Document_And_Entity_Informatio
Document And Entity Information | 9 Months Ended | |
Sep. 30, 2013 | Oct. 29, 2013 | |
Document and Entity Information [Abstract] | ||
Entity Registrant Name | JAVELIN MORTGAGE INVESTMENT CORP. | |
Document Type | 10-Q | |
Current Fiscal Year End Date | -19 | |
Entity Common Stock, Shares Outstanding | 13,500,050 | |
Amendment Flag | FALSE | |
Entity Central Index Key | 1552890 | |
Entity Current Reporting Status | Yes | |
Entity Voluntary Filers | No | |
Entity Filer Category | Non-accelerated Filer | |
Entity Well-known Seasoned Issuer | No | |
Document Period End Date | 30-Sep-13 | |
Document Fiscal Year Focus | 2013 | |
Document Fiscal Period Focus | Q3 |
Condensed_Balance_Sheets_Unaud
Condensed Balance Sheets (Unaudited) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | ||
In Thousands, unless otherwise specified | ||||
Assets | ||||
Cash | $33,305 | $36,316 | ||
Cash collateral posted | 9,446 | [1] | 273 | [1] |
Agency Securities, available for sale, at fair value (including pledged securities of $1,250,804 and $1,087,452) | 1,275,843 | 1,112,358 | ||
Non-Agency Securities, trading, at fair value (including pledged securities of $144,633 and $129,946) | 145,965 | 129,946 | ||
Linked Transactions, net, at fair value (including pledged securities of $121,198) | 19,815 | |||
Derivatives, at fair value | 46,263 | [1] | 4,940 | [1] |
Accrued interest receivable | 3,569 | 2,759 | ||
Prepaid and other assets | 3,229 | 171 | ||
Total Assets | 1,537,435 | 1,286,763 | ||
Liabilities: | ||||
Repurchase agreements | 1,285,034 | 1,135,830 | ||
Cash collateral held | 52,885 | [1] | 1,426 | [1] |
Derivatives, at fair value | [1] | 365 | [1] | |
Accrued interest payable | 712 | 844 | ||
Accounts payable and other accrued expenses | 482 | 251 | ||
Total Liabilities | 1,339,113 | 1,138,716 | ||
Stockholders’ Equity: | ||||
Preferred stock, $0.001 par value, 25,000 shares authorized, none issued and outstanding at September 30, 2013 and December 31, 2012 | 0 | 0 | ||
Common stock, $0.001 par value, 250,000 shares authorized, 13,500 and 7,500 shares issued and outstanding at September 30, 2013 and December 31, 2012 | 14 | 8 | ||
Additional paid-in capital | 263,175 | 149,993 | ||
Retained earnings (Accumulated deficit) | -7,782 | 2,648 | ||
Accumulated other comprehensive loss | -57,085 | -4,602 | ||
Total Stockholders’ Equity | 198,322 | 148,047 | ||
Total Liabilities and Stockholders’ Equity | $1,537,435 | $1,286,763 | ||
[1] | See Note 5, "Fair Value of Financial Instruments" for additional discussion. |
Condensed_Balance_Sheets_Unaud1
Condensed Balance Sheets (Unaudited) (Parentheticals) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, except Share data, unless otherwise specified | ||
Preferred stock, par value (in Dollars per share) | $0.00 | $0.00 |
Preferred stock, shares authorized (in Shares) | 25,000,000 | 25,000,000 |
Preferred stock, shares issued (in Shares) | 0 | 0 |
Preferred stock, shares outstanding (in Shares) | 0 | 0 |
Common Stock, par value (in Dollars per share) | $0.00 | $0.00 |
Common Stock, shares authorized (in Shares) | 250,000,000 | 250,000,000 |
Common Stock, shares issued (in Shares) | 13,500,000 | 7,500,000 |
Common Stock, shares outstanding (in Shares) | 13,500,050 | 7,500,050 |
US Government Agencies Debt Securities [Member] | ||
Plеdgеd assеts (in Dollars) | $1,250,804 | $1,087,452 |
Non-Agency Securities [Member] | ||
Plеdgеd assеts (in Dollars) | $144,633 | $129,946 |
Condensed_Statement_of_Operati
Condensed Statement of Operations (Unaudited) (USD $) | 3 Months Ended | 9 Months Ended | ||||
In Thousands, except Per Share data, unless otherwise specified | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | ||
Interest Income: | ||||||
Agency Securities, net of amortization of premium | $9,834 | $26,314 | ||||
Non-Agency Securities, including discount accretion | 2,105 | 5,797 | ||||
Total Interest Income | 11,939 | 32,111 | ||||
Interest expense | -2,001 | -5,643 | ||||
Net interest income | 9,938 | 26,468 | ||||
Other Income (Loss): | ||||||
Realized loss on sale of Agency Securities | -48,554 | -48,554 | ||||
Gain (loss) on Non-Agency Securities | 734 | -2,691 | ||||
Gain on short sale of U.S. Treasury Securities | 3,739 | 633 | ||||
Unrealized net gain (loss) and net interest income from Linked Transactions | 724 | -1,573 | ||||
Subtotal | -43,357 | -52,185 | ||||
Realized loss on derivatives (1) | -2,673 | [1] | [1] | -5,612 | ||
Unrealized gain on derivatives | 269 | 46,894 | ||||
Subtotal | -2,404 | 41,282 | ||||
Total Other Loss | -45,761 | -10,903 | ||||
Expenses: | ||||||
Management fee | 988 | 2,341 | ||||
Professional fees | 139 | 472 | ||||
Insurance | 57 | 169 | ||||
Board compensation | 67 | 217 | ||||
Other | 143 | 369 | ||||
Total expenses | 1,394 | 3,568 | ||||
Net income (loss) before taxes | -37,217 | 11,997 | ||||
Income tax expense | -2 | |||||
Net Income (Loss) | -37,217 | 11,995 | ||||
Net Income (Loss) per common share (Note 14): (in Dollars per share) | ($1.20) | ($2.76) | ($1.20) | $1.13 | ||
Weighted average common shares outstanding (in Shares) | 13,500 | 10,599 | ||||
Dividends | ||||||
Common stock dividends declared | $9,315 | $22,425 | ||||
Common stock dividends declared per share (in Dollars per share) | $0.69 | $2.07 | ||||
Common shares of record-end of period (in Shares) | 13,500 | 13,500 | ||||
[1] | Interest expense related to our interest rate swap contracts is recorded in realized loss on derivatives on the condensed statements of operations. For additional information, see Note 10 to the condensed financial statements. |
Condensed_Statement_of_Compreh
Condensed Statement of Comprehensive Income (Unaudited) (USD $) | 3 Months Ended | 9 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2013 |
Net Income (Loss) | ($37,217) | $11,995 |
Other comprehensive income : | ||
Reclassification adjustment for realized loss on sale of Agency Securities | 48,554 | 48,554 |
Net unrealized loss on available for sale Agency Securities | -7,736 | -101,037 |
Other comprehensive income (loss) | 40,818 | -52,483 |
Comprehensive Income (Loss) | $3,601 | ($40,488) |
Condensed_Statement_of_Stockho
Condensed Statement of Stockholders' Equity (Unaudited) (USD $) | Common Stock [Member] | Additional Paid-in Capital [Member] | Retained Earnings [Member] | Accumulated Other Comprehensive Income (Loss) [Member] | Total |
In Thousands, except Share data | |||||
Balance at Dec. 31, 2012 | $8 | $149,993 | $2,648 | ($4,602) | $148,047 |
Balance (in Shares) at Dec. 31, 2012 | 7,500,000 | ||||
Common stock dividends declared | -22,425 | -22,425 | |||
Issuance of common stock, net | 6 | 113,182 | 113,188 | ||
Issuance of common stock, net (in Shares) | 6,000,000 | 6,000,000 | |||
Net income | 11,995 | 11,995 | |||
Other comprehensive loss | -52,483 | -52,483 | |||
Balance at Sep. 30, 2013 | $14 | $263,175 | ($7,782) | ($57,085) | $198,322 |
