than previously projected. The credit deterioration could be as a result of, but not limited to increased projected realized losses, foreclosures, delinquencies and the likelihood of the borrower being able to make payments in the future. Generally, a prepayment occurs when a loan has a higher interest rate relative to current interest rates and lenders are willing to extend credit at the lower current interest rate. The Company recorded other-than-temporary impairments on its portfolio for the years ended December 31, 2014 and December 31, 2013 of approximately $17.0 million and approximately $11.8 million and approximately $3.2 million for the period from May 15, 2012 (commencement of operations) through December 31, 2012, respectively. The Company recorded other-than-temporary-impairments for the years ended December 31, 2014 and December 31, 2013 of approximately $4.7 million and approximately $11.3 million and approximately $3.2 million for the period from May 15, 2012 (commencement of operations) through December 31, 2012, respectively, for Agency IOs, Agency IIOs and 20-year Agency RMBS. The Company recorded approximately $11.3 million and approximately $550 thousand of other-than-temporary impairments for the years ended December 31, 2014 and December 31, 2013 and $0 for the period from May 15, 2012 (commencement of operations) through December 31, 2012, respectively for Non-Agency MBS. The Company recorded approximately $228 thousand and approximately $8 thousand of other-than-temporary-impairments for the years ended December 31, 2014 and December 31, 2013 and $0 for the period from May 15, 2012 (commencement of operations) through December 31, 2012, respectively for Non-Agency CMBS. In addition, the Company recorded approximately $790 thousand and $0 of other-than-temporary-impairments for the years ended December 31, 2014 and December 31, 2013, and $0 for the period from May 15, 2012 (commencement of operations) through December 31, 2012, respectively for other securities. Other-than-temporary-impairments are reported as Other loss on Mortgage-backed securities and other securities in the Company's Consolidated Statement of Operations. | |||||||||||||||||||||||||||||
The Company has made investment in certain Non-Agency RMBS inverse floaters. These securities' coupon rates have an inverse relationship to a benchmark rate. When the benchmark interest rate increases the coupon payment rate will decrease because the benchmark interest rate is deducted from the coupon payment. The Company has generally purchased these securities at a premium. Accelerated prepayments on these bonds could result in an economic loss, as the Company would not recover the upfront premium. The premiums are amortized into income using the effective interest rate method. As of December 31, 2014 and December 31, 2013, the Company held $93.9 million and $22.7 million, respectively, in Non-Agency RMBS inverse floaters. | |||||||||||||||||||||||||||||
The following tables present components of interest income on the Company's MBS and other securities (dollars in thousands): | |||||||||||||||||||||||||||||
For the year ended December 31, 2014 | |||||||||||||||||||||||||||||
Coupon | Net (Premium | Interest | |||||||||||||||||||||||||||
Interest | Amortization/ | Income | |||||||||||||||||||||||||||
Amortization | |||||||||||||||||||||||||||||
Basis) | |||||||||||||||||||||||||||||
Discount | |||||||||||||||||||||||||||||
Amortization | |||||||||||||||||||||||||||||
Agency RMBS | $ | 152,967 | $ | (57,120 | ) | $ | 95,847 | ||||||||||||||||||||||
Non-Agency RMBS | 36,370 | (3,313 | ) | 33,057 | |||||||||||||||||||||||||
Agency and Non-Agency CMBS | 15,894 | (435 | ) | 15,459 | |||||||||||||||||||||||||
Other securities | 3,858 | 857 | 4,715 | ||||||||||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
Total(1) | $ | 209,089 | $ | (60,011 | ) | $ | 149,078 | ||||||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
-1 | Interest income on the Consolidated Statements of Operations includes coupon interest, net premium amortization and interest income of $57 thousand, $(25) thousand and $32 thousand on residential whole-loans, respectively. | ||||||||||||||||||||||||||||
For the year ended December 31, 2013 | |||||||||||||||||||||||||||||
Coupon | Net (Premium | Interest | |||||||||||||||||||||||||||
Interest | Amortization/ | Income | |||||||||||||||||||||||||||
Amortization | |||||||||||||||||||||||||||||
Basis) | |||||||||||||||||||||||||||||
Discount | |||||||||||||||||||||||||||||
Amortization | |||||||||||||||||||||||||||||
Agency RMBS | $ | 172,171 | $ | (60,320 | ) | $ | 111,851 | ||||||||||||||||||||||
Non-Agency RMBS | 4,170 | 8,130 | 12,300 | ||||||||||||||||||||||||||
Agency and Non-Agency CMBS | 544 | (106 | ) | 438 | |||||||||||||||||||||||||
Other securities | 587 | 152 | 739 | ||||||||||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
Total | $ | 177,472 | $ | (52,144 | ) | $ | 125,328 | ||||||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
For the period from May 15, 2012 | |||||||||||||||||||||||||||||
(commencement of operations) | |||||||||||||||||||||||||||||
through December 31, 2012 | |||||||||||||||||||||||||||||
Coupon | Net (Premium | Interest | |||||||||||||||||||||||||||
Interest | Amortization/ | Income | |||||||||||||||||||||||||||
Amortization | |||||||||||||||||||||||||||||
Basis) | |||||||||||||||||||||||||||||
Discount | |||||||||||||||||||||||||||||
Amortization | |||||||||||||||||||||||||||||
Agency RMBS | $ | 80,093 | $ | (26,908 | ) | $ | 53,185 | ||||||||||||||||||||||
Non-Agency RMBS | 10 | 123 | 133 | ||||||||||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
Total | $ | 80,103 | $ | (26,785 | ) | $ | 53,318 | ||||||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
The following tables present the sales of the Company's MBS and other securities (dollars in thousands): | |||||||||||||||||||||||||||||
For the year ended December 31, 2014 | |||||||||||||||||||||||||||||
Proceeds | Gross | Gross | Net | ||||||||||||||||||||||||||
Gains | Losses | Gain (Loss) | |||||||||||||||||||||||||||
Agency RMBS(1) | $ | 1,608,541 | $ | 11,573 | $ | (40,934 | ) | $ | (29,361 | ) | |||||||||||||||||||
Non-Agency RMBS | 414,130 | 20,290 | (993 | ) | 19,297 | ||||||||||||||||||||||||
Agency and Non-Agency CMBS(2) | 172,208 | 2,396 | (22 | ) | 2,374 | ||||||||||||||||||||||||
Other securities | 180,385 | 4,759 | — | 4,759 | |||||||||||||||||||||||||
| | | | | | | | | | | | | | ||||||||||||||||
Total | $ | 2,375,264 | $ | 39,018 | $ | (41,949 | ) | $ | (2,931 | ) | |||||||||||||||||||
| | | | | | | | | | | | | | ||||||||||||||||
-1 | Includes proceeds for Agency Interest-Only Strips, accounted for as derivatives, of approximately $34.2 million, gross realized gains of $439 thousand and gross realized losses of approximately $1.6 million. | ||||||||||||||||||||||||||||
-2 | Includes proceeds for Agency CMBS Interest-Only Strips, accounted for as derivatives, of approximately $3.7 million, gross realized gains of $389 thousand and gross realized losses of $0. | ||||||||||||||||||||||||||||
For the year ended December 31, 2013 | |||||||||||||||||||||||||||||
Proceeds | Gross | Gross | Net | ||||||||||||||||||||||||||
Gains | Losses | Gain (Loss) | |||||||||||||||||||||||||||
Agency RMBS(1) | $ | 3,491,805 | $ | 8,646 | $ | (127,252 | ) | $ | (118,606 | ) | |||||||||||||||||||
Non-Agency RMBS | 114,322 | 5,883 | (376 | ) | 5,507 | ||||||||||||||||||||||||
Other securities | 14,361 | 1,263 | — | 1,263 | |||||||||||||||||||||||||
| | | | | | | | | | | | | | ||||||||||||||||
Total | $ | 3,620,488 | $ | 15,792 | $ | (127,628 | ) | $ | (111,836 | ) | |||||||||||||||||||
| | | | | | | | | | | | | | ||||||||||||||||
-1 | Includes proceeds for Agency Interest-Only Strips, accounted for as derivatives, of approximately $20.4 million and gross realized losses of $1.1 million. | ||||||||||||||||||||||||||||
For the period from May 15, 2012 | |||||||||||||||||||||||||||||
(commencement of operations) | |||||||||||||||||||||||||||||
through December 31, 2012 | |||||||||||||||||||||||||||||
Proceeds | Gross | Gross | Net | ||||||||||||||||||||||||||
Gains | Losses | Gain (Loss) | |||||||||||||||||||||||||||
Agency RMBS(1) | $ | 2,389,472 | $ | 23,169 | $ | (3,434 | ) | $ | 19,735 | ||||||||||||||||||||
Other Securities | 100,854 | 199 | — | 199 | |||||||||||||||||||||||||
| | | | | | | | | | | | | | ||||||||||||||||
Total | $ | 2,490,326 | $ | 23,368 | $ | (3,434 | ) | $ | 19,934 | ||||||||||||||||||||
| | | | | | | | | | | | | | ||||||||||||||||
-1 | Includes proceeds for Agency Interest-Only Strips, accounted for as derivatives, of approximately $18.5 million and gross realized losses of $820 thousand. | ||||||||||||||||||||||||||||
Variable_Interest_Entities
Variable Interest Entities | 12 Months Ended | |||||||||||||||||||
Dec. 31, 2014 | ||||||||||||||||||||
Variable Interest Entities. | ||||||||||||||||||||
Variable Interest Entities | ||||||||||||||||||||
Note 6—Variable Interest Entities | ||||||||||||||||||||
The Company consolidates a VIE when it is determined that the Company is the primary beneficiary of such VIE. The Company determined that it was the primary beneficiary of the trust because it was involved in certain aspects of the design of the trust, d has certain oversight rights on defaulted residential loans and has other significant decision making powers. In addition, the Company has the obligation to absorb losses and right to receive benefits from the trust that could potentially be significant to the trust. The Company assesses modifications to VIEs on an ongoing basis to determine if a significant reconsideration event has occurred that would change the Company's initial consolidation assessment. The consolidated trust includes 19 performing residential whole-loans which had no evidence of deteriorated credit quality upon consolidation. The following table presents a summary of the assets and liabilities of the residential whole-loan trust included in the Consolidated Balance Sheets as of December 31, 2014. Intercompany balances have been eliminated for purposes of this presentation. | ||||||||||||||||||||
December 31, 2014 | ||||||||||||||||||||
Residential whole-loans, at fair value | $ | 7,220 | ||||||||||||||||||
Accrued interest receivable | 40 | |||||||||||||||||||
| | | | | ||||||||||||||||
Total assets | $ | 7,260 | ||||||||||||||||||
| | | | | ||||||||||||||||
| | | | | ||||||||||||||||
Accounts payable and accrued expenses | $ | 153 | ||||||||||||||||||
| | | | | ||||||||||||||||
Total liabilities | $ | 153 | ||||||||||||||||||
| | | | | ||||||||||||||||
| | | | | ||||||||||||||||
The Company's risk with respect to each investment in trust is limited to its direct ownership in the trust. The residential loans held by the consolidated trust are held solely to satisfy the liabilities of the trust, and creditors of the trust have no recourse to the general credit of the Company for the trust certificates issued by the trust. The assets of a consolidated trust can only be used to satisfy the obligations of that trust. The Company is not contractually required and has not provided any additional financial support to the trust for the period ended December 31, 2014. The Company did not deconsolidate any trusts during the year ended December 31, 2014. | ||||||||||||||||||||
The following table presents in the components of the carrying value of residential whole-loans as of December 31, 2014 (in thousands): | ||||||||||||||||||||
December 31, 2014 | ||||||||||||||||||||
Principal balance | $ | 7,034 | ||||||||||||||||||
Unamortized premium | 111 | |||||||||||||||||||
Unamortized discount | (18 | ) | ||||||||||||||||||
Gross unrealized gains | 94 | |||||||||||||||||||
Gross unrealized losses | (1 | ) | ||||||||||||||||||
| | | | | ||||||||||||||||
Fair value | $ | 7,220 | ||||||||||||||||||
| | | | | ||||||||||||||||
| | | | | ||||||||||||||||
The following table presents certain information about the Company's residential whole-loans investment portfolio at December 31, 2014: | ||||||||||||||||||||
Current Coupon Rate | Number of | Principal | Weighted | Weighted | Weighted | Weighted | ||||||||||||||
Loans | Balance | Average | Average | Average | Average | |||||||||||||||
Loan to | FICO Score | Life to | Coupon Rate | |||||||||||||||||
Value | Maturity | |||||||||||||||||||
(years) | ||||||||||||||||||||
4.01 - 5.00% | 5 | $ | 3,387 | 63.8 | % | 744 | 4.2 | 4.8 | % | |||||||||||
5.01 - 6.00% | 3 | 1,001 | 74.0 | % | 742 | 3.0 | 5.8 | % | ||||||||||||
6.01 - 7.00% | 7 | 2,044 | 70.6 | % | 713 | 4.1 | 6.6 | % | ||||||||||||
7.01 - 8.00% | 3 | 381 | 66.6 | % | 669 | 4.4 | 7.3 | % | ||||||||||||
8.01 - 9.00% | 1 | 221 | 75.0 | % | 665 | 2.1 | 8.5 | % | ||||||||||||
| | | | | | | | | | | | | | | | | | | | |
Total | 19 | $ | 7,034 | 67.7 | % | 728 | 3.9 | 5.7 | % | |||||||||||
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
The following table presents the U.S. states represented in residential whole-loans at December 31, 2014 based on principal balance: | ||||||||||||||||||||
State | Principal | |||||||||||||||||||
Concentration | Balance | |||||||||||||||||||
California | 58.1 | % | $ | 4,085 | ||||||||||||||||
Florida | 23.8 | 1,675 | ||||||||||||||||||
West Virginia | 9.2 | 649 | ||||||||||||||||||
New Jersey | 4.7 | 327 | ||||||||||||||||||
Virginia | 2.1 | 149 | ||||||||||||||||||
Pennsylvania | 2.1 | 149 | ||||||||||||||||||
| | | | | | | | |||||||||||||
Total | 100.0 | % | $ | 7,034 | ||||||||||||||||
| | | | | | | | |||||||||||||
| | | | | | | | |||||||||||||
Borrowings_under_Repurchase_Ag
Borrowings under Repurchase Agreements | 12 Months Ended | ||||||||||
Dec. 31, 2014 | |||||||||||
Borrowings under Repurchase Agreements | |||||||||||
Borrowings under Repurchase Agreements | |||||||||||
Note 7—Borrowings under Repurchase Agreements | |||||||||||
As of December 31, 2014, the Company had master repurchase agreements with 24 counterparties. As of December 31, 2014, the Company had borrowings under repurchase agreements with 21 counterparties, excluding borrowings for linked transactions. One of the Company's existing repurchase agreement counterparties and its affiliate has communicated their intention to exit the repurchase market in 2015. At December 31, 2014 the Company had $52.3 million outstanding with these counterparties. The following tables summarize certain characteristics of the Company's repurchase agreements at December 31, 2014 and December 31, 2013 (dollars in thousands): | |||||||||||
December 31, 2014 | |||||||||||
Securities Pledged | Repurchase | Weighted Average | Weighted Average | ||||||||
Agreement | Interest Rate on | Remaining Maturity | |||||||||
Borrowings | Borrowings | (days) | |||||||||
Outstanding at end | |||||||||||
of period | |||||||||||
Agency RMBS | $ | 2,994,351 | 0.40 | % | 32 | ||||||
Non-Agency RMBS | 473,942 | 1.54 | % | 49 | |||||||
Agency and Non-Agency CMBS | 325,864 | 1.55 | % | 29 | |||||||
Other securities(1) | 81,564 | 1.55 | % | 34 | |||||||
| | | | | | | | | | | |
Total | $ | 3,875,721 | 0.66 | % | 34 | ||||||
| | | | | | | | | | | |
| | | | | | | | | | | |
-1 | Other securities includes repurchase agreement borrowings of $4.9 million on residential whole-loans owned through trust certificates. The trust certificates are eliminated upon consolidation. | ||||||||||
December 31, 2013 | |||||||||||
Securities Pledged | Repurchase | Weighted Average | Weighted Average | ||||||||
Agreement | Interest Rate on | Remaining Maturity | |||||||||
Borrowings | Borrowings | (days) | |||||||||
Outstanding at end | |||||||||||
of period | |||||||||||
Agency RMBS | $ | 2,331,276 | 0.43 | % | 24 | ||||||
Non-Agency RMBS | 208,923 | 1.71 | % | 14 | |||||||
Agency and Non-Agency CMBS | 17,544 | 1.33 | % | 58 | |||||||
Other securities | 21,324 | 1.68 | % | 52 | |||||||
| | | | | | | | | | | |
Total | $ | 2,579,067 | 0.55 | % | 24 | ||||||
| | | | | | | | | | | |
| | | | | | | | | | | |
For the years ended December 31, 2014 and December 31, 2013, the Company had average borrowings under its repurchase agreements of approximately $3.7 billion and $3.8 billion, respectively, had a maximum month-end balance during the period of approximately $4.2 billion and $4.8 billion, respectively. The Company had accrued interest payable at December 31, 2014 and December 31, 2013 of approximately $3.4 million and $1.7 million, respectively. In addition, at December 31, 2014, the Company had entered into repurchase agreement borrowings of approximately $69.2 million, which settled between January 2, 2015 and January 5, 2015, with a weighted average interest rate of 1.35%, a weighted average contractual maturity of 67 days and secured by collateral of approximately $104.0 million. | |||||||||||
The repurchase agreements bear interest at a contractually agreed-upon rate and typically have terms ranging from one month to three months. The Company's repurchase agreement borrowings are accounted for as secured borrowings when the Company maintains effective control of the financed assets. Under the repurchase agreements, the respective lender retains the right to determine the fair value of the underlying collateral. A reduction in the value of pledged assets requires the Company to post additional securities as collateral, pay down borrowings or establish cash margin accounts with the counterparties in order to re-establish the agreed-upon collateral requirements, and is referred to as a margin call. The inability of the Company to post adequate collateral for a margin call by the counterparty, in a timeframe as short as the close of the same business day, could result in a condition of default under the Company's repurchase agreements, thereby enabling the counterparty to liquidate the collateral pledged by the Company, which may have a material adverse effect on the Company's financial position, results of operations and cash flows. During 2013, the volatility in both the Agency and Non-Agency MBS markets necessitated the Company being required to post additional collateral with respect to its repurchase agreements. The Company was able to satisfy the requirement for incremental collateral by utilizing unpledged assets, cash on hand and reducing its overall leverage. In addition, during 2014 and 2013, the Company also rehypothecated pledged U.S. Treasury securities it received from its repurchase agreement and interest rate swap counterparties as incremental collateral in order to increase the Company's cash position. The maximum amount of repurchase borrowings for the rehypothecated securities was $3.3 million and $130.7 million during the years ended December 31, 2014 and December 31, 2013, respectively. At December 31, 2014 and December 31, 2013, the Company did not have any rehypothecated U.S. Treasury securities. | |||||||||||
A return of such volatility in these markets may create additional stress on the overall liquidity of the Company due to the long-term nature of its assets and the short-term nature of its liabilities. In an instance of severe volatility, or where the additional stress on liquidity resulting from volatility is sustained over an extended period of time, the Company could be required to sell securities, possibly even at a loss, to generate sufficient liquidity to satisfy collateral and margin requirements which could have a material adverse effect on the Company's financial position, results of operations and cash flows. All of the Company's repurchase agreement counterparties are either U.S. financial institutions or the U.S. broker-dealer subsidiaries of foreign financial institutions. | |||||||||||
Further, if the Company is unable to renew, replace or expand repurchase financing with other sources of financing on substantially similar terms it may have a material adverse effect on the Company's financial position, results of operations and cash flow, due to the long term nature of the Company's investments and relatively short-term maturities of the Company's repurchase agreements. Certain of the repurchase agreements provide the counterparty with the right to terminate the agreement if the Company does not maintain certain equity and leverage metrics, the most restrictive of which include a limit on leverage based on the composition of the Company's portfolio. The Company was in compliance with the terms of such financial tests as of December 31, 2014. | |||||||||||
At December 31, 2014 and December 31, 2013, repurchase agreements collateralized by MBS and other securities had the following remaining maturities: | |||||||||||
(dollars in thousands) | December 31, 2014 | December 31, 2013 | |||||||||
Overnight | $ | — | $ | 323,025 | |||||||
1 to 29 days | 2,034,282 | 1,393,356 | |||||||||
30 to 59 days | 1,302,439 | 799,391 | |||||||||
60 to 89 days | 484,109 | 63,295 | |||||||||
90 to 119 days | 40,127 | — | |||||||||
Greater than or equal to 120 days | 14,764 | — | |||||||||
| | | | | | | | ||||
Total | $ | 3,875,721 | $ | 2,579,067 | |||||||
| | | | | | | | ||||
| | | | | | | | ||||
As discussed in Note 3, for any transactions determined to be linked, the initial transfer and repurchase financing will be recorded as a forward commitment to purchase assets. At December 31, 2014, the Company had repurchase agreements of approximately $31.9 million that were accounted for as linked transactions. At December 31, 2013, the Company had repurchase agreements of approximately $61.2 million that were accounted for as linked transactions. Linked repurchase agreements are not included in the tables above. See Note 9 for details. | |||||||||||
At December 31, 2014, the following table reflects amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty, including linked transactions. | |||||||||||
December 31, 2014 (dollars in thousands) | |||||||||||
Counterparty | Amount Collateral | Weighted Average | Percentage of | ||||||||
at Risk, at fair | Remaining | Stockholders' | |||||||||
value | Maturity (days) | Equity | |||||||||
Royal Bank of Canada | $ | 100,906 | 55 | 16.2 | % | ||||||
Credit Suisse Securities (USA) LLC | 86,009 | 25 | 13.8 | ||||||||
Collateral_Positions
Collateral Positions | 12 Months Ended | ||||||||||
Dec. 31, 2014 | |||||||||||
Collateral Positions | |||||||||||
Collateral Positions | |||||||||||
Note 8—Collateral Positions | |||||||||||
The following tables summarize the Company's collateral positions, with respect to its borrowings under repurchase agreements, derivatives and clearing margin account at December 31, 2014 and December 31, 2013 (dollars in thousands): | |||||||||||
December 31, 2014 | |||||||||||
Assets | Accrued | Fair Value of | |||||||||
Pledged-Fair | Interest | Assets Pledged | |||||||||
Value | and Accrued | ||||||||||
Interest | |||||||||||
Assets pledged for borrowings under repurchase agreements: | |||||||||||
Agency RMBS | $ | 3,158,544 | $ | 12,685 | $ | 3,171,229 | |||||
Non-Agency RMBS | 670,526 | 1,511 | 672,037 | ||||||||
Agency and Non-Agency CMBS | 431,938 | 2,077 | 434,015 | ||||||||
Other securities(1) | 108,743 | 184 | 108,887 | ||||||||
Cash(2) | 25,727 | — | 25,727 | ||||||||
Cash collateral for derivatives(2): | 159,030 | — | 159,030 | ||||||||
| | | | | | | | | | | |
Total | $ | 4,554,508 | $ | 16,457 | $ | 4,570,925 | |||||
| | | | | | | | | | | |
| | | | | | | | | | | |
December 31, 2013 | |||||||||||
Assets | Accrued | Fair Value of | |||||||||
Pledged-Fair | Interest | Assets Pledged | |||||||||
Value | and Accrued | ||||||||||
Interest | |||||||||||
Assets pledged for borrowings under repurchase agreements: | |||||||||||
Agency RMBS | $ | 2,463,347 | $ | 10,453 | $ | 2,473,800 | |||||
Non-Agency RMBS | 305,318 | 417 | 305,735 | ||||||||
Agency and Non-Agency CMBS | 23,597 | 159 | 23,756 | ||||||||
Other securities | 26,685 | 26 | 26,711 | ||||||||
Cash(2) | 32,597 | — | 32,597 | ||||||||
Cash collateral for derivatives(2): | 22,837 | — | 22,837 | ||||||||
| | | | | | | | | | | |
Total | $ | 2,874,381 | $ | 11,055 | $ | 2,885,436 | |||||
| | | | | | | | | | | |
| | | | | | | | | | | |
1) | Other securities include the fair value of residential whole-loans owned through trust certificates pledged of $7.2 million. | ||||||||||
2) | Cash posted as collateral is included in Due from counterparties on the Company's Consolidated Balance Sheets. | ||||||||||
A reduction in the value of pledged assets typically results in the repurchase agreement counterparties, derivative counterparties and clearing margin counterparties initiating a daily margin call. At December 31, 2014 and December 31, 2013, MBS and other securities held by counterparties as security for repurchase agreements totaled approximately $4.4 billion and approximately $2.8 billion, respectively. Cash collateral held by counterparties at December 31, 2014 and December 31, 2013 was approximately $184.8 million and $55.4 million, respectively. Cash posted by counterparties at December 31, 2014 and December 31, 2013, was approximately $12.2 million and $65.9 million, respectively. In addition, at December 31, 2014 and December 31, 2013, the Company held securities of approximately $530 thousand and $0, respectively, received as collateral from its repurchase agreement counterparties to satisfy margin requirements. The Company has the ability to repledge collateral received from its repurchase counterparties. | |||||||||||
Derivative_Instruments
Derivative Instruments | 12 Months Ended | ||||||||||||||||||||
Dec. 31, 2014 | |||||||||||||||||||||
Derivative Instruments | |||||||||||||||||||||
Derivative Instruments | |||||||||||||||||||||
Note 9—Derivative Instruments | |||||||||||||||||||||
The Company's derivatives currently include interest rate swaps ("interest rate swaps"), interest rate swaptions, TBAs, currency swaps and forwards, linked transactions, Agency and Non-Agency Interest-Only Strips that are classified as derivatives, and options. | |||||||||||||||||||||
Interest rate swaps and interest rate swaptions | |||||||||||||||||||||
The Company is exposed to certain risks arising from both its business operations and economic conditions. Specifically, the Company's primary source of debt funding is repurchase agreements and the Company enters into derivative financial instruments to manage exposure to variable cash flows on portions of its borrowings under those repurchase agreements. Since the interest rates on repurchase agreements typically change with market interest rates such as LIBOR, the Company is exposed to constantly changing interest rates, which accordingly affects cash flows associated with these rates on its borrowings. To mitigate the effect of changes in these interest rates, the Company enters into interest rate swap agreements which help to mitigate the volatility in the interest rate exposures and their related cash flows. Interest rate swaps generally involve the receipt of variable-rate amounts from a counterparty in exchange for the Company making fixed-rate payments over the life of the interest rate swap without exchange of the underlying notional amount. Notwithstanding the foregoing, in order to manage its hedge position with regard to its liabilities, the Company on occasion will enter into interest rate swaps which involve the receipt of fixed-rate amounts from a counterparty in exchange for the Company making variable-rate payments over the life of the interest rate swap without exchange of the underlying notional amount. The Company also enters into forward starting swaps and interest rate swaptions to help mitigate the effects of increases in interest rates on a portion of its borrowings under repurchase agreements. Interest rate swaptions provide the Company the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. On occasion the Company may enter into a MAC interest rate swap in which it may receive or make a payment at the time of entering such interest rate swap to compensate for the out of the market nature of such interest rate swap. Similar to all other interest rate swaps, these interest rate swaps are also subject to margin requirements previously described. | |||||||||||||||||||||
While the Company has not elected to account for its interest rate swap derivative instruments as "hedges" under GAAP, it does not use interest rate swaps and swaptions for speculative purposes, but rather uses such instruments to manage interest rate risk and views them as economic hedges. Changes in the fair value of derivatives not designated in hedging relationships are recorded directly in earnings together with periodic net interest settlement amounts. | |||||||||||||||||||||
The Company's interest rate swaps, interest rate swaptions, currency swaps and forwards, futures contracts, TBA derivative instruments, options and linked transactions consisted of the following at December 31, 2014 and December 31, 2013 (dollars in thousands): | |||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||
Derivative Instrument | Designation | Consolidated Balance Sheets | Notional | Fair | Accrued | ||||||||||||||||
Location | Amount | Value, excluding | Interest | ||||||||||||||||||
accrued interest | Payable | ||||||||||||||||||||
(receivable) | |||||||||||||||||||||
Interest rate swaps, assets | Non-Hedge | Derivative assets, at fair value | $ | 3,283,100 | $ | 51,170 | $ | (6,718 | ) | ||||||||||||
Interest rate swaptions, assets | Non-Hedge | Derivative assets, at fair value | 105,000 | 178 | — | ||||||||||||||||
Futures contracts, assets | Non-Hedge | Derivative assets, at fair value | 592,000 | 451 | — | ||||||||||||||||
Foreign currency swaps, asset | Non-Hedge | Derivative assets, at fair value | 25,160 | 3,857 | — | ||||||||||||||||
Foreign currency forward contracts, asset | Non-Hedge | Derivative assets, at fair value | 23,822 | 143 | — | ||||||||||||||||
TBA securities, assets | Non-Hedge | Derivative assets, at fair value | 2,915,000 | 17,457 | — | ||||||||||||||||
| | | | | | | | | | | | | | | |||||||
Total derivative instruments, assets | 73,256 | (6,718 | ) | ||||||||||||||||||
| | | | | | | | | | | | | | | |||||||
Interest rate swaps, liability | Non-Hedge | Derivative liability, at fair value | 4,648,870 | (166,288 | ) | 11,490 | |||||||||||||||
Futures contract, liability | Non-Hedge | Derivative liability, at fair value | 592,000 | (1,191 | ) | — | |||||||||||||||
Foreign currency forward contracts, liability | Non-Hedge | Derivative liability, at fair value | 33,560 | (446 | ) | — | |||||||||||||||
TBA securities, liabilities | Non-Hedge | Derivative liability, at fair value | 2,590,000 | (12,355 | ) | — | |||||||||||||||
| | | | | | | | | | | | | | | |||||||
Total derivative instruments, liabilities | (180,280 | ) | 11,490 | ||||||||||||||||||
| | | | | | | | | | | | | | | |||||||
Linked transactions(1) | Non-Hedge | Linked transactions, net, at fair value | 54,117 | 20,627 | (400 | ) | |||||||||||||||
| | | | | | | | | | | | | | | |||||||
Total derivative instruments | $ | (86,397 | ) | $ | 4,372 | ||||||||||||||||
| | | | | | | | | | | | | | | |||||||
-1 | Notional amount represents the current face of the securities comprising the linked transactions. | ||||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||
Derivative Instrument | Designation | Consolidated Balance Sheets | Notional | Fair | Accrued | ||||||||||||||||
Location | Amount | Value, excluding | Interest | ||||||||||||||||||
accrued interest | Payable | ||||||||||||||||||||
Interest rate swaps, assets | Non-Hedge | Derivative assets, at fair value | $ | 2,135,950 | $ | 94,614 | $ | 9,994 | |||||||||||||
Interest rate swaptions, assets | Non-Hedge | Derivative assets, at fair value | 2,200,000 | 11,177 | — | ||||||||||||||||
TBA securities, assets | Non-Hedge | Derivative assets, at fair value | 13,600 | 35 | — | ||||||||||||||||
| | | | | | | | | | | | | | | |||||||
Total derivative instruments, assets | 105,826 | 9,994 | |||||||||||||||||||
| | | | | | | | | | | | | | | |||||||
Interest rate swaps, liability | Non-Hedge | Derivative liability, at fair value | 678,900 | (3,202 | ) | (26 | ) | ||||||||||||||
Interest rate swaptions, liability | Non-Hedge | Derivative liability, at fair value | 100,000 | (264 | ) | — | |||||||||||||||
TBA securities, liabilities | Non-Hedge | Derivative liability, at fair value | 176,400 | (1,207 | ) | — | |||||||||||||||
| | | | | | | | | | | | | | | |||||||
Total derivative instruments, liabilities | (4,673 | ) | (26 | ) | |||||||||||||||||
| | | | | | | | | | | | | | | |||||||
Linked transactions(1) | Non-Hedge | Linked transactions, net, at fair value | 56,028 | 18,559 | (207 | ) | |||||||||||||||
| | | | | | | | | | | | | | | |||||||
Total derivative instruments | $ | 119,712 | $ | 9,761 | |||||||||||||||||
| | | | | | | | | | | | | | | |||||||
-1 | Notional amount represents the current face of the securities comprising the linked transactions. | ||||||||||||||||||||
The following tables summarize the average fixed pay rate and average maturity for the Company's interest rate swaps as of December 31, 2014 and December 31, 2013 (excludes interest rate swaptions) (dollars in thousands): | |||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||
Remaining Interest Rate Swap Term | Notional | Fair Value—Asset | Average Fixed Pay | Average | Forward | ||||||||||||||||
Amount | (Liability), net | Rate | Maturity | Starting | |||||||||||||||||
(Years) | |||||||||||||||||||||
1 year or less | $ | 89,300 | $ | (111 | ) | 0.5 | % | 0.9 | — | % | |||||||||||
Greater than 1 year and less than 3 years | 1,972,300 | (733 | ) | 0.8 | 1.8 | 20.3 | |||||||||||||||
Greater than 3 years and less than 5 years | 603,000 | (4,597 | ) | 1.8 | 4.2 | — | |||||||||||||||
Greater than 5 years | 3,103,770 | (156,952 | ) | 2.8 | 9.4 | 63.1 | |||||||||||||||
| | | | | | | | | | | | | | | | | |||||
Total | $ | 5,768,370 | $ | (162,393 | ) | 2 | % | 6.2 | 40.9 | % | |||||||||||
| | | | | | | | | | | | | | | | | |||||
| | | | | | | | | | | | | | | | | |||||
December 31, 2013 | |||||||||||||||||||||
Remaining Interest Rate Swap Term | Notional | Fair Value—Asset | Average Fixed Pay | Average | Forward | ||||||||||||||||
Amount | (Liability), net | Rate | Maturity | Starting | |||||||||||||||||
(Years) | |||||||||||||||||||||
1 year or less | $ | 215,900 | $ | (141 | ) | 0.4 | % | 0.8 | — | % | |||||||||||
Greater than 1 year and less than 3 years | 179,100 | (216 | ) | 0.5 | 1.9 | — | |||||||||||||||
Greater than 3 years and less than 5 years | 574,200 | 5,630 | 1.3 | 4.4 | — | ||||||||||||||||
Greater than 5 years | 1,718,650 | 87,857 | 2.4 | 10.8 | 28.6 | ||||||||||||||||
| | | | | | | | | | | | | | | | | |||||
Total | $ | 2,687,850 | $ | 93,130 | 1.9 | % | 8 | 18.3 | % | ||||||||||||
| | | | | | | | | | | | | | | | | |||||
| | | | | | | | | | | | | | | | | |||||
The Company has entered into swaps to effectively fix the interest rate (for the life of the swap); net of variable-rate payment swaps, of approximately $1.4 billion of borrowings under its repurchase agreements, excluding forward starting swaps of $2.2 billion. | |||||||||||||||||||||
The following tables summarize the average variable pay-rate and average maturity for the Company's interest rate swaps as of December 31, 2014 and December 31, 2013 (excludes interest rate swaptions) (dollars in thousands): | |||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||
Remaining Interest Rate swap Term | Notional | Fair Value—Asset | Average Variable Pay | Average | Forward | ||||||||||||||||
Amount | (Liability), net | Rate | Maturity | Starting | |||||||||||||||||
(Years) | |||||||||||||||||||||
Greater than 1 years and less than 3 years | $ | 220,000 | $ | (164 | ) | 0.2 | % | 2 | — | % | |||||||||||
Greater than 3 years and less than 5 years | 634,000 | 2,210 | 0.2 | 4.5 | — | ||||||||||||||||
Greater than 5 years | 1,309,600 | 45,229 | 0.2 | 12.1 | 8.4 | ||||||||||||||||
| | | | | | | | | | | | | | | | | |||||
Total | $ | 2,163,600 | $ | 47,275 | 0.2 | % | 8.8 | 5.1 | % | ||||||||||||
| | | | | | | | | | | | | | | | | |||||
| | | | | | | | | | | | | | | | | |||||
December 31, 2013 | |||||||||||||||||||||
Remaining Interest Rate swap Term | Notional | Fair Value—Asset | Average Variable Pay | Average | Forward | ||||||||||||||||
Amount | (Liability), net | Rate | Maturity | Starting | |||||||||||||||||
(Years) | |||||||||||||||||||||
Greater than 3 years and less than 5 years | $ | 81,000 | $ | (475 | ) | 0.2 | % | 4.8 | — | % | |||||||||||
Greater than 5 years | 46,000 | (1,243 | ) | 0.2 | 24.1 | — | |||||||||||||||
| | | | | | | | | | | | | | | | | |||||
Total | $ | 127,000 | $ | (1,718 | ) | 0.2 | % | 11.8 | — | % | |||||||||||
| | | | | | | | | | | | | | | | | |||||
| | | | | | | | | | | | | | | | | |||||
The Company's agreements with certain of its bilateral interest rate swap counterparties may be terminated at the option of the counterparty, settled at fair value, if the Company does not maintain certain equity and leverage metrics, the most restrictive of which contain provisions which become more restrictive based upon portfolio composition. Through December 31, 2014, the Company was in compliance with the terms of such financial tests. | |||||||||||||||||||||
The following tables present information about the Company's interest rate swaptions as of December 31, 2014 and December 31, 2013 (dollars in thousands): | |||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||
Option | Underlying Swap | ||||||||||||||||||||
Fixed-Pay Rate for Underlying Swap | Fair Value | Weighted | Notional | Weighted | |||||||||||||||||
Average | Amount | Average Swap | |||||||||||||||||||
Months Until | Term (Years) | ||||||||||||||||||||
Option | |||||||||||||||||||||
Expiration | |||||||||||||||||||||
2.26 - 2.50% | $ | 178 | 17.8 | $ | 105,000 | 1.0 | |||||||||||||||
| | | | | | | | | | | | | | ||||||||
$ | 178 | 17.8 | $ | 105,000 | 1.0 | ||||||||||||||||
| | | | | | | | | | | | | | ||||||||
| | | | | | | | | | | | | | ||||||||
December 31, 2013 | |||||||||||||||||||||
Option | Underlying Swap | ||||||||||||||||||||
Fixed-Pay Rate for Underlying Swap | Fair Value | Weighted | Notional | Weighted | |||||||||||||||||
Average | Amount | Average Swap | |||||||||||||||||||
Months Until | Term (Years) | ||||||||||||||||||||
Option | |||||||||||||||||||||
Expiration | |||||||||||||||||||||
2.51 - 2.75% | $ | 1,889 | 4.4 | $ | 150,000 | 7.0 | |||||||||||||||
2.76 - 3.00% | 2,762 | 4.3 | 250,000 | 7.0 | |||||||||||||||||
3.01 - 3.25% | 1,192 | 4.6 | 1,500,000 | 10.0 | |||||||||||||||||
3.26 - 3.50% | 971 | 4.0 | 100,000 | 10.0 | |||||||||||||||||
3.51 - 3.75% | 4,363 | 9.6 | 200,000 | 10.0 | |||||||||||||||||
| | | | | | | | | | | | | | ||||||||
$ | 11,177 | 5.0 | $ | 2,200,000 | 9.5 | ||||||||||||||||
| | | | | | | | | | | | | | ||||||||
| | | | | | | | | | | | | | ||||||||
December 31, 2013 | |||||||||||||||||||||
Option | Underlying Swap | ||||||||||||||||||||
Fixed-Receive Rate for Underlying Swap | Fair Value | Weighted | Notional | Weighted | |||||||||||||||||
Average | Amount | Average Swap | |||||||||||||||||||
Months Until | Term (Years) | ||||||||||||||||||||
Option | |||||||||||||||||||||
Expiration | |||||||||||||||||||||
3.76 - 4.00% | $ | (264 | ) | 4 | $ | 100,000 | 10 | ||||||||||||||
| | | | | | | | | | | | | | ||||||||
$ | (264 | ) | 4 | $ | 100,000 | 10 | |||||||||||||||
| | | | | | | | | | | | | | ||||||||
| | | | | | | | | | | | | | ||||||||
The Company has minimum collateral posting thresholds with certain of its derivative counterparties, including with its clearing broker for cleared swaps, for which it typically pledges cash. Due to volatility in the fixed income markets during 2014 primarily resulting from the rally in U.S Treasuries and the corresponding reduction in long-term interest rates, the Company was required to post incremental cash collateral with derivative counterparties. The Company used cash on hand and cash received with respect to repurchase agreements to satisfy these requirements. As of December 31, 2014 and December 31, 2013, the Company had cash pledged as collateral for derivatives of approximately $159.0 million and $22.8 million, respectively, which is reported on the Consolidated Balance Sheets as Due from counterparties. The Company received cash of approximately $10.1 million and $62.7 million as collateral against derivatives at December 31, 2014 and December 31, 2013, respectively, which is reported on the Consolidated Balance Sheets as Due to counterparties. As of December 31, 2014, the Company has swaps with two counterparties that are based in England and Switzerland, with fair values in a liability position of approximately $86 thousand and fair values in an asset position of $645 thousand and notional balances of $49.3 million and $163.9 million, respectively. At December 31, 2013, the Company had swaps with fair values in an asset position of $19.4 million and $34.2 million and notional balances of $321.8 million and $825.1 million with these two counterparties. Included in the $159.0 million and $22.8 million pledged by the Company is cash pledged to the counterparty based in Switzerland of $500 thousand and $0 at December 31, 2014 and December 31, 2013, respectively. Included in the $10.1 million and $62.7 million received by the Company is cash posted as collateral by the counterparty based in England of approximately $3.4 million at December 31, 2014 and $42.7 million posted by the two counterparties at December 31, 2013, respectively. | |||||||||||||||||||||
Currency Swaps and Forwards | |||||||||||||||||||||
The Company has invested in and, in the future, may invest in additional securities which are denominated in a currency or currencies other than U.S. dollars. Similarly, it has and may in the future, finance such assets in a currency or currencies other than U.S. dollars. In order to mitigate the impact to the Company, the Company may enter into derivative financial instruments, including foreign currency swaps and foreign currency forwards, to manage of fluctuations in the valuation between U.S. dollars and such foreign currencies. Foreign currency swaps involve the payment of a foreign currency at fixed interest rate on a fixed notional amount and the receipt of U.S. dollars at a fixed interest rate on a fixed notional amount. Foreign currency forwards provide for the payment of a fixed amount of a foreign currency in exchange for a fixed amount of U.S. dollars at a date certain in the future. The carrying value of foreign currency swaps and forwards is included in Derivative assets (liabilities), at fair value on the Consolidated Balance Sheets with changes in valuation included in Gain (loss) on derivative instruments, net on the Consolidated Statement of Operations. The following is a summary of the Company's foreign currency forwards at December 31, 2014 (dollars and euros in thousands): | |||||||||||||||||||||
Derivative Type | Notional | Notional | Maturity | Fair Value | |||||||||||||||||
Amount | (USD Equivalent) | ||||||||||||||||||||
Buy USD/Sell EUR Currency forward | € | 3,331 | $ | 4,143 | Jan-15 | $ | 112 | ||||||||||||||
Buy USD/Sell EUR Currency forward | 7,766 | 9,417 | Jan-15 | 21 | |||||||||||||||||
Buy USD/Sell EUR Currency forward | 3,471 | 4,211 | Feb-15 | 9 | |||||||||||||||||
Buy EUR/Sell USD Currency forward | 5,000 | 6,051 | Jan-15 | 1 | |||||||||||||||||
| | | | | | | | | | | | | |||||||||
Currency forwards, assets | € | 19,568 | $ | 23,822 | n/a | $ | 143 | ||||||||||||||
| | | | | | | | | | | | | |||||||||
Buy USD/Sell EUR Currency forward | € | 5,043 | $ | 6,104 | Feb-15 | $ | (1 | ) | |||||||||||||
Buy EUR/Sell USD Currency forward | 11,156 | 13,542 | Apr-15 | (30 | ) | ||||||||||||||||
Buy EUR/Sell USD Currency forward | 11,156 | 13,914 | Jan-15 | (415 | ) | ||||||||||||||||
| | | | | | | | | | | | | |||||||||
Currency forwards, liabilities | € | 27,355 | $ | 33,560 | n/a | $ | (446 | ) | |||||||||||||
| | | | | | | | | | | | | |||||||||
Total currency forwards | € | 46,923 | $ | 57,382 | n/a | $ | (303 | ) | |||||||||||||
| | | | | | | | | | | | | |||||||||
| | | | | | | | | | | | | |||||||||
The following is a summary of the Company's foreign currency swaps with a fair value of $3.9 million at December 31, 2014 (dollars and euros in thousands): | |||||||||||||||||||||
Date entered | Maturity | Fixed Rate | Denomination | Notional Amount | |||||||||||||||||
Jun-14 | Jul-24 | 7.25 | % | EUR | 18,500 | ||||||||||||||||
Jun-14 | Jul-24 | 9.005 | % | USD | 25,160 | ||||||||||||||||
Interest-Only Strips | |||||||||||||||||||||
The Company also invests in Interest-Only Strips. In determining the classification of its holdings of Interest-Only Strips, the Company evaluates the securities to determine if the nature of the cash flows has been altered from that of the underlying mortgage collateral. Generally, Interest-Only Strips for which the security represents a strip off of a mortgage pass through security will be considered a hybrid instrument classified as a MBS investment on the Consolidated Balance Sheets utilizing the fair value option. Alternatively, those Interest-Only Strips, for which the underlying mortgage collateral has been included into a structured security that alters the cash flows from the underlying mortgage collateral, are accounted for as derivatives at fair value with changes recognized in Gain (loss) on derivative instruments, net in the Consolidated Statements of Operations, along with any interest received. The carrying value of these Interest-Only Strips is included in Mortgage-backed securities on the Consolidated Balance Sheets. | |||||||||||||||||||||
To-be-announced securities | |||||||||||||||||||||
The Company has also purchased or sold TBAs. As of December 31, 2014 and December 31, 2013, the Company had contracts to purchase ("long position") and sell ("short position") TBAs on a forward basis. Following is a summary of the Company's long and short TBA positions reported in Derivative assets, at fair value on the Consolidated Balance Sheets as of December 31, 2014 and December 31, 2013 (dollars in thousands): | |||||||||||||||||||||
December 31, 2014 | December 31, 2013 | ||||||||||||||||||||
Notional | Fair | Notional | Fair | ||||||||||||||||||
Amount | Value | Amount | Value | ||||||||||||||||||
Purchase contracts, asset | $ | 2,915,000 | $ | 17,457 | $ | 13,600 | $ | 35 | |||||||||||||
| | | | | | | | | | | | | | ||||||||
TBA securities, asset | 2,915,000 | 17,457 | 13,600 | 35 | |||||||||||||||||
| | | | | | | | | | | | | | ||||||||