Balance (in Shares) at Sep. 30, 2013 | 13,500,000 |
Condensed_Statements_of_Cash_F
Condensed Statements of Cash Flows (Unaudited) (USD $) | 9 Months Ended |
Sep. 30, 2013 | |
Cash Flows From Operating Activities: | |
Net income | $11,995,000 |
Adjustments to reconcile net income to net cash provided by operating activities: | |
Accretion (amortization) of discounts and premiums, investments | 727,000 |
Loss on Non-Agency Securities | 2,691,000 |
Realized loss on sale of Agency Securities | 48,554,000 |
Unrealized net loss and net interest income from Linked Transactions | 1,573,000 |
Gain on short sale of U.S. Treasury Securities | -633,000 |
Changes in operating assets and liabilities: | |
Increase in accrued interest receivable | -810,000 |
Increase in prepaid and other assets | -3,058,000 |
Increase in derivatives, at fair value | -41,688,000 |
Decrease in accrued interest payable | -132,000 |
Increase in accounts payable and other accrued expenses | 231,000 |
Net cash provided by operating activities | 24,014,000 |
Cash Flows From Investing Activities: | |
Purchases of Agency Securities | -899,127,000 |
Purchases of Non-Agency Securities | -36,332,000 |
Cash disbursements on Linked Transactions | -21,388,000 |
Principal repayments of Agency Securities | 75,637,000 |
Principal repayments of Non-Agency Securities | 16,895,000 |
Proceeds from sales of Agency Securities | 554,404,000 |
Disbursements on reverse repurchase agreements | -1,265,400,000 |
Receipts from reverse repurchase agreements | 1,265,400,000 |
Decrease in cash collateral | 42,286,000 |
Net cash used in investing activities | -267,625,000 |
Cash Flows From Financing Activities: | |
Issuance of common stock, net of expenses | 113,188,000 |
Common stock dividends paid | -22,425,000 |
Net cash provided by financing activities | 240,600,000 |
Net increase (decrease) in cash | -3,011,000 |
Cash - beginning of period | 36,316,000 |
Cash - end of period | 33,305,000 |
Supplemental Disclosure: | |
Cash paid during the period for interest | 6,375,000 |
Non-Cash Investing and Financing Activities: | |
Unrealized loss on investment in available for sale Agency Securities | -101,037,000 |
Angency Securities [Member] | |
Adjustments to reconcile net income to net cash provided by operating activities: | |
Accretion (amortization) of discounts and premiums, investments | 4,564,000 |
Non-Agency Securities [Member] | |
Adjustments to reconcile net income to net cash provided by operating activities: | |
Accretion (amortization) of discounts and premiums, investments | 727,000 |
Proceeds [Member] | |
Cash Flows From Financing Activities: | |
Proceeds from (payments for) repurchase agreements | 7,331,410,000 |
Proceeds from (payments for) U.S. Treasury Securities | 301,512,000 |
Payments [Member] | |
Cash Flows From Financing Activities: | |
Proceeds from (payments for) repurchase agreements | -7,182,206,000 |
Proceeds from (payments for) U.S. Treasury Securities | ($300,879,000) |
Note_1_Basis_of_Presentation
Note 1 - Basis of Presentation | 9 Months Ended |
Sep. 30, 2013 | |
Disclosure Text Block [Abstract] | |
Basis of Accounting [Text Block] | Note 1 – Basis of Presentation |
The accompanying financial statements have been prepared in accordance with generally accepted accounting principles in the United States (“GAAP”) for interim financial information and with the instructions to Form 10-Q and Rule 1001 of Regulation S-X promulgated by the Securities and Exchange Commission (the “SEC”). Accordingly, they do not include all of the information and footnotes required by GAAP for complete financial statements. In the opinion of management, all adjustments (consisting of only normal recurring accruals) considered necessary for a fair presentation have been included. Operating results for the quarter and nine months ended September 30, 2013 are not necessarily indicative of the results that may be expected for the calendar year ending December 31, 2013. These unaudited financial statements should be read in conjunction with the audited financial statements and notes thereto included in our annual report on Form 10-K for the year ended December 31, 2012. | |
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. Significant estimates affecting the accompanying financial statements include the valuation of MBS (as defined below) and derivative instruments. |
Note_2_Organization_and_Nature
Note 2 - Organization and Nature of Business Operations | 9 Months Ended |
Sep. 30, 2013 | |
Disclosure Text Block [Abstract] | |
Nature of Operations [Text Block] | Note 2 – Organization and Nature of Business Operations |
References to “we,” “us,” “our,” "JAVELIN" or the “Company” are to JAVELIN Mortgage Investment Corp. References to "ARRM" are to ARMOUR Residential Management LLC, a Delaware limited liability company. | |
We are an externally managed Maryland corporation formed on June 18, 2012 and managed by ARRM (see Note 16, “Related Party Transactions” for additional discussion). On June 21, 2012, an initial capital contribution of $1,000 was made to us and we issued 50 shares of common stock. On September 24, 2012, we filed Articles of Amendment and Restatement ("Articles") with the Maryland State Department of Assessments and Taxation, which increased our authorized shares of common stock, par value $0.001 per share, from 1,000 shares to 250,000,000 shares and authorized 25,000,000 shares of preferred stock, par value $0.001 per share, for issuance. The registration statement for our initial public offering (“IPO”) was declared effective on October 2, 2012. On October 3, 2012, our common stock commenced trading on the New York Stock Exchange under the symbol “JMI”. We commenced operations upon consummation of our IPO and concurrent private placement (the “Private Placement”) of our common stock on October 9, 2012. Pursuant to our IPO and Private Placement, we sold to the public 7,250,000 shares of common stock and sold 250,000 shares of common stock to Staton Bell Blank Check LLC (the “Sub-Manager”), an entity jointly owned by two of our directors, at a price of $20.00 per share. Net proceeds from the IPO and Private Placement totaled $150.0 million. On November 2, 2012, the underwriters in the IPO decided not to exercise their over-allotment option to purchase up to an additional 1,087,500 shares of common stock. | |
We invest primarily in fixed rate and hybrid adjustable rate mortgage backed securities. Some of these securities are issued or guaranteed by a United States (“U.S.”) Government-sponsored entity (“GSE”), such as the Federal National Mortgage Association (Fannie Mae), the Federal Home Loan Mortgage Corporation (Freddie Mac), or guaranteed by the Government National Mortgage Administration (Ginnie Mae) (collectively, “Agency Securities”). Other securities backed by residential mortgages in which we invest, for which the payment of principal and interest is not guaranteed by a GSE or government agency (collectively, “Non-Agency Securities” and together with Agency Securities, “MBS”), may benefit from credit enhancement derived from structural elements such as subordination, overcollateralization or insurance. We also may invest in collateralized commercial mortgage backed securities and other mortgage related investments, including mortgage loans, mortgage related derivatives and mortgage servicing rights. From time to time, a portion of our assets may be invested in unsecured notes and bonds issued by GSEs (collectively, “Agency Debt”), U.S. Treasuries and money market instruments, subject to certain income tests we must satisfy for our qualification as a real estate investment trust (“REIT”). Our charter permits us to invest in Agency Securities and Non-Agency Securities. | |
We have elected to be taxed as a REIT under the Internal Revenue Code (the “Code”). Our qualification as a REIT depends on our ability to meet, on a continuing basis, various complex requirements under the Code relating to, among other things, the sources of our gross income, the composition and values of our assets, our distribution levels and the concentration of ownership of our capital stock. We believe that we are organized in conformity with the requirements for qualification as a REIT under the Code and our manner of operations enables us to meet the requirements for taxation as a REIT for federal income tax purposes. | |
As a REIT, we will generally not be subject to federal income tax on the taxable REIT income that we currently distribute to our stockholders. If we fail to qualify as a REIT in any taxable year and do not qualify for certain statutory relief provisions, we will be subject to federal income tax at regular corporate rates. Even if we qualify as a REIT for federal income tax purposes, we may still be subject to some federal, state and local taxes on our income. |
Note_3_Summary_of_Significant_
Note 3 - Summary of Significant Accounting Policies | 9 Months Ended | ||||||||
Sep. 30, 2013 | |||||||||
Accounting Policies [Abstract] | |||||||||
Significant Accounting Policies [Text Block] | Note 3 – Summary of Significant Accounting Policies | ||||||||
Cash | |||||||||
Cash includes cash on deposit with financial institutions. We may maintain deposits in federally insured financial institutions in excess of federally insured limits. However, management believes we are not exposed to significant credit risk due to the financial position and creditworthiness of the depository institutions in which those deposits are held. | |||||||||
Cash Collateral Posted/Held | |||||||||
The following table presents information related to margin collateral posted (held) for MBS, interest rate swap contracts and interest rate swaptions which are included in cash collateral on the accompanying condensed balance sheets as of September 30, 2013 and December 31, 2012. | |||||||||
30-Sep-13 | |||||||||
Assets at | Liabilities at | ||||||||
Fair Value (1) | Fair Value (1) | ||||||||
(in thousands) | |||||||||
MBS | $ | 9,446 | $ | (9,346 | ) | ||||
Interest rate swap contracts | - | (35,481 | ) | ||||||
Interest rate swaptions | - | (8,058 | ) | ||||||
Totals | $ | 9,446 | $ | (52,885 | ) | ||||
-1 | See Note 5, “Fair Value of Financial Instruments” for additional discussion. | ||||||||
31-Dec-12 | |||||||||
Assets at | Liabilities at | ||||||||
Fair Value (1) | Fair Value (1) | ||||||||
(in thousands) | |||||||||
Interest rate swap contracts | $ | 273 | $ | - | |||||
Interest rate swaptions | - | (1,426 | ) | ||||||
Totals | $ | 273 | $ | (1,426 | ) | ||||
-1 | See Note 5, “Fair Value of Financial Instruments” for additional discussion. | ||||||||
MBS, at Fair Value | |||||||||
We generally intend to hold most of our MBS for extended periods of time. We may, from time to time, sell any of our MBS as part of the overall management of our MBS portfolio. Management determines the appropriate classifications of the securities at the time they are acquired and evaluates the appropriateness of such classifications at each balance sheet date. | |||||||||
Purchases and sales of our MBS are recorded on the trade date. However, if on the purchase settlement date, a repurchase agreement is used to finance the purchase of an MBS with the same counterparty and such transactions are determined to be linked, then the MBS and linked repurchase borrowing will be reported on the same settlement date as Linked Transactions (see below). | |||||||||
Agency Securities | |||||||||
As of September 30, 2013 and December 31, 2012, all of our Agency Securities were classified as available for sale securities. Agency Securities classified as available for sale are reported at their estimated fair values with unrealized gains and losses excluded from earnings and reported in net unrealized loss on available for sale securities in the statements of comprehensive income. | |||||||||
We evaluate Agency Securities for other than temporary impairment at least on a quarterly basis and more frequently when economic or market concerns warrant such evaluation. We consider an impairment to be other than temporary if we (1) have the intent to sell the Agency Securities, (2) believe it is more likely than not that we will be required to sell the securities before recovery (for example, because of liquidity requirements or contractual obligations) or (3) a credit loss exists. | |||||||||
Non-Agency Securities | |||||||||
As of September 30, 2013 and December 31, 2012, all of our Non-Agency Securities were classified as trading securities. Non-Agency Securities classified as trading are reported at their estimated fair values with unrealized gains and losses included in other income (loss) as a component of the statements of operations. We estimate future cash flows for each Non-Agency Security and then discount those cash flows based on our estimates of current market yield for each individual security. We then compare our calculated price with our pricing services and dealer marks. Our estimates for future cash flows and current market yields incorporate such factors as coupons, prepayment speeds, defaults, delinquencies and severities. | |||||||||
Accrued Interest Receivable and Payable | |||||||||
Accrued interest receivable includes interest accrued between payment dates on MBS. Accrued interest payable includes interest payable on our repurchase agreements. | |||||||||
Repurchase Agreements | |||||||||