Purchase contracts, liability | — | — | 176,400 | (1,207 | ) | ||||||||||||||||
Sale contracts, liability | (2,590,000 | ) | (12,355 | ) | — | — | |||||||||||||||
| | | | | | | | | | | | | | ||||||||
TBA securities, liability | (2,590,000 | ) | (12,355 | ) | 176,400 | (1,207 | ) | ||||||||||||||
| | | | | | | | | | | | | | ||||||||
TBA securities, net | $ | 325,000 | $ | 5,102 | $ | 190,000 | $ | (1,172 | ) | ||||||||||||
| | | | | | | | | | | | | | ||||||||
| | | | | | | | | | | | | | ||||||||
The following table presents additional information about the Company's contracts to purchase and sell TBAs for the year ended December 31, 2014 (dollars in thousands): | |||||||||||||||||||||
Notional Amount | Additions | Settlement, | Notional | ||||||||||||||||||
as of December 31, | Termination, Expiration | Amount as of | |||||||||||||||||||
2013 | or Exercise | December 31, | |||||||||||||||||||
2014 | |||||||||||||||||||||
Purchase of TBAs | $ | 190,000 | $ | 25,353,196 | $ | (22,628,196 | ) | $ | 2,915,000 | ||||||||||||
Sale of TBAs | $ | — | $ | 25,218,196 | $ | (22,628,196 | ) | $ | 2,590,000 | ||||||||||||
Futures Contracts | |||||||||||||||||||||
The Company also entered into Eurodollar futures during the year ended December 31, 2014. As of December 31, 2014, the Company had purchase contracts ("long position"), representing a notional amount of $592.0 million with a fair value of $451 thousand and an expiration date of June 2016. In addition, as of December 31, 2014, the Company had contracts to sell ("short position"), representing a notional amount of $592.0 million with a fair value in a liability position of $1.2 million and an expiration date of June 2018. | |||||||||||||||||||||
Gain (loss) on derivative instruments | |||||||||||||||||||||
The below tables summarize the effect of interest rate swaps, interest rate swaptions, foreign currency swaps, foreign currency forwards, options, futures contracts, Agency and Non-Agency Interest-Only Strips as derivatives and TBAs reported in Gain (loss) on derivative instruments, net on our Consolidated Statements of Operations for the years ended December 31, 2014 and December 31, 2013 and for the period from May 15, 2012 (commencement of operations) through December 31, 2012 (dollars in thousands): | |||||||||||||||||||||
Year ended December 31, 2014 | |||||||||||||||||||||
Description | Realized | Contractual | Return | Mark-to-market | Total | ||||||||||||||||
Gain | interest | (Recovery) of | adjustments | ||||||||||||||||||
(Loss), net | income | Basis | |||||||||||||||||||
(expense), | |||||||||||||||||||||
net(1) | |||||||||||||||||||||
Interest rate swaps | $ | 5,440 | $ | (31,764 | ) | $ | 1,818 | $ | (183,379 | ) | $ | (207,885 | ) | ||||||||
Interest rate swaptions | (3,606 | ) | — | — | (1,697 | ) | (5,303 | ) | |||||||||||||
Agency and Non-Agency Interest-Only Strips—accounted for as derivatives | (753 | ) | 26,097 | (18,868 | ) | (2,136 | ) | 4,340 | |||||||||||||
Options | (2,813 | ) | — | — | — | (2,813 | ) | ||||||||||||||
Futures contracts | (16,495 | ) | — | — | (740 | ) | (17,235 | ) | |||||||||||||
Foreign currency forwards | (1,759 | ) | — | — | (303 | ) | (2,062 | ) | |||||||||||||
Foreign currency swaps | — | 317 | — | 3,857 | 4,174 | ||||||||||||||||
TBAs | 40,015 | — | — | 6,273 | 46,288 | ||||||||||||||||
| | | | | | | | | | | | | | | | | |||||
Total | $ | 20,029 | $ | (5,350 | ) | $ | (17,050 | ) | $ | (178,125 | ) | $ | (180,496 | ) | |||||||
| | | | | | | | | | | | | | | | | |||||
| | | | | | | | | | | | | | | | | |||||
Year ended December 31, 2013 | |||||||||||||||||||||
Description | Realized | Contractual | Basis | Mark-to-market | Total | ||||||||||||||||
Gain | interest | Recovery | adjustments | ||||||||||||||||||
(Loss), net | income | ||||||||||||||||||||
(expense), net(1) | |||||||||||||||||||||
Interest rate swaps | $ | 65,305 | $ | (22,932 | ) | $ | — | $ | 83,764 | $ | 126,137 | ||||||||||
Interest rate swaptions | 23,671 | — | — | 4,733 | 28,404 | ||||||||||||||||
Agency and Non-Agency Interest-Only Strips—accounted for as derivatives | (1,124 | ) | 28,273 | (18,010 | ) | (700 | ) | 8,439 | |||||||||||||
Options | (925 | ) | — | — | — | (925 | ) | ||||||||||||||
TBAs | (1,499 | ) | — | — | (3,009 | ) | (4,508 | ) | |||||||||||||
| | | | | | | | | | | | | | | | | |||||
Total | $ | 85,428 | $ | 5,341 | $ | (18,010 | ) | $ | 84,788 | $ | 157,547 | ||||||||||
| | | | | | | | | | | | | | | | | |||||
| | | | | | | | | | | | | | | | | |||||
For the period from May 15, 2012 (commencement of operations) | |||||||||||||||||||||
through December 31, 2012 | |||||||||||||||||||||
Description | Realized | Contractual | Basis | Mark-to-market | Total | ||||||||||||||||
Gain | interest | Recovery | adjustments | ||||||||||||||||||
(Loss), net | income | ||||||||||||||||||||
(expense), | |||||||||||||||||||||
net(1) | |||||||||||||||||||||
Interest rate swaps | $ | (10,928 | ) | $ | (6,321 | ) | $ | — | $ | 7,649 | $ | (9,600 | ) | ||||||||
Interest rate swaptions | — | — | — | (3,180 | ) | (3,180 | ) | ||||||||||||||
Agency Interest-Only Strips—accounted for as derivatives | (820 | ) | 8,570 | (4,848 | ) | (5,065 | ) | (2,163 | ) | ||||||||||||
Options | — | — | — | — | — | ||||||||||||||||
TBAs | — | — | — | 1,837 | 1,837 | ||||||||||||||||
| | | | | | | | | | | | | | | | | |||||
Total | $ | (11,748 | ) | $ | 2,249 | $ | (4,848 | ) | $ | 1,241 | $ | (13,106 | ) | ||||||||
| | | | | | | | | | | | | | | | | |||||
| | | | | | | | | | | | | | | | | |||||
-1 | Contractual interest income (expense), net on derivative instruments includes interest settlement paid or received. | ||||||||||||||||||||
Linked Transactions | |||||||||||||||||||||
As discussed in Note 3, when the initial transfer of a financial asset and repurchase financing are entered into contemporaneously with, or in contemplation of, one another, the transaction will be considered linked unless all of the criteria found in the applicable accounting guidance are met at the inception of the transaction. If the transaction is determined to be linked, the Company records the initial transfer and repurchase financing on a net basis and records a forward commitment to purchase assets as a derivative instrument with changes in market value being recorded in the Gain (loss) on linked transactions, net on the Consolidated Statements of Operations. While linked transactions are treated as derivatives for GAAP, the fair value of linked transactions reflects the value of the underlying security's fair market value netted with the respective linked repurchase agreement borrowings. | |||||||||||||||||||||
The following tables present certain information related to the securities and repurchase agreements accounted for as part of linked transaction which is reported in Linked transactions, net, at fair value on the Consolidated Balance Sheets at December 31, 2014 and December 31, 2013 and Gain (loss) on linked transactions, net on the Statements of Operations for the years ended December 31, 2014 and December 31, 2013 (dollars in thousands): | |||||||||||||||||||||
Weighted | |||||||||||||||||||||
Average | |||||||||||||||||||||
Life | |||||||||||||||||||||
(years)/ | |||||||||||||||||||||
Weighted | |||||||||||||||||||||
Average | |||||||||||||||||||||
For the year ended December 31, 2014 | days to | ||||||||||||||||||||
Instrument | Fair | Net Interest | Mark-to-market | Net Realized | Gain (loss) | Weighted | Maturity(2) | ||||||||||||||
Value(2) | Income(1) | adjustments on | Gain (loss) | on linked | Average | ||||||||||||||||
(Expense) | linked | transactions, | Coupon / Cost | ||||||||||||||||||
transactions | net | of Funds(2) | |||||||||||||||||||
Non-Agency RMBS | $ | 8,156 | $ | 1,569 | $ | 393 | $ | 1,589 | $ | 3,551 | 27.78 | % | 13.2 years | ||||||||
Non-Agency CMBS, including Non U.S. | 38,609 | 961 | (3,044 | ) | — | (2,083 | ) | 6.83 | % | 7.6 years | |||||||||||
Other securities | 5,719 | 349 | 9 | (192 | ) | 166 | 4.5 | % | 11.9 years | ||||||||||||
Non-Agency Repurchase Agreement | (6,559 | ) | (346 | ) | — | — | (346 | ) | 1.66 | % | 15 days | ||||||||||
CMBS Repurchase Agreement, including Non U.S. | (22,458 | ) | (167 | ) | 782 | — | 615 | 1.94 | % | 7 days | |||||||||||
Other securities Repurchase Agreement | (2,840 | ) | (33 | ) | — | — | (33 | ) | 1.93 | % | 37 days | ||||||||||
| | | | | | | | | | | | | | | | | | | | | |
Linked transactions, net, at fair value | $ | 20,627 | $ | 2,333 | $ | (1,860 | ) | $ | 1,397 | $ | 1,870 | n/a | n/a | ||||||||
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
-1 | Net interest income includes amortization of premium of approximately $3.3 million for Non-Agency RMBS and $0 for Non-Agency CMBS and accretion of $221 thousand for other securities. | ||||||||||||||||||||
-2 | Includes information only for linked transactions at December 31, 2014. | ||||||||||||||||||||
For the Year Ended December 31, 2013 | Weighted | ||||||||||||||||||||
Average | |||||||||||||||||||||
Life (years)/ | |||||||||||||||||||||
Weighted | |||||||||||||||||||||
Average | |||||||||||||||||||||
days to | |||||||||||||||||||||
Instrument | Fair | Net Interest | Mark-to-market | Net Realized | Gain (loss) | Weighted | Maturity(2) | ||||||||||||||
Value(2) | Income(1) | adjustments on | Gain (loss) | on linked | Average | ||||||||||||||||
(Expense) | linked | transactions, | Coupon / Cost | ||||||||||||||||||
transactions | net | of Funds(2) | |||||||||||||||||||
Agency RMBS | $ | — | $ | 44 | $ | — | $ | (254 | ) | $ | (210 | ) | n/a | n/a | |||||||
Non-Agency RMBS | 79,746 | 1,371 | (56 | ) | 3,303 | 4,618 | 27.06 | % | 9.6 years | ||||||||||||
Agency Repurchase Agreement | — | (6 | ) | — | — | (6 | ) | n/a | n/a | ||||||||||||
Non-Agency Repurchase Agreement | (61,187 | ) | (265 | ) | — | — | (265 | ) | 1.7 | % | 63 days | ||||||||||
| | | | | | | | | | | | | | | | | | | | | |
Linked transactions, net, at fair value | $ | 18,559 | $ | 1,144 | $ | (56 | ) | $ | 3,049 | $ | 4,137 | n/a | n/a | ||||||||
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
-1 | Net interest income includes amortization of premium of $9 thousand for Agency RMBS and accretion of discount of $555 thousand for Non-Agency RMBS. | ||||||||||||||||||||
-2 | Includes information only for linked transactions at December 31, 2013. | ||||||||||||||||||||
At December 31, 2014, the Company pledged MBS and other securities accounted for as linked transactions with a fair value of approximately $52.5 million as collateral for the related linked repurchase agreements. The Company reduces credit risk on the majority of its derivative instruments by entering into agreements that permit the closeout and netting of transactions with the same counterparty upon occurrence of certain events. Starting in 2015, GAAP will no longer require the segregation and treatment of linked transactions as derivatives. Accordingly, the Company will report such securities and the corresponding repurchase agreement on a gross basis on its Consolidated Balance Sheets and with the corresponding interest income and interest expense reported in its Consolidated Statements of Operations. See "Recent accounting pronouncements" for details. | |||||||||||||||||||||
Offsetting_Assets_and_Liabilit
Offsetting Assets and Liabilities | 12 Months Ended | |||||||||||||||||||
Dec. 31, 2014 | ||||||||||||||||||||
Offsetting Assets and Liabilities | ||||||||||||||||||||
Offsetting Assets and Liabilities | ||||||||||||||||||||
Note 10—Offsetting Assets and Liabilities | ||||||||||||||||||||
The following tables present information about certain assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset on the Company's Consolidated Balance Sheets at December 31, 2014 and December 31, 2013: | ||||||||||||||||||||
Offsetting of Derivative Assets | ||||||||||||||||||||
As of December 31, 2014 | ||||||||||||||||||||
Gross | Gross Amounts Not Offset | |||||||||||||||||||
Amounts | in the Consolidated Balance | |||||||||||||||||||
Offset in the | Sheets | |||||||||||||||||||
Consolidated | Net Amounts | |||||||||||||||||||
Balance | of Assets | |||||||||||||||||||
Sheets | presented in the | |||||||||||||||||||
Gross | Consolidated | |||||||||||||||||||
Amounts of | Balance Sheets | |||||||||||||||||||
Recognized | ||||||||||||||||||||
$s in thousands | Assets | Financial | Cash | Net | ||||||||||||||||
Description | Instruments(1) | Collateral | Amount | |||||||||||||||||
Received | ||||||||||||||||||||
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS | $ | 88,229 | $ | — | $ | 88,229 | $ | (80,771 | ) | $ | — | $ | 7,458 | |||||||
Derivative asset, at fair value | 73,256 | — | 73,256 | (53,256 | ) | (10,036 | ) | 9,964 | ||||||||||||
Linked transactions, net, at fair value | 52,484 | (31,857 | ) | 20,627 | — | — | 20,627 | |||||||||||||
| | | | | | | | | | | | | | | | | | | | |
Total | $ | 213,969 | $ | (31,857 | ) | $ | 182,112 | $ | (134,027 | ) | $ | (10,036 | ) | $ | 38,049 | |||||
| | | | | | | | | | | | | | | | | | | | |
Offsetting of Derivative Liabilities and Repurchase Agreements | ||||||||||||||||||||
As of December 31, 2014 | ||||||||||||||||||||
Gross | Gross Amounts Not Offset | |||||||||||||||||||
Amounts | in the Consolidated Balance | |||||||||||||||||||
Offset in the | Sheets | |||||||||||||||||||
Consolidated | Net Amounts | |||||||||||||||||||
Balance | of Liabilities | |||||||||||||||||||
Sheets | presented in the | |||||||||||||||||||
Gross | Consolidated | |||||||||||||||||||
Amounts of | Balance Sheets | |||||||||||||||||||
Recognized | ||||||||||||||||||||
$s in thousands | Liabilities | Financial | Cash | Net | ||||||||||||||||
Description | Instruments(1) | Collateral | Amount | |||||||||||||||||
Pledged(1) | ||||||||||||||||||||
Derivative liability, at fair value(2) | $ | 180,280 | $ | — | $ | 180,280 | $ | (53,256 | ) | $ | (116,791 | ) | $ | 10,233 | ||||||
Repurchase Agreements(3) | 3,875,721 | — | 3,875,721 | (3,875,721 | ) | — | — | |||||||||||||
| | | | | | | | | | | | | | | | | | | | |
$ | 4,056,001 | $ | — | $ | 4,056,001 | $ | (3,928,977 | ) | $ | (116,791 | ) | $ | 10,233 | |||||||
| | | | | | | | | | | | | | | | | | | | |
-1 | Amounts disclosed in the Financial Instruments column of the table above represent securities collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral Pledged column of the table above represents amounts pledged as collateral against derivative transactions. | |||||||||||||||||||
-2 | Cash collateral pledged against the Company's derivative counterparties was approximately $159.0 million as of December 31, 2014. | |||||||||||||||||||
-3 | The fair value of securities pledged against the Company's repurchase agreements was approximately $4.4 billion as of December 31, 2014. | |||||||||||||||||||
Offsetting of Derivative Assets | ||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||
Gross | Gross Amounts Not Offset | |||||||||||||||||||
Amounts | in the Consolidated Balance | |||||||||||||||||||
Offset in the | Sheets | |||||||||||||||||||
Consolidated | Net Amounts | |||||||||||||||||||
Balance | of Assets | |||||||||||||||||||
Sheets | presented in the | |||||||||||||||||||
Gross | Consolidated | |||||||||||||||||||
Amounts of | Balance Sheets | |||||||||||||||||||
Recognized | ||||||||||||||||||||
$s in thousands | Assets | Financial | Cash | Net | ||||||||||||||||
Description | Instruments(1) | Collateral | Amount | |||||||||||||||||
Received | ||||||||||||||||||||
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS | $ | 109,235 | $ | — | $ | 109,235 | $ | (109,235 | ) | $ | — | $ | — | |||||||
Derivative asset, at fair value | 105,826 | — | 105,826 | (3,501 | ) | (62,651 | ) | 39,674 | ||||||||||||
Linked transactions, net, at fair value | 79,746 | (61,187 | ) | 18,859 | — | — | 18,559 | |||||||||||||
| | | | | | | | | | | | | | | | | | | | |
Total | $ | 294,807 | $ | (61,187 | ) | $ | 233,620 | $ | (112,736 | ) | $ | (62,651 | ) | $ | 58,233 | |||||
| | | | | | | | | | | | | | | | | | | | |
Offsetting of Derivative Liabilities and Repurchase agreements | ||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||
Gross | Gross Amounts Not Offset | |||||||||||||||||||
Amounts | in the Consolidated Balance | |||||||||||||||||||
Offset in the | Sheets | |||||||||||||||||||
Consolidated | Net Amounts | |||||||||||||||||||
Balance | of Liabilities | |||||||||||||||||||
Sheets | presented in the | |||||||||||||||||||
Gross | Consolidated | |||||||||||||||||||
Amounts of | Balance Sheets | |||||||||||||||||||
Recognized | ||||||||||||||||||||
$s in thousands | Liabilities | Financial | Cash | Net | ||||||||||||||||
Description | Instruments(1) | Collateral | Amount | |||||||||||||||||
Pledged(1) | ||||||||||||||||||||
Derivative liability, at fair value(2) | $ | 4,673 | $ | — | $ | 4,673 | $ | (3,501 | ) | $ | — | $ | 1,172 | |||||||
Repurchase Agreements(3) | 2,579,067 | — | 2,579,067 | (2,579,067 | ) | — | — | |||||||||||||
| | | | | | | | | | | | | | | | | | | | |
$ | 2,583,740 | $ | — | $ | 2,583,740 | $ | (2,582,568 | ) | $ | — | $ | 1,172 | ||||||||
| | | | | | | | | | | | | | | | | | | | |
-1 | Amounts disclosed in the Financial Instruments column of the table above represent securities collateral pledged that is available to be offset against liability balances associated with repurchase agreement and derivative transactions. Amounts disclosed in the Cash Collateral Pledged column of the table above represents amounts pledged as collateral against derivative transactions. | |||||||||||||||||||
-2 | Cash collateral pledged against the Company's Swaps was approximately $22.8 million as of December 31, 2013. | |||||||||||||||||||
-3 | The fair value of securities pledged against the Company's repurchase agreements was approximately $2.8 billion as of December 31, 2013. | |||||||||||||||||||
Certain of the Company's repurchase agreement and derivative transactions are governed by underlying agreements that generally provide for a right of setoff in the event of default or in the event of a bankruptcy of either party to the transaction. | ||||||||||||||||||||
Related_Party_Transactions
Related Party Transactions | 12 Months Ended |
Dec. 31, 2014 | |
Related Party Transactions | |
Related Party Transactions | |
Note 11—Related Party Transactions | |
Management Agreement | |
In connection with the Company's IPO in May 2012, the Company entered into a management agreement (the "Management Agreement") with the Manager, which describes the services to be provided by the Manager and compensation for such services. The Manager is responsible for managing the Company's operations, including: (i) performing all of its day-to-day functions; (ii) determining investment criteria in conjunction with the Board of Directors; (iii) sourcing, analyzing and executing investments, asset sales and financings; (iv) performing asset management duties; and (v) performing financial and accounting management, subject to the direction and oversight of the Company's Board of Directors. Pursuant to the terms of the Management Agreement, the Manager is paid a management fee equal to 1.50% per annum of the Company's stockholders' equity (as defined in the Management Agreement), calculated and payable (in cash) quarterly in arrears. For purposes of calculating the management fee, "stockholders' equity" means the sum of the net proceeds from any issuances of the Company's equity securities since inception (allocated on a pro rata daily basis for such issuances during the fiscal quarter of any such issuance), plus retained earnings, calculated in accordance with GAAP, at the end of the most recently completed fiscal quarter (without taking into account any non-cash equity compensation expense incurred in current or prior periods), less any amount paid for repurchases of the Company's shares of common stock, excluding any unrealized gains, losses or other non-cash items, including OTTI charges included in other loss on MBS and other securities, unrealized gain (loss) on MBS and other securities and non-cash portion of gain (loss) on derivative instruments, that have impacted stockholder's equity as reported in the Company's consolidated financial statements prepared in accordance with GAAP, regardless of whether such items are included in other comprehensive income or loss, or in net income, and excluding one-time events pursuant to changes in GAAP and certain other non-cash charges after discussions between the Manager and the Company's independent directors and after approval by a majority of the Company's independent directors. However, if the Company's stockholders' equity for any given quarter is negative based on the calculation described above, the Manager will not be entitled to receive any management fee for that quarter. | |
In addition, the Company may be required to reimburse the Manager for certain expenses as described below, and shall reimburse the Manager for the compensation paid to the Company's CFO and controller. Expense reimbursements to the Manager are made in cash on a regular basis. The Company's reimbursement obligation is not subject to any dollar limitation. Because the Manager's personnel perform certain legal, accounting, due diligence tasks and other services that outside professionals or outside consultants otherwise would perform, the Manager may be paid or reimbursed for the documented cost of performing such tasks, provided that such costs and reimbursements are in amounts which are no greater than those which would be payable to outside professionals or consultants engaged to perform such services pursuant to agreements negotiated on an arm's-length basis. | |
The Management Agreement may be amended, supplemented or modified by agreement between the Company and the Manager. The initial term of the Management Agreement expires on May 15, 2015 and it is automatically renewed for one-year terms on each anniversary thereafter unless previously terminated as described below. The Company's independent directors will review the Manager's performance and any fees payable to the Manager annually and, following the initial term, the Management Agreement may be terminated annually upon the affirmative vote of at least two thirds (2/3) of the Company's independent directors, based upon: (i) the Manager's unsatisfactory performance that is materially detrimental to the Company; or (ii) the Company's determination that any fees payable to the Manager are not fair, subject to the Manager's right to prevent such termination due to unfair fees by accepting a reduction of management fees agreed to by at least two thirds (2/3) of the Company's independent directors. The Company will provide the Manager 180 days prior notice of any such termination. Unless terminated for cause, the Company will pay the Manager a termination fee equal to three times the average annual management fee earned by the Manager during the prior 24-month period immediately preceding the date of termination, calculated as of the end of the most recently completed fiscal quarter prior to the date of termination. Pursuant to the terms of the Management Agreement it has been extended for one year to May 15, 2016. | |
The Company may also terminate the Management Agreement at any time, including during the initial term, without the payment of any termination fee, with 30 days prior written notice from the Company's Board of Directors for cause, which will be determined by at least two thirds (2/3) of the Company's independent directors, which is defined as: (i) the Manager's continued material breach of any provision of the Management Agreement (including the Manager's failure to comply with the Company's investment guidelines); (ii) the Manager's fraud, misappropriation of funds, or embezzlement against the Company; (iii) the Manager's gross negligence in the performance of its duties under the Management Agreement; (iv) the occurrence of certain events with respect to the bankruptcy or insolvency of the Manager, including an order for relief in an involuntary bankruptcy case or the Manager authorizing or filing a voluntary bankruptcy petition; (v) the Manager is convicted (including a plea of nolo contendere) of a felony; or (vi) the dissolution of the Manager. | |
For the years ended December 31, 2014 and December 31, 2013, the Company incurred approximately $9.6 million and approximately $7.8 million in management fees, respectively, and approximately $3.1 million for the period from May 15, 2012 (commencement of operations) through December 31, 2012. The increase in management fee for the year ended December 31, 2014 versus December 31, 2013 is attributable to the public offering in April 2014. | |
In addition to the management fee, the Company is also responsible for reimbursing the Manager for certain expenses paid by the Manager on behalf of the Company, including travel expenses incurred by officers of the Company, and for certain services provided by the Manager to the Company. For the year ended December 31, 2014, the Company recorded expenses included in general and administrative expense totaling approximately $624 thousand related to employee costs and benefits associated with the Company's CFO and controller paid by the Manager on behalf of the Company. For the year ended December 31, 2013 and for the period from May 15, 2012 (commencement of operations) through December 31, 2012, the Company recorded expenses included in general and administrative expense totaling approximately $76 thousand and approximately $23 thousand, respectively related to employee benefits associated with the Company's sole employee paid by the Manager on behalf of the Company. As of January 1, 2014, the aforementioned employee became an employee of the Manager. Accordingly, as of January 1, 2014 the Company has and will reimburse the Manager for such employee's compensation including employee benefits as well as the compensation and employee benefits of the Company's controller. Any such expenses incurred by the Manager and reimbursed by the Company, including the employee compensation expense discussed above, are typically included in the Company's general and administrative expense on its Consolidated Statements of Operations, or may be reflected on the Consolidated Balance Sheets and associated consolidated statement of changes in stockholders' equity, based on the nature of the item. At December 31, 2014 and December 31, 2013, approximately $2.5 million and approximately $1.8 million, respectively for management fees incurred but not yet paid was included in payable to related party on the Consolidated Balance Sheets. In addition, at December 31, 2014 and December 31, 2013, approximately $199 thousand and $0, respectively of costs incurred but not yet paid was included in Payable to related party on the Consolidated Balance Sheets. | |
ShareBased_Payments
Share-Based Payments | 12 Months Ended | |||||||
Dec. 31, 2014 | ||||||||
Share-Based Payments | ||||||||
Share-Based Payments | ||||||||
Note 12—Share-Based Payments | ||||||||
In conjunction with the Company's IPO and concurrent private placement, the Company's Board of Directors approved the Western Asset Mortgage Capital Corporation Equity Plan (the "Equity Plan") and the Western Asset Manager Equity Plan (the "Manager Equity Plan" and collectively the "Equity Incentive Plans"). | ||||||||
On May 15, 2012, the Company granted 51,159 shares of restricted common stock to the Manager under the Manager Equity Plan that is equal to 0.5% of the aggregate number of shares of common stock sold in the IPO and units sold in the concurrent private placement to certain institutional accredited investors. One-third of these restricted shares vested on May 15, 2013, the first anniversary of the grant date, one-third vested on May 15, 2014, the second anniversary of the grant date, and the remaining one-third will vest on May 15, 2015 the third anniversary of the grant date. | ||||||||
On May 15, 2012, the Company granted a total of 4,500 shares (1,500 each) of restricted common stock under the Equity Plan to the Company's three independent directors. These restricted shares vested in full on May 15, 2013, the first anniversary of the grant date. | ||||||||
On June 25, 2012, the Company granted 10,455 shares of restricted common stock to its chief financial officer under the Equity Plan. One-third of these restricted shares vested on January 1, 2013, one-third vested on January 1, 2014 and the remaining one-third vested on January 1, 2015. As of January 1, 2014, the Company's chief financial officer became an employee of the Manager. As such, the method for recognizing stock based compensation expense for his unvested shares as of such date changed to be accounted for as a non-employee grant subject to subsequent fair value re-measurement. | ||||||||
On March 1, 2013, the Company granted a total of 150,000 shares of restricted common stock to the Manager under the Manager Equity Plan. One-third of these shares vested on March 1, 2014, one-third of these shares vested on March 1, 2015 and the remaining one-third will vest on March 1, 2016. | ||||||||
On March 1, 2013, the Company granted 10,559 shares of restricted common stock to its chief financial officer under the Equity Plan. One-third of these restricted shares vested on January 1, 2014, one-third vested on January 1, 2015 and the remaining one-third will vest on January 1, 2016. As of January 1, 2014, the Company's chief financial officer became an employee of the Manager. As such, the method for recognizing stock based compensation expense for the remaining unvested shares as of such date changed to be accounted for as a non-employee grant subject to subsequent fair value re-measurement. | ||||||||
On June 10, 2013, the Company granted a total of 4,887 (1,629 each) of restricted common stock under the Equity Plan to the Company's three independent directors. These restricted shares vested in full on June 10, 2014, the first anniversary of the grant date. Each of the independent directors has elected to defer the shares granted to him under the Company's Director Deferred Fee Plan (the "Director Deferred Fee Plan"). The Director Deferred Fee Plan permits eligible members of the Company's Board of Directors to defer certain stock awards made under its director compensation programs. The Director Deferred Fee Plan allows directors to defer issuance of their stock awards and therefore defer payment of any tax liability until the deferral is terminated, pursuant to the election form executed each year by each eligible director. | ||||||||
On March 12, 2014, the Company granted 200,000 shares of restricted common stock to the Manager under the Manager Equity Plan. One-third of these shares vested on March 1, 2015, one-third will vest on March 1, 2016 and the remaining one-third will vest on March 1, 2017. | ||||||||
On March 12, 2014, the Company granted 15,180 shares of restricted common stock to its chief financial officer under the Equity Plan. One-third of these shares vested on January 1, 2015, one-third will vest on January 1, 2016 and the remaining one-third will vest on January 1, 2017. As of January 1, 2014, the Company's chief financial officer became an employee of the Manager. As such, the stock based compensation expense for the unvested shares as of such date is accounted for as a non-employee grant subject to subsequent fair value re-measurement. | ||||||||
On June 11, 2014, the Company granted a total of 6,264 (2,088 each) of restricted common stock under the Equity Plan to the Company's three independent directors. These restricted shares will vest in full on June 11, 2015, the first anniversary of the grant date. Each of the independent directors has elected to defer the shares granted to him under the Company's Director Deferred Fee Plan (the "Director Deferred Fee Plan"). The Director Deferred Fee Plan permits eligible members of the Company's Board of Directors to defer certain stock awards made under its director compensation programs. The Director Deferred Fee Plan allows directors to defer issuance of their stock awards and therefore defer payment of any tax liability until the deferral is terminated, pursuant to the election form executed each year by each eligible director. | ||||||||
On November 10, 2014, the Company granted 1,334 shares of restricted common stock under the Equity Plan to the Company's new independent director. These restricted shares will vest in full on November 10, 2015, the first anniversary of the grant date. | ||||||||
The Equity Incentive Plans include provisions for grants of restricted common stock and other equity-based awards to the Manager, its employees and employees of its affiliates and to the Company's directors, officers and employees. The Company can issue up to 3.0% of the total number of issued and outstanding shares of its common stock (on a fully diluted basis) at the time of each award (other than any shares previously issued or subject to awards made pursuant to one of the Company's Equity Incentive Plans) under these Equity Incentive Plans. At May 15, 2012, there were 308,335 shares of common stock initially reserved for issuance under the Equity Incentive Plans. Upon the completion of the October 3, 2012 follow-on common stock offering and the stock portion of the Company's dividend declared December 19, 2013, and the April 9, 2014 follow-on offering (which includes the partial exercise of the greenshoe on May 7, 2014) and private placement of common stock, the number of shares of common stock available for issuance under the Equity Incentive Plans increased to 1,237,711, inclusive of the 454,338 shares of restricted stock issued as provided above and 21,862 shares of restricted stock issued as a result of the stock portion of the dividend declared on December 19, 2013 and restricted stock attributed to dividends on restricted stock under the Director Deferred Fee Plan. The Company recognized stock-based compensation expense of approximately $2.2 million and approximately $1.1 million for the years ended December 31, 2014 and December 31, 2013, respectively, and approximately $367 thousand for the period from May 15, 2012 (commencement of operations) through December 31, 2012. In addition, the Company had unamortized compensation expense of $57 thousand for equity awards and approximately $3.2 million for liability awards and $423 thousand for equity awards and approximately $3.2 million for liability awards at December 31, 2014 and December 31, 2013, respectively. | ||||||||
All restricted common shares granted, other than those whose issuance has been deferred pursuant the Director Deferred Fee Plan, possess all incidents of ownership, including the right to receive dividends and distributions currently, and the right to vote. Dividend equivalent payments otherwise allocable to restricted common shares under the Deferred Compensation Plan are deemed to purchase additional phantom shares of the Company's common stock that are credited to each participant's deferral account. The award agreements include restrictions whereby the restricted shares cannot be sold, assigned, transferred, pledged, hypothecated or otherwise disposed of prior to the lapse of restrictions under the respective award agreement. The restrictions lapse on the unvested restricted shares awarded when vested, subject to the grantee's continuing to provide services to the Company as of the vesting date. Unvested restricted shares and rights to dividends thereon are forfeited upon termination of the grantee. | ||||||||
The following is a summary of restricted common stock vesting dates as of December 31, 2014 and December 31, 2013, including shares whose issuance has been deferred under the Director Deferred Fee Plan: | ||||||||
December 31, | December 31, | |||||||
2014 | 2013 | |||||||
Vesting Date | Shares Vesting | Shares Vesting | ||||||
Jan-14 | — | 7,685 | ||||||
Mar-14 | — | 54,852 | ||||||
May-14 | — | 18,707 | ||||||
Jun-14 | — | 6,279 | ||||||
Jan-15 | 12,745 | 7,685 | ||||||
Mar-15 | 121,518 | 54,852 | ||||||
May-15 | 18,708 | 18,707 | ||||||
Jun-15 | 6,873 | — | ||||||
Nov-15 | 1,334 | — | ||||||
Jan-16 | 8,920 | 3,860 | ||||||
Mar-16 | 121,518 | 54,852 | ||||||
Jan-17 | 5,060 | — | ||||||
Mar-17 | 66,667 | — | ||||||
| | | | | | | | |
| | | | | | | | |
363,343 | 227,479 | |||||||
| | | | | | | | |
| | | | | | | | |
The following table presents information with respect to the Company's restricted stock for the year ended December 31, 2014 including shares whose issuance has been deferred under the Director Deferred Fee Plan: | ||||||||
Shares of | Weighted Average | |||||||
Restricted Stock | Grant Date Fair | |||||||
Value(1) | ||||||||
Outstanding at beginning of period | 252,517 | $ | 20.34 | |||||
Granted | 223,683 | 16.39 | ||||||
Cancelled/forfeited | — | — | ||||||
| | | | | | | | |
Outstanding at end of year | 476,200 | $ | 18.49 | |||||
| | | | | | | | |
Unvested at end of year | 363,343 | $ | 17.98 | |||||
| | | | | | | | |
| | | | | | | | |
-1 | The grant date fair value of restricted stock awards is based on the closing market price of the Company's common stock at the grant date. | |||||||
-2 | Included in Granted are restricted stock attributed to dividends on restricted stock under the Director Deferred Fee Plan of 905 shares. | |||||||
The following table presents information with respect to the Company's restricted stock for the year ended December 31, 2013 including shares whose issuance has been deferred under the Director Deferred Fee Plan: | ||||||||
Shares of | Weighted Average | |||||||
Restricted Stock | Grant Date Fair | |||||||
Value(1) | ||||||||
Outstanding at beginning of period | 66,114 | $ | 19.86 | |||||
Granted(2) | 186,403 | 20.51 | ||||||
Cancelled/forfeited | — | — | ||||||
| | | | | | | | |
Outstanding at end of year | 252,517 | $ | 20.34 | |||||
| | | | | | | | |
Unvested at end of year | 227,479 | $ | 20.39 | |||||
| | | | | | | | |
| | | | | | | | |
-1 | The grant date fair value of restricted stock awards is based on the closing market price of the Company's common stock at the grant date. | |||||||
-2 | Included in Granted are restricted stock attributed to the stock portion of the December 19, 2013 dividend on restricted stock of 19,565 shares and restricted stock attributed to dividends on restricted stock under the Director Deferred Fee Plan of 1,392 shares. | |||||||
Stockholders_Equity
Stockholders' Equity | 12 Months Ended |
Dec. 31, 2014 | |
Stockholders' Equity | |
Stockholders' Equity | |
Note 13—Stockholders' Equity | |
On December 19, 2013, the Company declared a dividend of $2.35 per common share payable in a combination of cash and stock. For stockholders who elected to receive the entire $2.35 per share dividend in stock, each stockholder received 0.1590 shares in newly issued common stock for each common share that they held as of the dividend record date. For stockholders who elected to receive the dividend in cash, or did not make an election, each stockholder received $0.9159 per share in cash and 0.0970 shares in newly issued common stock for each common share that they held as of the dividend record date. The dividend was paid on January 28, 2014 to shareholders of record as of December 30, 2013. As a result of a portion of the dividend being paid in stock, common shares of 2,548,784 where issued by the Company. | |
On April 3, 2014, the Company entered into a binding agreement with a group of underwriters to sell an incremental 13.0 million shares of the Company's common stock which closed on April 9, 2014. The agreement provided the underwriters with the right to purchase an additional 1.95 million shares (15% of 13.0 million) during the succeeding thirty (30) days. The shares were offered to the market at a price of $14.85 per share and the underwriters exercised a portion of their option and purchased an incremental 1.0 million shares on May 2, 2014, which closed on May 7, 2014. Net proceeds to the Company were approximately $205.4 million after subtracting underwriting commissions and offering expenses of approximately $2.9 million. On April 3, 2014, the Company also entered into an agreement to sell 650,000 shares of the Company's common stock, for $14.85 per share to its Manager | |
in a private placement for an aggregate offering price of approximately $9.7 million, which closed on April 9, 2014. | |
As a result of the April 3, 2014 follow-on public offering and private placement, the exercise price of each of the outstanding warrants was reduced from $17.59 to $16.70. | |
On July 31, 2014, the Board of Directors of the Company authorized the repurchase of up to 2,050,000 shares of its common stock through December 31, 2015. Purchase made pursuant to the program will be made in the open market, in privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with Rules 10b5-1 and 10b-18 of the Securities and Exchange Commission. The authorization does not obligate the Company to acquire any particular amount of common shares and the program may be suspended or discontinued at the Company's discretion without prior notice. The timing, manner, price and amount of any repurchases will be determined by the Company in its discretion and will be subject to economic and market conditions, stock price, applicable legal requirements and other factors. The Company has not yet entered into definitive agreements to utilize the authorization and, accordingly, has not repurchased any shares of common stock pursuant to the authorization as of December 31, 2014. | |
Net_Income_Loss_per_Common_Sha
Net Income (Loss) per Common Share | 12 Months Ended | ||||||||||
Dec. 31, 2014 | |||||||||||
Net Income (Loss) per Common Share | |||||||||||
Net Income (Loss) per Common Share | |||||||||||
Note 14—Net Income (Loss) per Common Share | |||||||||||
The table below presents basic and diluted net income (loss) per share of common stock using the two-class method for the years ended December 31, 2014 and December 31, 2013 and for the period from May 15, 2012 (commencement of operations) through December 31, 2012 (dollars, other than shares and per share amounts, in thousands): | |||||||||||
For the Year | For the Year | For the Period from | |||||||||
Ended | Ended | May 15, 2012 | |||||||||
December 31, 2014 | December 31, 2013 | (commencement of | |||||||||
operations) through | |||||||||||
December 31, 2012 | |||||||||||
Numerator: | |||||||||||
Net income (loss) attributable to common stockholders and participating securities for basic and diluted earnings per share | $ | 100,713 | $ | (27,855 | ) | $ | 57,277 | ||||
Less: | |||||||||||
Dividends and undistributed earnings allocated to participating securities | 944 | 961 | 234 | ||||||||
| | | | | | | | | | | |
Net income (loss) allocable to common stockholders—basic and diluted | $ | 99,769 | $ | (28,816 | ) | $ | 57,043 | ||||
| | | | | | | | | | | |
| | | | | | | | | | | |
Denominator: | |||||||||||
Weighted average common shares outstanding for basic earnings per share | 37,337,460 | 24,185,037 | 15,654,453 | ||||||||
| | | | | | | | | | | |
| | | | | | | | | | | |
Weighted average diluted shares outstanding (stock awards) | — | — | 9,045 | ||||||||
Weighted average diluted shares outstanding (warrants) | — | — | 55,735 | ||||||||
| | | | | | | | | | | |
| | | | | | | | | | | |
Weighted average common shares outstanding for diluted earnings per share | 37,337,460 | 24,185,037 | 15,719,233 | ||||||||
| | | | | | | | | | | |
| | | | | | | | | | | |
Basic earnings per common share | $ | 2.67 | $ | (1.19 | ) | $ | 3.64 | ||||
| | | | | | | | | | | |
| | | | | | | | | | | |
Diluted earnings per common share | $ | 2.67 | $ | (1.19 | ) | $ | 3.63 | ||||
| | | | | | | | | | | |
| | | | | | | | | | | |
The following potential common shares, which are securities or other contracts that may entitle its holder to obtain common shares, were excluded from diluted earnings per share for the year ended December 31, 2013 as the Company had a net loss for the period and their inclusion would have been anti-dilutive: 67,257 related to warrants and 13,434 related to stock awards. | |||||||||||
Income_Taxes
Income Taxes | 12 Months Ended |
Dec. 31, 2014 | |
Income Taxes | |
Income Taxes | |
Note 15—Income Taxes | |
Based on the Company's analysis of any potential uncertain income tax positions, the Company concluded that it does not have any uncertain tax positions that meet the recognition or measurement criteria as of December 31, 2014. The Company files U.S. federal and state income tax returns. As of December 31, 2014, tax returns filed by the Company for 2013 and 2012 are open for examination pursuant to relevant statutes of limitation. In the event that the Company incurs income tax related interest and penalties, the Company's policy is to classify them as a component of its provision for income taxes. | |
Subject to the limitation under the REIT asset test rules, the Company is permitted to own up to 100% of the stock of one or more TRS. Currently, the Company owns one TRS that is taxable as a corporation and is subject to federal, state and local income tax on its net income at the applicable corporate rates. The TRS, which was formed in Delaware on July 28, 2014, is a limited liability company and a wholly-owned subsidiary of the Company. For the year ended December 31, 2014, the TRS had a cumulative taxable loss. As there can be no certainty that the TRS will have taxable income in the future, no tax benefit was included in these consolidated financial statements. | |
Contingencies
Contingencies | 12 Months Ended |
Dec. 31, 2014 | |
Contingencies | |
Contingencies | |
Note 16—Contingencies | |
From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. Management is not aware of any material contingencies at December 31, 2014. | |
Summarized_Quarterly_Results_u
Summarized Quarterly Results (unaudited) | 12 Months Ended | |||||||||||||
Dec. 31, 2014 | ||||||||||||||
Summarized Quarterly Results (unaudited) | ||||||||||||||
Summarized Quarterly Results (unaudited) | ||||||||||||||
Note 17—Summarized Quarterly Results (unaudited) | ||||||||||||||
The following is a presentation of selected unaudited results of operations: | ||||||||||||||
Quarter Ended | ||||||||||||||
March 31, | June 30, | September 30, | December 31, | |||||||||||
2014 | 2014 | 2014 | 2014 | |||||||||||
Net Interest Income: | ||||||||||||||
Interest income | $ | 23,430 | $ | 44,604 | $ | 40,718 | $ | 40,358 | ||||||
Interest expense | 3,390 | 5,971 | 6,468 | 6,434 | ||||||||||
| | | | | | | | | | | | | | |
Net Interest Income | 20,040 | 38,633 | 34,250 | 33,924 | ||||||||||
| | | | | | | | | | | | | | |
Other Income (Loss): | ||||||||||||||
Interest income on cash balances and other income | (12 | ) | 24 | 942 | 479 | |||||||||
Realized gain (loss) on sale of Mortgage-backed securities and other securities, net | 3,716 | (11,278 | ) | 4,912 | 472 | |||||||||
Other loss on Mortgage-backed securities and other securities | (1,709 | ) | (2,999 | ) | (2,857 | ) | (9,449 | ) | ||||||
Unrealized gain (loss) on Mortgage-backed securities, other securities and whole-loans, net | 31,091 | 114,117 | (4,453 | ) | 48,256 | |||||||||
Gain (loss) on linked transactions, net | 2,219 | 688 | (1,241 | ) | 204 | |||||||||
Gain (loss) on derivative instruments, net | (59,906 | ) | (66,677 | ) | (401 | ) | (53,512 | ) | ||||||
| | | | | | | | | | | | | | |
Other Income (Loss), net | (24,601 | ) | 33,875 | (3,098 | ) | (13,550 | ) | |||||||
| | | | | | | | | | | | | | |
Operating Expenses: | ||||||||||||||
General and administrative | 2,075 | 2,375 | 2,253 | 2,424 | ||||||||||
Management fee—related party | 1,805 | 2,559 | 2,763 | 2,506 | ||||||||||
| | | | | | | | | | | | | | |
Total Operating Expenses | 3,880 | 4,934 | 5,016 | 4,930 | ||||||||||
| | | | | | | | | | | | | | |
Net income (loss) available to Common Stock and participating securities | $ | (8,441 | ) | $ | 67,574 | $ | 26,136 | $ | 15,444 | |||||
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
Net income (loss) per Common Share—Basic | $ | (0.32 | ) | $ | 1.68 | $ | 0.63 | $ | 0.37 | |||||
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
Net income (loss) per Common Share—Diluted | $ | (0.32 | ) | $ | 1.68 | $ | 0.63 | $ | 0.37 | |||||
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
Quarter Ended | ||||||||||||||
March 31, | June 30, 2013, | September 30, | December 31, | |||||||||||
2013 | Revised(1) | 2013 | 2013 | |||||||||||
Net Interest Income: | ||||||||||||||
Interest income | $ | 33,750 | $ | 32,742 | $ | 30,654 | $ | 28,182 | ||||||
Interest expense | 5,181 | 4,522 | 4,273 | 4,043 | ||||||||||
| | | | | | | | | | | | | | |
Net Interest Income | 28,569 | 28,220 | 26,381 | 24,139 | ||||||||||
| | | | | | | | | | | | | | |
Other Income (Loss): | ||||||||||||||
Interest income on cash balances and other income | 33 | 12 | 11 | 35 | ||||||||||
Realized gain (loss) on sale of Mortgage-backed securities and other securities, net | (11,660 | ) | (6,083 | ) | (46,142 | ) | (46,827 | ) | ||||||
Other loss on Mortgage-backed securities and other securities | (2,268 | ) | (3,533 | ) | (2,363 | ) | (3,694 | ) | ||||||
Unrealized gain (loss) on Mortgage-backed securities, other securities and whole-loans, net | (54,759 | ) | (156,286 | ) | 37,528 | 13,408 | ||||||||
Gain (loss) on linked transactions, net | 596 | 3,909 | (547 | ) | 179 | |||||||||
Gain (loss) on derivative instruments, net | 14,840 | 109,474 | (3,809 | ) | 37,042 | |||||||||
| | | | | | | | | | | | | | |
Other Income (Loss), net | (53,218 | ) | (52,507 | ) | (15,322 | ) | 143 | |||||||
| | | | | | | | | | | | | | |
Operating Expenses: | ||||||||||||||
General and administrative | 1,737 | 1,541 | 1,484 | 1,684 | ||||||||||
Management fee—related party | 2,113 | 1,826 | 2,032 | 1,843 | ||||||||||
| | | | | | | | | | | | | | |
Total Operating Expenses | 3,850 | 3,367 | 3,516 | 3,527 | ||||||||||
| | | | | | | | | | | | | | |
Net income (loss) available to Common Stock and participating securities | $ | (28,499 | ) | $ | (27,654 | ) | $ | 7,543 | $ | 20,755 | ||||
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
Net income (loss) per Common Share—Basic | $ | (1.18 | ) | $ | (1.16 | ) | $ | 0.31 | $ | 0.83 | ||||
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
Net income (loss) per Common Share—Diluted | $ | (1.18 | ) | $ | (1.16 | ) | $ | 0.31 | $ | 0.83 | ||||
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
-1 | The Company identified an error relating to Basic and Diluted Net Loss per share amounts of $1.14 for the three month period ended June 30, 2013, as previously reported in the June 30, 2013 Form 10-Q. The error understated Basic and Diluted Net Loss per share by $0.02 per share. Management evaluated the impact of the error on the previously reported financial statements and concluded the impact was not material to the financial statements for the three month period ended June 30, 2013 taken as a whole. However, Management has elected to revise the per share amounts to correct for the impact of this error and the revised amounts of $1.16 per share are reflected above. | |||||||||||||
For the period from | ||||||||||||||
May 15, 2012 | ||||||||||||||
(commencement of | ||||||||||||||
operations) through | ||||||||||||||
June 30, 2012, | Quarter Ended | |||||||||||||
as Revised | September 30, | December 31, | ||||||||||||
2012, as | 2012 | |||||||||||||
Revised | ||||||||||||||
Net Interest Income: | ||||||||||||||
Interest income | $ | 7,083 | $ | 12,987 | $ | 33,248 | ||||||||
Interest expense | 725 | 1,935 | 5,434 | |||||||||||
| | | | | | | | | | | ||||
Net Interest Income | 6,358 | 11,052 | 27,814 | |||||||||||
| | | | | | | | | | | ||||
Other Income (Loss): | ||||||||||||||
Interest income on cash balances | — | 2 | 9 | |||||||||||
Realized gain on sale of Residential mortgage-backed securities and other securities, net | 1,157 | 6,635 | 12,962 | |||||||||||
Other loss on Residential mortgage-backed securities | (87 | ) | (1,352 | ) | (1,767 | ) | ||||||||
Unrealized gain (loss) on Residential mortgage-backed securities and other securities, net | 2,983 | 26,225 | (15,278 | ) | ||||||||||
Gain (loss) on derivative instruments, net | (5,159 | ) | (12,245 | ) | 4,298 | |||||||||
| | | | | | | | | | | ||||
Other Income (loss), net | (1,106 | ) | 19,265 | 224 | ||||||||||
| | | | | | | | | | | ||||
Operating Expenses: | ||||||||||||||
General and administrative | 584 | 1,321 | 1,292 | |||||||||||
Management fee—related party | 407 | 802 | 1,924 | |||||||||||
| | | | | | | | | | | ||||
Total Operating Expenses | 991 | 2,123 | 3,216 | |||||||||||
| | | | | | | | | | | ||||
Net income available to Common Stock and participating securities | $ | 4,261 | $ | 28,194 | $ | 24,822 | ||||||||
| | | | | | | | | | | ||||
| | | | | | | | | | | ||||
Earnings per Common Share—Basic | $ | 0.41 | $ | 2.73 | $ | 1.04 | ||||||||
| | | | | | | | | | | ||||
| | | | | | | | | | | ||||
Earnings per Common Share—Diluted | $ | 0.41 | $ | 2.72 | $ | 1.04 | ||||||||
| | | | | | | | | | | ||||
| | | | | | | | | | | ||||
Subsequent_Events
Subsequent Events | 12 Months Ended |
Dec. 31, 2014 | |
Subsequent Events | |
Subsequent Events | |
Note 18—Subsequent Events | |
On February 19, 2015, the Company granted 200,000 shares of restricted common stock to the Manager under the Manager Equity Plan. One-third of the shares will vest on March 1, 2016, one-third will vest on March 1, 2017 and the remaining one-third will vest on March 1, 2018. | |
Schedule_IV_Mortgage_Loans_on_
Schedule IV Mortgage Loans on Real Estate | 12 Months Ended | |||||||||||||||||||||||
Dec. 31, 2014 | ||||||||||||||||||||||||
Schedule IV- Mortgage Loans on Real Estate | ||||||||||||||||||||||||
Schedule IV- Mortgage Loans on Real Estate | ||||||||||||||||||||||||
$ in thousands | Description | Number of | Interest | Maturity | Periodic | Prior | Face | Carrying | Principal | |||||||||||||||
Asset Type | Loans | Rate | Date | Payment | Liens | Amount of | Amount of | Amount of | ||||||||||||||||
Terms(1) | Mortgages | Mortgages | Loans Subject to | |||||||||||||||||||||
Delinquent | ||||||||||||||||||||||||
Principal or | ||||||||||||||||||||||||
Interest | ||||||||||||||||||||||||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,500,000 | 1 | Hybrid ARM 5.0% | 11/1/44 | P&I(2) | $ | — | $ | 1,500 | $ | 1,542 | $ | — | |||||||||||
Adjustable Rate Residential Mortgage Loans Held in Securitization Trusts | Original Loan Balance $0 - $499,999 | 10 | Hybrid ARM 4.8% to 7.7% | 7/1/2044 to 11/1/2044 | P&I | — | 1,346 | 1,378 | — | |||||||||||||||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $780,000 | 1 | Hybrid ARM 4.8% | 11/1/44 | P&I(2) | — | 778 | 782 | — | |||||||||||||||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $704,400 | 1 | Hybrid ARM 5.9% | 11/1/44 | P&I(2) | — | 704 | 736 | — | |||||||||||||||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $700,000 | 1 | Hybrid ARM 4.7% | 12/1/44 | P&I(2) | — | 700 | 722 | — | |||||||||||||||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $650,000 | 1 | Hybrid ARM 6.2% | 11/1/44 | P&I | — | 649 | 673 | — | |||||||||||||||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $431,250 | 1 | Hybrid ARM 6.9% | 11/1/44 | P&I | — | 431 | 455 | — | |||||||||||||||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $405,000 | 1 | Hybrid ARM 6.9% | 9/1/44 | P&I | — | 404 | 400 | — | |||||||||||||||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $303,000 | 1 | Hybrid ARM 5.0% | 9/1/44 | P&I | — | 302 | 299 | — | |||||||||||||||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $221,250 | 1 | Hybrid ARM 8.5% | 9/1/44 | P&I | — | 221 | 233 | — | |||||||||||||||
| | | | | | | | | | | | | | | | | | | | | | | | |
$ | — | $ | 7,035 | $ | 7,220 | $ | — | |||||||||||||||||
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
-1 | Principal and interest ("P&I") | |||||||||||||||||||||||
-2 | Interest only payments for initial 5 years. After 5 years, the loan is recast to fully amortize the outstanding balance over the remaining term of the loan. | |||||||||||||||||||||||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||||||||||||||||||||||
2014 | 2013 | 2012 | ||||||||||||||||||||||
Beginning balance | $ | — | $ | — | $ | — | ||||||||||||||||||
Additions during period: | ||||||||||||||||||||||||
New mortgage loans | 7,161 | — | — | |||||||||||||||||||||
Unrealized gains | 94 | — | — | |||||||||||||||||||||
Deductions during period: | ||||||||||||||||||||||||
Collections of principal | 9 | — | — | |||||||||||||||||||||
Amortization of premium and (discounts) | 25 | — | — | |||||||||||||||||||||
Unrealized losses | 1 | — | — | |||||||||||||||||||||
| | | | | | | | | | | ||||||||||||||
Balance at end of period | $ | 7,220 | $ | — | $ | — | ||||||||||||||||||
| | | | | | | | | | |||||||||||||||
| ||||||||||||||||||||||||
| | | | | | | | | | | ||||||||||||||
Summary_of_Significant_Account1
Summary of Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2014 | |
Summary of Significant Accounting Policies | |
Basis of Presentation and Consolidation | |
Basis of Presentation and Consolidation | |
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America ("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 periods. Actual results could differ from those estimates. | |
The consolidated financial statements include the Company's accounts and those of its consolidated subsidiary. The consolidated financial statements also include the consolidation of a trust that meets the definition of a variable interest entity ("VIE") related to the acquisition of residential whole-loans in which the Company has been deemed itself to be the primary beneficiary of the trust. The trust has issued trust certificates to the Company which are collateralized by pools of residential mortgage loans held by the trust. The Company includes the underlying residential mortgage loans owned by the trusts in Residential whole-loans at fair value on the Consolidated Balance Sheets and has eliminated the intercompany trust certificates in consolidation. The Company records interest income earned on the residential whole-loans in Interest Income on the Consolidated Statements of Operations. The Company records the initial underlying assets and liabilities of the consolidated trusts at their fair value upon consolidation into the Company and, as such, a gain or loss would be recorded upon consolidation if appropriate. Upon consolidation of the VIE during 2014, the Company recorded no gain or loss upon consolidation. Refer to Note 6—"Variable Interest Entities" for additional information regarding the impact of consolidation of trusts. All intercompany amounts between the Company and its subsidiary and consolidated trusts have been eliminated in consolidation. | |
The Company currently operates as one business segment. | |
Cash and Cash Equivalents | |
Cash and Cash Equivalents | |
The Company considers all highly-liquid short term investments with original maturities of 90 days or less when purchased to be cash equivalents. Cash and cash equivalents are exposed to concentrations of credit risk. The Company places its cash and cash equivalents with what it believes to be high credit quality institutions. At times such investments may be in excess of the Federal Deposit Insurance Corporation insurance limit. | |
Mortgage-backed securities, other securities and residential whole-loans - Fair value election | |
Mortgage-backed securities, other securities and residential whole-loans—Fair value election | |
The Company has elected the fair value option for all of its MBS, other securities and residential whole-loans at the date of purchase, which permits the Company to measure these securities and whole-loans at fair value with the change in fair value included as a component of earnings. In the Manager's view, this election more appropriately reflects the results of the Company's operations for a particular reporting period, as financial asset fair value changes are presented in a manner consistent with the presentation and timing of the fair value changes of economic hedging instruments. | |
Balance Sheet Presentation | |
Balance Sheet Presentation | |
The Company's mortgage-backed securities and other securities purchases and sales are recorded on the trade date, which results in an investment related payable (receivable) for MBS and other securities purchased (sold) for which settlement has not taken place as of the balance sheet date. In addition, the Company's TBAs, as defined herein, which matured but have not settled as of the balance sheet date result in an investment related payable (receivable). The Company's MBS and other securities are pledged as collateral against borrowings under repurchase agreements. Other than MBS and other securities which are accounted for as linked transactions, described below, the Company's MBS and other securities are included in Mortgage-backed securities and other securities at fair value and Investment related receivables on the Consolidated Balance Sheets, with the fair value of such MBS and other securities pledged disclosed parenthetically. Residential whole-loans purchases and sales are recorded on the settlement date and are included in Residential whole-loans at fair value on the Consolidated Balance Sheets. | |
Valuation of financial instruments | |
Valuation of financial instruments | |
The Company discloses the fair value of its financial instruments according to a fair value hierarchy (Levels I, II, and III, as defined below). In accordance with GAAP, the Company is required to provide enhanced disclosures regarding instruments in the Level III category (which require significant management judgment), including a separate reconciliation of the beginning and ending balances for each major category of assets and liabilities. GAAP establishes a framework for measuring fair value and expands financial statement disclosure requirements for fair value measurements. GAAP further specifies a hierarchy of valuation techniques, which is based on whether the inputs into the valuation technique are observable or unobservable. The hierarchy is as follows: | |
Level I—Quoted prices in active markets for identical assets or liabilities. | |
Level II—Quoted prices for similar assets and liabilities 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 III—Prices are determined using significant unobservable inputs. 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 may be used. | |
The level in the fair value hierarchy within which a fair value measurement in its entirety falls is based on the lowest level input that is significant to the fair value measurement in its entirety. Transfers between levels are determined by the Company at the end of the reporting period. | |
When available, the Company uses quoted market prices to determine the fair value of an asset or liability. If quoted market prices are not available, the Company consults with independent pricing services or obtains third party broker quotes. If independent pricing service, or third party broker quotes are not available, the Company determines the fair value of the securities using valuation techniques that use, when possible, current market-based or independently-sourced market parameters, such as interest rates and when applicable, estimates of prepayment and credit losses. | |
Valuation techniques for MBS, residential whole-loans and other securities may be based upon models that consider the estimated cash flows of the security. Depending on the security and the underlying collateral, the primary inputs to the model include yields for Agency To-Be-Announced securities (also known as "TBAs"), Agency MBS, the U.S. Treasury market and floating rate indices such as the London interbank offered rate or LIBOR, the Constant Maturity Treasury rate and the prime rate as a benchmark yield. In addition, the model may incorporate the current weighted average maturity and additional pool level information such as prepayment speeds, default frequencies and default severities, if applicable. To the extent such inputs are observable and timely, these securities are categorized as Level II of the fair value hierarchy; otherwise, unless alternative pricing information as described above is available, they are categorized as Level III. | |
While linked transactions, described below, are treated as derivatives for GAAP, the securities underlying the Company's linked transactions are valued using similar techniques to those used for the Company's securities portfolio. The value of the underlying security is then netted against the carrying amount (which approximates fair value) of the repurchase agreement at the valuation date. Additionally, TBA instruments are similar in substance to the Company's Agency RMBS portfolio, and the Company therefore estimates fair value based on similar methods. | |
The Company determines the fair value of derivative financial instruments by obtaining quotes from third party pricing services, whose pricing is subject to review by the Manager's pricing committee. In valuing its over-the-counter interest rate derivatives, such as swaps and swaptions, and its currency derivatives, such as swaps and forwards, the Company considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each derivative agreement, from the perspective of both the Company and its counterparties. The majority of the Company's interest rate swaps are cleared through a central clearing house and subject to the clearing house margin requirements. The Company's agreements with its derivative counterparties also contain netting provisions; however the Company has elected to report its interest rate swaps and currency swaps on a gross basis. No credit valuation adjustment was made in determining the fair value of interest rate and/or currency derivatives for the years ended December 31, 2014 and 2013. | |
Fair value under GAAP represents an exit price in the normal course of business, not a forced liquidation price. If the Company is forced to sell assets in a short period to meet liquidity needs, the prices it receives can be substantially less than their recorded fair values. Furthermore, the analysis of whether it is more likely than not that the Company will not be required to sell securities in an unrealized loss position before recovery of its amortized cost basis, the amount of such expected required sales, and the projected identification of which securities will be sold is also subject to significant judgment, particularly in times of market illiquidity. | |
Any changes to the valuation methodology will be reviewed by the Company and its Manager to ensure the changes are appropriate. As markets and products develop and the pricing for certain products becomes more transparent, the Company will continue to refine its valuation methodologies. The Company utilizes and follows the pricing methodology and fair value hierarchy employed by its Manager, including its review and challenge process. The methods used by the Company may produce a fair value calculation that may not be indicative of net realizable value or reflective of future fair values. Furthermore, while the Company anticipates that its valuation methods will be appropriate and consistent with other market participants, the use of different methodologies, or assumptions, to determine the fair value of certain financial instruments can result in a different estimate of fair value at the reporting date. The Company uses inputs that are current as of the measurement date, which may include periods of market dislocation, during which price transparency may be reduced. | |
All valuations received from independent pricing services are non-binding. The Company primarily utilizes an independent third party pricing service as the primary source for valuing the Company's assets. | |
The Company generally receives one independent pricing service price for each investment in the Company's portfolio. The Manager has established a process to review and validate the pricing received from the independent pricing service and has a process for challenging prices received from the independent pricing service when necessary. The Company utilizes our Manager's policies in this regard. The Company's and the Manager's review of the independent third party pricing data may consist of a review of the daily change in the prices provided by the independent pricing vendor which exceed established tolerances or comparisons to executed transaction prices. The Manager's pricing group, which functions independently from its portfolio management personnel, corroborates the price differences or changes in price by comparing the vendor price to alternate sources including other independent pricing services or broker quotations. If the price change or difference cannot be corroborated, the Manager's pricing group consults with the portfolio management team for market color in reviewing such pricing data as warranted. To the extent that the Manager has information, typically in the form of broker quotations that would indicate that a price received from the independent pricing service is outside of a tolerance range, our Manager generally challenges the independent pricing service price. | |
To ensure proper fair value hierarchy, The Company and the Manager review the methodology and data used by the third party pricing service to understand whether observable market data is being utilized in the vendor's pricing methodology. Generally, this review is conducted annually, however ad-hoc reviews of the pricing methodology and the data does occur. The review of the assumptive data received from the vendor includes comparing key inputs. In addition, as part of the Company's regular review of pricing, the Manager's pricing group may have informal discussions with the independent pricing vendor regarding their evaluation methodology or the market data utilized in their determination as well as performing back-testing with regard to the sale of securities. The conclusion that a price should be overridden in accordance with the Manager's pricing methodology may impact the fair value hierarchy of the security for which such price has been adjusted. | |
Interest income recognition and Impairment | Interest income recognition and Impairment |
Agency MBS, Non-Agency MBS and other securities, excluding Interest-Only Strips, rated AA and higher at the time of purchase | |
Interest income on mortgage-backed and other securities is accrued based on the respective outstanding principal balances and corresponding contractual terms. Premiums and discounts associated with Agency MBS, Non-Agency MBS and other securities, excluding Interest-Only Strips, rated AA and higher at the time of purchase, are amortized into interest income over the estimated life of such securities using the effective yield method. Adjustments to premium and discount amortization are made for actual prepayment activity. The Company estimates prepayments at least quarterly for its securities and as a result, if prepayments increase (or are expected to increase), the Company will accelerate the rate of amortization on premiums or discounts and make a retrospective adjustment to historical amortization. Alternatively, if prepayments decrease (or are expected to decrease) the Company will reduce the rate of amortization on the premiums or discounts and make a retrospective adjustment to historical amortization. | |
The Company's conversion to a new accounting system in the calculation methodology used to determine the amortization of bond premium as of April 1, 2014, resulted in a change in estimate of approximately $1.2 million. The impact of the change in estimate had no impact on Net income and was limited to an increase of approximately $1.2 million to Interest Income and an equal offsetting reduction to Unrealized gain (loss) on Mortgage-backed securities, other securities and whole-loans, net on the Consolidated Statement of Operations. The Company does not believe the aforementioned change in estimate will have a material impact to subsequent periods. | |
The Company assesses its Agency MBS, Non-Agency MBS and other securities, excluding Interest-Only Strips, rated AA and higher at the time of purchase for other-than-temporary impairment on at least a quarterly basis. When the fair value of an investment is less than its amortized cost at the balance sheet date of the reporting period for which impairment is assessed, the impairment is designated as either "temporary" or "other-than-temporary." In deciding on whether or not a security is other-than-temporarily impaired, the Company considers several factors, including the nature of the investment, communications (if any) from the trustees of securitizations regarding the credit quality of the security, the severity and duration of the impairment, the cause of the impairment, and the Company's intent not to sell the security and whether it is more likely than not that Company will not be required to sell the security until recovery of its amortized cost basis. An other-than-temporary impairment is deemed to have occurred when there is an adverse change in the expected cash flows (principal or interest) to be received and the fair value of the security is less than its carrying amount. In determining whether an adverse change in cash flows occurred, the present value of the remaining cash flows, as estimated at the initial transaction date (or the last date previously revised), is compared to the present value of the expected cash flows at the current reporting date. The estimated cash flows reflect those a "market participant" would use and are discounted at a rate equal to the current yield used to accrete interest income. These adjustments are reflected in the Company's Consolidated Statement of Operations as Other loss on Mortgage-backed securities and other securities. | |
The determination as to whether an other-than-temporary impairment exists is subject to management estimates based on consideration of both factual information available at the time of assessment as well as the Company's estimates of the future performance and projected amount and timing of cash flows expected to be collected on the security. As a result, the timing and amount of an other-than-temporary impairment constitutes an accounting estimate that may change materially over time. | |
Non-Agency MBS and other securities that are rated below AA at the time of purchase and Interest-Only Strips that are not classified as derivatives | |
Interest income on Non-Agency MBS and other securities that are rated below AA at the time of purchase and Interest-Only Strips that are not classified as derivatives are recognized based on the effective yield method. The effective yield on these securities is based on the projected cash flows from each security, which is estimated based on the Company's observation of the then current information and events, where applicable, and will include assumptions related to interest rates, prepayment rates and the timing and amount of credit losses. On at least a quarterly basis, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on input and analysis received from external sources, internal models, and its judgment about interest rates, prepayment rates, the timing and amount of credit losses (if applicable), and other factors. Where appropriate, the Company may include in its cash flow projections the U.S Department of Justice's settlements with the major residential mortgage originators, regarding certain lending practices. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the yield/interest income recognized on such securities. Actual maturities of the securities are affected by the contractual lives of the underlying collateral, periodic payments of scheduled principal, and prepayments of principal. Therefore, actual maturities of the securities will generally be shorter than stated contractual maturities. | |
Based on the projected cash flow of such securities purchased at a discount to par value, the Company may designate a portion of such purchase discount as credit protection against future credit losses and, therefore, not accrete such amount into interest income. The amount designated as credit discount may be adjusted over time, based on the actual performance of the security, its underlying collateral, actual and projected cash flow from such collateral, economic conditions and other factors. If the performance of a security with a credit discount is more favorable than forecasted, a portion of the amount designated as credit discount may be accreted into interest income prospectively. | |
In addition, an other-than-temporary impairment is deemed to have occurred when there is an adverse change in the expected cash flows (principal or interest) to be received and the fair value of the security is less than its carrying amount. In determining whether an adverse change in cash flows occurred, the present value of the remaining cash flows, as estimated at the initial transaction date (or the last date previously revised), is compared to the present value of the expected cash flows at the current reporting date. The estimated cash flows reflect those a "market participant" would use and are discounted at a rate equal to the current yield used to accrete interest income. These adjustments are reflected in the Company's Consolidated Statements of Operations as Other loss on Mortgage-backed securities and other securities. | |
Securities denominated in a foreign currency contain additional risk in that the amortized cost basis for those securities may not be recovered due to declines in currency exchange rates. The Company considers the length of time that the security's fair value has declined due to the decline in foreign exchange rates, when assessing other-than temporary impairment. | |
The determination as to whether an other-than-temporary impairment exists is subject to management estimates based on consideration of both factual information available at the time of assessment as well as the Company's estimates of the future performance and projected amount and timing of cash flows expected to be collected on the security. As a result, the timing and amount of an other-than-temporary impairment constitutes an accounting estimate that may change materially over time. | |
Finally, certain of the Company's MBS and other securities that are in an unrealized loss position at December 31, 2014 are also not considered other-than-temporarily impaired because the Company has no intent to sell these investments, it is more likely than not that the Company will not be required to sell the investment before recovery of its amortized cost basis and the Company is not required to sell the security for regulatory or other reasons. | |
Residential whole-loans | |
The Company records its purchases of residential whole-loans as the amount paid to the seller plus any fees paid or less any fees received. All other costs incurred in connection with acquiring purchased residential whole-loans or committing to purchased residential whole-loans are charged to expense as incurred. The Company amortizes or accretes any premium or discount over the life of the related loan utilizing the effective interest method, using contractual payments terms of the loans. On at least a quarterly basis, the Company evaluates the collectability of both interest and principal of each loan, if circumstances warrant, to determine whether they are impaired. A loan is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. When a loan is impaired, the Company does not record a loss accrual as we have elected the fair value option. However, income recognition is suspended for loans at the earlier of the date at which payments become 90-days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful. When the ultimate collectability of the principal of an impaired loan is in doubt, all payments are applied to principal under the cost recovery method. When the ultimate collectability of the principal of an impaired loan is not in doubt, contractual interest is recorded as interest income when received, under the cash basis method until an accrual is resumed when the loan becomes contractually current and performance is demonstrated to be resumed. A loan is written off when it is no longer realizable and/or legally discharged. | |
Sales of securities | |
Sales of securities | |
Sales of securities are driven by the Company's portfolio management process. The Company seeks to mitigate risks including those associated with prepayments and will opportunistically rotate the portfolio into securities and/or other assets the Company's Manager believes have more favorable attributes. Strategies may also be employed to manage net capital gains, which need to be distributed for tax purposes. Realized gains or losses on sales of securities, including Agency Interest-Only Strips not characterized as derivatives, are included in the net Realized gain (loss) on sale of Mortgage-backed securities and other securities, net line item on the Consolidated Statements of Operations, and are recorded at the time of disposition. Realized gains or losses on sales of securities which are part of a linked transaction are included in Gain (loss) on linked transactions, net while realized gains losses on Interest-Only Strips which are characterized as derivatives are included in Gain (loss) on derivative instruments, net line item in the Consolidated Statements of Operations. The cost of positions sold is calculated using the specific identification method. | |
Securities in an unrealized loss position at the end of each reporting period are evaluated by the Company's Manager to determine whether the Company has the intent to sell such securities. To the extent the Company has no intent as of the end of such reporting period to sell such investments and it is more likely than not that the Company will not be required to sell the investment before recovery of its amortized cost basis, such unrealized loss is included in Unrealized gain (loss) on Mortgage-backed securities, other securities and whole-loans, net in the Consolidated Statements of Operations. Otherwise, when the Company has determined its intent to sell such securities, the unrealized loss is characterized as a realized loss and included in Other loss on Mortgage-backed securities and other securities on the Consolidated Statements of Operations. The Company has no intent to sell any of its investments in an unrealized loss position at December 31, 2014. | |
Foreign currency transactions | |
Foreign currency transactions | |
The Company has and expects to continue to enter into transactions denominated in foreign currency from time to time. At the date the transaction is recognized, the asset and/or liability will be measured and recorded using the exchange rate in effect at the date of the transaction. At each balance sheet date, such foreign currency assets and liabilities are re-measured using the exchange rate in effect at the date of the balance sheet, resulting in unrealized foreign currency gains or losses. Unrealized foreign currency gains or losses on MBS and other securities are recorded in Unrealized gain (loss) on Mortgage-backed securities, other securities and whole-loans, net on the Consolidated Statement of Operations. In addition, the Company evaluates whether an other-than-temporary impairment is deemed to have occurred on MBS and other securities denominated in a foreign currency. Cash flows from MBS and other securities denominated in foreign currencies are received in a foreign currency, and as a result, the Company may incur a loss due to changes in foreign exchange rates even when all contractual cash flows are received. These adjustments are reflected in our Consolidated Statements of Operations as Other loss on Mortgage-backed securities and other securities. Unrealized and realized foreign currency gains or losses on borrowings under repurchase agreements are recorded in Interest income on cash balances and other income (loss), net on the Consolidated Statement of Operations. Interest income from investments denominated in a foreign currency and interest expense on borrowings denominated in a foreign currency are recorded at the average rate of exchange during the period. | |
Variable Interest Entities ("VIEs") | |
Variable Interest Entities ("VIEs") | |
VIEs are defined as entities in which equity investors either do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support, are unable to direct the entity's activities or are not exposed to the entity's losses or entitled to its residual returns. VIEs are required to be consolidated by their primary beneficiary. The primary beneficiary of a VIE is determined to be the party that has both the power to direct the activities of a VIE that most significantly impact the VIE's economic performance and the obligation to absorb losses of the VIE that could potentially be significant to the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE. This determination of the requirement to consolidate a VIE and the requirement to disclose information about the Company's involvement in a VIE can sometimes involve complex and subjective analyses. Ongoing assessments of whether an enterprise is the primary beneficiary of a VIE is required. | |
Due from counterparties/Due to counterparties | |
Due from counterparties/Due to counterparties | |
Due from counterparties represents cash posted by the Company with its counterparties as collateral for the Company's interest rate and/or currency derivative financial instruments, repurchase agreements, and TBAs. Due to counterparties represents cash posted with the Company by its counterparties as collateral under the Company's interest rate and/or currency derivative financial instruments, repurchase agreements, and TBAs. In addition, as provided below, Due to counterparties may include non-cash collateral in which the Company has the obligation to return the collateral upon the Company either selling or pledging the non-cash collateral. To the extent the Company receives collateral other than cash from its counterparties such assets are not included in the Company's Consolidated Balance Sheets. Notwithstanding the foregoing, if the Company either rehypothecates such assets or pledges the assets as collateral pursuant to a repurchase agreement, the cash received and the corresponding liability is reflected on the Consolidated Balance Sheets. | |
Derivatives and hedging activities | |
Derivatives and hedging activities | |
Subject to maintaining its qualification as a REIT for U.S. federal income tax purposes, the Company utilizes derivative financial instruments, including interest rate swaps, interest rate swaptions, mortgage put options, currency forwards, futures contracts, TBAs and Agency and Non-Agency Interest-Only Strips to hedge the interest rate and currency risk associated with its portfolio and related borrowings. Derivatives, subject to REIT requirements, are used for hedging purposes rather than speculation. The Company determines the fair value of its derivative positions and obtains quotations from third parties, including the Chicago Mercantile Exchange or CME, to facilitate the process of determining such fair values. If the Company's hedging activities do not achieve the desired results, reported earnings may be adversely affected. | |
GAAP requires an entity to recognize all derivatives as either assets or liabilities and to measure those instruments at fair value. The accounting for changes in the fair value of derivatives depends on the intended use of the derivative, whether the Company has elected to designate a derivative in a hedging relationship and apply hedge accounting and whether the hedging relationship has satisfied the criteria necessary to apply hedge accounting. Derivatives are classified as either hedges of the fair value of a recognized asset or liability or of an unrecognized firm commitment (fair value hedge) or hedges of a forecasted transaction or the variability of cash flows to be received or paid related to a recognized asset or liability (cash flow hedge). Fair value adjustments are recorded in earnings immediately, if the Company does not elect hedge accounting for a derivative instrument. | |
The Company elected not to apply hedge accounting for its derivative instruments and records the change in fair value, net interest rate swap payments (including accrued amounts) and net currency payments (including accrued amounts) related to interest rate swaps and currency swaps, respectively in Gain (loss) on derivative instruments, net in its Consolidated Statements of Operations. In the Company's Consolidated Statements of Cash Flows, premiums received and paid on termination of its interest rate swaps, excluding interest rate swaps containing an other-than-insignificant financing element and the unamortized premium of MAC interest rate swaps, are included in cash flows from operating activities. On the other hand, proceeds and payments on settlement of swaptions, mortgage put options, futures contracts and TBAs are included in cash flows from investing activities. Proceeds and payments on settlement of forward contracts are reflected in cash flows from financing activities in the Company's Consolidated Statement of Cash Flows. While payments made at the time of entering MAC interest rate swaps are included in cash flows from investing activities, payments received by the Company upon entering MAC interest rate swaps are included in either cash flows from investing activities or cash flows financing activities, depending on whether or not the derivative instrument includes an other-than-insignificant financing element. For MAC interest rate swaps containing an other-than-insignificant financing element, all cash flows over the life of the derivative are treated as cash flows from financing activities. Return and recovery of basis activity for MAC interest rate swaps is included in cash flows from investing activities for swaps not containing an other-than-insignificant financing element in the Company's Consolidated Statement of Cash Flows. For Agency and Non-Agency Interest-Only Strips accounted for as derivatives, the purchase, sale and recovery of basis activity is included with MBS and other securities under cash flows from investing activities in the Company's Consolidated Statement of Cash Flows. | |
The Company also invests in Agency and Non-Agency Interest-Only Strips, interest rate swaptions, currency forwards, futures contracts and TBAs. The Company evaluates the terms and conditions of its holdings of Agency and Non-Agency Interest-Only Strips, interest rate swaptions, currency forwards, futures contracts and TBAs to determine if these instruments have the characteristics of an investment or should be considered a derivative under GAAP. In determining the classification of its holdings of Interest-Only Strips, the Company evaluates the securities to determine if the nature of the cash flows has been altered from that of the underlying mortgage collateral. Generally, Interest-Only Strips for which the security represents a strip off of a mortgage pass through security will be considered a hybrid instrument classified as a MBS investment on the Consolidated Balance Sheets utilizing the fair value option. Alternatively, those Interest-Only Strips, for which the underlying mortgage collateral has been included into a structured security that alters the cash flows from the underlying mortgage collateral, are accounted for as derivatives at fair value. Accordingly, Agency and Non-Agency Interest-Only Strips, interest rate swaptions, currency forwards, futures contracts and TBAs having the characteristics of derivatives are accounted for at fair value with such changes recognized in Gain (loss) on derivative instruments, net in its Consolidated Statements of Operations, along with any interest earned (including accrued amounts). The carrying value of the Agency and Non-Agency Interest-Only Strips, accounted for as derivatives, is included in Mortgage-backed securities on the Consolidated Balance Sheets. The carrying value of interest rate swaptions, currency forwards, futures contracts and TBAs is included in Derivative assets or Derivative liabilities on the Consolidated Balance Sheets. | |
The Company evaluates all of its financial instruments to determine if such instruments are derivatives or contain features that qualify as embedded derivatives. An embedded derivative is separated from the host contact and accounted for separately when all of the guidance criteria are met. Hybrid instruments that are remeasured at fair value through earnings, including the fair value option are not bifurcated. Derivative instruments, including derivative instruments accounted for as liabilities, are recorded at fair value and are re-valued at each reporting date, with changes in the fair value together with interest earned (including accrued amounts) reported in the Gain (loss) on derivatives, net in the Statements of Operations. While accounted for as derivative instruments, linked transactions, including changes in fair value and interest earned (including accrued amounts) are reported separately in our Consolidated Balance Sheets, Consolidated Statements of Operations and Consolidated Statements of Cash Flows. See "Warrants" below. | |