We finance the acquisition of our MBS through the use of repurchase agreements. Our repurchase agreements are secured by our MBS and bear interest rates that have historically moved in close relationship to the Federal Funds Rate and the London Interbank Offered Rate (“LIBOR”). Under these repurchase agreements, we sell MBS to a lender and agree to repurchase the same MBS in the future for a price that is higher than the original sales price. The difference between the sales price that we receive and the repurchase price that we pay represents interest paid to the lender. A repurchase agreement operates as a financing arrangement (with the exception of repurchase agreements accounted for as a component of a Linked Transaction described below) under which we pledge our MBS as collateral to secure a loan which is equal in value to a specified percentage of the estimated fair value of the pledged collateral. We retain beneficial ownership of the pledged collateral. At the maturity of a repurchase agreement, we are required to repay the loan and concurrently receive back our pledged collateral from the lender or, with the consent of the lender, we may renew such agreement at the then prevailing interest rate. The repurchase agreements may require us to pledge additional assets to the lender in the event the estimated fair value of the existing pledged collateral declines. | |||||||||
In addition to the repurchase agreement financing discussed above we have entered into reverse repurchase agreements with certain of our repurchase agreement counterparties. Under a typical reverse repurchase agreement, we purchase U.S. Treasury Securities from a borrower in exchange for cash and agree to sell the same securities in the future in exchange for a price that is higher than the original purchase price. The difference between the purchase price originally paid and the sale price represents interest received from the borrower. Reverse repurchase agreement receivables and repurchase agreement liabilities are presented net when they meet certain criteria, including being with the same counterparty, being governed by the same master repurchase agreement ("MRA"), settlement through the same brokerage or clearing account and maturing on the same day. | |||||||||
Obligations to Return Securities Received as Collateral, at Fair Value | |||||||||
We also sell to third parties the U.S. Treasury Securities received as collateral for reverse repurchase agreements and recognize the resulting obligation to return said U.S. Treasury Securities as a liability on our condensed balance sheet. Interest is recorded on the repurchase agreements, reverse repurchase agreements and U.S. Treasury Securities on an accrual basis and presented as net interest expense. Both parties to the transaction have the right to make daily margin calls based on changes in the fair value of the collateral received and/or pledged. | |||||||||
Derivatives, at Fair Value | |||||||||
We recognize all derivatives as either assets or liabilities at fair value on our condensed balance sheets. We do not designate our derivatives as cash flow hedges, which, among other factors, would require us to match the pricing dates of both derivatives and repurchase agreements. Operational issues and credit market volatility make such matching impractical for us. Since we have not elected cash flow hedge accounting treatment as allowed by GAAP, all changes in the fair values of our derivatives are reflected in our condensed statements of operations. Accordingly, our operating results may reflect greater volatility than otherwise would be the case, because gains or losses on derivatives may not be offset by changes in the fair value or cash flows of the transaction within the same accounting period or ever. Consequently, any declines in the fair value of our derivatives result in a charge to earnings. We will continue to designate derivatives as hedges for tax purposes and any unrealized derivative gains or losses would not affect our distributable net taxable income. | |||||||||
Linked Transactions | |||||||||
The initial purchase of Non-Agency Securities and the related contemporaneous repurchase financing of such MBS with the same counterparty are considered part of the same arrangement, or a “Linked Transaction,” when certain criteria are met. The components of a Linked Transaction are evaluated on a combined basis and in totality, accounted for as a forward contract and reported as “Linked Transactions” on our condensed balance sheets. Changes in the fair value of the assets and liabilities underlying Linked Transactions and associated interest income and expense are reported as “unrealized net gains (losses) and net interest income from Linked Transactions” on our condensed statements of operations and are not included in other comprehensive income. When certain criteria are met, the initial transfer (i.e., the purchase of a security) and repurchase financing will no longer be treated as a Linked Transaction and will be evaluated and reported separately, as a MBS purchase and repurchase financing. | |||||||||
Credit Risk | |||||||||
We have limited our exposure to credit losses on our Agency Securities in our MBS portfolio. The payment of principal and interest on the Fannie Mae and Freddie Mac Agency Securities are guaranteed by those respective agencies and the payment of principal and interest on the Ginnie Mae Agency Securities are backed by the full faith and credit of the U.S. Government. | |||||||||
In September 2008, both Fannie Mae and Freddie Mac were placed in the conservatorship of the U.S. Government. On August 5, 2011, Standard & Poor’s Corporation downgraded the U.S. Government’s credit rating from AAA to AA+ and on August 8, 2011, Fannie Mae and Freddie Mac’s credit ratings were downgraded from AAA to AA+. Fannie Mae and Freddie Mac remain in conservatorship of the U.S. Government. There can be no assurances as to how or when the U.S. Government will end these conservatorships or how the future profitability of Fannie Mae and Freddie Mac and any future credit rating actions may impact the credit risk associated with Agency Securities and, therefore, the value of the Agency Securities in our MBS portfolio. | |||||||||
We purchase Non-Agency Securities at prices which incorporate our expectations for prepayment speeds, defaults, delinquencies and severities. These expectations determine the yields we receive on our assets. If actual prepayment speeds, defaults, delinquencies and severities are different from our expectations, our actual yields could be higher or lower. | |||||||||
Market Risk | |||||||||
Weakness in the mortgage market may adversely affect the performance and market value of our investments. This could negatively impact our book value. Furthermore, if our lenders are unwilling or unable to provide additional financing, we could be forced to sell our MBS at an inopportune time when prices are depressed. | |||||||||
Preferred Stock | |||||||||
We are authorized to issue 25,000,000 shares of preferred stock, par value $0.001 per share, with such designations, voting and other rights and preferences as may be determined from time to time by the Board of Directors ("Board") or a committee thereof. We have not issued any preferred stock to date. | |||||||||