Repurchase agreements | |
Repurchase agreements | |
Mortgage-backed securities and other securities sold under repurchase agreements are treated as collateralized financing transactions, unless they meet sales treatment. Securities financed through a repurchase agreement remain on the Company's Consolidated Balance Sheets as assets and cash received from the lender is recorded in the Company's Consolidated Balance Sheets as a liability, unless such transaction is accounted for as a linked transaction, described below. Interest payable in accordance with repurchase agreements is recorded as accrued interest payable on the Consolidated Balance Sheets. Interest paid in accordance with repurchase agreements is recorded as interest expense, unless the repurchase agreement is accounted for as a linked transaction, described below. The Company reflects all proceeds from repurchase agreement borrowings and repayment of repurchase agreement borrowings which are not linked transactions, including transactions pertaining to collateral received with respect to certain swap transactions, on a gross basis on the Consolidated Statements of Cash Flows. | |
Linked transactions | Linked transactions |
In instances where the Company acquires a security through a repurchase agreement with the same counterparty from which the security was purchased, the Company evaluates such transaction in accordance with GAAP. This guidance requires that if the initial transfer of a financial asset and repurchase financing are entered into contemporaneously with, or in contemplation of, one another such transaction shall be considered linked unless all of the criteria found in the guidance are met at the inception of the transaction. If the transaction meets all of the conditions, the initial transfer shall be accounted for separately from the repurchase financing, and the Company will record the security and the related financing on a gross basis on its Consolidated Balance Sheets with the corresponding interest income and interest expense in the Consolidated Statements of Operations. If the transaction is determined to be linked, the Company will record the initial transfer and repurchase financing on a net basis and record a forward commitment to purchase the security as a derivative instrument with changes in market value being recorded on the Consolidated Statements of Operations. Such forward commitment is recorded at fair value with subsequent changes in fair value recognized in Gain (loss) on linked transactions, net on its Consolidated Statements of Operations. The Company refers to these transactions as Linked Transactions. When or if a transaction is no longer considered to be linked, the security and related repurchase financing will be reported on a gross basis. The unlinking of a transaction causes a realized event in which the fair value of the security as of the date of unlinking will become the cost basis of the real estate security. The difference between the fair value on the unlinking date and the existing cost basis of the security will be the realized gain or loss. Recognition of effective yield for such security will be calculated prospectively using the new cost basis. For linked transactions, the Company reflects purchases and sales of securities within the investing section of the Consolidated Statements of Cash Flows. Proceeds from repurchase agreements borrowings and repayments of repurchase agreement borrowings are reflected in the financing section of the Consolidated Statements of Cash Flows. Starting in 2015, GAAP will no longer require the segregation and treatment of linked transactions as derivatives. Accordingly, the Company will report such securities and the corresponding repurchase agreement on a gross basis on its Consolidated Balance Sheets and with the corresponding interest income and interest expense reported in its Consolidated Statements of Operations. See "Recent accounting pronouncements" for details. | |
Share-based compensation | |
Share-based compensation | |
The Company accounts for share-based compensation to its independent directors, to any employee, to its Manager and to employees of its Manager and its affiliates using the fair value based methodology prescribed by GAAP. Compensation cost related to restricted common stock issued to the Company's independent directors including any such restricted stock which is subject to a deferred compensation program, and any employee of the Company is measured at its fair value at the grant date, and amortized into expense over the service period on a straight-line basis. Compensation cost related to restricted common stock issued to the Manager and to employees of the Manager, including officers of the Company who are employees of the Manager and its affiliates is initially measured at fair value at the grant date, and amortized into expense over the vesting period on a straight-line basis and re-measured on subsequent dates to the extent the awards are unvested. | |
Warrants | |
Warrants | |
For the Company's warrants, the Company uses a variation of the adjusted Black-Scholes option valuation model to record the financial instruments at their relative fair values at issuance. The warrants issued with the Company's common stock in the private placement to certain accredited institutional investors on May 15, 2012, were evaluated by the Company and were recorded at their relative fair value as a component of equity at the date of issuance. See "Derivatives and hedging activities" above. | |
Income taxes | |
Income taxes | |
The Company operates and has elected to be taxed as a REIT commencing with its taxable year ended December 31, 2012. Accordingly, the Company will generally not be subject to corporate U.S. federal or state income tax to the extent that the Company makes qualifying distributions to stockholders, and provided that the Company satisfies, on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, the Company will be subject to U.S. federal, state and local income taxes and may be precluded from qualifying as a REIT for the subsequent four taxable years following the year in which the Company lost its REIT qualification. Accordingly, the failure to qualify as a REIT could have a material adverse impact on the Company's results of operations and amounts available for distribution to stockholders. | |
The dividends paid deduction for qualifying dividends paid to stockholders is computed using the Company's taxable income as opposed to net income reported on the consolidated financial statements. Taxable income, generally, will differ from net income reported on the consolidated financial statements because the determination of taxable income is based on tax provisions and not GAAP. | |
The Company may create and elect to treat certain subsidiaries as Taxable REIT Subsidiaries ("TRS"). In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business. A TRS is subject to U.S. federal, state and local corporate income taxes, and its value may not exceed 25% of the value of the Company. While a TRS may generate net income, a TRS can declare dividends to the Company, which will be included in the Company's taxable income and necessitate a distribution to its stockholders. Conversely, if the Company retains earnings at the TRS level, no distribution is required and it can increase book equity of the consolidated entity. As of December 31, 2014, the Company has a single wholly owned subsidiary which it has jointly elected to be treated as a TRS. | |
The Company evaluates uncertain tax positions, if any, and classifies interest and penalties, if any, related to unrecognized tax benefits, if any, as a component of the provision for income taxes. | |
Offering costs | |
Offering costs | |
Offering costs borne by the Company in connection with its IPO and concurrent private placement completed on May 15, 2012 as well as its follow-on public stock offering completed on October 3, 2012 and its follow-on public stock offering and concurrent private placement completed on April 9, 2014 (inclusive of the partial exercise of the greenshoe which was completed on May 7, 2014) are reflected as a reduction of additional paid-in-capital. | |
Earnings per share | |
Earnings per share | |
GAAP requires use of the two-class method of computing earnings per share for all periods presented for each class of common stock and participating securities as if all earnings for the period had been distributed. Under the two-class method, during periods of net income, the net income is first reduced for dividends declared on all classes of securities to arrive at undistributed earnings. During periods of net losses, the net loss is reduced for dividends declared on participating securities only if the security has the right to participate in the earnings of the entity and an objectively determinable contractual obligation to share in net losses of the entity. The Company's participating securities are not allocated a share of the net loss as the participating securities do not have a contractual obligation to share in the net losses of the Company. | |
The remaining earnings are allocated to common stockholders and participating securities, to the extent that each security shares in earnings, as if all of the earnings for the period had been distributed. Each total is then divided by the applicable number of shares to arrive at basic earnings per share. For the diluted earnings, the denominator includes all outstanding common shares and all potential common shares assumed issued if they are dilutive. The numerator is adjusted for any changes in income or loss that would result from the assumed conversion of these potential common shares. | |
Comprehensive Income (Loss) | |
Comprehensive Income (Loss) | |
The Company has none of the components of comprehensive income (loss) and therefore comprehensive income (loss) is not presented. | |
Accounting standards applicable to emerging growth companies | |
Accounting standards applicable to emerging growth companies | |
The JOBS Act contains provisions that relax certain requirements for "emerging growth companies", which includes the Company. For as long as the Company is an emerging growth company, which may be up to five full fiscal years, unlike other public companies, the Company will not be required to: (i) comply with any new or revised financial accounting standards applicable to public companies until such standards are also applicable to private companies under Section 102(b)(1) of the JOBS Act; (ii) provide an auditor's attestation report on management's assessment of the effectiveness of the Company's system of internal control over financial reporting pursuant to Section 404 of the Sarbanes-Oxley Act; (iii) comply with any new requirements adopted by the PCAOB requiring mandatory audit firm rotation or a supplement to the auditor's report in which the auditor would be required to provide additional information about the audit and the financial statements of the issuer; or (iv) comply with any new audit rules adopted by the PCAOB after April 5, 2012, unless the SEC determines otherwise. The Company currently take advantage of some of such exemptions. The Company's qualification for remaining an emerging growth company under the five full fiscal years expires on December 31, 2018. However, the Company may no longer qualify sooner if its gross revenues for any year equal $1.0 billion or more, the Company issued more than $1.0 billion in non-convertible debt during the three previous years, or on the date in which the Company is deemed to be a large accelerated filer. | |
As noted above, under the JOBS Act, emerging growth companies can delay adopting new or revised accounting standards that have different effective dates for public and private companies until such time as those standards apply to private companies. The Company intends to take advantage of such extended transition period. Since the Company will not be required to comply with new or revised accounting standards on the relevant dates on which adoption of such standards is required for other public companies, its financial statements may not be comparable to the financial statements of companies that comply with public company effective dates. If the Company were to elect to comply with these public company effective dates, such election would be irrevocable pursuant to Section 107 of the JOBS Act. | |
Recent accounting pronouncements | |
Recent accounting pronouncements | |
Accounting Standards to be Adopted in Future Periods | |
In April 2014, the Financial Accounting Standards Board issued updated guidance that changes the requirements for reporting discontinued operations. Under the new guidance, a discontinued operation is defined as a disposal of a component of an entity or group of components of an entity that is disposed of or is classified as held for sale and represents a strategic shift that has (or will have) a major effect on an entity's operations and financial results. The guidance is effective prospectively as of the first quarter of 2015, with early adoption permitted for new disposals or new classifications as held-for-sale. The guidance is effective for annual periods beginning on or after December 15, 2014 and interim periods within annual periods beginning on or after December 15, 2015. Early adoption is permitted but only for disposals (or classifications as held for sale) that have not been reported in financial statements previously issued or available for issue. The new guidance is not expected to have a material impact on the Company's consolidated financial statements. | |
In June 2014, the Financial Accounting Standards Board issued guidance that changes the accounting for repurchase-to-maturity transactions and repurchase financing arrangements. The new guidance aligns the accounting for repurchase-to-maturity transactions and repurchase agreements executed as a repurchase financing with the accounting for other typical repurchase agreements. These transactions would all be accounted for as secured borrowings. The guidance eliminates sale accounting for repurchase-to-maturity transactions and supersedes the guidance under which a transfer of a financial asset and a contemporaneous repurchase financing could be accounted for on a combined basis as a forward agreement, which has resulted in outcomes referred to as off-balance-sheet accounting. In addition, the guidance requires additional disclosures. The guidance is effective for the first interim or annual period beginning after December 15, 2014. Earlier application for a public company is prohibited. Certain disclosures under this guidance do not take effect until the first period beginning after March 15, 2015. The Company currently accounts for certain transfers as forward agreements under the existing guidance, which are currently classified as linked transactions. The new guidance will require the Company to record these transfers as secured borrowings. The implementation of the new guidance will result in a cumulative-effect adjustment to retained earnings as of the beginning of the period of adoption. The new guidance is not expected to have a material impact on the Company's consolidated financial statements. | |
In August 2014, the Financial Accounting Standards Board issued guidance that will require an entity's management to evaluate whether there is substantial doubt about an entity's ability to continue as a going concern and to provide related footnote disclosures. According to the new guidance, substantial doubt exists when conditions and events, considered in the aggregate, indicate that it is probable that the entity will be unable to meet its obligations as they become due within one year after the date the financial statements are issued. The term "probable" is used consistently with its current use in U.S. GAAP for loss contingencies. Disclosures will be required if conditions give rise to substantial doubt about the entity's ability to continue as a going concern, including whether management's plans that are intended to mitigate those conditions will alleviate the substantial doubt when implemented. The guidance is effective for annual periods ending after December 15, 2016. Early application is permitted. The Company's first assessment under the new guidance will be completed for the year ending December 31, 2016. | |
In January 2015, the FASB issued guidance to simplify income statement presentation by eliminating the concept of extraordinary items. U.S. GAAP currently requires that a company separately classify, disclose and present extraordinary events and transactions. The guidance eliminates the concept of extraordinary items from U.S. GAAP. Under the existing guidance, an entity is required to separately disclose extraordinary items, net of tax, in the income statement after income from continuing operations if an event or transaction is of an unusual nature and occurs infrequently. This separate, net-of-tax presentation (and corresponding earnings per share impact) will no longer be allowed. The existing requirement to separately present items that are of an unusual nature or occur infrequently on a pre-tax basis within income from continuing operations has been retained. The new guidance also requires similar separate presentation of items that are both unusual and infrequent. The standard is effective for periods beginning after December 15, 2015. Early adoption is permitted, but only as of the beginning of the fiscal year of adoption. Upon adoption, a reporting entity may elect prospective or retrospective application. If adopted prospectively, both the nature and amount of any subsequent adjustments to previously reported extraordinary items must be disclosed. The new guidance is not expected to have a material impact on the Company's consolidated financial statements. | |
In February 2015, the FASB issued guidance to simplify and reduce the number of consolidation models through the elimination of an indefinite deferral for certain entities and by placing more emphasis on risk of loss when determining a controlling financial interest. The guidance affects reporting entities that are required to evaluate whether they should consolidate certain legal entities. All legal entities are subject to reevaluation under the revised consolidation model. The standard is effective for fiscal years, and for interim periods within fiscal years beginning after December 15, 2015. Early adoption is permitted, including adoption in an interim period. If an entity early adopts the amendments in an interim period, any adjustments should be reflected as of the beginning of the fiscal year that includes that interim period. The Company is currently assessing the impact that this guidance will have on its consolidated financial statements when adopted. | |
Revision_of_Previously_Issued_1
Revision of Previously Issued Financial Statements for Errors Affecting Certain Items Presented in the Statements of Cash Flows and Notes to Financial Statements (Tables) | 12 Months Ended | |||||||||||||||||||
Dec. 31, 2014 | ||||||||||||||||||||
Revision of Previously Issued Financial Statements for Errors Affecting Certain Items Presented in the Statements of Cash Flows and Notes to Financial Statements | ||||||||||||||||||||
Schedules of Revision of Previously Issued Financial Statements for Errors Affecting Certain Items Presented in the Statements of Cash Flows and Notes to Financial Statements | ||||||||||||||||||||
For the six months ended June 30, 2014 | For the nine months ended | |||||||||||||||||||
September 30, 2014 | ||||||||||||||||||||
Amounts in thousands | As | Adjustments | Revised | As | Adjustments | Revised | ||||||||||||||
Originally | Originally | |||||||||||||||||||
Reported | Reported | |||||||||||||||||||
Statement of Cash Flows (effect on individual line items) | ||||||||||||||||||||
Net income | $ | 59,133 | $ | — | $ | 59,133 | $ | 85,269 | $ | — | $ | 85,269 | ||||||||
Adjustments to reconcile net income to net cash provided by operating activities: | ||||||||||||||||||||
Premium amortization for MAC interest rate swaps | — | — | — | — | (928 | ) | (928 | ) | ||||||||||||
Interest payments and basis recovered on MAC interest rate swaps | — | — | — | — | (545 | ) | (545 | ) | ||||||||||||
Mark-to-market adjustments on derivative instruments | 132,126 | (22,784 | ) | 109,342 | 147,968 | (21,856 | ) | 126,112 | ||||||||||||
All other items | (132,097 | ) | — | (132,097 | ) | (132,229 | ) | — | (132,229 | ) | ||||||||||
| | | | | | | | | | | | | | | | | | | | |
Net cash provided by operating activities | 59,162 | (22,784 | ) | 36,378 | 101,008 | (23,329 | ) | 77,679 | ||||||||||||
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Cash flows from investing activities: | ||||||||||||||||||||
Premium for MAC interest rate swaps, net | — | 13,245 | 13,245 | (2,235 | ) | 13,245 | 11,010 | |||||||||||||
All other items | (1,650,680 | ) | — | (1,650,680 | ) | (1,350,036 | ) | — | (1,350,036 | ) | ||||||||||
| | | | | | | | | | | | | | | | | | | | |
Net cash used in investing activities | (1,650,680 | ) | 13,245 | (1,637,435 | ) | (1,352,271 | ) | 13,245 | (1,339,026 | ) | ||||||||||
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Cash flows from financing activities: | ||||||||||||||||||||
Proceeds from repurchase agreement borrowings | 11,783,312 | (2,757 | ) | 11,780,555 | 18,164,190 | (2,757 | ) | 18,161,433 | ||||||||||||
Repayments of repurchase agreement borrowings | (10,241,325 | ) | 2,757 | (10,238,568 | ) | (16,861,130 | ) | 2,757 | (16,858,373 | ) | ||||||||||
Premium for MAC interest rate swaps containing an other-than-insignificant financing element | — | 9,539 | 9,539 | 1,040 | 9,539 | 10,579 | ||||||||||||||
Interest payments and basis recovered on MAC interest rate swaps containing an other-than-insignificant financing element | — | — | — | — | 545 | 545 | ||||||||||||||
All other items | 2,053 | — | 2,053 | (45,295 | ) | — | (45,295 | ) | ||||||||||||
| | | | | | | | | | | | | | | | | | | | |
Net cash provided by financing activities | 1,544,040 | 9,539 | 1,553,579 | 1,258,805 | 10,084 | 1,268,889 | ||||||||||||||
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in cash and cash equivalents | (47,478 | ) | — | (47,478 | ) | 7,542 | — | 7,542 | ||||||||||||
Cash and cash equivalents beginning of period | 48,525 | — | 48,525 | 48,525 | — | 48,525 | ||||||||||||||
| | | | | | | | | | | | | | | | | | | | |
Cash and cash equivalents end of period | $ | 1,047 | $ | — | $ | 1,047 | $ | 56,067 | $ | — | $ | 56,067 | ||||||||
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
The below tables summarize the effect of interest rate swaps, interest rate swaptions, foreign currency swaps, foreign currency forwards, options, futures contracts, Agency and Non-Agency Interest-Only Strips as derivatives and TBAs reported in Gain (loss) on derivative instruments, net on our Consolidated Statements of Operations for the three months ended June 30, 2014, six months ended June 30, 2014, three months ended September 30, 2014, and nine months ended September 30, 2014 (dollars in thousands—summarized): | ||||||||||||||||||||
As Originally Reported | ||||||||||||||||||||
Three months ended June 30, 2014 | ||||||||||||||||||||
Description | Realized | Contractual | Return | Mark-to- | Total | |||||||||||||||
Gain | interest | (Recovery) | market | |||||||||||||||||
(Loss), net | income | of Basis | adjustments | |||||||||||||||||
(expense), | ||||||||||||||||||||
net(1) | ||||||||||||||||||||
Interest rate swaps | $ | 15,996 | $ | (6,083 | ) | $ | — | $ | (84,619 | ) | $ | (74,706 | ) | |||||||
All other items with no changes | (2,487 | ) | 6,140 | (4,507 | ) | 8,883 | 8,029 | |||||||||||||
| | | | | | | | | | | | | | | | | ||||
Total | $ | 13,509 | $ | 57 | $ | (4,507 | ) | $ | (75,736 | ) | $ | (66,677 | ) | |||||||
| | | | | | | | | | | | | | | | | ||||
| | | | | | | | | | | | | | | | | ||||
Adjustments | ||||||||||||||||||||
Description | Realized | Contractual | Return | Mark-to- | Total | |||||||||||||||
Gain | interest | (Recovery) | market | |||||||||||||||||
(Loss), net | income | of Basis | adjustments | |||||||||||||||||
(expense), | ||||||||||||||||||||
net(1) | ||||||||||||||||||||
Interest rate swaps | $ | (22,784 | ) | $ | — | $ | — | $ | 22,784 | $ | — | |||||||||
All other items with no changes | — | — | — | — | — | |||||||||||||||
| | | | | | | | | | | | | | | | | ||||
Total | $ | (22,784 | ) | $ | — | $ | — | $ | 22,784 | $ | — | |||||||||
| | | | | | | | | | | | | | | | | ||||
| | | | | | | | | | | | | | | | | ||||
Revised | ||||||||||||||||||||
Description | Realized | Contractual | Return | Mark-to- | Total | |||||||||||||||
Gain | interest | (Recovery) | market | |||||||||||||||||
(Loss), net | income | of Basis | adjustments | |||||||||||||||||
(expense), | ||||||||||||||||||||
net(1) | ||||||||||||||||||||
Interest rate swaps | $ | (6,788 | ) | $ | (6,083 | ) | $ | — | $ | (61,835 | ) | $ | (74,706 | ) | ||||||
All other items with no changes | (2,487 | ) | 6,140 | (4,507 | ) | 8,883 | 8,029 | |||||||||||||
| | | | | | | | | | | | | | | | | ||||
Total | $ | (9,275 | ) | $ | 57 | $ | (4,507 | ) | $ | (52,952 | ) | $ | (66,677 | ) | ||||||
| | | | | | | | | | | | | | | | | ||||
| | | | | | | | | | | | | | | | | ||||
-1 | Contractual interest income (expense), net on derivative instruments includes interest settlement paid or received. | |||||||||||||||||||
As Originally Reported | ||||||||||||||||||||
Six months ended June 30, 2014 | ||||||||||||||||||||
Description | Realized | Contractual | Return | Mark-to- | Total | |||||||||||||||
Gain | interest | (Recovery) | market | |||||||||||||||||
(Loss), net | income | of Basis | adjustments | |||||||||||||||||
(expense), | ||||||||||||||||||||
net(1) | ||||||||||||||||||||
Interest rate swaps | $ | 15,998 | $ | (13,936 | ) | $ | — | $ | (130,115 | ) | $ | (128,053 | ) | |||||||
All other items with no changes | (986 | ) | 14,566 | (10,099 | ) | (2,011 | ) | 1,470 | ||||||||||||
| | | | | | | | | | | | | | | | | ||||
Total | $ | 15,012 | $ | 630 | $ | (10,099 | ) | $ | (132,126 | ) | $ | (126,583 | ) | |||||||
| | | | | | | | | | | | | | | | | ||||
| | | | | | | | | | | | | | | | | ||||
Adjustments | ||||||||||||||||||||
Description | Realized | Contractual | Return | Mark-to- | Total | |||||||||||||||
Gain | interest | (Recovery) | market | |||||||||||||||||
(Loss), net | income | of Basis | adjustments | |||||||||||||||||
(expense), | ||||||||||||||||||||
net(1) | ||||||||||||||||||||
Interest rate swaps | $ | (22,784 | ) | $ | — | $ | — | $ | 22,784 | $ | — | |||||||||
All other items with no changes | — | — | — | — | — | |||||||||||||||
| | | | | | | | | | | | | | | | | ||||
Total | $ | (22,784 | ) | $ | — | $ | — | $ | 22,784 | $ | — | |||||||||
| | | | | | | | | | | | | | | | | ||||
| | | | | | | | | | | | | | | | | ||||
Revised | ||||||||||||||||||||
Description | Realized | Contractual | Return | Mark-to- | Total | |||||||||||||||
Gain | interest | (Recovery) | market | |||||||||||||||||
(Loss), net | income | of Basis | adjustments | |||||||||||||||||
(expense), | ||||||||||||||||||||
net(1) | ||||||||||||||||||||
Interest rate swaps | $ | (6,786 | ) | $ | (13,936 | ) | $ | — | $ | (107,331 | ) | $ | (128,053 | ) | ||||||
All other items with no changes | (986 | ) | 14,566 | (10,099 | ) | (2,011 | ) | 1,470 | ||||||||||||
| | | | | | | | | | | | | | | | | ||||
Total | $ | (7,772 | ) | $ | 630 | $ | (10,099 | ) | $ | (109,342 | ) | $ | (126,583 | ) | ||||||
| | | | | | | | | | | | | | | | | ||||
| | | | | | | | | | | | | | | | | ||||
-1 | Contractual interest income (expense), net on derivative instruments includes interest settlement paid or received. | |||||||||||||||||||
As Originally Reported | ||||||||||||||||||||
Three months ended September 30, 2014 | ||||||||||||||||||||
Description | Realized | Contractual | Return | Mark-to- | Total | |||||||||||||||
Gain | interest | (Recovery) | market | |||||||||||||||||
(Loss), net | income | of Basis | adjustments | |||||||||||||||||
(expense), | ||||||||||||||||||||
net(1) | ||||||||||||||||||||
Interest rate swaps | $ | 23,798 | $ | (11,848 | ) | $ | — | $ | (14,767 | ) | $ | (2,817 | ) | |||||||
All other items with no changes | 1,815 | 5,863 | (4,187 | ) | (1,075 | ) | 2,416 | |||||||||||||
| | | | | | | | | | | | | | | | | ||||
Total | $ | 25,613 | $ | (5,985 | ) | $ | (4,187 | ) | $ | (15,842 | ) | $ | (401 | ) | ||||||
| | | | | | | | | | | | | | | | | ||||
| | | | | | | | | | | | | | | | | ||||
Adjustments | ||||||||||||||||||||
Description | Realized | Contractual | Return | Mark-to- | Total | |||||||||||||||
Gain | interest | (Recovery) | market | |||||||||||||||||
(Loss), net | income | of Basis | adjustments | |||||||||||||||||
(expense), | ||||||||||||||||||||
net(1) | ||||||||||||||||||||
Interest rate swaps | $ | — | $ | — | $ | 820 | $ | (820 | ) | $ | — | |||||||||
All other items with no changes | — | — | — | — | — | |||||||||||||||
| | | | | | | | | | | | | | | | | ||||
Total | $ | — | $ | — | $ | 820 | $ | (820 | ) | $ | — | |||||||||
| | | | | | | | | | | | | | | | | ||||
| | | | | | | | | | | | | | | | | ||||
Revised | ||||||||||||||||||||
Description | Realized | Contractual | Return | Mark-to- | Total | |||||||||||||||
Gain | interest | (Recovery) | market | |||||||||||||||||
(Loss), net | income | of Basis | adjustments | |||||||||||||||||
(expense), | ||||||||||||||||||||
net(1) | ||||||||||||||||||||
Interest rate swaps | $ | 23,798 | $ | (11,848 | ) | $ | 820 | $ | (15,587 | ) | $ | (2,817 | ) | |||||||
All other items with no changes | 1,815 | 5,863 | (4,187 | ) | (1,075 | ) | 2,416 | |||||||||||||
| | | | | | | | | | | | | | | | | ||||
Total | $ | 25,613 | $ | (5,985 | ) | $ | (3,367 | ) | $ | (16,662 | ) | $ | (401 | ) | ||||||
| | | | | | | | | | | | | | | | | ||||
| | | | | | | | | | | | | | | | | ||||
-1 | Contractual interest income (expense), net on derivative instruments includes interest settlement paid or received. | |||||||||||||||||||
As Originally Reported | ||||||||||||||||||||
Nine months ended September 30, 2014 | ||||||||||||||||||||
Description | Realized | Contractual | Return | Mark-to- | Total | |||||||||||||||
Gain | interest | (Recovery) | market | |||||||||||||||||
(Loss), net | income | of Basis | adjustments | |||||||||||||||||
(expense), | ||||||||||||||||||||
net(1) | ||||||||||||||||||||
Interest rate swaps | $ | 39,796 | $ | (25,784 | ) | $ | — | $ | (144,882 | ) | $ | (130,870 | ) | |||||||
All other items with no changes | 829 | 20,429 | (14,286 | ) | (3,086 | ) | 3,886 | |||||||||||||
| | | | | | | | | | | | | | | | | ||||
Total | $ | 40,625 | $ | (5,355 | ) | $ | (14,286 | ) | $ | (147,968 | ) | $ | (126,984 | ) | ||||||
| | | | | | | | | | | | | | | | | ||||
| | | | | | | | | | | | | | | | | ||||
Adjustments | ||||||||||||||||||||
Description | Realized | Contractual | Return | Mark-to- | Total | |||||||||||||||
Gain | interest | (Recovery) | market | |||||||||||||||||
(Loss), net | income | of Basis | adjustments | |||||||||||||||||
(expense), | ||||||||||||||||||||
net(1) | ||||||||||||||||||||
Interest rate swaps | $ | (22,784 | ) | $ | — | $ | 928 | $ | 21,856 | $ | — | |||||||||
All other items with no changes | — | — | — | — | — | |||||||||||||||
| | | | | | | | | | | | | | | | | ||||
Total | $ | (22,784 | ) | $ | — | $ | 928 | $ | 21,856 | $ | — | |||||||||
| | | | | | | | | | | | | | | | | ||||
| | | | | | | | | | | | | | | | | ||||
Revised | ||||||||||||||||||||
Description | Realized | Contractual | Return | Mark-to- | Total | |||||||||||||||
Gain | interest | (Recovery) | market | |||||||||||||||||
(Loss), net | income | of Basis | adjustments | |||||||||||||||||
(expense), | ||||||||||||||||||||
net(1) | ||||||||||||||||||||
Interest rate swaps | $ | 17,012 | $ | (25,784 | ) | $ | 928 | $ | (123,026 | ) | $ | (130,870 | ) | |||||||
All other items with no changes | 829 | 20,429 | (14,286 | ) | (3,086 | ) | 3,886 | |||||||||||||
| | | | | | | | | | | | | | | | | ||||
Total | $ | 17,841 | $ | (5,355 | ) | $ | (13,358 | ) | $ | (126,112 | ) | $ | (126,984 | ) | ||||||
| | | | | | | | | | | | | | | | | ||||
| | | | | | | | | | | | | | | | | ||||
-1 | Contractual interest income (expense), net on derivative instruments includes interest settlement paid or received. | |||||||||||||||||||
Fair_Value_of_Financial_Instru1
Fair Value of Financial Instruments (Tables) | 12 Months Ended | |||||||||||||
Dec. 31, 2014 | ||||||||||||||
Fair Value of Financial Instruments | ||||||||||||||
Schedule of the entity's financial instruments carried at fair value based upon the balance sheet by the valuation hierarchy | ||||||||||||||
The following tables present the Company's financial instruments carried at fair value as of December 31, 2014 and December 31, 2013, based upon the valuation hierarchy (dollars in thousands): | ||||||||||||||
December 31, 2014 | ||||||||||||||
Fair Value | ||||||||||||||
Level I | Level II | Level III | Total | |||||||||||
Assets | ||||||||||||||
Agency RMBS: | ||||||||||||||
20-Year Mortgage | $ | — | $ | 1,120,031 | $ | — | $ | 1,120,031 | ||||||
30-Year Mortgage | — | 1,790,219 | — | 1,790,219 | ||||||||||
Agency RMBS Interest-Only Strips | — | 188,506 | — | 188,506 | ||||||||||
Agency and Non-Agency Interest-Only Strips accounted for as derivatives, included in MBS | — | 83,773 | 4,456 | 88,229 | ||||||||||
Non-Agency RMBS | — | 490,093 | 176,479 | 666,572 | ||||||||||
Agency and Non-Agency CMBS | — | 320,171 | 103,069 | 423,240 | ||||||||||
Other securities | — | 101,523 | 7,403 | 108,926 | ||||||||||
Residential whole-loans | — | — | 7,220 | 7,220 | ||||||||||
| | | | | | | | | | | | | | |
Subtotal | — | 4,094,316 | 298,627 | 4,392,943 | ||||||||||
Derivative assets | 451 | 72,805 | 73,256 | |||||||||||
— | ||||||||||||||
Non-Agency RMBS linked transactions | — | — | 1,596 | 1,596 | ||||||||||
Non-Agency CMBS linked transactions, including Non U.S. | — | — | 16,152 | 16,152 | ||||||||||
Other securities linked transactions | — | — | 2,879 | 2,879 | ||||||||||
| | | | | | | | | | | | | | |
Total | $ | 451 | $ | 4,167,121 | $ | 319,254 | $ | 4,486,826 | ||||||
| | | | | | | | | | | | | | |
Liabilities | ||||||||||||||
Derivative liabilities | $ | 1,191 | $ | 179,089 | $ | — | $ | 180,280 | ||||||
| | | | | | | | | | | | | | |
Total | $ | 1,191 | $ | 179,089 | $ | — | $ | 180,280 | ||||||
| | | | | | | | | | | | | | |
December 31, 2013 | ||||||||||||||
Fair Value | ||||||||||||||
Level I | Level II | Level III | Total | |||||||||||
Assets | ||||||||||||||
Agency RMBS | $ | $ | $ | $ | ||||||||||
20-Year Mortgage | — | 502,926 | — | 502,926 | ||||||||||
30-Year Mortgage | — | 1,694,238 | — | 1,694,238 | ||||||||||
Agency RMBS Interest-Only Strips | — | 162,909 | — | 162,909 | ||||||||||
Agency and Non-Agency Interest-Only Strips accounted for as derivatives, included in MBS | — | 109,235 | — | 109,235 | ||||||||||
Non-Agency RMBS | — | 325,371 | 6,152 | 331,523 | ||||||||||
Agency and Non-Agency CMBS | — | 16,542 | 9,529 | 26,071 | ||||||||||
Other securities | — | 26,685 | — | 26,685 | ||||||||||
| | | | | | | | | | | | | | |
Subtotal | — | 2,837,906 | 15,681 | 2,853,587 | ||||||||||
Derivative assets | — | 105,826 | — | 105,826 | ||||||||||
Non-Agency RMBS linked transactions | — | 18,559 | — | 18,559 | ||||||||||
| | | | | | | | | | | | | | |
Total | $ | — | $ | 2,962,291 | $ | 15,681 | $ | 2,977,972 | ||||||
| | | | | | | | | | | | | | |
Liabilities | ||||||||||||||
Derivative liabilities | $ | — | $ | 4,673 | $ | — | $ | 4,673 | ||||||
| | | | | | | | | | | | | | |
Total | $ | — | $ | 4,673 | $ | — | $ | 4,673 | ||||||
| | | | | | | | | | | | | | |
Schedule of additional information about the entity's financial instruments, which are measured at fair value on a recurring basis for which the entity has utilized Level III inputs to determine fair value | ||||||||||||||
Mortgage-backed securities and other securities | ||||||||||||||
$ in thousands | Year ended | Year ended | Period from May 15, | |||||||||||
December 31, 2014 | December 31, 2013 | 2012 (commencement | ||||||||||||
of operations) through | ||||||||||||||
December 31, 2012 | ||||||||||||||
Beginning balance | $ | 15,681 | $ | — | $ | — | ||||||||
Transfers into Level III from Level II | 118,174 | 9,529 | — | |||||||||||
Transfers out Level III into Level II | (10,732 | ) | — | — | ||||||||||
Purchases | 185,137 | 6,262 | — | |||||||||||
Sales and settlements | (14,649 | ) | — | — | ||||||||||
Principal repayments | (2,283 | ) | — | — | ||||||||||
Total net gains / (losses) included in net income | ||||||||||||||
Realized gains/(losses), net | 184 | — | — | |||||||||||
Other loss on Mortgage-backed securities | (996 | ) | (14 | ) | — | |||||||||
Unrealized gains/(losses), net(1) | 9,051 | (101 | ) | — | ||||||||||
Premium and discount amortization, net | (8,160 | ) | 5 | — | ||||||||||
| | | | | | | | | | | ||||
Ending balance | $ | 291,407 | $ | 15,681 | $ | — | ||||||||
| | | | | | | | | | | ||||
| | | | | | | | | | | ||||
-1 | For Mortgage-backed securities and other securities classified as Level III at December 31, 2014 and December 31, 2013, the Company recorded gross unrealized gains of approximately $9.0 million and $0 and gross unrealized losses of approximately $930 thousand and $101 thousand, respectively. These gains and losses are included in Unrealized gain (loss) on Mortgage-backed securities, other securities and whole-loans, net on the Consolidated Statements of Operations. | |||||||||||||
Residential whole-loans | ||||||||||||||
$ in thousands | Year ended | Year ended | Period from May 15, | |||||||||||
December 31, 2014 | December 31, 2013 | 2012 (commencement | ||||||||||||
of operations) through | ||||||||||||||
December 31, 2012 | ||||||||||||||
Beginning balance | $ | — | $ | — | $ | — | ||||||||
Transfers into Level III from Level II | — | — | — | |||||||||||
Transfers out Level III into Level II | — | — | — | |||||||||||
Purchases | 7,161 | — | — | |||||||||||
Sales and settlements | — | — | — | |||||||||||
Principal repayments | (9 | ) | — | — | ||||||||||
Total net gains / (losses) included in net income | — | — | ||||||||||||
Realized gains/(losses), net | — | — | — | |||||||||||
Other loss on Mortgage-backed securities | — | — | — | |||||||||||
Unrealized gains/(losses), net(1) | 94 | — | — | |||||||||||
Premium and discount amortization, net | (26 | ) | — | — | ||||||||||
| | | | | | | | | | | ||||
Ending balance | $ | 7,220 | $ | — | $ | — | ||||||||
| | | | | | | | | | | ||||
| | | | | | | | | | | ||||
Linked transactions | ||||||||||||||
$ in thousands | Year ended | Year ended | Period from May 15, | |||||||||||
December 31, 2014 | December 31, 2013 | 2012 (commencement | ||||||||||||
of operations) through | ||||||||||||||
December 31, 2012 | ||||||||||||||
Beginning balance | $ | — | $ | — | $ | — | ||||||||
Transfers into Level III from Level II | 10,944 | — | — | |||||||||||
Transfers out Level III into Level II | — | — | — | |||||||||||
Purchases | 10,008 | — | — | |||||||||||
Sales and settlements | — | — | — | |||||||||||
Principal repayments | — | — | — | |||||||||||
Total net gains / (losses) included in net income | — | — | ||||||||||||
Realized gains/(losses), net | 130 | — | — | |||||||||||
Other loss on Mortgage-backed securities | (2 | ) | — | — | ||||||||||
Unrealized gains/(losses), net(1) | (483 | ) | — | — | ||||||||||
Premium and discount amortization, net | 30 | — | — | |||||||||||
| | | | | | | | | | | ||||
Ending balance | $ | 20,627 | $ | — | $ | — | ||||||||
| | | | | | | | | | | ||||
| | | | | | | | | | | ||||
MortgageBacked_Securities_and_1
Mortgage-Backed Securities and other securities (Tables) | 12 Months Ended | ||||||||||||||||||||||||||||
Dec. 31, 2014 | |||||||||||||||||||||||||||||
Mortgage-Backed Securities and other securities | |||||||||||||||||||||||||||||
Summary of certain information about the Company's investment portfolio | |||||||||||||||||||||||||||||
The following tables present certain information about the Company's investment portfolio at December 31, 2014 and December 31, 2013 (dollars in thousands). | |||||||||||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||||||||||
Principal | Unamortized | Discount | Amortized | Unrealized | Estimated | Net | |||||||||||||||||||||||
Balance | Premium | Designated as | Cost | Gain (Loss), | Fair Value | Weighted | |||||||||||||||||||||||
(Discount), | Credit Reserve and | net | Average | ||||||||||||||||||||||||||
net | OTTI | Coupon(1) | |||||||||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||||||||||
20-Year Mortgage | $ | 1,054,864 | $ | 56,616 | $ | — | $ | 1,111,480 | $ | 8,551 | $ | 1,120,031 | 3.6 | % | |||||||||||||||
30-Year Mortgage | 1,657,640 | 127,876 | — | 1,785,516 | 4,703 | 1,790,219 | 4.1 | % | |||||||||||||||||||||
Agency RMBS Interest-Only Strips | N/A | N/A | N/A | 178,162 | 10,344 | 188,506 | 4.00% | -2 | |||||||||||||||||||||
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives(3) | N/A | N/A | N/A | N/A | N/A | 88,229 | 2.90% | -2 | |||||||||||||||||||||
Non-Agency RMBS | 759,068 | 6,941 | (178,883 | ) | 587,126 | 9,791 | 596,917 | 3.6 | % | ||||||||||||||||||||
Non-Agency RMBS Interest-Only Strips | N/A | N/A | N/A | 61,144 | 8,511 | 69,655 | 6.1 | % | |||||||||||||||||||||
Agency and Non-Agency CMBS | 449,617 | (31,216 | ) | (3,124 | ) | 415,277 | 3,848 | 419,125 | 5.3 | % | |||||||||||||||||||
Agency CMBS Interest-Only Strips | N/A | N/A | N/A | 4,017 | 98 | 4,115 | 4.8 | % | |||||||||||||||||||||
Other securities(4) | 102,323 | 699 | — | 110,425 | (1,499 | ) | 108,926 | 4.6 | % | ||||||||||||||||||||
| | | | | | | | | | | | | | | | | | | | | | | |||||||
Total | $ | 4,023,512 | $ | 160,916 | $ | (182,007 | ) | $ | 4,253,147 | $ | 44,347 | $ | 4,385,723 | 4 | % | ||||||||||||||
| | | | | | | | | | | | | | | | | | | | | | | |||||||
| | | | | | | | | | | | | | | | | | | | | | | |||||||
December 31, 2013 | |||||||||||||||||||||||||||||
Principal | Unamortized | Discount | Amortized | Unrealized | Estimated | Net | |||||||||||||||||||||||
Balance | Premium | Designated as | Cost | Gain (Loss), | Fair Value | Weighted | |||||||||||||||||||||||
(Discount), | Credit Reserve and | net | Average | ||||||||||||||||||||||||||
net | OTTI | Coupon(1) | |||||||||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||||||||||
20-Year Mortgage | $ | 504,023 | $ | 28,498 | $ | — | $ | 532,521 | $ | (29,595 | ) | $ | 502,926 | 3.2 | % | ||||||||||||||
30-Year Mortgage | 1,677,863 | 144,356 | — | 1,822,219 | (127,981 | ) | 1,694,238 | 3.8 | % | ||||||||||||||||||||
Agency RMBS Interest-Only Strips | N/A | N/A | N/A | 158,825 | 4,084 | 162,909 | 4.40% | -2 | |||||||||||||||||||||
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives(3) | N/A | N/A | N/A | N/A | N/A | 109,235 | 4.60% | -2 | |||||||||||||||||||||
Non-Agency RMBS | 446,473 | (49,334 | ) | (79,898 | ) | 317,241 | 6,792 | 324,033 | 2.3 | % | |||||||||||||||||||
Non-Agency RMBS Interest-Only Strips | N/A | N/A | N/A | 7,420 | 70 | 7,490 | 5.2 | % | |||||||||||||||||||||
Agency and Non-Agency CMBS | 11,979 | (3,446 | ) | — | 8,533 | 996 | 9,529 | 1.6 | % | ||||||||||||||||||||
CMBS Interest-Only Strips | N/A | N/A | N/A | 16,682 | (140 | ) | 16,542 | 4.70% | -2 | ||||||||||||||||||||
Other securities | 23,510 | 2,110 | — | 25,620 | 1,065 | 26,685 | 6.7 | % | |||||||||||||||||||||
| | | | | | | | | | | | | | | | | | | | | | | |||||||
Total | $ | 2,663,848 | $ | 122,184 | $ | (79,898 | ) | $ | 2,889,061 | $ | (144,709 | ) | $ | 2,853,587 | 3.6 | % | |||||||||||||
| | | | | | | | | | | | | | | | | | | | | | | |||||||
| | | | | | | | | | | | | | | | | | | | | | | |||||||
-1 | Net weighted average coupon as of December 31, 2014 and December 31, 2013 is presented, net of servicing and other fees. | ||||||||||||||||||||||||||||
-2 | Agency and Non-Agency Interest-Only Strips, accounted for as derivatives and CMBS Interest-Only Strips have no principal balances and earn contractual interest based on a notional balance. The notional balance is used solely to determine interest distributions on interest-only class of securities. | ||||||||||||||||||||||||||||
-3 | Interest on these securities is reported as a component of Gain (loss) on derivative instruments, net on the Consolidated Statements of Operations. | ||||||||||||||||||||||||||||
-4 | Other securities includes a residual interest in asset-backed securities which has no principal balance and an amortized cost of approximately $7.4 million. | ||||||||||||||||||||||||||||
Summary of the components of the carrying value of the Company's investment portfolio | |||||||||||||||||||||||||||||
December 31, | December 31, | ||||||||||||||||||||||||||||
2014 | 2013 | ||||||||||||||||||||||||||||
Principal balance | $ | 4,023,512 | $ | 2,663,848 | |||||||||||||||||||||||||
Amortized cost of Interest-Only Strips and residual interests | 250,726 | 182,927 | |||||||||||||||||||||||||||
Carrying value of Agency and Non-Agency Interest-Only Strips accounted for as derivatives | 88,229 | 109,235 | |||||||||||||||||||||||||||
Unamortized premium | 218,561 | 183,324 | |||||||||||||||||||||||||||
Unamortized discount | (57,645 | ) | (61,140 | ) | |||||||||||||||||||||||||
Discount designated as Credit Reserve and OTTI | (182,007 | ) | (79,898 | ) | |||||||||||||||||||||||||
Gross unrealized gains | 75,444 | 19,798 | |||||||||||||||||||||||||||
Gross unrealized losses | (31,097 | ) | (164,507 | ) | |||||||||||||||||||||||||
| | | | | | | | ||||||||||||||||||||||
Fair value | $ | 4,385,723 | $ | 2,853,587 | |||||||||||||||||||||||||
| | | | | | | | ||||||||||||||||||||||
| | | | | | | | ||||||||||||||||||||||
Schedule of changes in the components of purchase discount and amortizable premium on Non-Agency RMBS and Non-Agency CMBS and other securities | |||||||||||||||||||||||||||||
The following tables present the changes in the components of the Company's purchase discount and amortizable premium on its Non-Agency RMBS, Non-Agency CMBS and other securities for the years ended December 31, 2014 and December 31, 2013 and for the period from May 15, 2012 (commencement of operations) through December 31, 2012 (dollars in thousands): | |||||||||||||||||||||||||||||
Year ended December 31, 2014 | |||||||||||||||||||||||||||||
Discount Designated as | Accretable Discount(1) | Amortizable Premium(1) | |||||||||||||||||||||||||||
Credit Reserve and | |||||||||||||||||||||||||||||
OTTI | |||||||||||||||||||||||||||||
Balance at beginning of period(2) | $ | (79,898 | ) | $ | (71,295 | ) | $ | 20,625 | |||||||||||||||||||||
Accretion of discount | — | 17,174 | — | ||||||||||||||||||||||||||
Amortization of premium | — | — | (9,135 | ) | |||||||||||||||||||||||||
Realized credit losses | 5,175 | — | — | ||||||||||||||||||||||||||
Purchases | (163,082 | ) | (117,396 | ) | 92,667 | ||||||||||||||||||||||||
Sales | 46,848 | 73,345 | (26,598 | ) | |||||||||||||||||||||||||
Net impairment losses recognized in earnings | (11,959 | ) | — | — | |||||||||||||||||||||||||
Unlinking of Linked Transactions | (13,889 | ) | (297 | ) | 32,132 | ||||||||||||||||||||||||
Transfers/release of credit reserve | 34,798 | (7,335 | ) | (27,463 | ) | ||||||||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
Balance at end of period(3) | $ | (182,007 | ) | $ | (105,804 | ) | $ | 82,228 | |||||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
-1 | Together with coupon interest, accretable purchase discount and amortizable premium is recognized as interest income over the life of the security. | ||||||||||||||||||||||||||||
-2 | The beginning of period balance for accretable discount does not agree to the end of period balance in the December 31, 2013 table since Non-Agency CMBS did not have a discount designated as credit reserve and OTTI for the year ended December 31, 2013; and therefore, the Non-Agency CMBS securities were not included in the table. Non-Agency CMBS is included in the table for December 31, 2014. | ||||||||||||||||||||||||||||
-3 | Subsequent reductions in the non-accretable discount results in a corresponding reduction in the amortizable premium. | ||||||||||||||||||||||||||||
Year ended December 31, 2013 | |||||||||||||||||||||||||||||
Discount Designated as | Accretable Discount(1) | Amortizable Premium | |||||||||||||||||||||||||||
Credit Reserve and | |||||||||||||||||||||||||||||
OTTI | |||||||||||||||||||||||||||||
Balance at beginning of period | $ | (12,659 | ) | $ | (5,523 | ) | $ | 12 | |||||||||||||||||||||
Accretion of discount | — | 10,722 | — | ||||||||||||||||||||||||||
Amortization of premium | — | — | (2,001 | ) | |||||||||||||||||||||||||
Realized credit losses | 541 | — | — | ||||||||||||||||||||||||||
Purchases | (133,242 | ) | (89,697 | ) | 35,416 | ||||||||||||||||||||||||
Sales | 81,144 | 34,894 | (20,709 | ) | |||||||||||||||||||||||||
Net impairment losses recognized in earnings | (550 | ) | — | — | |||||||||||||||||||||||||
Unlinking of Linked Transactions | (21,986 | ) | (6,922 | ) | 3,438 | ||||||||||||||||||||||||
Transfers/release of credit reserve | 6,854 | (11,323 | ) | 4,469 | |||||||||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
Balance of end of period | $ | (79,898 | ) | $ | (67,849 | ) | $ | 20,625 | |||||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
-1 | Together with coupon interest, accretable purchase discount and amortizable premium is recognized as interest income over the life of the security. | ||||||||||||||||||||||||||||
For the period from May 15, 2012 (commencement of operations) through | |||||||||||||||||||||||||||||
December 31, 2012 | |||||||||||||||||||||||||||||
Discount Designated as | Accretable Discount(1) | Amortizable Premium | |||||||||||||||||||||||||||
Credit Reserve and | |||||||||||||||||||||||||||||
OTTI | |||||||||||||||||||||||||||||
Balance at beginning of period | $ | — | $ | — | $ | — | |||||||||||||||||||||||
Accretion of discount | — | 123 | — | ||||||||||||||||||||||||||
Amortization of premium | — | — | — | ||||||||||||||||||||||||||
Realized credit losses | — | — | — | ||||||||||||||||||||||||||
Purchases | (12,659 | ) | (5,634 | ) | — | ||||||||||||||||||||||||
Sales | — | — | — | ||||||||||||||||||||||||||
Net impairment losses recognized in earnings | — | — | — | ||||||||||||||||||||||||||
Unlinking of Linked Transactions | — | — | — | ||||||||||||||||||||||||||
Transfers/release of credit reserve | — | (12 | ) | 12 | |||||||||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
Balance of end of period | $ | (12,659 | ) | $ | (5,523 | ) | $ | 12 | |||||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
-1 | Together with coupon interest, accretable purchase discount and amortizable premium is recognized as interest income over the life of the security. | ||||||||||||||||||||||||||||
Schedule of the fair value and contractual maturities of the Company's investment portfolio | |||||||||||||||||||||||||||||
The following tables present the fair value and contractual maturities of the Company's investment portfolio at December 31, 2014 and December 31, 2013 (dollars in thousands): | |||||||||||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||||||||||
< or equal to 10 | > 10 years and < or | > 20 years and < or | > 30 years | Total | |||||||||||||||||||||||||
years | equal to 20 years | equal to 30 years | |||||||||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||||||||||
20-Year Mortgage | $ | — | $ | 1,120,031 | $ | — | $ | — | $ | 1,120,031 | |||||||||||||||||||
30-Year Mortgage | — | — | 1,790,219 | — | 1,790,219 | ||||||||||||||||||||||||
Agency RMBS Interest-Only Strips | — | 52,975 | 135,531 | — | 188,506 | ||||||||||||||||||||||||
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives | — | 17,123 | 53,452 | 17,654 | 88,229 | ||||||||||||||||||||||||
Non-Agency RMBS | 22 | 26,632 | 193,852 | 376,411 | 596,917 | ||||||||||||||||||||||||
Non-Agency RMBS Interest-Only Strips | — | — | 30,217 | 39,438 | 69,655 | ||||||||||||||||||||||||
Agency and Non-Agency CMBS | 43,286 | 52,135 | 82,055 | 241,649 | 419,125 | ||||||||||||||||||||||||
Agency CMBS Interest-Only Strips | 4,115 | — | — | — | 4,115 | ||||||||||||||||||||||||
Other securities | 65,128 | — | 36,395 | 7,403 | 108,926 | ||||||||||||||||||||||||
| | | | | | | | | | | | | | | | | |||||||||||||
Total | $ | 112,551 | $ | 1,268,896 | $ | 2,321,721 | $ | 682,555 | $ | 4,385,723 | |||||||||||||||||||
| | | | | | | | | | | | | | | | | |||||||||||||
| | | | | | | | | | | | | | | | | |||||||||||||
December 31, 2013 | |||||||||||||||||||||||||||||
< or equal to 10 | > 10 years and < or | > 20 years and < or | > 30 years | Total | |||||||||||||||||||||||||
years | equal to 20 years | equal to 30 years | |||||||||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||||||||||
20-Year Mortgage | $ | — | $ | 502,926 | $ | — | $ | — | $ | 502,926 | |||||||||||||||||||
30-Year Mortgage | — | — | 1,694,238 | — | 1,694,238 | ||||||||||||||||||||||||
Agency RMBS Interest-Only Strips | — | 61,139 | 101,770 | — | 162,909 | ||||||||||||||||||||||||
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives | — | 22,525 | 86,710 | — | 109,235 | ||||||||||||||||||||||||
Non-Agency RMBS | — | 27,090 | 154,763 | 142,180 | 324,033 | ||||||||||||||||||||||||
Non-Agency RMBS Interest-Only Strips | — | — | 6,158 | 1,332 | 7,490 | ||||||||||||||||||||||||
Agency and Non-Agency CMBS | — | — | 9,529 | — | 9,529 | ||||||||||||||||||||||||
Agency CMBS Interest-Only Strips | — | — | — | 16,542 | 16,542 | ||||||||||||||||||||||||
Other securities | 26,685 | — | — | — | 26,685 | ||||||||||||||||||||||||
| | | | | | | | | | | | | | | | | |||||||||||||
Total | $ | 26,685 | $ | 613,680 | $ | 2,053,168 | $ | 160,054 | $ | 2,853,587 | |||||||||||||||||||
| | | | | | | | | | | | | | | | | |||||||||||||
| | | | | | | | | | | | | | | | | |||||||||||||
Schedule of gross unrealized losses and estimated fair value of the Company's MBS and other securities by length of time that such securities have been in a continuous unrealized loss position | |||||||||||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||||||||
Fair Value | Unrealized | Number | Fair Value | Unrealized | Number | Fair Value | Unrealized | Number | |||||||||||||||||||||
Losses | of | Losses | of | Losses | of | ||||||||||||||||||||||||
Securities | Securities | Securities | |||||||||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||||||||||
20-Year Mortgage | $ | 1,475 | $ | (10 | ) | 1 | $ | 422,287 | $ | (5,426 | ) | 54 | $ | 423,762 | $ | (5,436 | ) | 55 | |||||||||||
30-Year Mortgage | 2,893 | (93 | ) | 5 | 882,482 | (18,358 | ) | 126 | 885,375 | (18,451 | ) | 131 | |||||||||||||||||
Agency RMBS Interest-Only Strips | 20,756 | (587 | ) | 11 | — | — | — | 20,756 | (587 | ) | 11 | ||||||||||||||||||
Non-Agency RMBS | 112,505 | (1,090 | ) | 20 | 11,564 | (149 | ) | 2 | 124,069 | (1,239 | ) | 22 | |||||||||||||||||
Non-Agency RMBS Interest-Only Strips | 5,081 | (411 | ) | 1 | — | — | — | 5,081 | (411 | ) | 1 | ||||||||||||||||||
Agency and Non-Agency CMBS | 173,139 | (1,716 | ) | 34 | — | — | — | 173,139 | (1,716 | ) | 34 | ||||||||||||||||||
Other securities | 62,345 | (3,257 | ) | 6 | — | — | — | 62,345 | (3,257 | ) | 6 | ||||||||||||||||||
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | $ | 378,194 | $ | (7,164 | ) | 78 | $ | 1,316,333 | $ | (23,933 | ) | 182 | $ | 1,694,527 | $ | (31,097 | ) | 260 | |||||||||||
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
December 31, 2013 | |||||||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||||||||
Fair Value | Unrealized | Number | Fair Value | Unrealized | Number | Fair Value | Unrealized | Number | |||||||||||||||||||||
Losses | of | Losses | of | Losses | of | ||||||||||||||||||||||||
Securities | Securities | Securities | |||||||||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||||||||||
20-Year Mortgage | $ | 395,979 | $ | (21,466 | ) | 52 | $ | 106,947 | $ | (8,129 | ) | 8 | $ | 502,926 | $ | (29,595 | ) | 60 | |||||||||||
30-Year Mortgage | 1,242,871 | (94,688 | ) | 151 | 439,811 | (33,328 | ) | 26 | 1,682,682 | (128,016 | ) | 177 | |||||||||||||||||
Agency Interest-Only Strips | 69,773 | (4,210 | ) | 19 | — | — | — | 69,773 | (4,210 | ) | 19 | ||||||||||||||||||
Non-Agency RMBS | 98,437 | (2,490 | ) | 16 | — | — | — | 98,437 | (2,490 | ) | 16 | ||||||||||||||||||
Agency and Non-Agency CMBS | 16,542 | (140 | ) | 3 | — | — | — | 16,542 | (140 | ) | 3 | ||||||||||||||||||
Other securities | 6,269 | (56 | ) | 2 | — | — | — | 6,269 | (56 | ) | 2 | ||||||||||||||||||
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | $ | 1,829,871 | $ | (123,050 | ) | 243 | $ | 546,758 | $ | (41,457 | ) | 34 | $ | 2,376,629 | $ | (164,507 | ) | 277 | |||||||||||
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Summary of the components of interest income on the Company's MBS and other securities | |||||||||||||||||||||||||||||
The following tables present components of interest income on the Company's MBS and other securities (dollars in thousands): | |||||||||||||||||||||||||||||
For the year ended December 31, 2014 | |||||||||||||||||||||||||||||
Coupon | Net (Premium | Interest | |||||||||||||||||||||||||||
Interest | Amortization/ | Income | |||||||||||||||||||||||||||
Amortization | |||||||||||||||||||||||||||||
Basis) | |||||||||||||||||||||||||||||
Discount | |||||||||||||||||||||||||||||
Amortization | |||||||||||||||||||||||||||||
Agency RMBS | $ | 152,967 | $ | (57,120 | ) | $ | 95,847 | ||||||||||||||||||||||
Non-Agency RMBS | 36,370 | (3,313 | ) | 33,057 | |||||||||||||||||||||||||
Agency and Non-Agency CMBS | 15,894 | (435 | ) | 15,459 | |||||||||||||||||||||||||
Other securities | 3,858 | 857 | 4,715 | ||||||||||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
Total(1) | $ | 209,089 | $ | (60,011 | ) | $ | 149,078 | ||||||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
-1 | Interest income on the Consolidated Statements of Operations includes coupon interest, net premium amortization and interest income of $57 thousand, $(25) thousand and $32 thousand on residential whole-loans, respectively. | ||||||||||||||||||||||||||||
For the year ended December 31, 2013 | |||||||||||||||||||||||||||||
Coupon | Net (Premium | Interest | |||||||||||||||||||||||||||
Interest | Amortization/ | Income | |||||||||||||||||||||||||||
Amortization | |||||||||||||||||||||||||||||
Basis) | |||||||||||||||||||||||||||||
Discount | |||||||||||||||||||||||||||||
Amortization | |||||||||||||||||||||||||||||
Agency RMBS | $ | 172,171 | $ | (60,320 | ) | $ | 111,851 | ||||||||||||||||||||||
Non-Agency RMBS | 4,170 | 8,130 | 12,300 | ||||||||||||||||||||||||||
Agency and Non-Agency CMBS | 544 | (106 | ) | 438 | |||||||||||||||||||||||||
Other securities | 587 | 152 | 739 | ||||||||||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
Total | $ | 177,472 | $ | (52,144 | ) | $ | 125,328 | ||||||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
For the period from May 15, 2012 | |||||||||||||||||||||||||||||
(commencement of operations) | |||||||||||||||||||||||||||||
through December 31, 2012 | |||||||||||||||||||||||||||||
Coupon | Net (Premium | Interest | |||||||||||||||||||||||||||
Interest | Amortization/ | Income | |||||||||||||||||||||||||||
Amortization | |||||||||||||||||||||||||||||
Basis) | |||||||||||||||||||||||||||||
Discount | |||||||||||||||||||||||||||||
Amortization | |||||||||||||||||||||||||||||
Agency RMBS | $ | 80,093 | $ | (26,908 | ) | $ | 53,185 | ||||||||||||||||||||||
Non-Agency RMBS | 10 | 123 | 133 | ||||||||||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
Total | $ | 80,103 | $ | (26,785 | ) | $ | 53,318 | ||||||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
Schedule of sales of the Company's MBS and other securities | |||||||||||||||||||||||||||||
The following tables present the sales of the Company's MBS and other securities (dollars in thousands): | |||||||||||||||||||||||||||||
For the year ended December 31, 2014 | |||||||||||||||||||||||||||||
Proceeds | Gross | Gross | Net | ||||||||||||||||||||||||||
Gains | Losses | Gain (Loss) | |||||||||||||||||||||||||||
Agency RMBS(1) | $ | 1,608,541 | $ | 11,573 | $ | (40,934 | ) | $ | (29,361 | ) | |||||||||||||||||||
Non-Agency RMBS | 414,130 | 20,290 | (993 | ) | 19,297 | ||||||||||||||||||||||||
Agency and Non-Agency CMBS(2) | 172,208 | 2,396 | (22 | ) | 2,374 | ||||||||||||||||||||||||
Other securities | 180,385 | 4,759 | — | 4,759 | |||||||||||||||||||||||||
| | | | | | | | | | | | | | ||||||||||||||||
Total | $ | 2,375,264 | $ | 39,018 | $ | (41,949 | ) | $ | (2,931 | ) | |||||||||||||||||||
| | | | | | | | | | | | | | ||||||||||||||||
-1 | Includes proceeds for Agency Interest-Only Strips, accounted for as derivatives, of approximately $34.2 million, gross realized gains of $439 thousand and gross realized losses of approximately $1.6 million. | ||||||||||||||||||||||||||||
-2 | Includes proceeds for Agency CMBS Interest-Only Strips, accounted for as derivatives, of approximately $3.7 million, gross realized gains of $389 thousand and gross realized losses of $0. | ||||||||||||||||||||||||||||
For the year ended December 31, 2013 | |||||||||||||||||||||||||||||
Proceeds | Gross | Gross | Net | ||||||||||||||||||||||||||
Gains | Losses | Gain (Loss) | |||||||||||||||||||||||||||
Agency RMBS(1) | $ | 3,491,805 | $ | 8,646 | $ | (127,252 | ) | $ | (118,606 | ) | |||||||||||||||||||
Non-Agency RMBS | 114,322 | 5,883 | (376 | ) | 5,507 | ||||||||||||||||||||||||
Other securities | 14,361 | 1,263 | — | 1,263 | |||||||||||||||||||||||||
| | | | | | | | | | | | | | ||||||||||||||||
Total | $ | 3,620,488 | $ | 15,792 | $ | (127,628 | ) | $ | (111,836 | ) | |||||||||||||||||||
| | | | | | | | | | | | | | ||||||||||||||||
-1 | Includes proceeds for Agency Interest-Only Strips, accounted for as derivatives, of approximately $20.4 million and gross realized losses of $1.1 million. | ||||||||||||||||||||||||||||
For the period from May 15, 2012 | |||||||||||||||||||||||||||||
(commencement of operations) | |||||||||||||||||||||||||||||
through December 31, 2012 | |||||||||||||||||||||||||||||
Proceeds | Gross | Gross | Net | ||||||||||||||||||||||||||
Gains | Losses | Gain (Loss) | |||||||||||||||||||||||||||
Agency RMBS(1) | $ | 2,389,472 | $ | 23,169 | $ | (3,434 | ) | $ | 19,735 | ||||||||||||||||||||
Other Securities | 100,854 | 199 | — | 199 | |||||||||||||||||||||||||
| | | | | | | | | | | | | | ||||||||||||||||
Total | $ | 2,490,326 | $ | 23,368 | $ | (3,434 | ) | $ | 19,934 | ||||||||||||||||||||
| | | | | | | | | | | | | | ||||||||||||||||
-1 | Includes proceeds for Agency Interest-Only Strips, accounted for as derivatives, of approximately $18.5 million and gross realized losses of $820 thousand. | ||||||||||||||||||||||||||||
Variable_Interest_Entities_Tab
Variable Interest Entities (Tables) | 12 Months Ended | |||||||||||||||||||
Dec. 31, 2014 | ||||||||||||||||||||
Variable Interest Entity | ||||||||||||||||||||
Schedule of the assets and liabilities of the VIE included in the Consolidated Balance Sheets | ||||||||||||||||||||
December 31, 2014 | ||||||||||||||||||||
Residential whole-loans, at fair value | $ | 7,220 | ||||||||||||||||||
Accrued interest receivable | 40 | |||||||||||||||||||
| | | | | ||||||||||||||||
Total assets | $ | 7,260 | ||||||||||||||||||
| | | | | ||||||||||||||||
| | | | | ||||||||||||||||
Accounts payable and accrued expenses | $ | 153 | ||||||||||||||||||
| | | | | ||||||||||||||||
Total liabilities | $ | 153 | ||||||||||||||||||
| | | | | ||||||||||||||||
| | | | | ||||||||||||||||
VIE | ||||||||||||||||||||
Variable Interest Entity | ||||||||||||||||||||
Summary of the changes in the carrying value of residential whole-loans | ||||||||||||||||||||
The following table presents in the components of the carrying value of residential whole-loans as of December 31, 2014 (in thousands): | ||||||||||||||||||||
December 31, 2014 | ||||||||||||||||||||
Principal balance | $ | 7,034 | ||||||||||||||||||
Unamortized premium | 111 | |||||||||||||||||||
Unamortized discount | (18 | ) | ||||||||||||||||||
Gross unrealized gains | 94 | |||||||||||||||||||
Gross unrealized losses | (1 | ) | ||||||||||||||||||
| | | | | ||||||||||||||||
Fair value | $ | 7,220 | ||||||||||||||||||
| | | | | ||||||||||||||||
| | | | | ||||||||||||||||
Schedule of certain information about the residential whole-loans investment portfolio | ||||||||||||||||||||
The following table presents certain information about the Company's residential whole-loans investment portfolio at December 31, 2014: | ||||||||||||||||||||
Current Coupon Rate | Number of | Principal | Weighted | Weighted | Weighted | Weighted | ||||||||||||||
Loans | Balance | Average | Average | Average | Average | |||||||||||||||
Loan to | FICO Score | Life to | Coupon Rate | |||||||||||||||||
Value | Maturity | |||||||||||||||||||
(years) | ||||||||||||||||||||
4.01 - 5.00% | 5 | $ | 3,387 | 63.8 | % | 744 | 4.2 | 4.8 | % | |||||||||||
5.01 - 6.00% | 3 | 1,001 | 74.0 | % | 742 | 3.0 | 5.8 | % | ||||||||||||
6.01 - 7.00% | 7 | 2,044 | 70.6 | % | 713 | 4.1 | 6.6 | % | ||||||||||||
7.01 - 8.00% | 3 | 381 | 66.6 | % | 669 | 4.4 | 7.3 | % | ||||||||||||
8.01 - 9.00% | 1 | 221 | 75.0 | % | 665 | 2.1 | 8.5 | % | ||||||||||||
| | | | | | | | | | | | | | | | | | | | |
Total | 19 | $ | 7,034 | 67.7 | % | 728 | 3.9 | 5.7 | % | |||||||||||
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Schedule of the US states represented in residential whole-loans based on principal balance | ||||||||||||||||||||
The following table presents the U.S. states represented in residential whole-loans at December 31, 2014 based on principal balance: | ||||||||||||||||||||
State | Principal | |||||||||||||||||||
Concentration | Balance | |||||||||||||||||||
California | 58.1 | % | $ | 4,085 | ||||||||||||||||
Florida | 23.8 | 1,675 | ||||||||||||||||||
West Virginia | 9.2 | 649 | ||||||||||||||||||
New Jersey | 4.7 | 327 | ||||||||||||||||||
Virginia | 2.1 | 149 | ||||||||||||||||||
Pennsylvania | 2.1 | 149 | ||||||||||||||||||
| | | | | | | | |||||||||||||
Total | 100.0 | % | $ | 7,034 | ||||||||||||||||
| | | | | | | | |||||||||||||
| | | | | | | | |||||||||||||
Borrowings_under_Repurchase_Ag1
Borrowings under Repurchase Agreements (Tables) | 12 Months Ended | ||||||||||
Dec. 31, 2014 | |||||||||||
Borrowings under Repurchase Agreements | |||||||||||
Summary of certain characteristics of the Company's repurchase agreement | |||||||||||
The following tables summarize certain characteristics of the Company's repurchase agreements at December 31, 2014 and December 31, 2013 (dollars in thousands): | |||||||||||
December 31, 2014 | |||||||||||
Securities Pledged | Repurchase | Weighted Average | Weighted Average | ||||||||
Agreement | Interest Rate on | Remaining Maturity | |||||||||
Borrowings | Borrowings | (days) | |||||||||
Outstanding at end | |||||||||||
of period | |||||||||||
Agency RMBS | $ | 2,994,351 | 0.40 | % | 32 | ||||||
Non-Agency RMBS | 473,942 | 1.54 | % | 49 | |||||||
Agency and Non-Agency CMBS | 325,864 | 1.55 | % | 29 | |||||||
Other securities(1) | 81,564 | 1.55 | % | 34 | |||||||
| | | | | | | | | | | |
Total | $ | 3,875,721 | 0.66 | % | 34 | ||||||
| | | | | | | | | | | |
| | | | | | | | | | | |
-1 | Other securities includes repurchase agreement borrowings of $4.9 million on residential whole-loans owned through trust certificates. The trust certificates are eliminated upon consolidation. | ||||||||||
December 31, 2013 | |||||||||||
Securities Pledged | Repurchase | Weighted Average | Weighted Average | ||||||||
Agreement | Interest Rate on | Remaining Maturity | |||||||||
Borrowings | Borrowings | (days) | |||||||||
Outstanding at end | |||||||||||
of period | |||||||||||
Agency RMBS | $ | 2,331,276 | 0.43 | % | 24 | ||||||
Non-Agency RMBS | 208,923 | 1.71 | % | 14 | |||||||
Agency and Non-Agency CMBS | 17,544 | 1.33 | % | 58 | |||||||
Other securities | 21,324 | 1.68 | % | 52 | |||||||
| | | | | | | | | | | |
Total | $ | 2,579,067 | 0.55 | % | 24 | ||||||
| | | | | | | | | | | |
| | | | | | | | | | | |
Schedule of repurchase agreements collateralized by MBS and other securities | |||||||||||
(dollars in thousands) | December 31, 2014 | December 31, 2013 | |||||||||
Overnight | $ | — | $ | 323,025 | |||||||
1 to 29 days | 2,034,282 | 1,393,356 | |||||||||
30 to 59 days | 1,302,439 | 799,391 | |||||||||
60 to 89 days | 484,109 | 63,295 | |||||||||
90 to 119 days | 40,127 | — | |||||||||
Greater than or equal to 120 days | 14,764 | — | |||||||||
| | | | | | | | ||||
Total | $ | 3,875,721 | $ | 2,579,067 | |||||||
| | | | | | | | ||||
| | | | | | | | ||||
Schedule of amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty, including linked transactions | |||||||||||
December 31, 2014 (dollars in thousands) | |||||||||||
Counterparty | Amount Collateral | Weighted Average | Percentage of | ||||||||
at Risk, at fair | Remaining | Stockholders' | |||||||||
value | Maturity (days) | Equity | |||||||||
Royal Bank of Canada | $ | 100,906 | 55 | 16.2 | % | ||||||
Credit Suisse Securities (USA) LLC | 86,009 | 25 | 13.8 | ||||||||
Collateral_Positions_Tables
Collateral Positions (Tables) | 12 Months Ended | ||||||||||
Dec. 31, 2014 | |||||||||||
Collateral Positions | |||||||||||
Summary of collateral positions, with respect to borrowings under repurchase agreements, derivatives and clearing margin account | |||||||||||
The following tables summarize the Company's collateral positions, with respect to its borrowings under repurchase agreements, derivatives and clearing margin account at December 31, 2014 and December 31, 2013 (dollars in thousands): | |||||||||||
December 31, 2014 | |||||||||||
Assets | Accrued | Fair Value of | |||||||||
Pledged-Fair | Interest | Assets Pledged | |||||||||
Value | and Accrued | ||||||||||
Interest | |||||||||||
Assets pledged for borrowings under repurchase agreements: | |||||||||||
Agency RMBS | $ | 3,158,544 | $ | 12,685 | $ | 3,171,229 | |||||
Non-Agency RMBS | 670,526 | 1,511 | 672,037 | ||||||||
Agency and Non-Agency CMBS | 431,938 | 2,077 | 434,015 | ||||||||
Other securities(1) | 108,743 | 184 | 108,887 | ||||||||
Cash(2) | 25,727 | — | 25,727 | ||||||||
Cash collateral for derivatives(2): | 159,030 | — | 159,030 | ||||||||
| | | | | | | | | | | |
Total | $ | 4,554,508 | $ | 16,457 | $ | 4,570,925 | |||||
| | | | | | | | | | | |
| | | | | | | | | | | |
December 31, 2013 | |||||||||||
Assets | Accrued | Fair Value of | |||||||||
Pledged-Fair | Interest | Assets Pledged | |||||||||
Value | and Accrued | ||||||||||
Interest | |||||||||||
Assets pledged for borrowings under repurchase agreements: | |||||||||||
Agency RMBS | $ | 2,463,347 | $ | 10,453 | $ | 2,473,800 | |||||
Non-Agency RMBS | 305,318 | 417 | 305,735 | ||||||||
Agency and Non-Agency CMBS | 23,597 | 159 | 23,756 | ||||||||
Other securities | 26,685 | 26 | 26,711 | ||||||||
Cash(2) | 32,597 | — | 32,597 | ||||||||
Cash collateral for derivatives(2): | 22,837 | — | 22,837 | ||||||||
| | | | | | | | | | | |
Total | $ | 2,874,381 | $ | 11,055 | $ | 2,885,436 | |||||
| | | | | | | | | | | |
| | | | | | | | | | | |
1) | Other securities include the fair value of residential whole-loans owned through trust certificates pledged of $7.2 million. | ||||||||||
2) | Cash posted as collateral is included in Due from counterparties on the Company's Consolidated Balance Sheets. | ||||||||||
Derivative_Instruments_Tables
Derivative Instruments (Tables) | 12 Months Ended | ||||||||||||||||||||
Dec. 31, 2014 | |||||||||||||||||||||
Derivative instruments | |||||||||||||||||||||
Schedule of interest rate swaps, interest rate swaptions, currency swaps and forwards, futures contracts and TBA derivative instruments, options and linked transactions | |||||||||||||||||||||
The Company's interest rate swaps, interest rate swaptions, currency swaps and forwards, futures contracts, TBA derivative instruments, options and linked transactions consisted of the following at December 31, 2014 and December 31, 2013 (dollars in thousands): | |||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||
Derivative Instrument | Designation | Consolidated Balance Sheets | Notional | Fair | Accrued | ||||||||||||||||
Location | Amount | Value, excluding | Interest | ||||||||||||||||||
accrued interest | Payable | ||||||||||||||||||||
(receivable) | |||||||||||||||||||||
Interest rate swaps, assets | Non-Hedge | Derivative assets, at fair value | $ | 3,283,100 | $ | 51,170 | $ | (6,718 | ) | ||||||||||||
Interest rate swaptions, assets | Non-Hedge | Derivative assets, at fair value | 105,000 | 178 | — | ||||||||||||||||
Futures contracts, assets | Non-Hedge | Derivative assets, at fair value | 592,000 | 451 | — | ||||||||||||||||
Foreign currency swaps, asset | Non-Hedge | Derivative assets, at fair value | 25,160 | 3,857 | — | ||||||||||||||||
Foreign currency forward contracts, asset | Non-Hedge | Derivative assets, at fair value | 23,822 | 143 | — | ||||||||||||||||
TBA securities, assets | Non-Hedge | Derivative assets, at fair value | 2,915,000 | 17,457 | — | ||||||||||||||||
| | | | | | | | | | | | | | | |||||||
Total derivative instruments, assets | 73,256 | (6,718 | ) | ||||||||||||||||||
| | | | | | | | | | | | | | | |||||||
Interest rate swaps, liability | Non-Hedge | Derivative liability, at fair value | 4,648,870 | (166,288 | ) | 11,490 | |||||||||||||||
Futures contract, liability | Non-Hedge | Derivative liability, at fair value | 592,000 | (1,191 | ) | — | |||||||||||||||
Foreign currency forward contracts, liability | Non-Hedge | Derivative liability, at fair value | 33,560 | (446 | ) | — | |||||||||||||||
TBA securities, liabilities | Non-Hedge | Derivative liability, at fair value | 2,590,000 | (12,355 | ) | — | |||||||||||||||
| | | | | | | | | | | | | | | |||||||
Total derivative instruments, liabilities | (180,280 | ) | 11,490 | ||||||||||||||||||
| | | | | | | | | | | | | | | |||||||
Linked transactions(1) | Non-Hedge | Linked transactions, net, at fair value | 54,117 | 20,627 | (400 | ) | |||||||||||||||
| | | | | | | | | | | | | | | |||||||
Total derivative instruments | $ | (86,397 | ) | $ | 4,372 | ||||||||||||||||
| | | | | | | | | | | | | | | |||||||
-1 | Notional amount represents the current face of the securities comprising the linked transactions. | ||||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||
Derivative Instrument | Designation | Consolidated Balance Sheets | Notional | Fair | Accrued | ||||||||||||||||
Location | Amount | Value, excluding | Interest | ||||||||||||||||||
accrued interest | Payable | ||||||||||||||||||||
Interest rate swaps, assets | Non-Hedge | Derivative assets, at fair value | $ | 2,135,950 | $ | 94,614 | $ | 9,994 | |||||||||||||
Interest rate swaptions, assets | Non-Hedge | Derivative assets, at fair value | 2,200,000 | 11,177 | — | ||||||||||||||||
TBA securities, assets | Non-Hedge | Derivative assets, at fair value | 13,600 | 35 | — | ||||||||||||||||
| | | | | | | | | | | | | | | |||||||
Total derivative instruments, assets | 105,826 | 9,994 | |||||||||||||||||||
| | | | | | | | | | | | | | | |||||||
Interest rate swaps, liability | Non-Hedge | Derivative liability, at fair value | 678,900 | (3,202 | ) | (26 | ) | ||||||||||||||
Interest rate swaptions, liability | Non-Hedge | Derivative liability, at fair value | 100,000 | (264 | ) | — | |||||||||||||||
TBA securities, liabilities | Non-Hedge | Derivative liability, at fair value | 176,400 | (1,207 | ) | — | |||||||||||||||
| | | | | | | | | | | | | | | |||||||
Total derivative instruments, liabilities | (4,673 | ) | (26 | ) | |||||||||||||||||
| | | | | | | | | | | | | | | |||||||
Linked transactions(1) | Non-Hedge | Linked transactions, net, at fair value | 56,028 | 18,559 | (207 | ) | |||||||||||||||
| | | | | | | | | | | | | | | |||||||
Total derivative instruments | $ | 119,712 | $ | 9,761 | |||||||||||||||||
| | | | | | | | | | | | | | | |||||||
-1 | Notional amount represents the current face of the securities comprising the linked transactions. | ||||||||||||||||||||
Summary of long and short TBA positions reported in Derivative assets, at fair value on the Balance Sheet | |||||||||||||||||||||
Following is a summary of the Company's long and short TBA positions reported in Derivative assets, at fair value on the Consolidated Balance Sheets as of December 31, 2014 and December 31, 2013 (dollars in thousands): | |||||||||||||||||||||
December 31, 2014 | December 31, 2013 | ||||||||||||||||||||
Notional | Fair | Notional | Fair | ||||||||||||||||||
Amount | Value | Amount | Value | ||||||||||||||||||
Purchase contracts, asset | $ | 2,915,000 | $ | 17,457 | $ | 13,600 | $ | 35 | |||||||||||||
| | | | | | | | | | | | | | ||||||||
TBA securities, asset | 2,915,000 | 17,457 | 13,600 | 35 | |||||||||||||||||
| | | | | | | | | | | | | | ||||||||
Purchase contracts, liability | — | — | 176,400 | (1,207 | ) | ||||||||||||||||
Sale contracts, liability | (2,590,000 | ) | (12,355 | ) | — | — | |||||||||||||||
| | | | | | | | | | | | | | ||||||||
TBA securities, liability | (2,590,000 | ) | (12,355 | ) | 176,400 | (1,207 | ) | ||||||||||||||
| | | | | | | | | | | | | | ||||||||
TBA securities, net | $ | 325,000 | $ | 5,102 | $ | 190,000 | $ | (1,172 | ) | ||||||||||||
| | | | | | | | | | | | | | ||||||||
| | | | | | | | | | | | | | ||||||||
Schedule of additional information about the contracts to purchase and sell TBAs | |||||||||||||||||||||
The following table presents additional information about the Company's contracts to purchase and sell TBAs for the year ended December 31, 2014 (dollars in thousands): | |||||||||||||||||||||
Notional Amount | Additions | Settlement, | Notional | ||||||||||||||||||
as of December 31, | Termination, Expiration | Amount as of | |||||||||||||||||||
2013 | or Exercise | December 31, | |||||||||||||||||||
2014 | |||||||||||||||||||||
Purchase of TBAs | $ | 190,000 | $ | 25,353,196 | $ | (22,628,196 | ) | $ | 2,915,000 | ||||||||||||
Sale of TBAs | $ | — | $ | 25,218,196 | $ | (22,628,196 | ) | $ | 2,590,000 | ||||||||||||
Summary of the effect of interest rate swaps, swaptions, foreign currency swaps, forwards, options, futures contracts, Agency and Non-Agency Interest-Only Strips as derivatives and TBAs reported in Gain (loss) on derivative instruments, net on the statement of Operations related to the Company's derivative instruments | |||||||||||||||||||||
The below tables summarize the effect of interest rate swaps, interest rate swaptions, foreign currency swaps, foreign currency forwards, options, futures contracts, Agency and Non-Agency Interest-Only Strips as derivatives and TBAs reported in Gain (loss) on derivative instruments, net on our Consolidated Statements of Operations for the years ended December 31, 2014 and December 31, 2013 and for the period from May 15, 2012 (commencement of operations) through December 31, 2012 (dollars in thousands): | |||||||||||||||||||||
Year ended December 31, 2014 | |||||||||||||||||||||
Description | Realized | Contractual | Return | Mark-to-market | Total | ||||||||||||||||
Gain | interest | (Recovery) of | adjustments | ||||||||||||||||||
(Loss), net | income | Basis | |||||||||||||||||||
(expense), | |||||||||||||||||||||
net(1) | |||||||||||||||||||||
Interest rate swaps | $ | 5,440 | $ | (31,764 | ) | $ | 1,818 | $ | (183,379 | ) | $ | (207,885 | ) | ||||||||
Interest rate swaptions | (3,606 | ) | — | — | (1,697 | ) | (5,303 | ) | |||||||||||||
Agency and Non-Agency Interest-Only Strips—accounted for as derivatives | (753 | ) | 26,097 | (18,868 | ) | (2,136 | ) | 4,340 | |||||||||||||
Options | (2,813 | ) | — | — | — | (2,813 | ) | ||||||||||||||
Futures contracts | (16,495 | ) | — | — | (740 | ) | (17,235 | ) | |||||||||||||
Foreign currency forwards | (1,759 | ) | — | — | (303 | ) | (2,062 | ) | |||||||||||||
Foreign currency swaps | — | 317 | — | 3,857 | 4,174 | ||||||||||||||||
TBAs | 40,015 | — | — | 6,273 | 46,288 | ||||||||||||||||
| | | | | | | | | | | | | | | | | |||||
Total | $ | 20,029 | $ | (5,350 | ) | $ | (17,050 | ) | $ | (178,125 | ) | $ | (180,496 | ) | |||||||
| | | | | | | | | | | | | | | | | |||||
| | | | | | | | | | | | | | | | | |||||
Year ended December 31, 2013 | |||||||||||||||||||||
Description | Realized | Contractual | Basis | Mark-to-market | Total | ||||||||||||||||
Gain | interest | Recovery | adjustments | ||||||||||||||||||
(Loss), net | income | ||||||||||||||||||||
(expense), net(1) | |||||||||||||||||||||
Interest rate swaps | $ | 65,305 | $ | (22,932 | ) | $ | — | $ | 83,764 | $ | 126,137 | ||||||||||
Interest rate swaptions | 23,671 | — | — | 4,733 | 28,404 | ||||||||||||||||
Agency and Non-Agency Interest-Only Strips—accounted for as derivatives | (1,124 | ) | 28,273 | (18,010 | ) | (700 | ) | 8,439 | |||||||||||||
Options | (925 | ) | — | — | — | (925 | ) | ||||||||||||||
TBAs | (1,499 | ) | — | — | (3,009 | ) | (4,508 | ) | |||||||||||||
| | | | | | | | | | | | | | | | | |||||
Total | $ | 85,428 | $ | 5,341 | $ | (18,010 | ) | $ | 84,788 | $ | 157,547 | ||||||||||
| | | | | | | | | | | | | | | | | |||||
| | | | | | | | | | | | | | | | | |||||
For the period from May 15, 2012 (commencement of operations) | |||||||||||||||||||||
through December 31, 2012 | |||||||||||||||||||||
Description | Realized | Contractual | Basis | Mark-to-market | Total | ||||||||||||||||
Gain | interest | Recovery | adjustments | ||||||||||||||||||
(Loss), net | income | ||||||||||||||||||||
(expense), | |||||||||||||||||||||
net(1) | |||||||||||||||||||||
Interest rate swaps | $ | (10,928 | ) | $ | (6,321 | ) | $ | — | $ | 7,649 | $ | (9,600 | ) | ||||||||
Interest rate swaptions | — | — | — | (3,180 | ) | (3,180 | ) | ||||||||||||||
Agency Interest-Only Strips—accounted for as derivatives | (820 | ) | 8,570 | (4,848 | ) | (5,065 | ) | (2,163 | ) | ||||||||||||
Options | — | — | — | — | — | ||||||||||||||||
TBAs | — | — | — | 1,837 | 1,837 | ||||||||||||||||
| | | | | | | | | | | | | | | | | |||||
Total | $ | (11,748 | ) | $ | 2,249 | $ | (4,848 | ) | $ | 1,241 | $ | (13,106 | ) | ||||||||
| | | | | | | | | | | | | | | | | |||||
| | | | | | | | | | | | | | | | | |||||
-1 | Contractual interest income (expense), net on derivative instruments includes interest settlement paid or received. | ||||||||||||||||||||
Schedule of information related to the securities and repurchase agreements accounted for as part of linked transaction which is reported Gain (loss) on linked transactions, net on the Statement of Operations | |||||||||||||||||||||
The following tables present certain information related to the securities and repurchase agreements accounted for as part of linked transaction which is reported in Linked transactions, net, at fair value on the Consolidated Balance Sheets at December 31, 2014 and December 31, 2013 and Gain (loss) on linked transactions, net on the Statements of Operations for the years ended December 31, 2014 and December 31, 2013 (dollars in thousands): | |||||||||||||||||||||
Weighted | |||||||||||||||||||||
Average | |||||||||||||||||||||
Life | |||||||||||||||||||||
(years)/ | |||||||||||||||||||||
Weighted | |||||||||||||||||||||
Average | |||||||||||||||||||||
For the year ended December 31, 2014 | days to | ||||||||||||||||||||
Instrument | Fair | Net Interest | Mark-to-market | Net Realized | Gain (loss) | Weighted | Maturity(2) | ||||||||||||||
Value(2) | Income(1) | adjustments on | Gain (loss) | on linked | Average | ||||||||||||||||
(Expense) | linked | transactions, | Coupon / Cost | ||||||||||||||||||
transactions | net | of Funds(2) | |||||||||||||||||||
Non-Agency RMBS | $ | 8,156 | $ | 1,569 | $ | 393 | $ | 1,589 | $ | 3,551 | 27.78 | % | 13.2 years | ||||||||
Non-Agency CMBS, including Non U.S. | 38,609 | 961 | (3,044 | ) | — | (2,083 | ) | 6.83 | % | 7.6 years | |||||||||||
Other securities | 5,719 | 349 | 9 | (192 | ) | 166 | 4.5 | % | 11.9 years | ||||||||||||
Non-Agency Repurchase Agreement | (6,559 | ) | (346 | ) | — | — | (346 | ) | 1.66 | % | 15 days | ||||||||||
CMBS Repurchase Agreement, including Non U.S. | (22,458 | ) | (167 | ) | 782 | — | 615 | 1.94 | % | 7 days | |||||||||||
Other securities Repurchase Agreement | (2,840 | ) | (33 | ) | — | — | (33 | ) | 1.93 | % | 37 days | ||||||||||
| | | | | | | | | | | | | | | | | | | | | |
Linked transactions, net, at fair value | $ | 20,627 | $ | 2,333 | $ | (1,860 | ) | $ | 1,397 | $ | 1,870 | n/a | n/a | ||||||||
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
-1 | Net interest income includes amortization of premium of approximately $3.3 million for Non-Agency RMBS and $0 for Non-Agency CMBS and accretion of $221 thousand for other securities. | ||||||||||||||||||||
-2 | Includes information only for linked transactions at December 31, 2014. | ||||||||||||||||||||
For the Year Ended December 31, 2013 | Weighted | ||||||||||||||||||||
Average | |||||||||||||||||||||
Life (years)/ | |||||||||||||||||||||
Weighted | |||||||||||||||||||||
Average | |||||||||||||||||||||
days to | |||||||||||||||||||||
Instrument | Fair | Net Interest | Mark-to-market | Net Realized | Gain (loss) | Weighted | Maturity(2) | ||||||||||||||
Value(2) | Income(1) | adjustments on | Gain (loss) | on linked | Average | ||||||||||||||||
(Expense) | linked | transactions, | Coupon / Cost | ||||||||||||||||||
transactions | net | of Funds(2) | |||||||||||||||||||
Agency RMBS | $ | — | $ | 44 | $ | — | $ | (254 | ) | $ | (210 | ) | n/a | n/a | |||||||
Non-Agency RMBS | 79,746 | 1,371 | (56 | ) | 3,303 | 4,618 | 27.06 | % | 9.6 years | ||||||||||||
Agency Repurchase Agreement | — | (6 | ) | — | — | (6 | ) | n/a | n/a | ||||||||||||
Non-Agency Repurchase Agreement | (61,187 | ) | (265 | ) | — | — | (265 | ) | 1.7 | % | 63 days | ||||||||||
| | | | | | | | | | | | | | | | | | | | | |
Linked transactions, net, at fair value | $ | 18,559 | $ | 1,144 | $ | (56 | ) | $ | 3,049 | $ | 4,137 | n/a | n/a | ||||||||
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
-1 | Net interest income includes amortization of premium of $9 thousand for Agency RMBS and accretion of discount of $555 thousand for Non-Agency RMBS. | ||||||||||||||||||||
-2 | Includes information only for linked transactions at December 31, 2013. | ||||||||||||||||||||
Interest rate swaption | |||||||||||||||||||||
Derivative instruments | |||||||||||||||||||||
Summary of interest rate swaps or interest rate swaptions | |||||||||||||||||||||
The following tables present information about the Company's interest rate swaptions as of December 31, 2014 and December 31, 2013 (dollars in thousands): | |||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||
Option | Underlying Swap | ||||||||||||||||||||
Fixed-Pay Rate for Underlying Swap | Fair Value | Weighted | Notional | Weighted | |||||||||||||||||
Average | Amount | Average Swap | |||||||||||||||||||
Months Until | Term (Years) | ||||||||||||||||||||
Option | |||||||||||||||||||||
Expiration | |||||||||||||||||||||
2.26 - 2.50% | $ | 178 | 17.8 | $ | 105,000 | 1.0 | |||||||||||||||
| | | | | | | | | | | | | | ||||||||
$ | 178 | 17.8 | $ | 105,000 | 1.0 | ||||||||||||||||
| | | | | | | | | | | | | | ||||||||
| | | | | | | | | | | | | | ||||||||
December 31, 2013 | |||||||||||||||||||||
Option | Underlying Swap | ||||||||||||||||||||
Fixed-Pay Rate for Underlying Swap | Fair Value | Weighted | Notional | Weighted | |||||||||||||||||
Average | Amount | Average Swap | |||||||||||||||||||
Months Until | Term (Years) | ||||||||||||||||||||
Option | |||||||||||||||||||||
Expiration | |||||||||||||||||||||
2.51 - 2.75% | $ | 1,889 | 4.4 | $ | 150,000 | 7.0 | |||||||||||||||
2.76 - 3.00% | 2,762 | 4.3 | 250,000 | 7.0 | |||||||||||||||||
3.01 - 3.25% | 1,192 | 4.6 | 1,500,000 | 10.0 | |||||||||||||||||
3.26 - 3.50% | 971 | 4.0 | 100,000 | 10.0 | |||||||||||||||||
3.51 - 3.75% | 4,363 | 9.6 | 200,000 | 10.0 | |||||||||||||||||
| | | | | | | | | | | | | | ||||||||
$ | 11,177 | 5.0 | $ | 2,200,000 | 9.5 | ||||||||||||||||
| | | | | | | | | | | | | | ||||||||
| | | | | | | | | | | | | | ||||||||
December 31, 2013 | |||||||||||||||||||||
Option | Underlying Swap | ||||||||||||||||||||
Fixed-Receive Rate for Underlying Swap | Fair Value | Weighted | Notional | Weighted | |||||||||||||||||
Average | Amount | Average Swap | |||||||||||||||||||
Months Until | Term (Years) | ||||||||||||||||||||
Option | |||||||||||||||||||||
Expiration | |||||||||||||||||||||
3.76 - 4.00% | $ | (264 | ) | 4 | $ | 100,000 | 10 | ||||||||||||||
| | | | | | | | | | | | | | ||||||||
$ | (264 | ) | 4 | $ | 100,000 | 10 | |||||||||||||||
| | | | | | | | | | | | | | ||||||||
| | | | | | | | | | | | | | ||||||||
Foreign currency forwards | |||||||||||||||||||||
Derivative instruments | |||||||||||||||||||||
Summary of foreign currency swaps or forwards | |||||||||||||||||||||
The following is a summary of the Company's foreign currency forwards at December 31, 2014 (dollars and euros in thousands): | |||||||||||||||||||||
Derivative Type | Notional | Notional | Maturity | Fair Value | |||||||||||||||||
Amount | (USD Equivalent) | ||||||||||||||||||||
Buy USD/Sell EUR Currency forward | € | 3,331 | $ | 4,143 | Jan-15 | $ | 112 | ||||||||||||||
Buy USD/Sell EUR Currency forward | 7,766 | 9,417 | Jan-15 | 21 | |||||||||||||||||
Buy USD/Sell EUR Currency forward | 3,471 | 4,211 | Feb-15 | 9 | |||||||||||||||||
Buy EUR/Sell USD Currency forward | 5,000 | 6,051 | Jan-15 | 1 | |||||||||||||||||
| | | | | | | | | | | | | |||||||||
Currency forwards, assets | € | 19,568 | $ | 23,822 | n/a | $ | 143 | ||||||||||||||
| | | | | | | | | | | | | |||||||||
Buy USD/Sell EUR Currency forward | € | 5,043 | $ | 6,104 | Feb-15 | $ | (1 | ) | |||||||||||||
Buy EUR/Sell USD Currency forward | 11,156 | 13,542 | Apr-15 | (30 | ) | ||||||||||||||||
Buy EUR/Sell USD Currency forward | 11,156 | 13,914 | Jan-15 | (415 | ) | ||||||||||||||||
| | | | | | | | | | | | | |||||||||
Currency forwards, liabilities | € | 27,355 | $ | 33,560 | n/a | $ | (446 | ) | |||||||||||||
| | | | | | | | | | | | | |||||||||
Total currency forwards | € | 46,923 | $ | 57,382 | n/a | $ | (303 | ) | |||||||||||||
| | | | | | | | | | | | | |||||||||
| | | | | | | | | | | | | |||||||||
Foreign currency swaps | |||||||||||||||||||||
Derivative instruments | |||||||||||||||||||||
Summary of foreign currency swaps or forwards | |||||||||||||||||||||
The following is a summary of the Company's foreign currency swaps with a fair value of $3.9 million at December 31, 2014 (dollars and euros in thousands): | |||||||||||||||||||||
Date entered | Maturity | Fixed Rate | Denomination | Notional Amount | |||||||||||||||||
Jun-14 | Jul-24 | 7.25 | % | EUR | 18,500 | ||||||||||||||||
Jun-14 | Jul-24 | 9.005 | % | USD | 25,160 | ||||||||||||||||
Fixed Pay Rate | Interest rate swaps | |||||||||||||||||||||
Derivative instruments | |||||||||||||||||||||
Summary of interest rate swaps or interest rate swaptions | |||||||||||||||||||||
The following tables summarize the average fixed pay rate and average maturity for the Company's interest rate swaps as of December 31, 2014 and December 31, 2013 (excludes interest rate swaptions) (dollars in thousands): | |||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||
Remaining Interest Rate Swap Term | Notional | Fair Value—Asset | Average Fixed Pay | Average | Forward | ||||||||||||||||
Amount | (Liability), net | Rate | Maturity | Starting | |||||||||||||||||
(Years) | |||||||||||||||||||||
1 year or less | $ | 89,300 | $ | (111 | ) | 0.5 | % | 0.9 | — | % | |||||||||||
Greater than 1 year and less than 3 years | 1,972,300 | (733 | ) | 0.8 | 1.8 | 20.3 | |||||||||||||||
Greater than 3 years and less than 5 years | 603,000 | (4,597 | ) | 1.8 | 4.2 | — | |||||||||||||||
Greater than 5 years | 3,103,770 | (156,952 | ) | 2.8 | 9.4 | 63.1 | |||||||||||||||
| | | | | | | | | | | | | | | | | |||||
Total | $ | 5,768,370 | $ | (162,393 | ) | 2 | % | 6.2 | 40.9 | % | |||||||||||
| | | | | | | | | | | | | | | | | |||||
| | | | | | | | | | | | | | | | | |||||
December 31, 2013 | |||||||||||||||||||||
Remaining Interest Rate Swap Term | Notional | Fair Value—Asset | Average Fixed Pay | Average | Forward | ||||||||||||||||
Amount | (Liability), net | Rate | Maturity | Starting | |||||||||||||||||
(Years) | |||||||||||||||||||||
1 year or less | $ | 215,900 | $ | (141 | ) | 0.4 | % | 0.8 | — | % | |||||||||||
Greater than 1 year and less than 3 years | 179,100 | (216 | ) | 0.5 | 1.9 | — | |||||||||||||||
Greater than 3 years and less than 5 years | 574,200 | 5,630 | 1.3 | 4.4 | — | ||||||||||||||||