Common Stock | |||||||||
At September 30, 2013, we were authorized to issue up to 250,000,000 shares of common stock, par value $0.001 per share, with such designations, voting and other rights and preferences as may be determined from time to time by our Board. We had 13,500,050 shares of common stock issued and outstanding at September 30, 2013 and 7,500,050 issued and outstanding at December 31, 2012. | |||||||||
Revenue Recognition | |||||||||
Interest income is earned and recognized on Agency Securities based on their unpaid principal amounts and their contractual terms. Premiums and discounts associated with the purchase of Agency Securities are amortized or accreted into interest income over the actual lives of the securities. | |||||||||
Interest income on Non-Agency Securities is recognized using the effective yield method over the life of the securities based on the future cash flows expected to be received. Future cash flow projections and related effective yields are determined for each security and updated quarterly. Other than temporary impairments, which establish a new cost basis in the security for purposes of calculating effective yields, are recognized when the fair value of a security is less than its cost basis and there has been an adverse change in the future cash flows expected to be received. Other changes in future cash flows expected to be received are recognized prospectively over the remaining life of the security. | |||||||||
Comprehensive Income (loss) | |||||||||
Comprehensive income (loss) refers to changes in equity during a period from transactions and other events and circumstances from non-owner sources. It includes all changes in equity during a period except those resulting from investments by owners and distributions to owners. | |||||||||
Reclassification | |||||||||
Cash collateral positions have been presented separately in the December 31, 2012 balance sheet to conform to the current presentation. No other reclassifications have been made to previously reported amounts. |
Note_4_Recent_Accounting_Prono
Note 4 - Recent Accounting Pronouncements | 9 Months Ended |
Sep. 30, 2013 | |
Recent Accounting Pronouncements [Abstract] | |
Recent Accounting Pronouncements [Text Block] | Note 4 – Recent Accounting Pronouncements |
Accounting Standards Adopted in 2013 | |
In January 2013, the Financial Accounting Standards Board (“FASB”) issued ASU 2013-01, Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities, Balance Sheet (Topic 210). This update to ASU 2011-11 addressed implementation issues and applied to derivatives accounted for in accordance with Topic 815, Derivatives and Hedging, including bifurcated embedded derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are either offset in accordance with ASC 210-20-45 or ASC 815-10-45 or subject to an enforceable master netting arrangement or similar agreement. The guidance was effective January 1, 2013 and was applied retrospectively. This guidance did not affect the presentation of Derivatives, at fair value on our condensed balance sheets. | |
In February 2013, the FASB issued ASU 2013-02, Reporting of Amounts Reclassified Out of Accumulated Other Comprehensive Income, Comprehensive Income (Topic 220). This update to ASU 2011-12 addressed improving the reporting of reclassifications out of accumulated other comprehensive income by requiring reporting of the effect of significant reclassifications out of accumulated net income if the amount being reclassified is required under GAAP to be classified in its entirety to net income. For amounts not required to be reclassified in their entirety to net income in the same reporting period, an entity is required to cross-reference other disclosures required under GAAP that provide additional detail about these amounts. The update did not change the current requirements for reporting net income or other comprehensive income and resulted in additional disclosure but had no significant effect on our condensed financial statements. The guidance was effective for reporting periods beginning after December 15, 2012 and was applied prospectively. | |
In July 2013, the FASB issued ASU 2013-10, Derivatives and Hedging (Topic 815), Inclusion of the Fed Funds Effective Swap Rate (or Overnight Index Swap Rate) as a Benchmark Interest Rate for Hedge Accounting Purposes(a consensus of the FASB Emerging Issues Task Force).Because we do not currently use hedge accounting for our derivative positions this addition to Topic 815 will not affect our financial statements. |
Note_5_Fair_Value_of_Financial
Note 5 - Fair Value of Financial Instruments | 9 Months Ended | ||||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||||
Fair Value Disclosures [Abstract] | |||||||||||||||||||||
Fair Value Disclosures [Text Block] | Note 5 – Fair Value of Financial Instruments | ||||||||||||||||||||
Our valuation techniques for financial instruments are based on observable and unobservable inputs. Observable inputs reflect readily obtainable data from third-party sources, while unobservable inputs reflect management’s market assumptions. The ASC Topic No. 820 “Fair Value Measurement” classifies these inputs into the following hierarchy: | |||||||||||||||||||||
Level 1 Inputs - Quoted prices for identical instruments in active markets. | |||||||||||||||||||||
Level 2 Inputs - Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. | |||||||||||||||||||||
Level 3 Inputs - Prices determined using significant unobservable inputs. Unobservable inputs may be used in situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period). Unobservable inputs reflect management’s assumptions about the factors that market participants would use in pricing an asset or liability, and would be based on the best information available. | |||||||||||||||||||||
The following describes the valuation methodologies used for our assets and liabilities measured at fair value, as well as the general classification of such instruments pursuant to the valuation hierarchy. Any transfers between levels are assumed to occur at the beginning of the reporting period. | |||||||||||||||||||||
Cash - Cash includes cash on deposit with financial institutions. The carrying amount of cash is deemed to be its fair value and is classified as Level 1. Cash balances posted to or held by counterparties as collateral are classified as Level 2. | |||||||||||||||||||||
Agency Securities Available for Sale - Fair value for the Agency Securities in our MBS portfolio is based on obtaining a valuation for each Agency Security from third-party pricing services and dealer quotes. The third-party pricing services use common market pricing methods that may include pricing models that may incorporate such factors as coupons, prepayment speeds, spread to the Treasury curves and interest rate swap curves, duration, periodic and life caps and credit enhancement. If the fair value of an Agency Security is not available from the third-party pricing services or such data appears unreliable, we obtain valuations from up to three dealers who make markets in similar Agency Securities. In general, the dealers incorporate common market pricing methods, including a spread measurement to the Treasury curve or interest rate swap curve as well as underlying characteristics of the particular Agency Security including coupon, periodic and life caps, collateral type, rate reset period and seasoning or age of the Agency Security. Management reviews pricing used to ensure that current market conditions are properly reflected. This review includes, but is not limited to, comparisons of similar market transactions or alternative third-party pricing services, dealer quotes and comparisons to a third-party pricing model. Fair values obtained from the third-party pricing services for similar instruments are classified as Level 2 securities if the inputs to the pricing methods used are consistent with the Level 2 definition. If quoted prices for a security are not reasonably available from the third-party pricing service, but dealer quotes are, the security will be classified as a Level 2 security. If neither is available, management will determine the fair value based on characteristics of the security that we receive from the issuer and based on available market information received from dealers and classify it as a Level 3 security. As of September 30, 2013 and December 31, 2012, all of our Agency Security fair values are based solely on third-party pricing services and dealer quotes and therefore were classified as Level 2. | |||||||||||||||||||||
Non-Agency Securities Trading - The fair value for the Non-Agency Securities in our MBS portfolio is based on estimates prepared by our Portfolio Management group, which organizationally reports to our Chief Investment Officer. In preparing the estimates, our Portfolio Management group uses commercially available and proprietary models and data as well as market intelligence gained from discussions with, and transactions by, other market participants. We estimate the fair value of our Non-Agency Securities by estimating the future cash flows for each Non-Agency Security and then discounting those cash flows based on our estimates of current market yield for each individual security. Our estimates for future cash flows and current market yields incorporate such factors as collateral type, bond structure and priority of payments, coupons, prepayment speeds, defaults, delinquencies and severities. Quarterly, we compare our estimates of fair value of our Non-Agency Securities with pricing from third-party pricing services, dealer marks received and recent purchase and financing transaction history to validate our assumptions of cash flow and market yield and calibrate our models. Fair values calculated in this manner are considered Level 3. | |||||||||||||||||||||
Repurchase Agreements - The fair value of repurchase agreements reflects the present value of the contractual cash flows discounted at the estimated LIBOR based market interest rates at the valuation date for repurchase agreements with a term equivalent to the remaining term to interest rate repricing, which may be at maturity, of our repurchase agreements. The fair value of the repurchase agreements approximates their carrying amount due to the short-term nature of these financial instruments. Our repurchase agreements are classified as Level 2. | |||||||||||||||||||||
Derivative Transactions - The fair values of our interest rate swap contracts and interest rate swaptions are valued using third-party pricing services that incorporate common market pricing methods that may include current interest rate curves, forward interest rate curves and market spreads to interest rate curves. Management compares pricing used to dealer quotes to ensure that the current market conditions are properly reflected. The fair values of our interest rate swap contracts and our interest rate swaptions are classified as Level 2. | |||||||||||||||||||||
Linked Transactions - The Non-Agency Securities underlying our Linked Transactions are valued using similar techniques to those used for our other Non-Agency Securities. The value of the underlying Non-Agency Security is then netted against the carrying amount (which approximates fair value) of the repurchase agreement at the valuation date. The fair value of Linked Transactions also includes accrued interest receivable on the Non-Agency Security and accrued interest payable on the underlying repurchase agreement. Our Linked Transactions are classified as Level 2. | |||||||||||||||||||||
The following tables provide a summary of our assets and liabilities that are measured at fair value on a recurring basis as of September 30, 2013 and December 31, 2012. | |||||||||||||||||||||
Quoted | Significant Observable | Significant Unobservable | Balance at | ||||||||||||||||||
Prices in | Inputs | Inputs | September 30, | ||||||||||||||||||
Active | (Level 2) | (Level 3) | 2013 | ||||||||||||||||||
Markets for Identical | |||||||||||||||||||||
Assets | |||||||||||||||||||||
(Level 1) | |||||||||||||||||||||
(in thousands) | |||||||||||||||||||||
Assets at Fair Value: | |||||||||||||||||||||
Agency Securities, available for sale | $ | - | $ | 1,275,843 | $ | - | $ | 1,275,843 | |||||||||||||
Non-Agency Securities, trading | $ | - | $ | - | $ | 145,965 | $ | 145,965 | |||||||||||||
Linked Transactions | $ | - | $ | 19,815 | $ | - | $ | 19,815 | |||||||||||||
Derivatives | $ | - | $ | 46,263 | $ | - | $ | 46,263 | |||||||||||||
Quoted | Significant Observable | Significant Unobservable | Balance at December 31, | ||||||||||||||||||
Prices in | Inputs | Inputs | 2012 | ||||||||||||||||||
Active | (Level 2) | (Level 3) | |||||||||||||||||||
Markets for Identical | |||||||||||||||||||||
Assets | |||||||||||||||||||||
(Level 1) | |||||||||||||||||||||
(in thousands) | |||||||||||||||||||||
Assets at Fair Value: | |||||||||||||||||||||
Agency Securities, available for sale | $ | - | $ | 1,112,358 | $ | - | $ | 1,112,358 | |||||||||||||
Non-Agency Securities, trading | $ | - | $ | - | $ | 129,946 | $ | 129,946 | |||||||||||||
Derivatives | $ | - | $ | 4,940 | $ | - | $ | 4,940 | |||||||||||||
Liabilities at Fair Value: | |||||||||||||||||||||
Derivatives | $ | - | $ | 365 | $ | - | $ | 365 | |||||||||||||
The following tables provide a summary of the carrying values and fair values of our financial assets and liabilities not carried at fair value but for which fair value is required to be disclosed as of September 30, 2013 and December 31, 2012. | |||||||||||||||||||||
At September 30, 2013 | Fair Value Measurements using: | ||||||||||||||||||||
Carrying | Fair | Quoted Prices | Significant Observable | Significant Unobservable | |||||||||||||||||
Value | Value | in Active | Inputs | Inputs | |||||||||||||||||