Greater than 5 years | 1,718,650 | 87,857 | 2.4 | 10.8 | 28.6 | ||||||||||||||||
| | | | | | | | | | | | | | | | | |||||
Total | $ | 2,687,850 | $ | 93,130 | 1.9 | % | 8 | 18.3 | % | ||||||||||||
| | | | | | | | | | | | | | | | | |||||
| | | | | | | | | | | | | | | | | |||||
Variable Pay Rate | Interest rate swaps | |||||||||||||||||||||
Derivative instruments | |||||||||||||||||||||
Summary of interest rate swaps or interest rate swaptions | |||||||||||||||||||||
The following tables summarize the average variable pay-rate and average maturity for the Company's interest rate swaps as of December 31, 2014 and December 31, 2013 (excludes interest rate swaptions) (dollars in thousands): | |||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||
Remaining Interest Rate swap Term | Notional | Fair Value—Asset | Average Variable Pay | Average | Forward | ||||||||||||||||
Amount | (Liability), net | Rate | Maturity | Starting | |||||||||||||||||
(Years) | |||||||||||||||||||||
Greater than 1 years and less than 3 years | $ | 220,000 | $ | (164 | ) | 0.2 | % | 2 | — | % | |||||||||||
Greater than 3 years and less than 5 years | 634,000 | 2,210 | 0.2 | 4.5 | — | ||||||||||||||||
Greater than 5 years | 1,309,600 | 45,229 | 0.2 | 12.1 | 8.4 | ||||||||||||||||
| | | | | | | | | | | | | | | | | |||||
Total | $ | 2,163,600 | $ | 47,275 | 0.2 | % | 8.8 | 5.1 | % | ||||||||||||
| | | | | | | | | | | | | | | | | |||||
| | | | | | | | | | | | | | | | | |||||
December 31, 2013 | |||||||||||||||||||||
Remaining Interest Rate swap Term | Notional | Fair Value—Asset | Average Variable Pay | Average | Forward | ||||||||||||||||
Amount | (Liability), net | Rate | Maturity | Starting | |||||||||||||||||
(Years) | |||||||||||||||||||||
Greater than 3 years and less than 5 years | $ | 81,000 | $ | (475 | ) | 0.2 | % | 4.8 | — | % | |||||||||||
Greater than 5 years | 46,000 | (1,243 | ) | 0.2 | 24.1 | — | |||||||||||||||
| | | | | | | | | | | | | | | | | |||||
Total | $ | 127,000 | $ | (1,718 | ) | 0.2 | % | 11.8 | — | % | |||||||||||
| | | | | | | | | | | | | | | | | |||||
| | | | | | | | | | | | | | | | | |||||
Offsetting_Assets_and_Liabilit1
Offsetting Assets and Liabilities (Tables) | 12 Months Ended | |||||||||||||||||||
Dec. 31, 2014 | ||||||||||||||||||||
Offsetting Assets and Liabilities | ||||||||||||||||||||
Schedule of gross and net information about the Company's assets subject to master netting arrangements | ||||||||||||||||||||
Offsetting of Derivative Assets | ||||||||||||||||||||
As of December 31, 2014 | ||||||||||||||||||||
Gross | Gross Amounts Not Offset | |||||||||||||||||||
Amounts | in the Consolidated Balance | |||||||||||||||||||
Offset in the | Sheets | |||||||||||||||||||
Consolidated | Net Amounts | |||||||||||||||||||
Balance | of Assets | |||||||||||||||||||
Sheets | presented in the | |||||||||||||||||||
Gross | Consolidated | |||||||||||||||||||
Amounts of | Balance Sheets | |||||||||||||||||||
Recognized | ||||||||||||||||||||
$s in thousands | Assets | Financial | Cash | Net | ||||||||||||||||
Description | Instruments(1) | Collateral | Amount | |||||||||||||||||
Received | ||||||||||||||||||||
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS | $ | 88,229 | $ | — | $ | 88,229 | $ | (80,771 | ) | $ | — | $ | 7,458 | |||||||
Derivative asset, at fair value | 73,256 | — | 73,256 | (53,256 | ) | (10,036 | ) | 9,964 | ||||||||||||
Linked transactions, net, at fair value | 52,484 | (31,857 | ) | 20,627 | — | — | 20,627 | |||||||||||||
| | | | | | | | | | | | | | | | | | | | |
Total | $ | 213,969 | $ | (31,857 | ) | $ | 182,112 | $ | (134,027 | ) | $ | (10,036 | ) | $ | 38,049 | |||||
| | | | | | | | | | | | | | | | | | | | |
Offsetting of Derivative Assets | ||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||
Gross | Gross Amounts Not Offset | |||||||||||||||||||
Amounts | in the Consolidated Balance | |||||||||||||||||||
Offset in the | Sheets | |||||||||||||||||||
Consolidated | Net Amounts | |||||||||||||||||||
Balance | of Assets | |||||||||||||||||||
Sheets | presented in the | |||||||||||||||||||
Gross | Consolidated | |||||||||||||||||||
Amounts of | Balance Sheets | |||||||||||||||||||
Recognized | ||||||||||||||||||||
$s in thousands | Assets | Financial | Cash | Net | ||||||||||||||||
Description | Instruments(1) | Collateral | Amount | |||||||||||||||||
Received | ||||||||||||||||||||
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS | $ | 109,235 | $ | — | $ | 109,235 | $ | (109,235 | ) | $ | — | $ | — | |||||||
Derivative asset, at fair value | 105,826 | — | 105,826 | (3,501 | ) | (62,651 | ) | 39,674 | ||||||||||||
Linked transactions, net, at fair value | 79,746 | (61,187 | ) | 18,859 | — | — | 18,559 | |||||||||||||
| | | | | | | | | | | | | | | | | | | | |
Total | $ | 294,807 | $ | (61,187 | ) | $ | 233,620 | $ | (112,736 | ) | $ | (62,651 | ) | $ | 58,233 | |||||
| | | | | | | | | | | | | | | | | | | | |
Schedule of gross and net information about the Company's liabilities subject to master netting arrangements | ||||||||||||||||||||
Offsetting of Derivative Liabilities and Repurchase Agreements | ||||||||||||||||||||
As of December 31, 2014 | ||||||||||||||||||||
Gross | Gross Amounts Not Offset | |||||||||||||||||||
Amounts | in the Consolidated Balance | |||||||||||||||||||
Offset in the | Sheets | |||||||||||||||||||
Consolidated | Net Amounts | |||||||||||||||||||
Balance | of Liabilities | |||||||||||||||||||
Sheets | presented in the | |||||||||||||||||||
Gross | Consolidated | |||||||||||||||||||
Amounts of | Balance Sheets | |||||||||||||||||||
Recognized | ||||||||||||||||||||
$s in thousands | Liabilities | Financial | Cash | Net | ||||||||||||||||
Description | Instruments(1) | Collateral | Amount | |||||||||||||||||
Pledged(1) | ||||||||||||||||||||
Derivative liability, at fair value(2) | $ | 180,280 | $ | — | $ | 180,280 | $ | (53,256 | ) | $ | (116,791 | ) | $ | 10,233 | ||||||
Repurchase Agreements(3) | 3,875,721 | — | 3,875,721 | (3,875,721 | ) | — | — | |||||||||||||
| | | | | | | | | | | | | | | | | | | | |
$ | 4,056,001 | $ | — | $ | 4,056,001 | $ | (3,928,977 | ) | $ | (116,791 | ) | $ | 10,233 | |||||||
| | | | | | | | | | | | | | | | | | | | |
-1 | Amounts disclosed in the Financial Instruments column of the table above represent securities collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral Pledged column of the table above represents amounts pledged as collateral against derivative transactions. | |||||||||||||||||||
-2 | Cash collateral pledged against the Company's derivative counterparties was approximately $159.0 million as of December 31, 2014. | |||||||||||||||||||
-3 | The fair value of securities pledged against the Company's repurchase agreements was approximately $4.4 billion as of December 31, 2014. | |||||||||||||||||||
Offsetting of Derivative Liabilities and Repurchase Agreements | ||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||
Gross | Gross Amounts Not Offset | |||||||||||||||||||
Amounts | in the Consolidated Balance | |||||||||||||||||||
Offset in the | Sheets | |||||||||||||||||||
Consolidated | Net Amounts | |||||||||||||||||||
Balance | of Liabilities | |||||||||||||||||||
Sheets | presented in the | |||||||||||||||||||
Gross | Consolidated | |||||||||||||||||||
Amounts of | Balance Sheets | |||||||||||||||||||
Recognized | ||||||||||||||||||||
$s in thousands | Liabilities | Financial | Cash | Net | ||||||||||||||||
Description | Instruments(1) | Collateral | Amount | |||||||||||||||||
Pledged(1) | ||||||||||||||||||||
Derivative liability, at fair value(2) | $ | 4,673 | $ | — | $ | 4,673 | $ | (3,501 | ) | $ | — | $ | 1,172 | |||||||
Repurchase Agreements(3) | 2,579,067 | — | 2,579,067 | (2,579,067 | ) | — | — | |||||||||||||
| | | | | | | | | | | | | | | | | | | | |
$ | 2,583,740 | $ | — | $ | 2,583,740 | $ | (2,582,568 | ) | $ | — | $ | 1,172 | ||||||||
| | | | | | | | | | | | | | | | | | | | |
-1 | Amounts disclosed in the Financial Instruments column of the table above represent securities collateral pledged that is available to be offset against liability balances associated with repurchase agreement and derivative transactions. Amounts disclosed in the Cash Collateral Pledged column of the table above represents amounts pledged as collateral against derivative transactions. | |||||||||||||||||||
-2 | Cash collateral pledged against the Company's Swaps was approximately $22.8 million as of December 31, 2013. | |||||||||||||||||||
-3 | The fair value of securities pledged against the Company's repurchase agreements was approximately $2.8 billion as of December 31, 2013. | |||||||||||||||||||
ShareBased_Payments_Tables
Share-Based Payments (Tables) | 12 Months Ended | |||||||
Dec. 31, 2014 | ||||||||
Share-Based Payments | ||||||||
Summary of restricted common stock vesting dates | ||||||||
December 31, | December 31, | |||||||
2014 | 2013 | |||||||
Vesting Date | Shares Vesting | Shares Vesting | ||||||
Jan-14 | — | 7,685 | ||||||
Mar-14 | — | 54,852 | ||||||
May-14 | — | 18,707 | ||||||
Jun-14 | — | 6,279 | ||||||
Jan-15 | 12,745 | 7,685 | ||||||
Mar-15 | 121,518 | 54,852 | ||||||
May-15 | 18,708 | 18,707 | ||||||
Jun-15 | 6,873 | — | ||||||
Nov-15 | 1,334 | — | ||||||
Jan-16 | 8,920 | 3,860 | ||||||
Mar-16 | 121,518 | 54,852 | ||||||
Jan-17 | 5,060 | — | ||||||
Mar-17 | 66,667 | — | ||||||
| | | | | | | | |
| | | | | | | | |
363,343 | 227,479 | |||||||
| | | | | | | | |
| | | | | | | | |
Schedule of restricted stock activity | ||||||||
The following table presents information with respect to the Company's restricted stock for the year ended December 31, 2014 including shares whose issuance has been deferred under the Director Deferred Fee Plan: | ||||||||
Shares of | Weighted Average | |||||||
Restricted Stock | Grant Date Fair | |||||||
Value(1) | ||||||||
Outstanding at beginning of period | 252,517 | $ | 20.34 | |||||
Granted | 223,683 | 16.39 | ||||||
Cancelled/forfeited | — | — | ||||||
| | | | | | | | |
Outstanding at end of year | 476,200 | $ | 18.49 | |||||
| | | | | | | | |
Unvested at end of year | 363,343 | $ | 17.98 | |||||
| | | | | | | | |
| | | | | | | | |
-1 | The grant date fair value of restricted stock awards is based on the closing market price of the Company's common stock at the grant date. | |||||||
-2 | Included in Granted are restricted stock attributed to dividends on restricted stock under the Director Deferred Fee Plan of 905 shares. | |||||||
The following table presents information with respect to the Company's restricted stock for the year ended December 31, 2013 including shares whose issuance has been deferred under the Director Deferred Fee Plan: | ||||||||
Shares of | Weighted Average | |||||||
Restricted Stock | Grant Date Fair | |||||||
Value(1) | ||||||||
Outstanding at beginning of period | 66,114 | $ | 19.86 | |||||
Granted(2) | 186,403 | 20.51 | ||||||
Cancelled/forfeited | — | — | ||||||
| | | | | | | | |
Outstanding at end of year | 252,517 | $ | 20.34 | |||||
| | | | | | | | |
Unvested at end of year | 227,479 | $ | 20.39 | |||||
| | | | | | | | |
| | | | | | | | |
-1 | The grant date fair value of restricted stock awards is based on the closing market price of the Company's common stock at the grant date. | |||||||
-2 | Included in Granted are restricted stock attributed to the stock portion of the December 19, 2013 dividend on restricted stock of 19,565 shares and restricted stock attributed to dividends on restricted stock under the Director Deferred Fee Plan of 1,392 shares. | |||||||
Net_Income_Loss_per_Common_Sha1
Net Income (Loss) per Common Share (Tables) | 12 Months Ended | ||||||||||
Dec. 31, 2014 | |||||||||||
Net Income (Loss) per Common Share | |||||||||||
Schedule of basic and diluted net income (loss) per share of common stock | |||||||||||
The table below presents basic and diluted net income (loss) per share of common stock using the two-class method for the years ended December 31, 2014 and December 31, 2013 and for the period from May 15, 2012 (commencement of operations) through December 31, 2012 (dollars, other than shares and per share amounts, in thousands): | |||||||||||
For the Year | For the Year | For the Period from | |||||||||
Ended | Ended | May 15, 2012 | |||||||||
December 31, 2014 | December 31, 2013 | (commencement of | |||||||||
operations) through | |||||||||||
December 31, 2012 | |||||||||||
Numerator: | |||||||||||
Net income (loss) attributable to common stockholders and participating securities for basic and diluted earnings per share | $ | 100,713 | $ | (27,855 | ) | $ | 57,277 | ||||
Less: | |||||||||||
Dividends and undistributed earnings allocated to participating securities | 944 | 961 | 234 | ||||||||
| | | | | | | | | | | |
Net income (loss) allocable to common stockholders—basic and diluted | $ | 99,769 | $ | (28,816 | ) | $ | 57,043 | ||||
| | | | | | | | | | | |
| | | | | | | | | | | |
Denominator: | |||||||||||
Weighted average common shares outstanding for basic earnings per share | 37,337,460 | 24,185,037 | 15,654,453 | ||||||||
| | | | | | | | | | | |
| | | | | | | | | | | |
Weighted average diluted shares outstanding (stock awards) | — | — | 9,045 | ||||||||
Weighted average diluted shares outstanding (warrants) | — | — | 55,735 | ||||||||
| | | | | | | | | | | |
| | | | | | | | | | | |
Weighted average common shares outstanding for diluted earnings per share | 37,337,460 | 24,185,037 | 15,719,233 | ||||||||
| | | | | | | | | | | |
| | | | | | | | | | | |
Basic earnings per common share | $ | 2.67 | $ | (1.19 | ) | $ | 3.64 | ||||
| | | | | | | | | | | |
| | | | | | | | | | | |
Diluted earnings per common share | $ | 2.67 | $ | (1.19 | ) | $ | 3.63 | ||||
| | | | | | | | | | | |
| | | | | | | | | | | |
Summarized_Quarterly_Results_T
Summarized Quarterly Results (Tables) | 12 Months Ended | |||||||||||||
Dec. 31, 2014 | ||||||||||||||
Summarized Quarterly Results (unaudited) | ||||||||||||||
Schedule of presentation of selected unaudited results of operations | ||||||||||||||
Quarter Ended | ||||||||||||||
March 31, | June 30, | September 30, | December 31, | |||||||||||
2014 | 2014 | 2014 | 2014 | |||||||||||
Net Interest Income: | ||||||||||||||
Interest income | $ | 23,430 | $ | 44,604 | $ | 40,718 | $ | 40,358 | ||||||
Interest expense | 3,390 | 5,971 | 6,468 | 6,434 | ||||||||||
| | | | | | | | | | | | | | |
Net Interest Income | 20,040 | 38,633 | 34,250 | 33,924 | ||||||||||
| | | | | | | | | | | | | | |
Other Income (Loss): | ||||||||||||||
Interest income on cash balances and other income | (12 | ) | 24 | 942 | 479 | |||||||||
Realized gain (loss) on sale of Mortgage-backed securities and other securities, net | 3,716 | (11,278 | ) | 4,912 | 472 | |||||||||
Other loss on Mortgage-backed securities and other securities | (1,709 | ) | (2,999 | ) | (2,857 | ) | (9,449 | ) | ||||||
Unrealized gain (loss) on Mortgage-backed securities, other securities and whole-loans, net | 31,091 | 114,117 | (4,453 | ) | 48,256 | |||||||||
Gain (loss) on linked transactions, net | 2,219 | 688 | (1,241 | ) | 204 | |||||||||
Gain (loss) on derivative instruments, net | (59,906 | ) | (66,677 | ) | (401 | ) | (53,512 | ) | ||||||
| | | | | | | | | | | | | | |
Other Income (Loss), net | (24,601 | ) | 33,875 | (3,098 | ) | (13,550 | ) | |||||||
| | | | | | | | | | | | | | |
Operating Expenses: | ||||||||||||||
General and administrative | 2,075 | 2,375 | 2,253 | 2,424 | ||||||||||
Management fee—related party | 1,805 | 2,559 | 2,763 | 2,506 | ||||||||||
| | | | | | | | | | | | | | |
Total Operating Expenses | 3,880 | 4,934 | 5,016 | 4,930 | ||||||||||
| | | | | | | | | | | | | | |
Net income (loss) available to Common Stock and participating securities | $ | (8,441 | ) | $ | 67,574 | $ | 26,136 | $ | 15,444 | |||||
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
Net income (loss) per Common Share—Basic | $ | (0.32 | ) | $ | 1.68 | $ | 0.63 | $ | 0.37 | |||||
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
Net income (loss) per Common Share—Diluted | $ | (0.32 | ) | $ | 1.68 | $ | 0.63 | $ | 0.37 | |||||
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
Quarter Ended | ||||||||||||||
March 31, | June 30, 2013, | September 30, | December 31, | |||||||||||
2013 | Revised(1) | 2013 | 2013 | |||||||||||
Net Interest Income: | ||||||||||||||
Interest income | $ | 33,750 | $ | 32,742 | $ | 30,654 | $ | 28,182 | ||||||
Interest expense | 5,181 | 4,522 | 4,273 | 4,043 | ||||||||||
| | | | | | | | | | | | | | |
Net Interest Income | 28,569 | 28,220 | 26,381 | 24,139 | ||||||||||
| | | | | | | | | | | | | | |
Other Income (Loss): | ||||||||||||||
Interest income on cash balances and other income | 33 | 12 | 11 | 35 | ||||||||||
Realized gain (loss) on sale of Mortgage-backed securities and other securities, net | (11,660 | ) | (6,083 | ) | (46,142 | ) | (46,827 | ) | ||||||
Other loss on Mortgage-backed securities and other securities | (2,268 | ) | (3,533 | ) | (2,363 | ) | (3,694 | ) | ||||||
Unrealized gain (loss) on Mortgage-backed securities, other securities and whole-loans, net | (54,759 | ) | (156,286 | ) | 37,528 | 13,408 | ||||||||
Gain (loss) on linked transactions, net | 596 | 3,909 | (547 | ) | 179 | |||||||||
Gain (loss) on derivative instruments, net | 14,840 | 109,474 | (3,809 | ) | 37,042 | |||||||||
| | | | | | | | | | | | | | |
Other Income (Loss), net | (53,218 | ) | (52,507 | ) | (15,322 | ) | 143 | |||||||
| | | | | | | | | | | | | | |
Operating Expenses: | ||||||||||||||
General and administrative | 1,737 | 1,541 | 1,484 | 1,684 | ||||||||||
Management fee—related party | 2,113 | 1,826 | 2,032 | 1,843 | ||||||||||
| | | | | | | | | | | | | | |
Total Operating Expenses | 3,850 | 3,367 | 3,516 | 3,527 | ||||||||||
| | | | | | | | | | | | | | |
Net income (loss) available to Common Stock and participating securities | $ | (28,499 | ) | $ | (27,654 | ) | $ | 7,543 | $ | 20,755 | ||||
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
Net income (loss) per Common Share—Basic | $ | (1.18 | ) | $ | (1.16 | ) | $ | 0.31 | $ | 0.83 | ||||
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
Net income (loss) per Common Share—Diluted | $ | (1.18 | ) | $ | (1.16 | ) | $ | 0.31 | $ | 0.83 | ||||
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
-1 | The Company identified an error relating to Basic and Diluted Net Loss per share amounts of $1.14 for the three month period ended June 30, 2013, as previously reported in the June 30, 2013 Form 10-Q. The error understated Basic and Diluted Net Loss per share by $0.02 per share. Management evaluated the impact of the error on the previously reported financial statements and concluded the impact was not material to the financial statements for the three month period ended June 30, 2013 taken as a whole. However, Management has elected to revise the per share amounts to correct for the impact of this error and the revised amounts of $1.16 per share are reflected above. | |||||||||||||
For the period from | ||||||||||||||
May 15, 2012 | ||||||||||||||
(commencement of | ||||||||||||||
operations) through | ||||||||||||||
June 30, 2012, | Quarter Ended | |||||||||||||
as Revised | September 30, | December 31, | ||||||||||||
2012, as | 2012 | |||||||||||||
Revised | ||||||||||||||
Net Interest Income: | ||||||||||||||
Interest income | $ | 7,083 | $ | 12,987 | $ | 33,248 | ||||||||
Interest expense | 725 | 1,935 | 5,434 | |||||||||||
| | | | | | | | | | | ||||
Net Interest Income | 6,358 | 11,052 | 27,814 | |||||||||||
| | | | | | | | | | | ||||
Other Income (Loss): | ||||||||||||||
Interest income on cash balances | — | 2 | 9 | |||||||||||
Realized gain on sale of Residential mortgage-backed securities and other securities, net | 1,157 | 6,635 | 12,962 | |||||||||||
Other loss on Residential mortgage-backed securities | (87 | ) | (1,352 | ) | (1,767 | ) | ||||||||
Unrealized gain (loss) on Residential mortgage-backed securities and other securities, net | 2,983 | 26,225 | (15,278 | ) | ||||||||||
Gain (loss) on derivative instruments, net | (5,159 | ) | (12,245 | ) | 4,298 | |||||||||
| | | | | | | | | | | ||||
Other Income (loss), net | (1,106 | ) | 19,265 | 224 | ||||||||||
| | | | | | | | | | | ||||
Operating Expenses: | ||||||||||||||
General and administrative | 584 | 1,321 | 1,292 | |||||||||||
Management fee—related party | 407 | 802 | 1,924 | |||||||||||
| | | | | | | | | | | ||||
Total Operating Expenses | 991 | 2,123 | 3,216 | |||||||||||
| | | | | | | | | | | ||||
Net income available to Common Stock and participating securities | $ | 4,261 | $ | 28,194 | $ | 24,822 | ||||||||
| | | | | | | | | | | ||||
| | | | | | | | | | | ||||
Earnings per Common Share—Basic | $ | 0.41 | $ | 2.73 | $ | 1.04 | ||||||||
| | | | | | | | | | | ||||
| | | | | | | | | | | ||||
Earnings per Common Share—Diluted | $ | 0.41 | $ | 2.72 | $ | 1.04 | ||||||||
| | | | | | | | | | | ||||
| | | | | | | | | | | ||||
Revision_of_Previously_Issued_2
Revision of Previously Issued Financial Statements for Errors Affecting Certain Items Presented in the Statements of Cash Flows and Notes to Financial Statements (Details) (USD $) | 3 Months Ended | 6 Months Ended | 9 Months Ended | 12 Months Ended | |||
In Thousands, unless otherwise specified | Sep. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Sep. 30, 2014 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Mark-to-market adjustments | ($109,342) | ($126,112) | ($178,125) | $84,788 | |||
Total | -401 | -66,677 | -180,496 | 157,547 | |||
Statement of Cash Flows (effect on individual line items) | |||||||
Net income (loss) | 26,136 | 67,574 | 59,133 | 85,269 | 100,713 | -27,855 | 57,277 |
Adjustments to reconcile net income (loss) to net cash provided by operating activities: | |||||||
Premium amortization for MAC interest rate swaps | -928 | -1,818 | |||||
Interest payments and basis recovered on MAC interest rate swaps | -545 | 7,164 | |||||
Mark-to-market adjustments on derivative instruments | 109,342 | 126,112 | 178,125 | -84,788 | |||
All other Items | -132,097 | -132,229 | |||||
Net cash provided by operating activities | 36,378 | 77,679 | 107,374 | 179,341 | |||
Cash flows from investing activities: | |||||||
Premium for MAC interest rate swaps, net | 13,245 | 11,010 | 11,011 | ||||
All other items | -1,650,680 | -1,350,036 | |||||
Net cash provided by (used in) investing activities | -1,637,435 | -1,339,026 | -1,311,678 | 2,002,411 | |||
Cash flows from financing activities: | |||||||
Proceeds from repurchase agreement borrowings | 11,780,555 | 18,161,433 | 22,819,986 | 29,948,206 | |||
Repayments of repurchase agreement borrowings | -10,238,568 | -16,858,373 | -21,523,332 | -32,163,869 | |||
Premium for MAC interest rate swaps containing an other-than-insignificant financing element | 9,539 | 10,579 | 20,479 | ||||
Interest payments and basis recovered on MAC interest rate swaps containing an other-than-insignificant financing element | 545 | -7,870 | |||||
All other items | 2,053 | -45,295 | |||||
Net cash provided by (used in) financing activities | 1,553,579 | 1,268,889 | 1,203,001 | -2,189,519 | |||
Net increase (decrease) in cash and cash equivalents | -47,478 | 7,542 | -1,303 | -7,767 | |||
Cash and cash equivalents beginning of period | 1,047 | 48,525 | 48,525 | 48,525 | 56,292 | ||
Cash and cash equivalents end of period | 56,067 | 1,047 | 1,047 | 56,067 | 47,222 | 48,525 | 56,292 |
Derivative instruments not accounted as hedges under GAAP | |||||||
Realized Gain (Loss), net | 25,613 | -9,275 | -7,772 | 17,841 | 20,029 | 85,428 | |
Contractual interest income (expense), net | -5,985 | 57 | 630 | -5,355 | -5,350 | 5,341 | |
Return (Recovery) of Basis | -3,367 | -4,507 | -10,099 | -13,358 | -17,050 | -18,010 | |
Mark-to-market adjustments | -16,662 | -52,952 | -109,342 | -126,112 | -178,125 | 84,788 | |
Total | -401 | -66,677 | -126,583 | -126,984 | -180,496 | 157,547 | |
Adjustments to reconcile net income (loss) to net cash provided by operating activities: | |||||||
Mark-to-market adjustments on derivative instruments | 16,662 | 52,952 | 109,342 | 126,112 | 178,125 | -84,788 | |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | |||||||
Realized Gain (Loss), net | 23,798 | -6,788 | -6,786 | 17,012 | 5,440 | 65,305 | |
Contractual interest income (expense), net | -11,848 | -6,083 | -13,936 | -25,784 | -31,764 | -22,932 | |
Return (Recovery) of Basis | 820 | 928 | 1,818 | ||||
Mark-to-market adjustments | -15,587 | -61,835 | -107,331 | -123,026 | -183,379 | 83,764 | |
Total | -2,817 | -74,706 | -128,053 | -130,870 | -207,885 | 126,137 | |
Adjustments to reconcile net income (loss) to net cash provided by operating activities: | |||||||
Mark-to-market adjustments on derivative instruments | 15,587 | 61,835 | 107,331 | 123,026 | 183,379 | -83,764 | |
All other items with no changes | Derivative instruments not accounted as hedges under GAAP | |||||||
Realized Gain (Loss), net | 1,815 | -2,487 | -986 | 829 | |||
Contractual interest income (expense), net | 5,863 | 6,140 | 14,566 | 20,429 | |||
Return (Recovery) of Basis | -4,187 | -4,507 | -10,099 | -14,286 | |||
Mark-to-market adjustments | -1,075 | 8,883 | -2,011 | -3,086 | |||
Total | 2,416 | 8,029 | 1,470 | 3,886 | |||
Adjustments to reconcile net income (loss) to net cash provided by operating activities: | |||||||
Mark-to-market adjustments on derivative instruments | 1,075 | -8,883 | 2,011 | 3,086 | |||
As Originally Reported | |||||||
Mark-to-market adjustments | -132,126 | -147,968 | |||||
Statement of Cash Flows (effect on individual line items) | |||||||
Net income (loss) | 59,133 | 85,269 | |||||
Adjustments to reconcile net income (loss) to net cash provided by operating activities: | |||||||
Mark-to-market adjustments on derivative instruments | 132,126 | 147,968 | |||||
All other Items | -132,097 | -132,229 | |||||
Net cash provided by operating activities | 59,162 | 101,008 | |||||
Cash flows from investing activities: | |||||||
Premium for MAC interest rate swaps, net | -2,235 | ||||||
All other items | -1,650,680 | -1,350,036 | |||||
Net cash provided by (used in) investing activities | -1,650,680 | -1,352,271 | |||||
Cash flows from financing activities: | |||||||
Proceeds from repurchase agreement borrowings | 11,783,312 | 18,164,190 | |||||
Repayments of repurchase agreement borrowings | -10,241,325 | -16,861,130 | |||||
Premium for MAC interest rate swaps containing an other-than-insignificant financing element | 1,040 | ||||||
All other items | 2,053 | -45,295 | |||||
Net cash provided by (used in) financing activities | 1,544,040 | 1,258,805 | |||||
Net increase (decrease) in cash and cash equivalents | -47,478 | 7,542 | |||||
Cash and cash equivalents beginning of period | 48,525 | 48,525 | 48,525 | ||||
Cash and cash equivalents end of period | 56,067 | 1,047 | 1,047 | 56,067 | |||
As Originally Reported | Derivative instruments not accounted as hedges under GAAP | |||||||
Realized Gain (Loss), net | 25,613 | 13,509 | 15,012 | 40,625 | |||
Contractual interest income (expense), net | -5,985 | 57 | 630 | -5,355 | |||
Return (Recovery) of Basis | -4,187 | -4,507 | -10,099 | -14,286 | |||
Mark-to-market adjustments | -15,842 | -75,736 | -132,126 | -147,968 | |||
Total | -401 | -66,677 | -126,583 | -126,984 | |||
Adjustments to reconcile net income (loss) to net cash provided by operating activities: | |||||||
Mark-to-market adjustments on derivative instruments | 15,842 | 75,736 | 132,126 | 147,968 | |||
As Originally Reported | Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | |||||||
Realized Gain (Loss), net | 23,798 | 15,996 | 15,998 | 39,796 | |||
Contractual interest income (expense), net | -11,848 | -6,083 | -13,936 | -25,784 | |||
Mark-to-market adjustments | -14,767 | -84,619 | -130,115 | -144,882 | |||
Total | -2,817 | -74,706 | -128,053 | -130,870 | |||
Adjustments to reconcile net income (loss) to net cash provided by operating activities: | |||||||
Mark-to-market adjustments on derivative instruments | 14,767 | 84,619 | 130,115 | 144,882 | |||
As Originally Reported | All other items with no changes | Derivative instruments not accounted as hedges under GAAP | |||||||
Realized Gain (Loss), net | 1,815 | -2,487 | -986 | 829 | |||
Contractual interest income (expense), net | 5,863 | 6,140 | 14,566 | 20,429 | |||
Return (Recovery) of Basis | -4,187 | -4,507 | -10,099 | -14,286 | |||
Mark-to-market adjustments | -1,075 | 8,883 | -2,011 | -3,086 | |||
Total | 2,416 | 8,029 | 1,470 | 3,886 | |||
Adjustments to reconcile net income (loss) to net cash provided by operating activities: | |||||||
Mark-to-market adjustments on derivative instruments | 1,075 | -8,883 | 2,011 | 3,086 | |||
Reclassification of interest rate swaps | Adjustments | |||||||
Mark-to-market adjustments | 22,784 | 21,856 | |||||
Adjustments to reconcile net income (loss) to net cash provided by operating activities: | |||||||
Premium amortization for MAC interest rate swaps | -928 | ||||||
Interest payments and basis recovered on MAC interest rate swaps | -545 | ||||||
Mark-to-market adjustments on derivative instruments | -22,784 | -21,856 | |||||
Net cash provided by operating activities | -22,784 | -23,329 | |||||
Cash flows from investing activities: | |||||||
Premium for MAC interest rate swaps, net | 13,245 | 13,245 | |||||
Net cash provided by (used in) investing activities | 13,245 | 13,245 | |||||
Cash flows from financing activities: | |||||||
Proceeds from repurchase agreement borrowings | -2,757 | -2,757 | |||||
Repayments of repurchase agreement borrowings | 2,757 | 2,757 | |||||
Premium for MAC interest rate swaps containing an other-than-insignificant financing element | 9,539 | 9,539 | |||||
Interest payments and basis recovered on MAC interest rate swaps containing an other-than-insignificant financing element | 545 | ||||||
Net cash provided by (used in) financing activities | 9,539 | 10,084 | |||||
Reclassification of interest rate swaps | Adjustments | Derivative instruments not accounted as hedges under GAAP | |||||||
Realized Gain (Loss), net | -22,784 | -22,784 | -22,784 | ||||
Return (Recovery) of Basis | 820 | 928 | |||||
Mark-to-market adjustments | -820 | 22,784 | 22,784 | 21,856 | |||
Adjustments to reconcile net income (loss) to net cash provided by operating activities: | |||||||
Mark-to-market adjustments on derivative instruments | 820 | -22,784 | -22,784 | -21,856 | |||
Reclassification of interest rate swaps | Adjustments | Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | |||||||
Realized Gain (Loss), net | -22,784 | -22,784 | -22,784 | ||||
Return (Recovery) of Basis | 820 | 928 | |||||
Mark-to-market adjustments | -820 | 22,784 | 22,784 | 21,856 | |||
Adjustments to reconcile net income (loss) to net cash provided by operating activities: | |||||||
Mark-to-market adjustments on derivative instruments | $820 | ($22,784) | ($22,784) | ($21,856) |
Summary_of_Significant_Account2
Summary of Significant Accounting Policies (Details) (USD $) | 12 Months Ended | 9 Months Ended | |
Dec. 31, 2014 | Dec. 31, 2014 | Dec. 31, 2013 | |
segment | |||
item | |||
Summary of Significant Accounting Policies | |||
Gain or loss on consolidation | $0 | ||
Number of business segments | 1 | ||
Credit valuation adjustment- interest rate and/or currency derivative assets | 0 | 0 | 0 |
Credit valuation adjustment- interest rate and/or currency derivative liabilities | 0 | 0 | 0 |
Number of independent pricing service price for each investment in its portfolio | 1 | ||
Income taxes | |||
Number of years the entity will be precluded from qualifying as a REIT | 4 years | ||
Maximum value of TRS expressed as a percentage of the value of the entity | 25.00% | ||
Interest Income | Change in methodology used to determine amortization of bond premium as change in estimate | |||
Change in Accounting Estimate [Line Items] | |||
The impact of change in estimate | 1,200,000 | ||
Unrealized gain (loss) on Mortgage-backed securities, other securities and whole-loans, net | Change in methodology used to determine amortization of bond premium as change in estimate | |||
Change in Accounting Estimate [Line Items] | |||
The impact of change in estimate | ($1,200,000) |
Fair_Value_of_Financial_Instru2
Fair Value of Financial Instruments (Details) (USD $) | 2 Months Ended | 3 Months Ended | 8 Months Ended | 12 Months Ended | ||||||||||
Jun. 30, 2012 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Dec. 31, 2012 | Dec. 31, 2014 | Dec. 31, 2013 | |
item | ||||||||||||||
Assets | ||||||||||||||
Estimated fair value | $4,385,723,000 | $2,853,587,000 | $4,385,723,000 | $2,853,587,000 | ||||||||||
Derivative assets | 73,256,000 | 105,826,000 | 73,256,000 | 105,826,000 | ||||||||||
Linked transactions | 20,627,000 | 18,559,000 | 20,627,000 | 18,559,000 | ||||||||||
Liabilities | ||||||||||||||
Fair value of liability | 180,280,000 | 4,673,000 | 180,280,000 | 4,673,000 | ||||||||||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | ||||||||||||||
Other loss on Mortgage-backed securities and other securities | -87,000 | -9,449,000 | -2,857,000 | -2,999,000 | -1,709,000 | -3,694,000 | -2,363,000 | -3,533,000 | -2,268,000 | -1,767,000 | -1,352,000 | -3,206,000 | -17,014,000 | -11,858,000 |
Premium and discount amortization, net | -16,725,000 | -10,257,000 | -21,053,000 | |||||||||||
Number of independent pricing service price for each investment in its portfolio | 1 | |||||||||||||
Residential whole-loans | ||||||||||||||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | ||||||||||||||
Premium and discount amortization, net | -25,000 | |||||||||||||
Agency RMBS | ||||||||||||||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | ||||||||||||||
Premium and discount amortization, net | -26,908,000 | -57,120,000 | -60,320,000 | |||||||||||
20 Year Mortgage | ||||||||||||||
Assets | ||||||||||||||
Estimated fair value | 1,120,031,000 | 502,926,000 | 1,120,031,000 | 502,926,000 | ||||||||||
30 Year Mortgage | ||||||||||||||
Assets | ||||||||||||||
Estimated fair value | 1,790,219,000 | 1,694,238,000 | 1,790,219,000 | 1,694,238,000 | ||||||||||
Agency RMBS Interest Only Strips | ||||||||||||||
Assets | ||||||||||||||
Estimated fair value | 188,506,000 | 162,909,000 | 188,506,000 | 162,909,000 | ||||||||||
Agency and Non-Agency Interest-Only Strips accounted for as derivatives | ||||||||||||||
Assets | ||||||||||||||
Estimated fair value | 88,229,000 | 109,235,000 | 88,229,000 | 109,235,000 | ||||||||||
Non-Agency RMBS | ||||||||||||||
Assets | ||||||||||||||
Estimated fair value | 596,917,000 | 324,033,000 | 596,917,000 | 324,033,000 | ||||||||||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | ||||||||||||||
Premium and discount amortization, net | 123,000 | -3,313,000 | 8,130,000 | |||||||||||
Agency and Non-Agency CMBS | ||||||||||||||
Assets | ||||||||||||||
Estimated fair value | 419,125,000 | 9,529,000 | 419,125,000 | 9,529,000 | ||||||||||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | ||||||||||||||
Premium and discount amortization, net | -435,000 | -106,000 | ||||||||||||
Non-Agency CMBS | ||||||||||||||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | ||||||||||||||
Other loss on Mortgage-backed securities and other securities | 0 | -228,000 | -8,000 | |||||||||||
Other securities | ||||||||||||||
Assets | ||||||||||||||
Estimated fair value | 108,926,000 | 26,685,000 | 108,926,000 | 26,685,000 | ||||||||||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | ||||||||||||||
Other loss on Mortgage-backed securities and other securities | 0 | -790,000 | 0 | |||||||||||
Premium and discount amortization, net | 857,000 | 152,000 | ||||||||||||
Mortgage-backed securities and other securities | ||||||||||||||
Assets | ||||||||||||||
Estimated fair value | 4,385,723,000 | 2,853,587,000 | 4,385,723,000 | 2,853,587,000 | ||||||||||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | ||||||||||||||
Premium and discount amortization, net | -26,785,000 | -60,011,000 | -52,144,000 | |||||||||||
Level I | ||||||||||||||
Assets | ||||||||||||||
Derivative assets | 451,000 | 451,000 | ||||||||||||
Total | 451,000 | 451,000 | ||||||||||||
Liabilities | ||||||||||||||
Fair value of liability | 1,191,000 | 1,191,000 | ||||||||||||
Total | 1,191,000 | 1,191,000 | ||||||||||||
Level II | ||||||||||||||
Assets | ||||||||||||||
Estimated fair value | 4,094,316,000 | 2,837,906,000 | 4,094,316,000 | 2,837,906,000 | ||||||||||
Derivative assets | 72,805,000 | 105,826,000 | 72,805,000 | 105,826,000 | ||||||||||
Total | 4,167,121,000 | 2,962,291,000 | 4,167,121,000 | 2,962,291,000 | ||||||||||
Liabilities | ||||||||||||||
Fair value of liability | 179,089,000 | 4,673,000 | 179,089,000 | 4,673,000 | ||||||||||
Total | 179,089,000 | 4,673,000 | 179,089,000 | 4,673,000 | ||||||||||
Level II | 20 Year Mortgage | ||||||||||||||
Assets | ||||||||||||||
Estimated fair value | 1,120,031,000 | 502,926,000 | 1,120,031,000 | 502,926,000 | ||||||||||
Level II | 30 Year Mortgage | ||||||||||||||
Assets | ||||||||||||||
Estimated fair value | 1,790,219,000 | 1,694,238,000 | 1,790,219,000 | 1,694,238,000 | ||||||||||
Level II | Agency RMBS Interest Only Strips | ||||||||||||||
Assets | ||||||||||||||
Estimated fair value | 188,506,000 | 162,909,000 | 188,506,000 | 162,909,000 | ||||||||||
Level II | Agency and Non-Agency Interest-Only Strips accounted for as derivatives | ||||||||||||||
Assets | ||||||||||||||
Estimated fair value | 83,773,000 | 109,235,000 | 83,773,000 | 109,235,000 | ||||||||||
Level II | Non-Agency RMBS | ||||||||||||||
Assets | ||||||||||||||
Estimated fair value | 490,093,000 | 325,371,000 | 490,093,000 | 325,371,000 | ||||||||||
Linked transactions | 18,559,000 | 18,559,000 | ||||||||||||
Level II | Agency and Non-Agency CMBS | ||||||||||||||
Assets | ||||||||||||||
Estimated fair value | 320,171,000 | 16,542,000 | 320,171,000 | 16,542,000 | ||||||||||
Level II | Other securities | ||||||||||||||
Assets | ||||||||||||||
Estimated fair value | 101,523,000 | 26,685,000 | 101,523,000 | 26,685,000 | ||||||||||
Level III | ||||||||||||||
Assets | ||||||||||||||
Estimated fair value | 298,627,000 | 15,681,000 | 298,627,000 | 15,681,000 | ||||||||||
Total | 319,254,000 | 15,681,000 | 319,254,000 | 15,681,000 | ||||||||||
Level III | Residential whole-loans | ||||||||||||||
Assets | ||||||||||||||
Estimated fair value | 7,220,000 | 7,220,000 | ||||||||||||
Level III | Agency and Non-Agency Interest-Only Strips accounted for as derivatives | ||||||||||||||
Assets | ||||||||||||||
Estimated fair value | 4,456,000 | 4,456,000 | ||||||||||||
Level III | Non-Agency RMBS | ||||||||||||||
Assets | ||||||||||||||
Estimated fair value | 176,479,000 | 6,152,000 | 176,479,000 | 6,152,000 | ||||||||||
Linked transactions | 1,596,000 | 1,596,000 | ||||||||||||
Level III | Agency and Non-Agency CMBS | ||||||||||||||
Assets | ||||||||||||||
Estimated fair value | 103,069,000 | 9,529,000 | 103,069,000 | 9,529,000 | ||||||||||
Level III | Non-Agency CMBS | ||||||||||||||
Assets | ||||||||||||||
Linked transactions | 16,152,000 | 16,152,000 | ||||||||||||
Level III | Other securities | ||||||||||||||
Assets | ||||||||||||||
Estimated fair value | 7,403,000 | 7,403,000 | ||||||||||||
Linked transactions | 2,879,000 | 2,879,000 | ||||||||||||
Level III | Recurring basis | Linked Transactions | ||||||||||||||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | ||||||||||||||
Transfers into Level III from Level II | 10,944,000 | |||||||||||||
Purchases | 10,008,000 | |||||||||||||
Realized gains/(losses), net | 130,000 | |||||||||||||
Other loss on Mortgage-backed securities and other securities | -2,000 | |||||||||||||
Unrealized gains/(losses), net | -483,000 | |||||||||||||
Premium and discount amortization, net | 30,000 | |||||||||||||
Ending balance | 20,627,000 | 20,627,000 | ||||||||||||
Level III | Recurring basis | Residential whole-loans | ||||||||||||||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | ||||||||||||||
Purchases | 7,161,000 | |||||||||||||
Principal repayments | 9,000 | |||||||||||||
Unrealized gains/(losses), net | 94,000 | |||||||||||||
Premium and discount amortization, net | -26,000 | |||||||||||||
Ending balance | 7,220,000 | 7,220,000 | ||||||||||||
Level III | Recurring basis | Mortgage-backed securities and other securities | ||||||||||||||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | ||||||||||||||
Beginning balance | 15,681,000 | 15,681,000 | ||||||||||||
Transfers into Level III from Level II | 118,174,000 | 9,529,000 | ||||||||||||
Transfers out level III into Level II | -10,732,000 | |||||||||||||
Purchases | 185,137,000 | 6,262,000 | ||||||||||||
Sales and settlements | -14,649,000 | |||||||||||||
Principal repayments | -2,283,000 | |||||||||||||
Realized gains/(losses), net | 184,000 | |||||||||||||
Other loss on Mortgage-backed securities and other securities | -996,000 | -14,000 | ||||||||||||
Unrealized gains/(losses), net | 9,051,000 | -101,000 | ||||||||||||
Premium and discount amortization, net | -8,160,000 | 5,000 | ||||||||||||
Ending balance | 291,407,000 | 15,681,000 | 291,407,000 | 15,681,000 | ||||||||||
Gross unrealized gains | 9,000,000 | 0 | ||||||||||||
Gross unrealized losses | 930,000 | 101,000 | ||||||||||||
Estimated Fair Value | ||||||||||||||
Assets | ||||||||||||||
Estimated fair value | 4,392,943,000 | 2,853,587,000 | 4,392,943,000 | 2,853,587,000 | ||||||||||
Derivative assets | 73,256,000 | 105,826,000 | 73,256,000 | 105,826,000 | ||||||||||
Total | 4,486,826,000 | 2,977,972,000 | 4,486,826,000 | 2,977,972,000 | ||||||||||
Liabilities | ||||||||||||||
Fair value of liability | 180,280,000 | 4,673,000 | 180,280,000 | 4,673,000 | ||||||||||
Total | 180,280,000 | 4,673,000 | 180,280,000 | 4,673,000 | ||||||||||
Estimated Fair Value | Residential whole-loans | ||||||||||||||
Assets | ||||||||||||||
Estimated fair value | 7,220,000 | 7,220,000 | ||||||||||||
Estimated Fair Value | 20 Year Mortgage | ||||||||||||||
Assets | ||||||||||||||
Estimated fair value | 1,120,031,000 | 502,926,000 | 1,120,031,000 | 502,926,000 | ||||||||||
Estimated Fair Value | 30 Year Mortgage | ||||||||||||||
Assets | ||||||||||||||
Estimated fair value | 1,790,219,000 | 1,694,238,000 | 1,790,219,000 | 1,694,238,000 | ||||||||||
Estimated Fair Value | Agency RMBS Interest Only Strips | ||||||||||||||
Assets | ||||||||||||||
Estimated fair value | 188,506,000 | 162,909,000 | 188,506,000 | 162,909,000 | ||||||||||
Estimated Fair Value | Agency and Non-Agency Interest-Only Strips accounted for as derivatives | ||||||||||||||
Assets | ||||||||||||||
Estimated fair value | 88,229,000 | 109,235,000 | 88,229,000 | 109,235,000 | ||||||||||
Estimated Fair Value | Non-Agency RMBS | ||||||||||||||
Assets | ||||||||||||||
Estimated fair value | 666,572,000 | 331,523,000 | 666,572,000 | 331,523,000 | ||||||||||
Linked transactions | 1,596,000 | 18,559,000 | 1,596,000 | 18,559,000 | ||||||||||
Estimated Fair Value | Agency and Non-Agency CMBS | ||||||||||||||
Assets | ||||||||||||||
Estimated fair value | 423,240,000 | 26,071,000 | 423,240,000 | 26,071,000 | ||||||||||
Estimated Fair Value | Non-Agency CMBS | ||||||||||||||
Assets | ||||||||||||||
Linked transactions | 16,152,000 | 16,152,000 | ||||||||||||
Estimated Fair Value | Other securities | ||||||||||||||
Assets | ||||||||||||||
Estimated fair value | 108,926,000 | 26,685,000 | 108,926,000 | 26,685,000 | ||||||||||
Linked transactions | $2,879,000 | $2,879,000 |
Fair_Value_of_Financial_Instru3
Fair Value of Financial Instruments (Details 2) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Financial Liabilities: | ||
Repurchase agreements | $3,875,721 | $2,579,067 |
Carrying Value | ||
Financial Liabilities: | ||
Repurchase agreements | 3,900,000 | |
Estimated Fair Value | ||
Financial Liabilities: | ||
Repurchase agreements | $3,900,000 |
MortgageBacked_Securities_and_2
Mortgage-Backed Securities and other securities (Details) (USD $) | 12 Months Ended | |
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 |
Mortgage-Backed Securities and other securities | ||
Estimated fair value | $4,385,723 | $2,853,587 |
Mortgage-backed securities and other securities | ||
Mortgage-Backed Securities and other securities | ||
Principal balance | 4,023,512 | 2,663,848 |
Unamortized Premium (Discount), net | 160,916 | 122,184 |
Discount Designated as Credit Reserve and OTTI | -182,007 | -79,898 |
Amortized Cost | 4,253,147 | 2,889,061 |
Unrealized Gain (Loss), net | 44,347 | -144,709 |
Estimated fair value | 4,385,723 | 2,853,587 |
Net Weighted Average Coupon (as a percent) | 4.00% | 3.60% |
Weighted average expected remaining term to the expected maturity of investment portfolio | 6 years 8 months 12 days | 8 years 6 months |
20 Year Mortgage | ||
Mortgage-Backed Securities and other securities | ||
Maturity period | 20 years | 20 years |
Principal balance | 1,054,864 | 504,023 |
Unamortized Premium (Discount), net | 56,616 | 28,498 |
Amortized Cost | 1,111,480 | 532,521 |
Unrealized Gain (Loss), net | 8,551 | -29,595 |
Estimated fair value | 1,120,031 | 502,926 |
Net Weighted Average Coupon (as a percent) | 3.60% | 3.20% |
30 Year Mortgage | ||
Mortgage-Backed Securities and other securities | ||
Maturity period | 30 years | 30 years |
Principal balance | 1,657,640 | 1,677,863 |
Unamortized Premium (Discount), net | 127,876 | 144,356 |
Amortized Cost | 1,785,516 | 1,822,219 |
Unrealized Gain (Loss), net | 4,703 | -127,981 |
Estimated fair value | 1,790,219 | 1,694,238 |
Net Weighted Average Coupon (as a percent) | 4.10% | 3.80% |
Agency RMBS Interest Only Strips | ||
Mortgage-Backed Securities and other securities | ||
Amortized Cost | 178,162 | 158,825 |
Unrealized Gain (Loss), net | 10,344 | 4,084 |
Estimated fair value | 188,506 | 162,909 |
Net Weighted Average Coupon (as a percent) | 4.00% | 4.40% |
Agency and Non-Agency Interest-Only Strips accounted for as derivatives | ||
Mortgage-Backed Securities and other securities | ||
Estimated fair value | 88,229 | 109,235 |
Net Weighted Average Coupon (as a percent) | 2.90% | 4.60% |
Non-Agency RMBS | ||
Mortgage-Backed Securities and other securities | ||
Principal balance | 759,068 | 446,473 |
Unamortized Premium (Discount), net | 6,941 | -49,334 |
Discount Designated as Credit Reserve and OTTI | -178,883 | -79,898 |
Amortized Cost | 587,126 | 317,241 |
Unrealized Gain (Loss), net | 9,791 | 6,792 |
Estimated fair value | 596,917 | 324,033 |
Net Weighted Average Coupon (as a percent) | 3.60% | 2.30% |
Non Agency RMBS Interest Only Strips | ||
Mortgage-Backed Securities and other securities | ||
Amortized Cost | 61,144 | 7,420 |
Unrealized Gain (Loss), net | 8,511 | 70 |