Markets for Identical | (Level 2) | (Level 3) | |||||||||||||||||||
Assets | |||||||||||||||||||||
(Level 1) | |||||||||||||||||||||
(in thousands) | |||||||||||||||||||||
Financial Assets: | |||||||||||||||||||||
Cash | $ | 33,305 | $ | 33,305 | $ | 33,305 | $ | - | $ | - | |||||||||||
Cash collateral posted | $ | 9,446 | $ | 9,446 | $ | - | $ | 9,446 | $ | - | |||||||||||
Accrued interest receivable | $ | 3,569 | $ | 3,569 | $ | - | $ | 3,569 | $ | - | |||||||||||
Financial Liabilities: | |||||||||||||||||||||
Repurchase agreements | $ | 1,285,034 | $ | 1,285,034 | $ | - | $ | 1,285,034 | $ | - | |||||||||||
Cash collateral held | $ | 52,885 | $ | 52,885 | $ | - | $ | 52,885 | $ | - | |||||||||||
Accrued interest payable | $ | 712 | $ | 712 | $ | - | $ | 712 | $ | - | |||||||||||
At December 31, 2012 | Fair Value Measurements using: | ||||||||||||||||||||
Carrying | Fair | Quoted Prices | Significant Observable | Significant Unobservable | |||||||||||||||||
Value | Value | in Active | Inputs | Inputs | |||||||||||||||||
Markets for Identical | (Level 2) | (Level 3) | |||||||||||||||||||
Assets | |||||||||||||||||||||
(Level 1) | |||||||||||||||||||||
(in thousands) | |||||||||||||||||||||
Financial Assets: | |||||||||||||||||||||
Cash | $ | 36,316 | $ | 36,316 | $ | 36,316 | $ | - | $ | - | |||||||||||
Cash collateral posted | $ | 273 | $ | 273 | $ | - | $ | 273 | $ | - | |||||||||||
Accrued interest receivable | $ | 2,759 | $ | 2,759 | $ | - | $ | 2,759 | $ | - | |||||||||||
Financial Liabilities: | |||||||||||||||||||||
Repurchase agreements | $ | 1,135,830 | $ | 1,135,830 | $ | - | $ | 1,135,830 | $ | - | |||||||||||
Cash collateral held | $ | 1,426 | $ | 1,426 | $ | - | $ | 1,426 | $ | - | |||||||||||
Accrued interest payable | $ | 844 | $ | 844 | $ | - | $ | 844 | $ | - | |||||||||||
The following table provides a summary of the changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the quarter and nine months ended September 30, 2013. There is no comparable data for the quarter ended September 30, 2012 and for the period from June 21, 2012 through September 30, 2012 due to our limited operating history. | |||||||||||||||||||||
For the | For the | ||||||||||||||||||||
Quarter | Nine Months Ended | ||||||||||||||||||||
Ended | 30-Sep-13 | ||||||||||||||||||||
30-Sep-13 | |||||||||||||||||||||
(in thousands) | |||||||||||||||||||||
Balance, beginning of period | $ | 148,953 | $ | 129,946 | |||||||||||||||||
Purchase of securities, at cost | 3,056 | 36,332 | |||||||||||||||||||
Principal repayments | (6,649 | ) | (16,895 | ) | |||||||||||||||||
Net gain (loss) | 735 | (2,691 | ) | ||||||||||||||||||
Discount accretion | (130 | ) | (727 | ) | |||||||||||||||||
Balance, end of period | $ | 145,965 | $ | 145,965 | |||||||||||||||||
Net gains (losses) for outstanding Level 3 Assets | $ | 735 | $ | (2,691 | ) | ||||||||||||||||
The significant unobservable inputs used in the fair value measurement of our Level 3 Non-Agency Securities include assumptions for underlying loan collateral default rates and loss severities in the event of default, as well as discount rates. | |||||||||||||||||||||
The following tables present the range of our estimates of cumulative default and loss severities, together with the discount rates implicit in our Level 3 Non-Agency Security fair values totaling $146.0 million and $129.9 million as of September 30, 2013 and December 31, 2012, respectively. See Note 8, “Linked Transactions” for additional discussion of Non-Agency Securities that are accounted for as a component of Linked Transactions. | |||||||||||||||||||||
30-Sep-13 | |||||||||||||||||||||
Unobservable | Minimum | Weighted | Maximum | ||||||||||||||||||
Level 3 Input | Average | ||||||||||||||||||||
Cumulative default | - | % | 9.52 | % | 32.9 | % | |||||||||||||||
Loss severity (life) | 9.2 | % | 38.36 | % | 54.6 | % | |||||||||||||||
Discount rate | 3.71 | % | 5.66 | % | 8.97 | % | |||||||||||||||
Delinquency (life) | 0.9 | % | 14.41 | % | 22.3 | % | |||||||||||||||
Voluntary prepayments (life) | 6.9 | % | 9.77 | % | 14 | % | |||||||||||||||
31-Dec-12 | |||||||||||||||||||||
Unobservable | Minimum | Weighted | Maximum | ||||||||||||||||||
Level 3 Input | Average | ||||||||||||||||||||
Cumulative default | 6.28 | % | 17.65 | % | 26.26 | % | |||||||||||||||
Loss severity (life) | 36.7 | % | 48.52 | % | 56 | % | |||||||||||||||
Discount rate | 4.5 | % | 5.17 | % | 5.54 | % | |||||||||||||||
Delinquency (life) | 13.5 | % | 22.56 | % | 33.6 | % | |||||||||||||||
Voluntary prepayments (life) | 4.6 | % | 8.3 | % | 11.4 | % | |||||||||||||||
Significant increases or decreases in any of these inputs in isolation would result in a significantly lower or higher fair value measurement. Generally, a change in the assumption used for the probability of default is accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumption used for prepayment rates. However, given the interrelationship between loss estimates and the discount rate, overall Non-Agency Security market conditions would likely have a more significant impact on our Level 3 fair values than changes in any one unobservable input. |
Note_6_Agency_Securities_Avail
Note 6 - Agency Securities, Available for Sale | 9 Months Ended | ||||||||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||||||||
Angency Securities [Member] | |||||||||||||||||||||||||
Note 6 - Agency Securities, Available for Sale [Line Items] | |||||||||||||||||||||||||
Investments in Debt and Marketable Equity Securities (and Certain Trading Assets) Disclosure [Text Block] | Note 6 – Agency Securities, Available for Sale | ||||||||||||||||||||||||
All of our Agency Securities are classified as available for sale and, as such, are reported at their estimated fair value and changes in fair value reported as part of the statements of comprehensive income. As of September 30, 2013 investments in Agency Securities accounted for 89.7% of our MBS portfolio and 82.7% of our total MBS portfolio inclusive of the Non-Agency Securities underlying our Linked Transactions (see Note 8, “Linked Transactions” for additional discussion of Non-Agency Securities that are accounted for as a component of Linked Transactions). | |||||||||||||||||||||||||
As of September 30, 2013, we had the following securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities as of September 30, 2013 are also presented below. All of our Agency Securities are fixed rate securities with a weighted average coupon of 3.40% as of September 30, 2013. | |||||||||||||||||||||||||
30-Sep-13 | Fannie | Freddie | Total | ||||||||||||||||||||||
Mae | Mac | Agency | |||||||||||||||||||||||
Securities | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Principal amount | $ | 980,458 | $ | 281,574 | $ | 1,262,032 | |||||||||||||||||||
Net unamortized premium | 54,263 | 16,633 | 70,896 | ||||||||||||||||||||||