Estimated fair value | 69,655 | 7,490 |
Net Weighted Average Coupon (as a percent) | 6.10% | 5.20% |
Agency and Non-Agency CMBS | ||
Mortgage-Backed Securities and other securities | ||
Principal balance | 449,617 | 11,979 |
Unamortized Premium (Discount), net | -31,216 | -3,446 |
Discount Designated as Credit Reserve and OTTI | -3,124 | |
Amortized Cost | 415,277 | 8,533 |
Unrealized Gain (Loss), net | 3,848 | 996 |
Estimated fair value | 419,125 | 9,529 |
Net Weighted Average Coupon (as a percent) | 5.30% | 1.60% |
CMBS Interest Only Strips | ||
Mortgage-Backed Securities and other securities | ||
Amortized Cost | 16,682 | |
Unrealized Gain (Loss), net | -140 | |
Estimated fair value | 16,542 | |
Net Weighted Average Coupon (as a percent) | 4.70% | |
Agency CMBS Interest-Only Strips | ||
Mortgage-Backed Securities and other securities | ||
Amortized Cost | 4,017 | |
Unrealized Gain (Loss), net | 98 | |
Estimated fair value | 4,115 | 16,542 |
Net Weighted Average Coupon (as a percent) | 4.80% | |
Other securities | ||
Mortgage-Backed Securities and other securities | ||
Principal balance | 102,323 | 23,510 |
Unamortized Premium (Discount), net | 699 | 2,110 |
Amortized Cost | 110,425 | 25,620 |
Unrealized Gain (Loss), net | -1,499 | 1,065 |
Estimated fair value | 108,926 | 26,685 |
Net Weighted Average Coupon (as a percent) | 4.60% | 6.70% |
Residual interests in asset-backed securities | ||
Mortgage-Backed Securities and other securities | ||
Principal balance | 0 | |
Amortized Cost | $7,400 |
MortgageBacked_Securities_and_3
Mortgage-Backed Securities and other securities (Details 2) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Mortgage-Backed Securities and other securities | ||
Estimated fair value | $4,385,723 | $2,853,587 |
Mortgage-backed securities and other securities | ||
Mortgage-Backed Securities and other securities | ||
Principal balance | 4,023,512 | 2,663,848 |
Amortized cost of Interest-Only Strips and residual interests | 250,726 | 182,927 |
Carrying value of Agency and Non-Agency Interest-Only Strips accounted for as derivatives | 88,229 | 109,235 |
Unamortized premium | 218,561 | 183,324 |
Unamortized discount | -57,645 | -61,140 |
Balance at beginning of period | -182,007 | -79,898 |
Gross unrealized gains | 75,444 | 19,798 |
Gross unrealized losses | -31,097 | -164,507 |
Estimated fair value | $4,385,723 | $2,853,587 |
MortgageBacked_Securities_and_4
Mortgage-Backed Securities and other securities (Details 3) (USD $) | 2 Months Ended | 3 Months Ended | 8 Months Ended | 12 Months Ended | ||||||||||
In Thousands, unless otherwise specified | Jun. 30, 2012 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Dec. 31, 2012 | Dec. 31, 2014 | Dec. 31, 2013 |
Discount Designated as Credit Reserve and OTTI | ||||||||||||||
Net impairment losses recognized in earnings | ($87) | ($9,449) | ($2,857) | ($2,999) | ($1,709) | ($3,694) | ($2,363) | ($3,533) | ($2,268) | ($1,767) | ($1,352) | ($3,206) | ($17,014) | ($11,858) |
Non-Agency RMBS and Non-Agency CMBS and other securities | ||||||||||||||
Discount Designated as Credit Reserve and OTTI | ||||||||||||||
Balance at beginning of period | -79,898 | -12,659 | -79,898 | -12,659 | ||||||||||
Realized credit losses | 5,175 | 541 | ||||||||||||
Purchases | -12,659 | -163,082 | -133,242 | |||||||||||
Sales | 46,848 | 81,144 | ||||||||||||
Net impairment losses recognized in earnings | -11,959 | -550 | ||||||||||||
Unlinking of Linked Transactions | -13,889 | -21,986 | ||||||||||||
Transfers/release of credit reserve | 34,798 | 6,854 | ||||||||||||
Balance at end of period | -182,007 | -79,898 | -12,659 | -12,659 | -182,007 | -79,898 | ||||||||
Accretable Discount | ||||||||||||||
Balance at beginning of period | -71,295 | -5,523 | -71,295 | -5,523 | ||||||||||
Accretion of discount | 123 | 17,174 | 10,722 | |||||||||||
Purchases | -5,634 | -117,396 | -89,697 | |||||||||||
Sales | 73,345 | 34,894 | ||||||||||||
Unlinking of Linked Transactions | -297 | -6,922 | ||||||||||||
Transfers/release of credit reserve | -12 | -7,335 | -11,323 | |||||||||||
Balance at end of period | -105,804 | -71,295 | -5,523 | -5,523 | -105,804 | -71,295 | ||||||||
Balance at end of period - excluding NonAgency CMBS | -67,849 | -67,849 | ||||||||||||
Amortizable Premium | ||||||||||||||
Balance at beginning of period | 20,625 | 12 | 20,625 | 12 | ||||||||||
Amortization of premium | -9,135 | -2,001 | ||||||||||||
Purchases | 92,667 | 35,416 | ||||||||||||
Sales | -26,598 | -20,709 | ||||||||||||
Unlinking of Linked Transactions | 32,132 | 3,438 | ||||||||||||
Transfers/release of credit reserve | 12 | -27,463 | 4,469 | |||||||||||
Balance at end of period | $82,228 | $20,625 | $12 | $12 | $82,228 | $20,625 |
MortgageBacked_Securities_and_5
Mortgage-Backed Securities and other securities (Details 4) (USD $) | 12 Months Ended | |
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 |
Mortgage-Backed Securities and other securities | ||
Estimated fair value | $4,385,723 | $2,853,587 |
Mortgage-backed securities and other securities | ||
Mortgage-Backed Securities and other securities | ||
Estimated fair value | 4,385,723 | 2,853,587 |
Mortgage-backed securities and other securities | Less than or equal to 10 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated fair value | 112,551 | 26,685 |
Mortgage-backed securities and other securities | More than 10 years and less than or equal to 20 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated fair value | 1,268,896 | 613,680 |
Mortgage-backed securities and other securities | More than 20 years and less than or equal to 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated fair value | 2,321,721 | 2,053,168 |
Mortgage-backed securities and other securities | More than 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated fair value | 682,555 | 160,054 |
20 Year Mortgage | ||
Mortgage-Backed Securities and other securities | ||
Estimated fair value | 1,120,031 | 502,926 |
Maturity period | 20 years | 20 years |
20 Year Mortgage | More than 10 years and less than or equal to 20 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated fair value | 1,120,031 | 502,926 |
30 Year Mortgage | ||
Mortgage-Backed Securities and other securities | ||
Estimated fair value | 1,790,219 | 1,694,238 |
Maturity period | 30 years | 30 years |
30 Year Mortgage | More than 20 years and less than or equal to 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated fair value | 1,790,219 | 1,694,238 |
Agency RMBS Interest Only Strips | ||
Mortgage-Backed Securities and other securities | ||
Estimated fair value | 188,506 | 162,909 |
Agency RMBS Interest Only Strips | More than 10 years and less than or equal to 20 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated fair value | 52,975 | 61,139 |
Agency RMBS Interest Only Strips | More than 20 years and less than or equal to 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated fair value | 135,531 | 101,770 |
Agency and Non-Agency Interest-Only Strips accounted for as derivatives | ||
Mortgage-Backed Securities and other securities | ||
Estimated fair value | 88,229 | 109,235 |
Agency and Non-Agency Interest-Only Strips accounted for as derivatives | More than 10 years and less than or equal to 20 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated fair value | 17,123 | 22,525 |
Agency and Non-Agency Interest-Only Strips accounted for as derivatives | More than 20 years and less than or equal to 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated fair value | 53,452 | 86,710 |
Agency and Non-Agency Interest-Only Strips accounted for as derivatives | More than 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated fair value | 17,654 | |
Non-Agency RMBS | ||
Mortgage-Backed Securities and other securities | ||
Estimated fair value | 596,917 | 324,033 |
Non-Agency RMBS | Less than or equal to 10 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated fair value | 22 | |
Non-Agency RMBS | More than 10 years and less than or equal to 20 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated fair value | 26,632 | 27,090 |
Non-Agency RMBS | More than 20 years and less than or equal to 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated fair value | 193,852 | 154,763 |
Non-Agency RMBS | More than 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated fair value | 376,411 | 142,180 |
Non Agency RMBS Interest Only Strips | ||
Mortgage-Backed Securities and other securities | ||
Estimated fair value | 69,655 | 7,490 |
Non Agency RMBS Interest Only Strips | More than 20 years and less than or equal to 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated fair value | 30,217 | 6,158 |
Non Agency RMBS Interest Only Strips | More than 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated fair value | 39,438 | 1,332 |
Agency and Non-Agency CMBS | ||
Mortgage-Backed Securities and other securities | ||
Estimated fair value | 419,125 | 9,529 |
Agency and Non-Agency CMBS | Less than or equal to 10 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated fair value | 43,286 | |
Agency and Non-Agency CMBS | More than 10 years and less than or equal to 20 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated fair value | 52,135 | |
Agency and Non-Agency CMBS | More than 20 years and less than or equal to 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated fair value | 82,055 | 9,529 |
Agency and Non-Agency CMBS | More than 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated fair value | 241,649 | |
Agency CMBS Interest-Only Strips | ||
Mortgage-Backed Securities and other securities | ||
Estimated fair value | 4,115 | 16,542 |
Agency CMBS Interest-Only Strips | Less than or equal to 10 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated fair value | 4,115 | |
Agency CMBS Interest-Only Strips | More than 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated fair value | 16,542 | |
Other securities | ||
Mortgage-Backed Securities and other securities | ||
Estimated fair value | 108,926 | 26,685 |
Other securities | Less than or equal to 10 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated fair value | 65,128 | 26,685 |
Other securities | More than 20 years and less than or equal to 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated fair value | 36,395 | |
Other securities | More than 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated fair value | $7,403 |
MortgageBacked_Securities_and_6
Mortgage-Backed Securities and other securities (Details 4) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | item | item |
Fair Value | ||
Fair value - Less than 12 months | $378,194 | $1,829,871 |
12 Months or More Fair Value | 1,316,333 | 546,758 |
Total Fair Value | 1,694,527 | 2,376,629 |
Unrealized Losses | ||
Less than 12 Months Unrealized Losses | -7,164 | -123,050 |
12 Months or More Unrealized Losses | -23,933 | -41,457 |
Total Unrealized Losses | -31,097 | -164,507 |
Number of Securities | ||
Less than 12 Months Number of Securities | 78 | 243 |
12 Months or More Number of Securities | 182 | 34 |
Total Number of Securities | 260 | 277 |
20 Year Mortgage | ||
Fair Value | ||
Fair value - Less than 12 months | 1,475 | 395,979 |
12 Months or More Fair Value | 422,287 | 106,947 |
Total Fair Value | 423,762 | 502,926 |
Unrealized Losses | ||
Less than 12 Months Unrealized Losses | -10 | -21,466 |
12 Months or More Unrealized Losses | -5,426 | -8,129 |
Total Unrealized Losses | -5,436 | -29,595 |
Number of Securities | ||
Less than 12 Months Number of Securities | 1 | 52 |
12 Months or More Number of Securities | 54 | 8 |
Total Number of Securities | 55 | 60 |
30 Year Mortgage | ||
Fair Value | ||
Fair value - Less than 12 months | 2,893 | 1,242,871 |
12 Months or More Fair Value | 882,482 | 439,811 |
Total Fair Value | 885,375 | 1,682,682 |
Unrealized Losses | ||
Less than 12 Months Unrealized Losses | -93 | -94,688 |
12 Months or More Unrealized Losses | -18,358 | -33,328 |
Total Unrealized Losses | -18,451 | -128,016 |
Number of Securities | ||
Less than 12 Months Number of Securities | 5 | 151 |
12 Months or More Number of Securities | 126 | 26 |
Total Number of Securities | 131 | 177 |
Agency RMBS Interest Only Strips | ||
Fair Value | ||
Fair value - Less than 12 months | 20,756 | 69,773 |
Total Fair Value | 20,756 | 69,773 |
Unrealized Losses | ||
Less than 12 Months Unrealized Losses | -587 | -4,210 |
Total Unrealized Losses | -587 | -4,210 |
Number of Securities | ||
Less than 12 Months Number of Securities | 11 | 19 |
Total Number of Securities | 11 | 19 |
Non-Agency RMBS | ||
Fair Value | ||
Fair value - Less than 12 months | 112,505 | 98,437 |
12 Months or More Fair Value | 11,564 | |
Total Fair Value | 124,069 | 98,437 |
Unrealized Losses | ||
Less than 12 Months Unrealized Losses | -1,090 | -2,490 |
12 Months or More Unrealized Losses | -149 | |
Total Unrealized Losses | -1,239 | -2,490 |
Number of Securities | ||
Less than 12 Months Number of Securities | 20 | 16 |
12 Months or More Number of Securities | 2 | |
Total Number of Securities | 22 | 16 |
Non Agency RMBS Interest Only Strips | ||
Fair Value | ||
Fair value - Less than 12 months | 5,081 | |
Total Fair Value | 5,081 | |
Unrealized Losses | ||
Less than 12 Months Unrealized Losses | -411 | |
Total Unrealized Losses | -411 | |
Number of Securities | ||
Less than 12 Months Number of Securities | 1 | |
Total Number of Securities | 1 | |
Agency and Non-Agency CMBS | ||
Fair Value | ||
Fair value - Less than 12 months | 173,139 | 16,542 |
Total Fair Value | 173,139 | 16,542 |
Unrealized Losses | ||
Less than 12 Months Unrealized Losses | -1,716 | -140 |
Total Unrealized Losses | -1,716 | -140 |
Number of Securities | ||
Less than 12 Months Number of Securities | 34 | 3 |
Total Number of Securities | 34 | 3 |
Other securities | ||
Fair Value | ||
Fair value - Less than 12 months | 62,345 | 6,269 |
Total Fair Value | 62,345 | 6,269 |
Unrealized Losses | ||
Less than 12 Months Unrealized Losses | -3,257 | -56 |
Total Unrealized Losses | ($3,257) | ($56) |
Number of Securities | ||
Less than 12 Months Number of Securities | 6 | 2 |
Total Number of Securities | 6 | 2 |
MortgageBacked_Securities_and_7
Mortgage-Backed Securities and other securities (Details 5) (USD $) | 2 Months Ended | 3 Months Ended | 8 Months Ended | 12 Months Ended | ||||||||||
In Thousands, unless otherwise specified | Jun. 30, 2012 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Dec. 31, 2012 | Dec. 31, 2014 | Dec. 31, 2013 |
Mortgage-Backed Securities and other securities | ||||||||||||||
Other loss on Mortgage-backed securities and other securities | $87 | $9,449 | $2,857 | $2,999 | $1,709 | $3,694 | $2,363 | $3,533 | $2,268 | $1,767 | $1,352 | $3,206 | $17,014 | $11,858 |
Estimated fair value | 4,385,723 | 2,853,587 | 4,385,723 | 2,853,587 | ||||||||||
Components of interest income | ||||||||||||||
Net (Premium Amortization/Amortization Basis) Discount Amortization | -16,725 | -10,257 | -21,053 | |||||||||||
Interest Income | 7,083 | 40,358 | 40,718 | 44,604 | 23,430 | 28,182 | 30,654 | 32,742 | 33,750 | 33,248 | 12,987 | 53,318 | 149,110 | 125,328 |
Residential whole-loans | ||||||||||||||
Components of interest income | ||||||||||||||
Coupon Interest | 57 | |||||||||||||
Net (Premium Amortization/Amortization Basis) Discount Amortization | -25 | |||||||||||||
Interest Income | 32 | |||||||||||||
Mortgage-backed securities and other securities | ||||||||||||||
Mortgage-Backed Securities and other securities | ||||||||||||||
Estimated fair value | 4,385,723 | 2,853,587 | 4,385,723 | 2,853,587 | ||||||||||
Components of interest income | ||||||||||||||
Coupon Interest | 80,103 | 209,089 | 177,472 | |||||||||||
Net (Premium Amortization/Amortization Basis) Discount Amortization | -26,785 | -60,011 | -52,144 | |||||||||||
Interest Income | 53,318 | 149,078 | 125,328 | |||||||||||
Mortgage Backed Securities Agency IOs and Agency IIOs and 20 Years Agency RMBS [Member] | ||||||||||||||
Mortgage-Backed Securities and other securities | ||||||||||||||
Other loss on Mortgage-backed securities and other securities | 3,200 | 4,700 | 11,300 | |||||||||||
Non-Agency MBS | ||||||||||||||
Mortgage-Backed Securities and other securities | ||||||||||||||
Other loss on Mortgage-backed securities and other securities | 0 | 11,300 | 550 | |||||||||||
Agency RMBS | ||||||||||||||
Components of interest income | ||||||||||||||
Coupon Interest | 80,093 | 152,967 | 172,171 | |||||||||||
Net (Premium Amortization/Amortization Basis) Discount Amortization | -26,908 | -57,120 | -60,320 | |||||||||||
Interest Income | 53,185 | 95,847 | 111,851 | |||||||||||
Non-Agency RMBS | ||||||||||||||
Mortgage-Backed Securities and other securities | ||||||||||||||
Estimated fair value | 596,917 | 324,033 | 596,917 | 324,033 | ||||||||||
Components of interest income | ||||||||||||||
Coupon Interest | 10 | 36,370 | 4,170 | |||||||||||
Net (Premium Amortization/Amortization Basis) Discount Amortization | 123 | -3,313 | 8,130 | |||||||||||
Interest Income | 133 | 33,057 | 12,300 | |||||||||||
Non-Agency RMBS inverse floaters | ||||||||||||||
Mortgage-Backed Securities and other securities | ||||||||||||||
Estimated fair value | 93,900 | 22,700 | 93,900 | 22,700 | ||||||||||
Agency and Non-Agency CMBS | ||||||||||||||
Mortgage-Backed Securities and other securities | ||||||||||||||
Estimated fair value | 419,125 | 9,529 | 419,125 | 9,529 | ||||||||||
Components of interest income | ||||||||||||||
Coupon Interest | 15,894 | 544 | ||||||||||||
Net (Premium Amortization/Amortization Basis) Discount Amortization | -435 | -106 | ||||||||||||
Interest Income | 15,459 | 438 | ||||||||||||
Non-Agency CMBS | ||||||||||||||
Mortgage-Backed Securities and other securities | ||||||||||||||
Other loss on Mortgage-backed securities and other securities | 0 | 228 | 8 | |||||||||||
Other securities | ||||||||||||||
Mortgage-Backed Securities and other securities | ||||||||||||||
Other loss on Mortgage-backed securities and other securities | 0 | 790 | 0 | |||||||||||
Estimated fair value | 108,926 | 26,685 | 108,926 | 26,685 | ||||||||||
Components of interest income | ||||||||||||||
Coupon Interest | 3,858 | 587 | ||||||||||||
Net (Premium Amortization/Amortization Basis) Discount Amortization | 857 | 152 | ||||||||||||
Interest Income | $4,715 | $739 |
MortgageBacked_Securities_and_8
Mortgage-Backed Securities and other securities (Details 6) (USD $) | 2 Months Ended | 3 Months Ended | 8 Months Ended | 12 Months Ended | ||||||||||
In Thousands, unless otherwise specified | Jun. 30, 2012 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Dec. 31, 2012 | Dec. 31, 2014 | Dec. 31, 2013 |
Mortgage-Backed Securities and other securities | ||||||||||||||
Net Gain (Loss) | $1,157 | $472 | $4,912 | ($11,278) | $3,716 | ($46,827) | ($46,142) | ($6,083) | ($11,660) | $12,962 | $6,635 | $20,754 | ($2,178) | ($110,712) |
Mortgage-backed securities and other securities | ||||||||||||||
Mortgage-Backed Securities and other securities | ||||||||||||||
Proceeds | 2,490,326 | 2,375,264 | 3,620,488 | |||||||||||
Gross Gains | 23,368 | 39,018 | 15,792 | |||||||||||
Gross Losses | -3,434 | -41,949 | -127,628 | |||||||||||
Net Gain (Loss) | 19,934 | -2,931 | -111,836 | |||||||||||
Agency RMBS | ||||||||||||||
Mortgage-Backed Securities and other securities | ||||||||||||||
Proceeds | 2,389,472 | 1,608,541 | 3,491,805 | |||||||||||
Gross Gains | 23,169 | 11,573 | 8,646 | |||||||||||
Gross Losses | -3,434 | -40,934 | -127,252 | |||||||||||
Net Gain (Loss) | 19,735 | -29,361 | -118,606 | |||||||||||
Agency RMBS | Agency interest only strips accounted for as derivatives | ||||||||||||||
Mortgage-Backed Securities and other securities | ||||||||||||||
Proceeds | 18,500 | 34,200 | 20,400 | |||||||||||
Gross Gains | 439 | |||||||||||||
Gross Losses | -820 | -1,600 | -1,100 | |||||||||||
Non-Agency RMBS | ||||||||||||||
Mortgage-Backed Securities and other securities | ||||||||||||||
Proceeds | 414,130 | 114,322 | ||||||||||||
Gross Gains | 20,290 | 5,883 | ||||||||||||
Gross Losses | -993 | -376 | ||||||||||||
Net Gain (Loss) | 19,297 | 5,507 | ||||||||||||
Agency and Non-Agency CMBS | ||||||||||||||
Mortgage-Backed Securities and other securities | ||||||||||||||
Proceeds | 172,208 | |||||||||||||
Gross Gains | 2,396 | |||||||||||||
Gross Losses | -22 | |||||||||||||
Net Gain (Loss) | 2,374 | |||||||||||||
Agency CMBS | Agency interest only strips accounted for as derivatives | ||||||||||||||
Mortgage-Backed Securities and other securities | ||||||||||||||
Proceeds | 3,700 | |||||||||||||
Gross Gains | 389 | |||||||||||||
Gross Losses | 0 | |||||||||||||
Other securities | ||||||||||||||
Mortgage-Backed Securities and other securities | ||||||||||||||
Proceeds | 100,854 | 180,385 | 14,361 | |||||||||||
Gross Gains | 199 | 4,759 | 1,263 | |||||||||||
Net Gain (Loss) | $199 | $4,759 | $1,263 |
Variable_Interest_Entities_Det
Variable Interest Entities (Details) (USD $) | 12 Months Ended | |
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 |
Variable Interest Entities | ||
Residential whole-loans, at fair value | $7,220 | |
Accrued interest receivable | 27,309 | 12,266 |
Total assets | 4,909,277 | 3,094,877 |
Accounts payable and accrued expenses | 1,794 | 1,353 |
Total Liabilities | 4,286,065 | 2,684,783 |
VIE | ||
Variable Interest Entities | ||
Residential whole-loans, at fair value | 7,220 | |
Accrued interest receivable | 40 | |
Total assets | 7,260 | |
Accounts payable and accrued expenses | 153 | |
Total Liabilities | 153 | |
VIE | State Concentration | Principal balance | ||
Variable Interest Entities | ||
Principal balance | 7,034 | |
State Concentration | 100.00% | |
VIE | California | State Concentration | Principal balance | ||
Variable Interest Entities | ||
Principal balance | 4,085 | |
State Concentration | 58.10% | |
VIE | Florida | State Concentration | Principal balance | ||
Variable Interest Entities | ||
Principal balance | 1,675 | |
State Concentration | 23.80% | |
VIE | West Virginia | State Concentration | Principal balance | ||
Variable Interest Entities | ||
Principal balance | 649 | |
State Concentration | 9.20% | |
VIE | New Jersey | State Concentration | Principal balance | ||
Variable Interest Entities | ||
Principal balance | 327 | |
State Concentration | 4.70% | |
VIE | Virginia | State Concentration | Principal balance | ||
Variable Interest Entities | ||
Principal balance | 149 | |
State Concentration | 2.10% | |
VIE | Pennsylvania | State Concentration | Principal balance | ||
Variable Interest Entities | ||
Principal balance | 149 | |
State Concentration | 2.10% | |
VIE | Residential whole-loans | ||
Variable Interest Entities | ||
Principal balance | 7,034 | |
Unamortized premium | 111 | |
Unamortized discount | -18 | |
Gross unrealized gains | 94 | |
Gross unrealized losses | -1 | |
Fair value | 7,220 | |
Number of Loans | 19 | |
Principal balance | 7,034 | |
Weighted Average Loan to Value | 67.70% | |
Weighted Average FICO Score | 728 | |
Weighted Average Life to Maturity (years) | 3 years 10 months 24 days | |
Weighted Average Coupon Rate | 5.70% | |
VIE | 4.01- 5.00% | ||
Variable Interest Entities | ||
Current Coupon Rate, low end | 4.01% | |
Current Coupon Rate, high end | 5.00% | |
Number of Loans | 5 | |
Principal balance | 3,387 | |
Weighted Average Loan to Value | 63.80% | |
Weighted Average FICO Score | 744 | |
Weighted Average Life to Maturity (years) | 4 years 2 months 12 days | |
Weighted Average Coupon Rate | 4.80% | |
VIE | 5.01- 6.00% | ||
Variable Interest Entities | ||
Current Coupon Rate, low end | 5.01% | |
Current Coupon Rate, high end | 6.00% | |
Number of Loans | 3 | |
Principal balance | 1,001 | |
Weighted Average Loan to Value | 74.00% | |
Weighted Average FICO Score | 742 | |
Weighted Average Life to Maturity (years) | 3 years | |
Weighted Average Coupon Rate | 5.80% | |
VIE | 6.01- 7.00% | ||
Variable Interest Entities | ||
Current Coupon Rate, low end | 6.01% | |
Current Coupon Rate, high end | 7.00% | |
Number of Loans | 7 | |
Principal balance | 2,044 | |
Weighted Average Loan to Value | 70.60% | |
Weighted Average FICO Score | 713 | |
Weighted Average Life to Maturity (years) | 4 years 1 month 6 days | |
Weighted Average Coupon Rate | 6.60% | |
VIE | 7.01- 8.00% | ||
Variable Interest Entities | ||
Current Coupon Rate, low end | 7.01% | |
Current Coupon Rate, high end | 8.00% | |
Number of Loans | 3 | |
Principal balance | 381 | |
Weighted Average Loan to Value | 66.60% | |
Weighted Average FICO Score | 669 | |
Weighted Average Life to Maturity (years) | 4 years 4 months 24 days | |
Weighted Average Coupon Rate | 7.30% | |
VIE | 8.01- 9.00% | ||
Variable Interest Entities | ||
Current Coupon Rate, low end | 8.01% | |
Current Coupon Rate, high end | 9.00% | |
Number of Loans | 1 | |
Principal balance | $221 | |
Weighted Average Loan to Value | 75.00% | |
Weighted Average FICO Score | 665 | |
Weighted Average Life to Maturity (years) | 2 years 1 month 6 days | |
Weighted Average Coupon Rate | 8.50% |
Borrowings_under_Repurchase_Ag2
Borrowings under Repurchase Agreements (Details) (USD $) | 12 Months Ended | |
Dec. 31, 2014 | Dec. 31, 2013 | |
item | ||
Borrowings Under Repurchase Agreements | ||
Number of counterparties to master repurchase agreement | 24 | |
Number of counterparties from whom the Company had borrowings | 21 | |
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $3,875,721,000 | $2,579,067,000 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent) | 0.66% | 0.55% |
Weighted Average Remaining Maturity (days) | 34 days | 24 days |
Accrued interest payable | 17,573,000 | 12,534,000 |
Repurchase agreements | ||
Certain characteristics of the Company's repurchase agreements | ||
Average borrowings under repurchase agreements | 3,700,000,000 | 3,800,000,000 |
Maximum balance | 4,200,000,000 | 4,800,000,000 |
Accrued interest payable | 3,400,000 | 1,700,000 |
Repurchase agreements | Agency RMBS | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | 2,994,351,000 | 2,331,276,000 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent) | 0.40% | 0.43% |
Weighted Average Remaining Maturity (days) | 32 days | 24 days |
Amount of secured collateral | 3,158,544,000 | 2,463,347,000 |
Repurchase agreements | Non-Agency RMBS | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | 473,942,000 | 208,923,000 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent) | 1.54% | 1.71% |
Weighted Average Remaining Maturity (days) | 49 days | 14 days |
Amount of secured collateral | 670,526,000 | 305,318,000 |
Repurchase agreements | Agency and Non-Agency CMBS | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | 325,864,000 | 17,544,000 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent) | 1.55% | 1.33% |
Weighted Average Remaining Maturity (days) | 29 days | 58 days |
Amount of secured collateral | 431,938,000 | 23,597,000 |
Repurchase agreements | Other securities | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | 81,564,000 | 21,324,000 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent) | 1.55% | 1.68% |
Weighted Average Remaining Maturity (days) | 34 days | 52 days |
Amount of secured collateral | 108,743,000 | 26,685,000 |
Repurchase agreements | Rehypothecated securities | ||
Certain characteristics of the Company's repurchase agreements | ||
Maximum balance | 3,300,000 | 130,700,000 |
Repurchase agreements | Minimum | ||
Certain characteristics of the Company's repurchase agreements | ||
Term of repurchase agreements | 1 month | |
Repurchase agreements | Maximum | ||
Certain characteristics of the Company's repurchase agreements | ||
Term of repurchase agreements | 3 months | |
Repurchase agreements entered at balance sheet date and with subsequent settlement | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | 69,200,000 | |
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent) | 1.35% | |
Weighted Average Remaining Maturity (days) | 67 days | |
Amount of secured collateral | 104,000,000 | |
Existing counterparty with intention to exit the repurchase market | Repurchase agreements | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | 52,300,000 | |
Residential whole-loans | Repurchase agreements | VIE | Other securities | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $4,900,000 |
Borrowings_under_Repurchase_Ag3
Borrowings under Repurchase Agreements (Details 2) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Certain characteristics of the Company's repurchase agreements | ||
Total | $3,875,721 | $2,579,067 |
Linked Transactions | ||
Certain characteristics of the Company's repurchase agreements | ||
Total | 31,900 | 61,200 |
Overnight | ||
Certain characteristics of the Company's repurchase agreements | ||
Total | 323,025 | |
1 to 29 days | ||
Certain characteristics of the Company's repurchase agreements | ||
Total | 2,034,282 | 1,393,356 |
30 to 59 days | ||
Certain characteristics of the Company's repurchase agreements | ||
Total | 1,302,439 | 799,391 |
60 to 89 days | ||
Certain characteristics of the Company's repurchase agreements | ||
Total | 484,109 | 63,295 |
90 to 119 days | ||
Certain characteristics of the Company's repurchase agreements | ||
Total | 40,127 | |
Greater than or equal to 120 days | ||
Certain characteristics of the Company's repurchase agreements | ||
Total | $14,764 |
Borrowings_under_Repurchase_Ag4
Borrowings under Repurchase Agreements (Details 3) (USD $) | 12 Months Ended |
In Thousands, unless otherwise specified | Dec. 31, 2014 |
Royal Bank of Canada | |
Amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty | |
Amount Collateral at Risk, at fair value | $100,906 |
Weighted Average Remaining Maturity | 55 days |
Percentage of Stockholders' Equity (as a percent) | 16.20% |
Credit Suisse Securities (USA) LLC | |
Amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty | |
Amount Collateral at Risk, at fair value | $86,009 |
Weighted Average Remaining Maturity | 25 days |
Percentage of Stockholders' Equity (as a percent) | 13.80% |
Collateral_Positions_Details
Collateral Positions (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Collateral Positions | ||
Assets Pledged- Fair Value | $4,554,508 | $2,874,381 |
Cash collateral for derivatives | 159,000 | 22,800 |
Accrued interest | 16,457 | 11,055 |
Fair Value of Assets Pledged and Accrued Interest | 4,570,925 | 2,885,436 |
Cash collateral held by counterparties | 184,757 | 55,434 |
Cash posted by counterparties | 12,180 | 65,861 |
Securities received as collateral | 530 | 0 |
Mortgage-backed securities and other securities | Repurchase agreements | ||
Collateral Positions | ||
MBS pledged for borrowings under repurchase agreements | 4,400,000 | 2,800,000 |
Agency RMBS | Repurchase agreements | ||
Collateral Positions | ||
MBS pledged for borrowings under repurchase agreements | 3,158,544 | 2,463,347 |
Accrued interest | 12,685 | 10,453 |
Fair Value of Assets Pledged and Accrued Interest | 3,171,229 | 2,473,800 |
Non-Agency RMBS | Repurchase agreements | ||
Collateral Positions | ||
MBS pledged for borrowings under repurchase agreements | 670,526 | 305,318 |
Accrued interest | 1,511 | 417 |
Fair Value of Assets Pledged and Accrued Interest | 672,037 | 305,735 |
Agency and Non-Agency CMBS | Repurchase agreements | ||
Collateral Positions | ||
MBS pledged for borrowings under repurchase agreements | 431,938 | 23,597 |
Accrued interest | 2,077 | 159 |
Fair Value of Assets Pledged and Accrued Interest | 434,015 | 23,756 |
Other securities | Repurchase agreements | ||
Collateral Positions | ||
MBS pledged for borrowings under repurchase agreements | 108,743 | 26,685 |
Accrued interest | 184 | 26 |
Fair Value of Assets Pledged and Accrued Interest | 108,887 | 26,711 |
Cash | Derivative [Member] | ||
Collateral Positions | ||
Cash collateral for derivatives | 159,030 | 22,837 |
Fair Value of Assets Pledged and Accrued Interest | 159,030 | 22,837 |
Cash | Repurchase agreements | ||
Collateral Positions | ||
Assets Pledged- Fair Value | 25,727 | 32,597 |
Fair Value of Assets Pledged and Accrued Interest | 25,727 | 32,597 |
Residential whole-loans | Other securities | Repurchase agreements | VIE | ||
Collateral Positions | ||
Assets Pledged- Fair Value | $7,200 |
Derivative_Instruments_Details
Derivative Instruments (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Estimated Fair Value | ||
Estimated Fair value, assets | $73,256 | $105,826 |
Estimated Fair value, liabilities | -180,280 | -4,673 |
Linked transactions, net, at fair value | 20,627 | 18,559 |
Accrued Interest Payable | ||
Total derivative instruments | 17,573 | 12,534 |
Derivative instruments not accounted as hedges under GAAP | ||
Notional Amount | ||
Linked transactions | 54,117 | 56,028 |
Estimated Fair Value | ||
Estimated Fair value, assets | 73,256 | 105,826 |
Estimated Fair value, liabilities | -180,280 | -4,673 |
Linked transactions, net, at fair value | 20,627 | 18,559 |
Total derivative instruments | -86,397 | 119,712 |
Accrued Interest Payable | ||
Accrued Interest, assets | -6,718 | 9,994 |
Accrued Interest, liabilities | 11,490 | -26 |
Linked transactions, accrued interest payable | -400 | -207 |
Total derivative instruments | 4,372 | 9,761 |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | ||
Notional Amount | ||
Notional Amount, assets | 3,283,100 | 2,135,950 |
Notional Amount, liabilities | 4,648,870 | 678,900 |
Estimated Fair Value | ||
Estimated Fair value, assets | 51,170 | 94,614 |
Estimated Fair value, liabilities | -166,288 | -3,202 |
Accrued Interest Payable | ||
Accrued Interest, assets | -6,718 | 9,994 |
Accrued Interest, liabilities | 11,490 | -26 |
Interest rate swaption | Derivative instruments not accounted as hedges under GAAP | ||
Notional Amount | ||
Notional Amount, assets | 105,000 | 2,200,000 |
Notional Amount, liabilities | 100,000 | |
Estimated Fair Value | ||
Estimated Fair value, assets | 178 | 11,177 |
Estimated Fair value, liabilities | -264 | |
Futures contracts | Derivative instruments not accounted as hedges under GAAP | ||
Notional Amount | ||
Notional Amount, assets | 592,000 | |
Notional Amount, liabilities | 592,000 | |
Estimated Fair Value | ||
Estimated Fair value, assets | 451 | |
Estimated Fair value, liabilities | -1,191 | |
Foreign currency swaps | Derivative instruments not accounted as hedges under GAAP | ||
Notional Amount | ||
Notional Amount, assets | 25,160 | |
Estimated Fair Value | ||
Estimated Fair value, assets | 3,857 | |
Foreign currency forwards | Derivative instruments not accounted as hedges under GAAP | ||
Notional Amount | ||
Notional Amount, assets | 23,822 | |
Notional Amount, liabilities | 33,560 | |
Estimated Fair Value | ||
Estimated Fair value, assets | 143 | |
Estimated Fair value, liabilities | -446 | |
TBAs | Derivative instruments not accounted as hedges under GAAP | ||
Notional Amount | ||
Notional Amount, assets | 2,915,000 | 13,600 |
Notional Amount, liabilities | 2,590,000 | 176,400 |
Estimated Fair Value | ||
Estimated Fair value, assets | 17,457 | 35 |
Estimated Fair value, liabilities | -12,355 | -1,207 |
Total derivative instruments | $5,102 | ($1,172) |
Derivative_Instruments_Details1
Derivative Instruments (Details 2) (USD $) | 12 Months Ended | |
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 |
Interest rate swaps and interest rate swaptions | ||
Fair value of assets | $73,256 | $105,826 |
Fair value of liability | 180,280 | 4,673 |
Derivative instruments not accounted as hedges under GAAP | ||
Interest rate swaps and interest rate swaptions | ||
Fair Value - Asset (Liability), net | -86,397 | 119,712 |
Fair value of assets | 73,256 | 105,826 |
Fair value of liability | 180,280 | 4,673 |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | ||
Interest rate swaps and interest rate swaptions | ||
Fair value of assets | 51,170 | 94,614 |
Fair value of liability | 166,288 | 3,202 |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Fixed Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | 5,768,370 | 2,687,850 |
Fair Value - Asset (Liability), net | -162,393 | 93,130 |
Average Fixed Pay Rate (as a percent) | 2.00% | 1.90% |
Average Maturity | 6 years 2 months 12 days | 8 years |
Forward Starting (as a percent) | 40.90% | 18.30% |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Variable Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | 2,163,600 | 127,000 |
Fair Value - Asset (Liability), net | 47,275 | -1,718 |
Average Variable Pay Rate | 0.20% | 0.20% |
Average Maturity | 8 years 9 months 18 days | 11 years 9 months 18 days |
Forward Starting (as a percent) | 5.10% | |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | 1 Year or Less | Maximum | ||
Interest rate swaps and interest rate swaptions | ||
Remaining Interest Rate interest rate swap Term | 1 year | 1 year |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | 1 Year or Less | Fixed Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | 89,300 | 215,900 |
Fair Value - Asset (Liability), net | -111 | -141 |
Average Fixed Pay Rate (as a percent) | 0.50% | 0.40% |
Average Maturity | 10 months 24 days | 9 months 18 days |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 1 Year and less than 3 years | Minimum | ||
Interest rate swaps and interest rate swaptions | ||
Remaining Interest Rate interest rate swap Term | 1 year | 1 year |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 1 Year and less than 3 years | Maximum | ||
Interest rate swaps and interest rate swaptions | ||
Remaining Interest Rate interest rate swap Term | 3 years | 3 years |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 1 Year and less than 3 years | Fixed Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | 1,972,300 | 179,100 |
Fair Value - Asset (Liability), net | -733 | -216 |
Average Fixed Pay Rate (as a percent) | 0.80% | 0.50% |
Average Maturity | 1 year 9 months 18 days | 1 year 10 months 24 days |
Forward Starting (as a percent) | 20.30% | |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 1 Year and less than 3 years | Variable Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | 220,000 | |
Fair Value - Asset (Liability), net | -164 | |
Average Variable Pay Rate | 0.20% | |
Average Maturity | 2 years | |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 3 years and less than 5 years [Member] | Minimum | ||
Interest rate swaps and interest rate swaptions | ||
Remaining Interest Rate interest rate swap Term | 3 years | 3 years |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 3 years and less than 5 years [Member] | Maximum | ||
Interest rate swaps and interest rate swaptions | ||
Remaining Interest Rate interest rate swap Term | 5 years | 5 years |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 3 years and less than 5 years [Member] | Fixed Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | 603,000 | 574,200 |
Fair Value - Asset (Liability), net | -4,597 | 5,630 |
Average Fixed Pay Rate (as a percent) | 1.80% | 1.30% |
Average Maturity | 4 years 2 months 12 days | 4 years 4 months 24 days |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 3 years and less than 5 years [Member] | Variable Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | 634,000 | 81,000 |
Fair Value - Asset (Liability), net | 2,210 | -475 |
Average Variable Pay Rate | 0.20% | 0.20% |
Average Maturity | 4 years 6 months | 4 years 9 months 18 days |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 5 years | Minimum | ||
Interest rate swaps and interest rate swaptions | ||
Remaining Interest Rate interest rate swap Term | 5 years | 5 years |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 5 years | Fixed Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | 3,103,770 | 1,718,650 |
Fair Value - Asset (Liability), net | -156,952 | 87,857 |
Average Fixed Pay Rate (as a percent) | 2.80% | 2.40% |
Average Maturity | 9 years 4 months 24 days | 10 years 9 months 18 days |
Forward Starting (as a percent) | 63.10% | 28.60% |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 5 years | Variable Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | 1,309,600 | 46,000 |
Fair Value - Asset (Liability), net | 45,229 | -1,243 |
Average Variable Pay Rate | 0.20% | 0.20% |
Average Maturity | 12 years 1 month 6 days | 24 years 1 month 6 days |
Forward Starting (as a percent) | 8.40% | |
Interest rate swaps excluding forward starting swaps | Derivative instruments not accounted as hedges under GAAP | Repurchase agreements | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | 1,400,000 | |
Forward starting interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Repurchase agreements | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | 2,200,000 | |
Interest rate swaption | Derivative instruments not accounted as hedges under GAAP | ||
Interest rate swaps and interest rate swaptions | ||
Fair value of assets | 178 | 11,177 |
Fair value of liability | 264 | |
Interest rate swaption | Derivative instruments not accounted as hedges under GAAP | Fixed Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | 105,000 | 2,200,000 |
Average Maturity | 17 months 24 days | 5 months |
Fair value of assets | 178 | 11,177 |
Weighted average swap terms | 1 year | 9 years 6 months |
Interest rate swaption | Derivative instruments not accounted as hedges under GAAP | Variable Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | 100,000 | |
Average Maturity | 4 months | |
Fair value of liability | 264 | |
Weighted average swap terms | 10 years | |
Interest Rate Swaption 2.26-2.50% | Derivative instruments not accounted as hedges under GAAP | Fixed Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | 105,000 | |
Average Maturity | 17 months 24 days | |
Fair value of assets | 178 | |
Weighted average swap terms | 1 year | |
Interest Rate Swaption 2.26-2.50% | Derivative instruments not accounted as hedges under GAAP | Fixed Pay Rate | Minimum | ||
Interest rate swaps and interest rate swaptions | ||
Fixed-pay/receive rate for underlying swap | 2.26% | |
Interest Rate Swaption 2.26-2.50% | Derivative instruments not accounted as hedges under GAAP | Fixed Pay Rate | Maximum | ||
Interest rate swaps and interest rate swaptions | ||
Fixed-pay/receive rate for underlying swap | 2.50% | |
Interest Rate Swaption 2.51-2.75% | Derivative instruments not accounted as hedges under GAAP | Fixed Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | 150,000 | |
Average Maturity | 4 months 12 days | |
Fair value of assets | 1,889 | |
Weighted average swap terms | 7 years | |
Interest Rate Swaption 2.51-2.75% | Derivative instruments not accounted as hedges under GAAP | Fixed Pay Rate | Minimum | ||
Interest rate swaps and interest rate swaptions | ||
Fixed-pay/receive rate for underlying swap | 2.51% | |
Interest Rate Swaption 2.51-2.75% | Derivative instruments not accounted as hedges under GAAP | Fixed Pay Rate | Maximum | ||
Interest rate swaps and interest rate swaptions | ||
Fixed-pay/receive rate for underlying swap | 2.75% | |
Interest Rate Swaption 2.76-3.00% | Derivative instruments not accounted as hedges under GAAP | Fixed Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | 250,000 | |
Average Maturity | 4 months 9 days | |
Fair value of assets | 2,762 | |
Weighted average swap terms | 7 years | |
Interest Rate Swaption 2.76-3.00% | Derivative instruments not accounted as hedges under GAAP | Fixed Pay Rate | Minimum | ||
Interest rate swaps and interest rate swaptions | ||
Fixed-pay/receive rate for underlying swap | 2.76% | |
Interest Rate Swaption 2.76-3.00% | Derivative instruments not accounted as hedges under GAAP | Fixed Pay Rate | Maximum | ||
Interest rate swaps and interest rate swaptions | ||
Fixed-pay/receive rate for underlying swap | 3.00% | |
Interest Rate Swaption 3.01-3.25% | Derivative instruments not accounted as hedges under GAAP | Fixed Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | 1,500,000 | |
Average Maturity | 4 months 18 days | |
Fair value of assets | 1,192 | |
Weighted average swap terms | 10 years | |
Interest Rate Swaption 3.01-3.25% | Derivative instruments not accounted as hedges under GAAP | Fixed Pay Rate | Minimum | ||
Interest rate swaps and interest rate swaptions | ||
Fixed-pay/receive rate for underlying swap | 3.01% | |
Interest Rate Swaption 3.01-3.25% | Derivative instruments not accounted as hedges under GAAP | Fixed Pay Rate | Maximum | ||
Interest rate swaps and interest rate swaptions | ||
Fixed-pay/receive rate for underlying swap | 3.25% | |
Interest Rate Swaption 3.26-3.50% | Derivative instruments not accounted as hedges under GAAP | Fixed Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | 100,000 | |
Average Maturity | 4 months | |
Fair value of assets | 971 | |
Weighted average swap terms | 10 years | |
Interest Rate Swaption 3.26-3.50% | Derivative instruments not accounted as hedges under GAAP | Fixed Pay Rate | Minimum | ||
Interest rate swaps and interest rate swaptions | ||
Fixed-pay/receive rate for underlying swap | 3.26% | |
Interest Rate Swaption 3.26-3.50% | Derivative instruments not accounted as hedges under GAAP | Fixed Pay Rate | Maximum | ||
Interest rate swaps and interest rate swaptions | ||
Fixed-pay/receive rate for underlying swap | 3.50% | |
Interest Rate Swaption 3.51-3.75% | Derivative instruments not accounted as hedges under GAAP | Fixed Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | 200,000 | |
Average Maturity | 9 months 18 days | |
Fair value of assets | 4,363 | |
Weighted average swap terms | 10 years | |
Interest Rate Swaption 3.51-3.75% | Derivative instruments not accounted as hedges under GAAP | Fixed Pay Rate | Minimum | ||
Interest rate swaps and interest rate swaptions | ||
Fixed-pay/receive rate for underlying swap | 3.51% | |
Interest Rate Swaption 3.51-3.75% | Derivative instruments not accounted as hedges under GAAP | Fixed Pay Rate | Maximum | ||
Interest rate swaps and interest rate swaptions | ||
Fixed-pay/receive rate for underlying swap | 3.75% | |
Interest Rate Swaption 3.76-4.00% | Derivative instruments not accounted as hedges under GAAP | Variable Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | 100,000 | |
Average Maturity | 4 months | |
Fair value of liability | $264 | |
Weighted average swap terms | 10 years | |
Interest Rate Swaption 3.76-4.00% | Derivative instruments not accounted as hedges under GAAP | Variable Pay Rate | Minimum | ||
Interest rate swaps and interest rate swaptions | ||
Fixed-pay/receive rate for underlying swap | 3.76% | |
Interest Rate Swaption 3.76-4.00% | Derivative instruments not accounted as hedges under GAAP | Variable Pay Rate | Maximum | ||
Interest rate swaps and interest rate swaptions | ||
Fixed-pay/receive rate for underlying swap | 4.00% |
Derivative_Instruments_Details2
Derivative Instruments (Details 3) | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2014 | Dec. 31, 2014 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2014 | Dec. 31, 2014 | Dec. 31, 2014 | Dec. 31, 2014 | Dec. 31, 2014 | Dec. 31, 2014 | Dec. 31, 2014 | Dec. 31, 2014 | Dec. 31, 2014 | Dec. 31, 2014 | Dec. 31, 2014 | Dec. 31, 2014 | Dec. 31, 2014 | Dec. 31, 2014 | Dec. 31, 2014 | Dec. 31, 2014 | Dec. 31, 2014 | Dec. 31, 2014 | Dec. 31, 2014 |
USD ($) | USD ($) | Derivative instruments not accounted as hedges under GAAP | Derivative instruments not accounted as hedges under GAAP | Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate swaps | Foreign currency forwards | Foreign currency swaps | TBAs | TBAs | TBAs | TBAs | TBAs | Euro Member Countries, Euro | Euro Member Countries, Euro | Euro Member Countries, Euro | Euro Member Countries, Euro | Euro Member Countries, Euro | Euro Member Countries, Euro | Euro Member Countries, Euro | Euro Member Countries, Euro | Euro Member Countries, Euro | Euro Member Countries, Euro | Euro Member Countries, Euro | Euro Member Countries, Euro | Euro Member Countries, Euro | Euro Member Countries, Euro | Euro Member Countries, Euro | Euro Member Countries, Euro | Euro Member Countries, Euro | United States of America, Dollars | |
USD ($) | USD ($) | USD ($) | USD ($) | Counterparty Based in England and Switzerland [Member] | Counterparty Based in England and Switzerland [Member] | Counterparty Based in Switzerland [Member] | Counterparty Based in Switzerland [Member] | Counterparty Based in England [Member] | Counterparty Based in England [Member] | Derivative instruments not accounted as hedges under GAAP | Derivative instruments not accounted as hedges under GAAP | Derivative instruments not accounted as hedges under GAAP | Derivative instruments not accounted as hedges under GAAP | Derivative instruments not accounted as hedges under GAAP | Derivative instruments not accounted as hedges under GAAP | Derivative instruments not accounted as hedges under GAAP | Derivative instruments not accounted as hedges under GAAP | Derivative instruments not accounted as hedges under GAAP | Foreign currency forwards | Foreign currency forwards | Buy Usd And Sell Eur Currency Forward One | Buy Usd And Sell Eur Currency Forward One | Buy Usd And Sell Eur Currency Forward Two | Buy Usd And Sell Eur Currency Forward Two | Buy Usd And Sell Eur Currency Forward Three | Buy Usd And Sell Eur Currency Forward Three | Buy Usd And Sell Eur Currency Forward Four | Buy Usd And Sell Eur Currency Forward Four | Buy Eur And Sell Usd Currency Forward One | Buy Eur And Sell Usd Currency Forward One | Buy Eur And Sell Usd Currency Forward Two | Buy Eur And Sell Usd Currency Forward Two | Buy Eur And Sell Usd Currency Forward Three | Buy Eur And Sell Usd Currency Forward Three | Foreign currency swaps | Foreign currency swaps | |||
item | item | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | Long [Member] | Long [Member] | Short [Member] | Derivative instruments not accounted as hedges under GAAP | Derivative instruments not accounted as hedges under GAAP | Derivative instruments not accounted as hedges under GAAP | Derivative instruments not accounted as hedges under GAAP | Derivative instruments not accounted as hedges under GAAP | Derivative instruments not accounted as hedges under GAAP | Derivative instruments not accounted as hedges under GAAP | Derivative instruments not accounted as hedges under GAAP | Derivative instruments not accounted as hedges under GAAP | Derivative instruments not accounted as hedges under GAAP | Derivative instruments not accounted as hedges under GAAP | Derivative instruments not accounted as hedges under GAAP | Derivative instruments not accounted as hedges under GAAP | Derivative instruments not accounted as hedges under GAAP | Derivative instruments not accounted as hedges under GAAP | Derivative instruments not accounted as hedges under GAAP | Derivative instruments not accounted as hedges under GAAP | Derivative instruments not accounted as hedges under GAAP | |||||||
USD ($) | USD ($) | USD ($) | USD ($) | EUR (€) | USD ($) | EUR (€) | USD ($) | EUR (€) | USD ($) | EUR (€) | USD ($) | EUR (€) | USD ($) | EUR (€) | USD ($) | EUR (€) | USD ($) | EUR (€) | USD ($) | USD ($) | |||||||||||||||||||
Derivative [Line Items] | |||||||||||||||||||||||||||||||||||||||
Notional Amount | $163,900,000 | $825,100,000 | $49,300,000 | $321,800,000 | $2,915,000,000 | $190,000,000 | $2,590,000,000 | $18,500,000 | $25,160,000 | ||||||||||||||||||||||||||||||
Notional Amount, Net | 325,000,000 | 190,000,000 | 57,382,000 | 46,923,000 | |||||||||||||||||||||||||||||||||||
Fair Value | -86,397,000 | 119,712,000 | 5,102,000 | -1,172,000 | -303,000 | ||||||||||||||||||||||||||||||||||
Cash collateral for derivatives | 159,000,000 | 22,800,000 | 159,000,000 | 22,800,000 | 500,000 | 0 | |||||||||||||||||||||||||||||||||
Notional Amount, assets | 3,283,100,000 | 2,135,950,000 | 23,822,000 | 25,160,000 | 2,915,000,000 | 13,600,000 | 2,915,000,000 | 13,600,000 | 23,822,000 | 19,568,000 | 4,143,000 | 3,331,000 | 9,417,000 | 7,766,000 | 4,211,000 | 3,471,000 | 6,051,000 | 5,000,000 | |||||||||||||||||||||
Notional Amount Net, assets | 2,915,000,000 | 13,600,000 | |||||||||||||||||||||||||||||||||||||
Fair value of assets | 645,000 | 34,200,000 | 19,400,000 | ||||||||||||||||||||||||||||||||||||
Fair value of liability | 86,000 | ||||||||||||||||||||||||||||||||||||||
Fair value of assets | 73,256,000 | 105,826,000 | 73,256,000 | 105,826,000 | 51,170,000 | 94,614,000 | 143,000 | 3,857,000 | 17,457,000 | 35,000 | 17,457,000 | 35,000 | 143,000 | 112,000 | 21,000 | 9,000 | 1,000 | ||||||||||||||||||||||
Notional Amount, liabilities | 4,648,870,000 | 678,900,000 | 33,560,000 | 2,590,000,000 | 176,400,000 | 176,400,000 | 2,590,000,000 | 33,560,000 | 27,355,000 | 6,104,000 | 5,043,000 | 13,542,000 | 11,156,000 | 13,914,000 | 11,156,000 | ||||||||||||||||||||||||
Notional Amount Net, liabilities | -2,590,000,000 | 176,400,000 | |||||||||||||||||||||||||||||||||||||
Fair value of liability | -180,280,000 | -4,673,000 | -180,280,000 | -4,673,000 | -166,288,000 | -3,202,000 | -446,000 | -12,355,000 | -1,207,000 | -1,207,000 | -12,355,000 | -446,000 | -1,000 | -30,000 | -415,000 | ||||||||||||||||||||||||
Number of counterparties | 2 | 2 | |||||||||||||||||||||||||||||||||||||
Cash pledged as collateral to the Company by counterparties | $10,100,000 | $62,700,000 | $3,400,000 | $42,700,000 | |||||||||||||||||||||||||||||||||||
Fixed rate | 7.25% | 9.01% |
Derivative_Instruments_Details3
Derivative Instruments (Details 4) (TBAs, Derivative instruments not accounted as hedges under GAAP, USD $) | 12 Months Ended |
In Thousands, unless otherwise specified | Dec. 31, 2014 |
Long [Member] | |
Changes in notional amount | |
Notional Amount at the beginning of the period | $190,000 |
Additions | 25,353,196 |
Settlement, Termination, Expiration or Exercise | -22,628,196 |
Notional Amount at the end of the period | 2,915,000 |
Short [Member] | |
Changes in notional amount | |
Additions | 25,218,196 |
Settlement, Termination, Expiration or Exercise | -22,628,196 |
Notional Amount at the end of the period | $2,590,000 |
Derivative_Instruments_Details4
Derivative Instruments (Details 5) (USD $) | 2 Months Ended | 3 Months Ended | 6 Months Ended | 8 Months Ended | 9 Months Ended | 12 Months Ended | ||||||||||
In Thousands, unless otherwise specified | Jun. 30, 2012 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Jun. 30, 2014 | Dec. 31, 2012 | Sep. 30, 2014 | Dec. 31, 2014 | Dec. 31, 2013 |
Amounts recognized on the statements of operations related to the Company's derivatives | ||||||||||||||||
Fair value of assets | $73,256 | $105,826 | $73,256 | $105,826 | ||||||||||||
Fair value of liability | 180,280 | 4,673 | 180,280 | 4,673 | ||||||||||||
Mark-to-market adjustments | -109,342 | 1,241 | -126,112 | -178,125 | 84,788 | |||||||||||
Total | -5,159 | -53,512 | -401 | -66,677 | -59,906 | 37,042 | -3,809 | 109,474 | 14,840 | 4,298 | -12,245 | -13,106 | -180,496 | 157,547 | ||
Derivative instruments not accounted as hedges under GAAP | ||||||||||||||||
Amounts recognized on the statements of operations related to the Company's derivatives | ||||||||||||||||
Fair value of assets | 73,256 | 105,826 | 73,256 | 105,826 | ||||||||||||
Fair value of liability | 180,280 | 4,673 | 180,280 | 4,673 | ||||||||||||
Realized Gain (Loss), net | 25,613 | -9,275 | -7,772 | -11,748 | 17,841 | 20,029 | 85,428 | |||||||||
Contractual interest income (expense), net | -5,985 | 57 | 630 | 2,249 | -5,355 | -5,350 | 5,341 | |||||||||
Basis Recovery | -3,367 | -4,507 | -10,099 | -4,848 | -13,358 | -17,050 | -18,010 | |||||||||
Mark-to-market adjustments | -16,662 | -52,952 | -109,342 | 1,241 | -126,112 | -178,125 | 84,788 | |||||||||
Total | -401 | -66,677 | -126,583 | -13,106 | -126,984 | -180,496 | 157,547 | |||||||||
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | ||||||||||||||||
Amounts recognized on the statements of operations related to the Company's derivatives | ||||||||||||||||
Fair value of assets | 51,170 | 94,614 | 51,170 | 94,614 | ||||||||||||
Fair value of liability | 166,288 | 3,202 | 166,288 | 3,202 | ||||||||||||
Realized Gain (Loss), net | 23,798 | -6,788 | -6,786 | -10,928 | 17,012 | 5,440 | 65,305 | |||||||||
Contractual interest income (expense), net | -11,848 | -6,083 | -13,936 | -6,321 | -25,784 | -31,764 | -22,932 | |||||||||
Basis Recovery | 820 | 928 | 1,818 | |||||||||||||
Mark-to-market adjustments | -15,587 | -61,835 | -107,331 | 7,649 | -123,026 | -183,379 | 83,764 | |||||||||
Total | -2,817 | -74,706 | -128,053 | -9,600 | -130,870 | -207,885 | 126,137 | |||||||||
Interest rate swaption | Derivative instruments not accounted as hedges under GAAP | ||||||||||||||||
Amounts recognized on the statements of operations related to the Company's derivatives | ||||||||||||||||
Fair value of assets | 178 | 11,177 | 178 | 11,177 | ||||||||||||
Fair value of liability | 264 | 264 | ||||||||||||||
Realized Gain (Loss), net | -3,606 | 23,671 | ||||||||||||||
Mark-to-market adjustments | -3,180 | -1,697 | 4,733 | |||||||||||||
Total | -3,180 | -5,303 | 28,404 | |||||||||||||
Agency and Non-Agency Interest-Only Strips accounted for as derivatives | Derivative instruments not accounted as hedges under GAAP | ||||||||||||||||
Amounts recognized on the statements of operations related to the Company's derivatives | ||||||||||||||||
Realized Gain (Loss), net | -820 | -753 | -1,124 | |||||||||||||
Contractual interest income (expense), net | 8,570 | 26,097 | 28,273 | |||||||||||||
Basis Recovery | -4,848 | -18,868 | -18,010 | |||||||||||||
Mark-to-market adjustments | -5,065 | -2,136 | -700 | |||||||||||||
Total | -2,163 | 4,340 | 8,439 | |||||||||||||
Option | Derivative instruments not accounted as hedges under GAAP | ||||||||||||||||
Amounts recognized on the statements of operations related to the Company's derivatives | ||||||||||||||||
Realized Gain (Loss), net | -2,813 | -925 | ||||||||||||||
Total | -2,813 | -925 | ||||||||||||||
Futures contracts | Long [Member] | ||||||||||||||||
Amounts recognized on the statements of operations related to the Company's derivatives | ||||||||||||||||
Notional Amount | 592,000 | 592,000 | ||||||||||||||
Fair value of assets | 451 | 451 | ||||||||||||||
Futures contracts | Short [Member] | ||||||||||||||||
Amounts recognized on the statements of operations related to the Company's derivatives | ||||||||||||||||
Notional Amount | 592,000 | 592,000 | ||||||||||||||
Fair value of liability | 1,200 | 1,200 | ||||||||||||||
Futures contracts | Derivative instruments not accounted as hedges under GAAP | ||||||||||||||||
Amounts recognized on the statements of operations related to the Company's derivatives | ||||||||||||||||
Fair value of assets | 451 | 451 | ||||||||||||||
Fair value of liability | 1,191 | 1,191 | ||||||||||||||
Realized Gain (Loss), net | -16,495 | |||||||||||||||
Mark-to-market adjustments | -740 | |||||||||||||||
Total | -17,235 | |||||||||||||||
Foreign currency forwards | Derivative instruments not accounted as hedges under GAAP | ||||||||||||||||
Amounts recognized on the statements of operations related to the Company's derivatives | ||||||||||||||||
Fair value of assets | 143 | 143 | ||||||||||||||
Fair value of liability | 446 | 446 | ||||||||||||||
Realized Gain (Loss), net | -1,759 | |||||||||||||||
Mark-to-market adjustments | -303 | |||||||||||||||
Total | -2,062 | |||||||||||||||
Foreign currency swaps | Derivative instruments not accounted as hedges under GAAP | ||||||||||||||||
Amounts recognized on the statements of operations related to the Company's derivatives | ||||||||||||||||
Fair value of assets | 3,857 | 3,857 | ||||||||||||||
Contractual interest income (expense), net | 317 | |||||||||||||||
Mark-to-market adjustments | 3,857 | |||||||||||||||
Total | 4,174 | |||||||||||||||
TBAs | Derivative instruments not accounted as hedges under GAAP | ||||||||||||||||
Amounts recognized on the statements of operations related to the Company's derivatives | ||||||||||||||||
Fair value of assets | 17,457 | 35 | 17,457 | 35 | ||||||||||||
Fair value of liability | 12,355 | 1,207 | 12,355 | 1,207 | ||||||||||||
Realized Gain (Loss), net | 40,015 | -1,499 | ||||||||||||||
Mark-to-market adjustments | 1,837 | 6,273 | -3,009 | |||||||||||||
Total | 1,837 | 46,288 | -4,508 | |||||||||||||
TBAs | Derivative instruments not accounted as hedges under GAAP | Long [Member] | ||||||||||||||||
Amounts recognized on the statements of operations related to the Company's derivatives | ||||||||||||||||
Notional Amount | 2,915,000 | 190,000 | 2,915,000 | 190,000 | ||||||||||||
Fair value of assets | 17,457 | 35 | 17,457 | 35 | ||||||||||||
Fair value of liability | 1,207 | 1,207 | ||||||||||||||
TBAs | Derivative instruments not accounted as hedges under GAAP | Short [Member] | ||||||||||||||||
Amounts recognized on the statements of operations related to the Company's derivatives | ||||||||||||||||
Notional Amount | 2,590,000 | 2,590,000 | ||||||||||||||
Fair value of liability | $12,355 | $12,355 |
Derivative_Instruments_Details5
Derivative Instruments (Details 6) (USD $) | 3 Months Ended | 6 Months Ended | 8 Months Ended | 9 Months Ended | 12 Months Ended | ||||||||
In Thousands, unless otherwise specified | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Jun. 30, 2014 | Dec. 31, 2012 | Sep. 30, 2014 | Dec. 31, 2014 | Dec. 31, 2013 |
Derivative [Line Items] | |||||||||||||
Fair Value | $20,627 | $18,559 | $20,627 | $18,559 | |||||||||
Mark-to-market adjustments on linked transactions | -109,342 | 1,241 | -126,112 | -178,125 | 84,788 | ||||||||
Gain (loss) on linked transactions, net | 204 | -1,241 | 688 | 2,219 | 179 | -547 | 3,909 | 596 | 1,870 | 4,137 | |||
Linked Transactions | |||||||||||||
Derivative [Line Items] | |||||||||||||
Fair Value | 20,627 | 18,559 | 20,627 | 18,559 | |||||||||
Net Interest Income (Expense) | 2,333 | 1,144 | |||||||||||
Mark-to-market adjustments on linked transactions | -1,860 | -56 | |||||||||||
Net Realized Gain (loss) | 1,397 | 3,049 | |||||||||||
Gain (loss) on linked transactions, net | 1,870 | 4,137 | |||||||||||
Linked Transactions | Repurchase agreements | |||||||||||||
Derivative [Line Items] | |||||||||||||
MBS accounted for as linked transactions pledged for related linked repurchase agreements | 52,500 | 52,500 | |||||||||||
Linked Transactions | Agency RMBS | |||||||||||||
Derivative [Line Items] | |||||||||||||
Net Interest Income (Expense) | 44 | ||||||||||||
Net Realized Gain (loss) | -254 | ||||||||||||
Gain (loss) on linked transactions, net | -210 | ||||||||||||
Amortization of premium and accretion of discount | -9 | ||||||||||||
Linked Transactions | Agency RMBS | Repurchase agreements | |||||||||||||
Derivative [Line Items] | |||||||||||||
Net Interest Income (Expense) | -6 | ||||||||||||
Gain (loss) on linked transactions, net | -6 | ||||||||||||
Linked Transactions | Non-Agency RMBS | |||||||||||||
Derivative [Line Items] | |||||||||||||
Fair value-MBS and/or other securities | 8,156 | 79,746 | 8,156 | 79,746 | |||||||||
Net Interest Income (Expense) | 1,569 | 1,371 | |||||||||||
Mark-to-market adjustments on linked transactions | 393 | -56 | |||||||||||
Net Realized Gain (loss) | 1,589 | 3,303 | |||||||||||
Gain (loss) on linked transactions, net | 3,551 | 4,618 | |||||||||||
Weighted Average Coupon / Cost of Funds (as a percent) | 27.78% | 27.06% | |||||||||||
Weighted Average Life (years)/ Weighted Average days to Maturity (years) | 13 years 2 months 12 days | 9 years 7 months 6 days | |||||||||||
Amortization of premium and accretion of discount | -3,300 | 555 | |||||||||||
Linked Transactions | Non-Agency RMBS | Repurchase agreements | |||||||||||||
Derivative [Line Items] | |||||||||||||
Fair Value- Repurchase Agreement | -6,559 | -61,187 | -6,559 | -61,187 | |||||||||
Net Interest Income (Expense) | -346 | -265 | |||||||||||
Gain (loss) on linked transactions, net | -346 | -265 | |||||||||||
Weighted Average Coupon / Cost of Funds (as a percent) | 1.66% | 1.70% | |||||||||||
Weighted Average Life (years)/ Weighted Average days to Maturity (years) | 15 days | 63 days | |||||||||||
Linked Transactions | Non-Agency CMBS | |||||||||||||
Derivative [Line Items] | |||||||||||||
Fair value-MBS and/or other securities | 38,609 | 38,609 | |||||||||||
Net Interest Income (Expense) | 961 | ||||||||||||
Mark-to-market adjustments on linked transactions | -3,044 | ||||||||||||
Gain (loss) on linked transactions, net | -2,083 | ||||||||||||
Weighted Average Coupon / Cost of Funds (as a percent) | 6.83% | ||||||||||||
Weighted Average Life (years)/ Weighted Average days to Maturity (years) | 7 years 7 months 6 days | ||||||||||||
Amortization of premium and accretion of discount | 0 | ||||||||||||
Linked Transactions | Agency and Non-Agency CMBS | Repurchase agreements | |||||||||||||
Derivative [Line Items] | |||||||||||||
Fair Value- Repurchase Agreement | -22,458 | -22,458 | |||||||||||
Net Interest Income (Expense) | -167 | ||||||||||||
Mark-to-market adjustments on linked transactions | 782 | ||||||||||||
Gain (loss) on linked transactions, net | 615 | ||||||||||||
Weighted Average Coupon / Cost of Funds (as a percent) | 1.94% | ||||||||||||
Weighted Average Life (years)/ Weighted Average days to Maturity (years) | 7 days | ||||||||||||
Linked Transactions | Other securities | |||||||||||||
Derivative [Line Items] | |||||||||||||
Fair value-MBS and/or other securities | 5,719 | 5,719 | |||||||||||
Net Interest Income (Expense) | 349 | ||||||||||||
Mark-to-market adjustments on linked transactions | 9 | ||||||||||||
Net Realized Gain (loss) | -192 | ||||||||||||
Gain (loss) on linked transactions, net | 166 | ||||||||||||
Weighted Average Coupon / Cost of Funds (as a percent) | 4.50% | ||||||||||||
Weighted Average Life (years)/ Weighted Average days to Maturity (years) | 11 years 10 months 24 days | ||||||||||||
Amortization of premium and accretion of discount | 221 | ||||||||||||
Linked Transactions | Other securities | Repurchase agreements | |||||||||||||
Derivative [Line Items] | |||||||||||||
Fair Value- Repurchase Agreement | -2,840 | -2,840 | |||||||||||
Net Interest Income (Expense) | -33 | ||||||||||||
Gain (loss) on linked transactions, net | ($33) | ||||||||||||
Weighted Average Coupon / Cost of Funds (as a percent) | 1.93% | ||||||||||||
Weighted Average Life (years)/ Weighted Average days to Maturity (years) | 37 days |
Offsetting_Assets_and_Liabilit2
Offsetting Assets and Liabilities (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Offsetting of Derivative Assets | ||
Gross Amounts of Recognized Assets | $213,969 | $294,807 |
Gross Amounts offset in the Balance Sheets | -31,857 | -61,187 |
Net Amounts of Assets presented in the Balance Sheets | 182,112 | 233,620 |
Gross Amounts Not Offset in the Balance Sheets | ||
Financial Instruments | -134,027 | -112,736 |
Cash Collateral Received | -10,036 | -62,651 |
Net Amount | 38,049 | 58,233 |
Agency and Non-Agency Interest-Only Strips accounted for as derivatives | ||
Offsetting of Derivative Assets | ||
Gross Amounts of Recognized Assets | 88,229 | 109,235 |
Net Amounts of Assets presented in the Balance Sheets | 88,229 | 109,235 |
Gross Amounts Not Offset in the Balance Sheets | ||
Financial Instruments | -80,771 | -109,235 |
Net Amount | 7,458 | |
Derivative Instruments, Excluding Interest Only Strips Accounted for as Derivatives and Linked Transactions [Member] | ||
Offsetting of Derivative Assets | ||
Gross Amounts of Recognized Assets | 73,256 | 105,826 |
Net Amounts of Assets presented in the Balance Sheets | 73,256 | 105,826 |
Gross Amounts Not Offset in the Balance Sheets | ||
Financial Instruments | -53,256 | -3,501 |
Cash Collateral Received | -10,036 | -62,651 |
Net Amount | 9,964 | 39,674 |
Linked Transactions | ||
Offsetting of Derivative Assets | ||
Gross Amounts of Recognized Assets | 52,484 | 79,746 |
Gross Amounts offset in the Balance Sheets | -31,857 | -61,187 |
Net Amounts of Assets presented in the Balance Sheets | 20,627 | 18,859 |
Gross Amounts Not Offset in the Balance Sheets | ||
Net Amount | $20,627 | $18,559 |
Offsetting_Assets_and_Liabilit3
Offsetting Assets and Liabilities (Details 2) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
Offsetting of Derivative Liabilities and Repurchase agreements | ||
Gross Amounts of Recognized Liabilities | $180,280,000 | $4,673,000 |
Net Amounts of Liabilities Presented in the Balance Sheets | 180,280,000 | 4,673,000 |
Gross Amounts Not Offset in the Balance Sheets | ||
Financial Instruments | -53,256,000 | -3,501,000 |
Cash Collateral Pledged | -116,791,000 | |
Net Amount | 10,233,000 | 1,172,000 |
Repurchase agreement | ||
Gross Amounts of Recognized Liabilities | 3,875,721,000 | 2,579,067,000 |
Total | 3,875,721,000 | 2,579,067,000 |
Gross Amounts Not Offset in the Balance Sheets | ||
Financial Instruments | -3,875,721,000 | -2,579,067,000 |
Total | ||
Gross Amounts of Recognized Liabilities | 4,056,001,000 | 2,583,740,000 |
Net Amounts of Liabilities presented in the Balance Sheet | 4,056,001,000 | 2,583,740,000 |
Gross Amounts Not Offset in the Balance Sheet | ||
Financial Instruments | -3,928,977,000 | -2,582,568,000 |
Cash Collateral Pledged | -116,791,000 | |
Net Amount | 10,233,000 | 1,172,000 |
Cash collateral pledged against Swaps | 159,000,000 | 22,800,000 |
Fair value of securities pledged against repurchase agreements | 4,400,000,000 | 2,800,000,000 |
Interest rate swaps | ||
Gross Amounts Not Offset in the Balance Sheet | ||
Cash collateral pledged against Swaps | $159,000,000 | $22,800,000 |
Related_Party_Transactions_Det
Related Party Transactions (Details) (USD $) | 2 Months Ended | 3 Months Ended | 8 Months Ended | 12 Months Ended | ||||||||||
Jun. 30, 2012 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Dec. 31, 2012 | Dec. 31, 2014 | Dec. 31, 2013 | |
Related Party Transactions | ||||||||||||||
Management fees | $407,000 | $2,506,000 | $2,763,000 | $2,559,000 | $1,805,000 | $1,843,000 | $2,032,000 | $1,826,000 | $2,113,000 | $1,924,000 | $802,000 | $3,133,000 | $9,633,000 | $7,814,000 |
Costs incurred but not yet paid | 2,705,000 | 1,842,000 | 2,705,000 | 1,842,000 | ||||||||||
Western Asset Management Company | ||||||||||||||
Related Party Transactions | ||||||||||||||
Management fees (as a percent) | 1.50% | |||||||||||||
Renewal term of management agreement | 1 year | |||||||||||||
Related party transaction extended renewal term of management agreement | 1 year | |||||||||||||
Notice period to terminate the Management Agreement following initial term | 180 days | |||||||||||||
Multiple of average annual management fees used to calculate termination fee | 3 | |||||||||||||
Prior period over which management fees were incurred used to calculate the termination fee under the Management Agreement | 24 months | |||||||||||||
Notice period to terminate the Management Agreement for cause | 30 days | |||||||||||||
Management fees | 3,100,000 | 9,600,000 | 7,800,000 | |||||||||||
Employee costs and benefits | 23,000 | 624,000 | 76,000 | |||||||||||
Management fees due to related party | 2,500,000 | 1,800,000 | 2,500,000 | 1,800,000 | ||||||||||
Costs incurred but not yet paid | $199,000 | $0 | $199,000 | $0 | ||||||||||
Western Asset Management Company | Minimum | ||||||||||||||
Related Party Transactions | ||||||||||||||
Proportion of affirmative votes by the entity's independent directors to terminate the Management Agreement (as a percent) | 67.00% | |||||||||||||
Proportion of votes required by the entity's independent directors for acceptance of reduction in management fees (as a percent) | 67.00% |
ShareBased_Payments_Details
Share-Based Payments (Details) (USD $) | 0 Months Ended | 8 Months Ended | 12 Months Ended | 32 Months Ended | 0 Months Ended | ||||||||||||||
In Thousands, except Share data, unless otherwise specified | Dec. 19, 2013 | Dec. 31, 2012 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2014 | Nov. 10, 2014 | Jun. 11, 2014 | Jun. 10, 2013 | 15-May-12 | Jan. 01, 2015 | Mar. 12, 2014 | Jan. 01, 2014 | Mar. 01, 2013 | Jan. 01, 2013 | Jun. 25, 2012 | Mar. 01, 2015 | 15-May-14 | Mar. 01, 2014 | 15-May-13 |
director | director | director | |||||||||||||||||
Share-Based Payments | |||||||||||||||||||
Shares authorized (as a percent) | 3.00% | 3.00% | |||||||||||||||||
Shares reserved for issuance under the Equity plan (in shares) | 1,237,711 | 1,237,711 | 308,335 | ||||||||||||||||
Stock-based compensation expense recognized | $367 | $2,203 | $1,087 | ||||||||||||||||
Weighted Average Grant Date Fair Value | |||||||||||||||||||
Stock dividends granted (in shares) | 2,548,784 | ||||||||||||||||||
Restricted common stock | |||||||||||||||||||
Summary of restricted common stock vesting dates | |||||||||||||||||||
Shares Vesting (in shares) | 363,343 | 227,479 | 363,343 | ||||||||||||||||
Shares of Restricted Stock | |||||||||||||||||||
Outstanding at beginning of period (in shares) | 252,517 | 66,114 | 252,517 | 66,114 | |||||||||||||||
Granted (in shares) | 19,565 | 223,683 | 186,403 | 454,338 | |||||||||||||||
Outstanding at end of year (in shares) | 476,200 | 252,517 | 476,200 | ||||||||||||||||
Unvested at end of year (in shares) | 363,343 | 227,479 | 363,343 | ||||||||||||||||
Weighted Average Grant Date Fair Value | |||||||||||||||||||
Outstanding at beginning of period (in dollars per share) | $20.34 | $19.86 | 20.34 | 19.86 | |||||||||||||||
Granted (in dollars per share) | $16.39 | $20.51 | |||||||||||||||||
Outstanding at end of year (in dollars per share) | $18.49 | $20.34 | $18.49 | ||||||||||||||||
Unvested at end of year (in dollars per share) | $17.98 | $20.39 | $17.98 | ||||||||||||||||
Restricted common stock | Director Deferred Fee Plan | |||||||||||||||||||
Shares of Restricted Stock | |||||||||||||||||||
Granted (in shares) | 905 | 1,392 | |||||||||||||||||
Weighted Average Grant Date Fair Value | |||||||||||||||||||
Stock dividends granted (in shares) | 21,862 | ||||||||||||||||||
Restricted common stock | January 2014 | |||||||||||||||||||
Summary of restricted common stock vesting dates | |||||||||||||||||||
Shares Vesting (in shares) | 7,685 | ||||||||||||||||||
Shares of Restricted Stock | |||||||||||||||||||
Unvested at end of year (in shares) | 7,685 | ||||||||||||||||||
Restricted common stock | March 2014 | |||||||||||||||||||
Summary of restricted common stock vesting dates | |||||||||||||||||||
Shares Vesting (in shares) | 54,852 | ||||||||||||||||||
Shares of Restricted Stock | |||||||||||||||||||
Unvested at end of year (in shares) | 54,852 | ||||||||||||||||||
Restricted common stock | May 2014 | |||||||||||||||||||
Summary of restricted common stock vesting dates | |||||||||||||||||||
Shares Vesting (in shares) | 18,707 | ||||||||||||||||||
Shares of Restricted Stock | |||||||||||||||||||
Unvested at end of year (in shares) | 18,707 | ||||||||||||||||||
Restricted common stock | June 2014 | |||||||||||||||||||
Summary of restricted common stock vesting dates | |||||||||||||||||||
Shares Vesting (in shares) | 6,279 | ||||||||||||||||||
Shares of Restricted Stock | |||||||||||||||||||
Unvested at end of year (in shares) | 6,279 | ||||||||||||||||||
Restricted common stock | January 2015 | |||||||||||||||||||
Summary of restricted common stock vesting dates | |||||||||||||||||||
Shares Vesting (in shares) | 12,745 | 7,685 | 12,745 | ||||||||||||||||
Shares of Restricted Stock | |||||||||||||||||||
Unvested at end of year (in shares) | 12,745 | 7,685 | 12,745 | ||||||||||||||||
Restricted common stock | March 2015 | |||||||||||||||||||
Summary of restricted common stock vesting dates | |||||||||||||||||||
Shares Vesting (in shares) | 121,518 | 54,852 | 121,518 | ||||||||||||||||
Shares of Restricted Stock | |||||||||||||||||||
Unvested at end of year (in shares) | 121,518 | 54,852 | 121,518 | ||||||||||||||||
Restricted common stock | May 2015 | |||||||||||||||||||
Summary of restricted common stock vesting dates | |||||||||||||||||||
Shares Vesting (in shares) | 18,708 | 18,707 | 18,708 | ||||||||||||||||
Shares of Restricted Stock | |||||||||||||||||||
Unvested at end of year (in shares) | 18,708 | 18,707 | 18,708 | ||||||||||||||||
Restricted common stock | June 2015 | |||||||||||||||||||
Summary of restricted common stock vesting dates | |||||||||||||||||||
Shares Vesting (in shares) | 6,873 | 6,873 | |||||||||||||||||
Shares of Restricted Stock | |||||||||||||||||||
Unvested at end of year (in shares) | 6,873 | 6,873 | |||||||||||||||||
Restricted common stock | November 2015 | |||||||||||||||||||
Summary of restricted common stock vesting dates | |||||||||||||||||||
Shares Vesting (in shares) | 1,334 | 1,334 | |||||||||||||||||
Shares of Restricted Stock | |||||||||||||||||||
Unvested at end of year (in shares) | 1,334 | 1,334 | |||||||||||||||||
Restricted common stock | January 2016 | |||||||||||||||||||
Summary of restricted common stock vesting dates | |||||||||||||||||||
Shares Vesting (in shares) | 8,920 | 3,860 | 8,920 | ||||||||||||||||
Shares of Restricted Stock | |||||||||||||||||||
Unvested at end of year (in shares) | 8,920 | 3,860 | 8,920 | ||||||||||||||||
Restricted common stock | March 2016 | |||||||||||||||||||
Summary of restricted common stock vesting dates | |||||||||||||||||||
Shares Vesting (in shares) | 121,518 | 54,852 | 121,518 | ||||||||||||||||
Shares of Restricted Stock | |||||||||||||||||||
Unvested at end of year (in shares) | 121,518 | 54,852 | 121,518 | ||||||||||||||||
Restricted common stock | January 2017 | |||||||||||||||||||
Summary of restricted common stock vesting dates | |||||||||||||||||||
Shares Vesting (in shares) | 5,060 | 5,060 | |||||||||||||||||
Shares of Restricted Stock | |||||||||||||||||||
Unvested at end of year (in shares) | 5,060 | 5,060 | |||||||||||||||||
Restricted common stock | March 2017 | |||||||||||||||||||
Summary of restricted common stock vesting dates | |||||||||||||||||||
Shares Vesting (in shares) | 66,667 | 66,667 | |||||||||||||||||
Shares of Restricted Stock | |||||||||||||||||||
Unvested at end of year (in shares) | 66,667 | 66,667 | |||||||||||||||||
Restricted common stock | Director | |||||||||||||||||||
Share-Based Payments | |||||||||||||||||||
Awards granted to each of the entity's independent directors (in shares) | 2,088 | 1,629 | 1,500 | ||||||||||||||||
Number of independent directors to whom awards were granted | 3 | 3 | 3 | ||||||||||||||||
Shares of Restricted Stock | |||||||||||||||||||
Granted (in shares) | 1,334 | 6,264 | 4,887 | 4,500 | |||||||||||||||
Restricted common stock | CFO | |||||||||||||||||||
Share-Based Payments | |||||||||||||||||||
Awards vested or to be vested (as a percent) | 33.00% | 33.00% | 33.00% | ||||||||||||||||
Shares of Restricted Stock | |||||||||||||||||||
Granted (in shares) | 15,180 | 10,559 | 10,455 | ||||||||||||||||
Restricted common stock | CFO | January 2016 | |||||||||||||||||||
Share-Based Payments | |||||||||||||||||||
Awards vested or to be vested (as a percent) | 33.00% | 33.00% | |||||||||||||||||
Restricted common stock | CFO | January 2017 | |||||||||||||||||||
Share-Based Payments | |||||||||||||||||||
Awards vested or to be vested (as a percent) | 33.00% | ||||||||||||||||||
Restricted common stock | Western Asset Management Company | |||||||||||||||||||
Share-Based Payments | |||||||||||||||||||
Shares granted as a percentage of aggregate number of shares of common stock sold in the IPO | 0.50% | ||||||||||||||||||
Awards vested or to be vested (as a percent) | 33.00% | 33.00% | 33.00% | 33.00% | |||||||||||||||
Shares of Restricted Stock | |||||||||||||||||||
Granted (in shares) | 51,159 | 200,000 | 150,000 | ||||||||||||||||
Restricted common stock | Western Asset Management Company | May 2015 | |||||||||||||||||||
Share-Based Payments | |||||||||||||||||||
Awards vested or to be vested (as a percent) | 33.00% | ||||||||||||||||||
Restricted common stock | Western Asset Management Company | March 2016 | |||||||||||||||||||
Share-Based Payments | |||||||||||||||||||
Awards vested or to be vested (as a percent) | 33.00% | 33.00% | |||||||||||||||||
Restricted common stock | Western Asset Management Company | March 2017 | |||||||||||||||||||
Share-Based Payments | |||||||||||||||||||
Awards vested or to be vested (as a percent) | 33.00% | ||||||||||||||||||
Equity awards | |||||||||||||||||||
Share-Based Payments | |||||||||||||||||||
Stock-based compensation expense recognized | 423 | ||||||||||||||||||
Unamortized compensation expense | 57 | 57 | |||||||||||||||||
Liability awards | |||||||||||||||||||
Share-Based Payments | |||||||||||||||||||
Unamortized compensation expense | $3,200 | $3,200 | $3,200 |
Stockholders_Equity_Details
Stockholders' Equity (Details) (USD $) | 0 Months Ended | 8 Months Ended | 12 Months Ended | 0 Months Ended | |||
Dec. 19, 2013 | Dec. 31, 2012 | Dec. 31, 2014 | 2-May-14 | Apr. 03, 2014 | Jul. 31, 2014 | Apr. 02, 2014 | |
Shareholders equity | |||||||
Dividends Declared per Share of Common Stock (in dollars per share) | $2.35 | ||||||
Shares received as dividend by shareholder under option of dividend to be paid in stock | 0.159 | ||||||
Cash received per share as dividend by shareholder under option of dividend to be paid in cash | $0.92 | ||||||
Shares received as dividend by shareholder under option of dividend to be paid in cash | 0.097 | ||||||
Common shares issued for dividend | 2,548,784 | ||||||
Exercise price of outstanding warrants (in dollars per share) | 16.7 | 17.59 | |||||
Net proceeds after subtracting underwriting commissions and offering expenses | $461,530,000 | $205,380,000 | |||||
Shares authorized to be repurchased | 2,050,000 | ||||||
Private Placement | Western Asset Management Company | |||||||
Shareholders equity | |||||||
Number of shares or units authorized to be sold | 650,000 | ||||||
Offering price (in dollars per share) | $14.85 | ||||||
Aggregate offering price | 9,700,000 | ||||||
Follow on Public Offering | |||||||
Shareholders equity | |||||||
Number of shares or units authorized to be sold | 13,000,000 | ||||||
Offering price (in dollars per share) | $14.85 | ||||||
Offering expenses | 2,900,000 | ||||||
Additional number of shares to be purchased by underwriters | 1,950,000 | ||||||
Percentage of shares authorized for sale for computation of shares issuable to underwriters | 15.00% | ||||||
Period from agreement date within which shares be purchased by underwriters | 30 days | ||||||
Number of shares exercised by underwriters | 1,000,000 | ||||||
Net proceeds after subtracting underwriting commissions and offering expenses | $205,400,000 |
Net_Income_Loss_per_Common_Sha2
Net Income (Loss) per Common Share (Details) (USD $) | 2 Months Ended | 3 Months Ended | 6 Months Ended | 8 Months Ended | 9 Months Ended | 12 Months Ended | |||||||||||
In Thousands, except Share data, unless otherwise specified | Jun. 30, 2012 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Jun. 30, 2014 | Dec. 31, 2012 | Sep. 30, 2014 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Numerator: | |||||||||||||||||
Net loss attributable to common stockholders and participating securities for basic and diluted earnings per share | $4,261 | $15,444 | $26,136 | $67,574 | ($8,441) | $20,755 | $7,543 | ($27,654) | ($28,499) | $24,822 | $28,194 | $59,133 | $57,277 | $85,269 | $100,713 | ($27,855) | $57,277 |
Less: Dividends and undistributed earnings allocated to participating securities | 234 | 944 | 961 | ||||||||||||||
Net loss allocable to common stockholders - basic and diluted | $57,043 | $99,769 | ($28,816) | ||||||||||||||
Denominator: | |||||||||||||||||
Weighted average common shares outstanding for basic earnings per share | 15,654,453 | 37,337,460 | 24,185,037 | ||||||||||||||
Weighted average diluted shares outstanding (stock awards) | 9,045 | ||||||||||||||||
Weighted average diluted shares outstanding (warrants) | 55,735 | ||||||||||||||||
Weighted average common shares outstanding for diluted earnings per share | 15,719,233 | 37,337,460 | 24,185,037 | ||||||||||||||
Basic earnings per common share (in dollars per share) | $0.41 | $0.37 | $0.63 | $1.68 | ($0.32) | $0.83 | $0.31 | ($1.16) | ($1.18) | $1.04 | $2.73 | $3.64 | $2.67 | ($1.19) | |||
Diluted earnings per common share (in dollars per share) | $0.41 | $0.37 | $0.63 | $1.68 | ($0.32) | $0.83 | $0.31 | ($1.16) | ($1.18) | $1.04 | $2.72 | $3.63 | $2.67 | ($1.19) |
Net_Income_Loss_per_Common_Sha3
Net Income (Loss) per Common Share (Details 2) | 12 Months Ended |
Dec. 31, 2013 | |
Warrants | |
Antidilutive common shares | |
Potential common shares were excluded from diluted earnings per share | 67,257 |
Stock awards | |
Antidilutive common shares | |
Potential common shares were excluded from diluted earnings per share | 13,434 |
Income_Taxes_Details
Income Taxes (Details) (USD $) | 12 Months Ended |
In Thousands, unless otherwise specified | Dec. 31, 2014 |
subsidiary | |
Income Taxes | |
Maximum ownership percentage permitted in TRS | 100.00% |
Number of TRS owned | 1 |
Provision for income taxes | $0 |
Summarized_Quarterly_Results_u1
Summarized Quarterly Results (unaudited) (Details) (USD $) | 2 Months Ended | 3 Months Ended | 6 Months Ended | 8 Months Ended | 9 Months Ended | 12 Months Ended | |||||||||||
In Thousands, except Per Share data, unless otherwise specified | Jun. 30, 2012 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Jun. 30, 2014 | Dec. 31, 2012 | Sep. 30, 2014 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Net Interest Income: | |||||||||||||||||
Interest income | $7,083 | $40,358 | $40,718 | $44,604 | $23,430 | $28,182 | $30,654 | $32,742 | $33,750 | $33,248 | $12,987 | $53,318 | $149,110 | $125,328 | |||
Interest expense | 725 | 6,434 | 6,468 | 5,971 | 3,390 | 4,043 | 4,273 | 4,522 | 5,181 | 5,434 | 1,935 | 8,094 | 22,263 | 18,019 | |||
Net Interest Income | 6,358 | 33,924 | 34,250 | 38,633 | 20,040 | 24,139 | 26,381 | 28,220 | 28,569 | 27,814 | 11,052 | 45,224 | 126,847 | 107,309 | |||
Other Income (Loss): | |||||||||||||||||
Interest income on cash balances and other income (loss), net | 479 | 942 | 24 | -12 | 35 | 11 | 12 | 33 | 9 | 2 | 11 | 1,433 | 91 | ||||
Realized gain (loss) on sale of Mortgage-backed securities and other securities, net | 1,157 | 472 | 4,912 | -11,278 | 3,716 | -46,827 | -46,142 | -6,083 | -11,660 | 12,962 | 6,635 | 20,754 | -2,178 | -110,712 | |||
Other loss on Mortgage-backed securities and other securities | -87 | -9,449 | -2,857 | -2,999 | -1,709 | -3,694 | -2,363 | -3,533 | -2,268 | -1,767 | -1,352 | -3,206 | -17,014 | -11,858 | |||
Unrealized gain (loss) on Mortgage-backed securities, other securities and whole-loans, net | 2,983 | 48,256 | -4,453 | 114,117 | 31,091 | 13,408 | 37,528 | -156,286 | -54,759 | -15,278 | 26,225 | 13,930 | 189,011 | -160,109 | |||
Gain (loss) on linked transactions, net | 204 | -1,241 | 688 | 2,219 | 179 | -547 | 3,909 | 596 | 1,870 | 4,137 | |||||||
Gain (loss) on derivative instruments, net | -5,159 | -53,512 | -401 | -66,677 | -59,906 | 37,042 | -3,809 | 109,474 | 14,840 | 4,298 | -12,245 | -13,106 | -180,496 | 157,547 | |||
Other Income (Loss), net | -1,106 | -13,550 | -3,098 | 33,875 | -24,601 | 143 | -15,322 | -52,507 | -53,218 | 224 | 19,265 | 18,383 | -7,374 | -120,904 | |||
Operating Expenses: | |||||||||||||||||
General and administrative | 584 | 2,424 | 2,253 | 2,375 | 2,075 | 1,684 | 1,484 | 1,541 | 1,737 | 1,292 | 1,321 | 3,197 | 9,127 | 6,446 | |||
Management fee - related party | 407 | 2,506 | 2,763 | 2,559 | 1,805 | 1,843 | 2,032 | 1,826 | 2,113 | 1,924 | 802 | 3,133 | 9,633 | 7,814 | |||
Total Operating Expenses | 991 | 4,930 | 5,016 | 4,934 | 3,880 | 3,527 | 3,516 | 3,367 | 3,850 | 3,216 | 2,123 | 6,330 | 18,760 | 14,260 | |||
Net income (loss) available to Common Stock and participating securities | 4,261 | 15,444 | 26,136 | 67,574 | -8,441 | 20,755 | 7,543 | -27,654 | -28,499 | 24,822 | 28,194 | 59,133 | 57,277 | 85,269 | 100,713 | -27,855 | 57,277 |
Net income(loss) per Common Share - Basic (in dollars per share) | $0.41 | $0.37 | $0.63 | $1.68 | ($0.32) | $0.83 | $0.31 | ($1.16) | ($1.18) | $1.04 | $2.73 | $3.64 | $2.67 | ($1.19) | |||
Net income (loss) per Common Share - Diluted (in dollars per share) | $0.41 | $0.37 | $0.63 | $1.68 | ($0.32) | $0.83 | $0.31 | ($1.16) | ($1.18) | $1.04 | $2.72 | $3.63 | $2.67 | ($1.19) | |||
Earnings per share | |||||||||||||||||
Basic and Diluted Net Loss per share | $1.16 | ||||||||||||||||
As Originally Reported | |||||||||||||||||
Operating Expenses: | |||||||||||||||||
Net income (loss) available to Common Stock and participating securities | $59,133 | $85,269 | |||||||||||||||
Earnings per share | |||||||||||||||||
Basic and Diluted Net Loss per share | $1.14 | ||||||||||||||||
Adjustments | |||||||||||||||||
Earnings per share | |||||||||||||||||
Basic and Diluted Net Loss per share | $0.02 |
Subsequent_Events_Details
Subsequent Events (Details) (Restricted common stock) | 0 Months Ended | 12 Months Ended | 32 Months Ended | 0 Months Ended | ||||||||
Dec. 19, 2013 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2014 | Mar. 01, 2015 | 15-May-14 | Mar. 12, 2014 | Mar. 01, 2014 | 15-May-13 | Mar. 01, 2013 | 15-May-12 | Feb. 19, 2015 | |
Subsequent events | ||||||||||||
Granted (in shares) | 19,565 | 223,683 | 186,403 | 454,338 | ||||||||
Western Asset Management Company | ||||||||||||
Subsequent events | ||||||||||||
Granted (in shares) | 200,000 | 150,000 | 51,159 | |||||||||
Awards vested or to be vested (as a percent) | 33.00% | 33.00% | 33.00% | 33.00% | ||||||||
March 2016 | Western Asset Management Company | ||||||||||||
Subsequent events | ||||||||||||
Awards vested or to be vested (as a percent) | 33.00% | 33.00% | ||||||||||
March 2017 | Western Asset Management Company | ||||||||||||
Subsequent events | ||||||||||||
Awards vested or to be vested (as a percent) | 33.00% | |||||||||||
Subsequent Event | Western Asset Management Company | ||||||||||||
Subsequent events | ||||||||||||
Granted (in shares) | 200,000 | |||||||||||
Subsequent Event | March 2016 | Western Asset Management Company | ||||||||||||
Subsequent events | ||||||||||||
Awards vested or to be vested (as a percent) | 33.00% | |||||||||||
Subsequent Event | March 2017 | Western Asset Management Company | ||||||||||||
Subsequent events | ||||||||||||
Awards vested or to be vested (as a percent) | 33.00% | |||||||||||
Subsequent Event | March 2018 | Western Asset Management Company | ||||||||||||
Subsequent events | ||||||||||||
Awards vested or to be vested (as a percent) | 33.00% |
Schedule_IV_Mortgage_Loans_on_1
Schedule IV Mortgage Loans on Real Estate (Details) (Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts, USD $) | 12 Months Ended |
In Thousands, unless otherwise specified | Dec. 31, 2014 |
Mortgage Loans on Real Estate | |
Face Amount of Mortgages | $7,035 |
Carrying Amount of Mortgages | 7,220 |
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | |
New mortgage loans | 7,161 |
Unrealized gains | 94 |
Collections of principal | 9 |
Amortization of premium and (discounts) | 25 |
Unrealized losses | 1 |
Balance at end of period | 7,220 |
Original Loan Balance $1,500,000 | |
Mortgage Loans on Real Estate | |
Number of Loans | 1 |
Interest Rate | 5.00% |
Face Amount of Mortgages | 1,500 |
Carrying Amount of Mortgages | 1,542 |
Period for interest only Payments | 5 years |
Original Loan Balance $0 - $499,999 | |
Mortgage Loans on Real Estate | |
Number of Loans | 10 |
Face Amount of Mortgages | 1,346 |
Carrying Amount of Mortgages | 1,378 |
Original Loan Balance $0 - $499,999 | Minimum | |
Mortgage Loans on Real Estate | |
Interest Rate | 4.80% |
Original Loan Balance $0 - $499,999 | Maximum | |
Mortgage Loans on Real Estate | |
Interest Rate | 7.70% |
Original Loan Balance $780,000 | |
Mortgage Loans on Real Estate | |
Number of Loans | 1 |
Interest Rate | 4.80% |
Face Amount of Mortgages | 778 |
Carrying Amount of Mortgages | 782 |
Period for interest only Payments | 5 years |
Original Loan Balance $704,400 | |
Mortgage Loans on Real Estate | |
Number of Loans | 1 |
Interest Rate | 5.90% |
Face Amount of Mortgages | 704 |
Carrying Amount of Mortgages | 736 |
Period for interest only Payments | 5 years |
Original Loan Balance $700,000 | |
Mortgage Loans on Real Estate | |
Number of Loans | 1 |
Interest Rate | 4.70% |
Face Amount of Mortgages | 700 |
Carrying Amount of Mortgages | 722 |
Period for interest only Payments | 5 years |
Original Loan Balance $650,000 | |
Mortgage Loans on Real Estate | |
Number of Loans | 1 |
Interest Rate | 6.20% |
Face Amount of Mortgages | 649 |
Carrying Amount of Mortgages | 673 |
Original Loan Balance $431,250 | |
Mortgage Loans on Real Estate | |
Number of Loans | 1 |
Interest Rate | 6.90% |
Face Amount of Mortgages | 431 |
Carrying Amount of Mortgages | 455 |
Original Loan Balance $405,000 | |
Mortgage Loans on Real Estate | |
Number of Loans | 1 |
Interest Rate | 6.90% |
Face Amount of Mortgages | 404 |
Carrying Amount of Mortgages | 400 |
Original Loan Balance $303,000 | |
Mortgage Loans on Real Estate | |
Number of Loans | 1 |
Interest Rate | 5.00% |
Face Amount of Mortgages | 302 |
Carrying Amount of Mortgages | 299 |
Original Loan Balance $221,250 | |
Mortgage Loans on Real Estate | |
Number of Loans | 1 |
Interest Rate | 8.50% |
Face Amount of Mortgages | 221 |
Carrying Amount of Mortgages | $233 |