Amortized cost | 1,034,721 | 298,207 | 1,332,928 | ||||||||||||||||||||||
Unrealized gains | 137 | - | 137 | ||||||||||||||||||||||
Unrealized losses | (40,392 | ) | (16,830 | ) | (57,222 | ) | |||||||||||||||||||
Fair value | $ | 994,466 | $ | 281,377 | $ | 1,275,843 | |||||||||||||||||||
As of December 31, 2012, we had the following securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities as of December 31, 2012 are also presented below. As of December 31, 2012 investments in Agency Securities accounted for 89.5% of our total MBS portfolio. There were no Linked Transactions as of December 31, 2012. All of our Agency Securities were fixed rate securities with a weighted average coupon of 3.14% as of December 31, 2012. | |||||||||||||||||||||||||
31-Dec-12 | Fannie | Freddie | Total | ||||||||||||||||||||||
Mae | Mac | Agency | |||||||||||||||||||||||
Securities | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Principal amount | $ | 651,867 | $ | 403,589 | $ | 1,055,456 | |||||||||||||||||||
Net unamortized premium | 38,683 | 22,821 | 61,504 | ||||||||||||||||||||||
Amortized cost | 690,550 | 426,410 | 1,116,960 | ||||||||||||||||||||||
Unrealized gains | 86 | 4 | 90 | ||||||||||||||||||||||
Unrealized losses | (2,480 | ) | (2,212 | ) | (4,692 | ) | |||||||||||||||||||
Fair value | $ | 688,156 | $ | 424,202 | $ | 1,112,358 | |||||||||||||||||||
Actual maturities of Agency Securities are generally shorter than stated contractual maturities because actual maturities of Agency Securities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. | |||||||||||||||||||||||||
The following table summarizes the weighted average lives of our Agency Securities as of September 30, 2013 and December 31, 2012. | |||||||||||||||||||||||||
30-Sep-13 | 31-Dec-12 | ||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Weighted Average Life of all Agency Securities | Fair Value | Amortized | Fair Value | Amortized | |||||||||||||||||||||
Cost | Cost | ||||||||||||||||||||||||
Less than one year | $ | - | $ | - | $ | - | $ | - | |||||||||||||||||
Greater than or equal to one year and less than three years | - | - | - | - | |||||||||||||||||||||
Greater than or equal to three years and less than five years | 31,956 | 32,692 | 638,744 | 641,231 | |||||||||||||||||||||
Greater than or equal to five years | 1,243,887 | 1,300,236 | 473,614 | 475,729 | |||||||||||||||||||||
Total Agency Securities | $ | 1,275,843 | $ | 1,332,928 | $ | 1,112,358 | $ | 1,116,960 | |||||||||||||||||
We use a third-party model to calculate the weighted average lives of our Agency Securities. Weighted average life is calculated based on expectations for estimated prepayments for the underlying mortgage loans of our Agency Securities. These estimated prepayments are based on assumptions such as interest rates, current and future home prices, housing policy and borrower incentives. The weighted average lives of our Agency Securities as of September 30, 2013 and December 31, 2012 in the table above are based upon market factors, assumptions, models and estimates from the third-party model and also incorporate management’s judgment and experience. The actual weighted average lives of our Agency Securities could be longer or shorter than estimated. | |||||||||||||||||||||||||
The following table presents the unrealized losses and estimated fair value of our Agency Securities by length of time that such securities have been in a continuous unrealized loss position as of September 30, 2013 and December 31, 2012. | |||||||||||||||||||||||||
Unrealized Loss Position For: | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||||
As of | Fair Value | Unrealized | Fair Value | Unrealized | Fair Value | Unrealized | |||||||||||||||||||
Losses | Losses | Losses | |||||||||||||||||||||||
30-Sep-13 | $ | 1,235,161 | $ | (57,222 | ) | $ | - | $ | - | $ | 1,235,161 | $ | (57,222 | ) | |||||||||||
31-Dec-12 | $ | 1,032,421 | $ | (4,692 | ) | $ | - | $ | - | $ | 1,032,421 | $ | (4,692 | ) | |||||||||||
We evaluated our Agency Securities with unrealized losses and determined that there was no other than temporary impairments as of September 30, 2013 or December 31, 2012. As of those dates, we did not intend to sell Agency Securities and believed it was more likely than not that we could meet our liquidity requirements and contractual obligations without selling Agency Securities. The decline in value of these Agency Securities is solely due to market conditions and not the credit quality of the assets. All of our Agency Securities are issued and guaranteed by the GSEs. The GSEs have a rating of AA+. | |||||||||||||||||||||||||
During the quarter and nine months ended September 30, 2013 we sold $554.4 million of Agency Securities resulting in a realized loss of $48.6 million. During the quarter ended September 30, 2012 and for the period from June 21, 2012 through September 30, 2012, we did not sell any Agency Securities. | |||||||||||||||||||||||||
Non-Agency Securities [Member] | |||||||||||||||||||||||||
Note 6 - Agency Securities, Available for Sale [Line Items] | |||||||||||||||||||||||||
Investments in Debt and Marketable Equity Securities (and Certain Trading Assets) Disclosure [Text Block] | Note 7 – Non-Agency Securities, Trading | ||||||||||||||||||||||||
All of our Non-Agency Securities are classified as trading securities and reported at their estimated fair value. Fair value changes are reported in the statements of operations in the period in which they occur. | |||||||||||||||||||||||||
As of September 30, 2013, investments in Non-Agency Securities accounted for 10.3% of our MBS portfolio and 17.3% of our total MBS portfolio inclusive of the Non-Agency Securities underlying our Linked Transactions (see Note 8, “Linked Transactions” for additional discussion of Non-Agency Securities that are accounted for as a component of Linked Transactions). | |||||||||||||||||||||||||
Non-Agency Securities | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
30-Sep-13 | Fair Value | Amortized | Principal | Weighted | |||||||||||||||||||||
Cost | Amount | Average | |||||||||||||||||||||||
Coupon | |||||||||||||||||||||||||
Prime/Alt-A | $ | 145,965 | $ | 144,086 | $ | 176,954 | 4.17 | % | |||||||||||||||||
As of December 31, 2012, investments in Non-Agency Securities accounted for 10.5% of our total MBS portfolio. There were no Linked Transactions as of December 31, 2012. | |||||||||||||||||||||||||
Non-Agency Securities | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
31-Dec-12 | Fair Value | Amortized | Principal | Weighted | |||||||||||||||||||||
Cost | Amount | Average | |||||||||||||||||||||||
Coupon | |||||||||||||||||||||||||
Prime/Alt-A | $ | 129,946 | $ | 127,037 | $ | 156,957 | 5.29 | % | |||||||||||||||||
Prime/Alt-A Non-Agency Securities as of September 30, 2013 and December 31, 2012 include senior tranches in securitization trusts issued between 2004 and 2007, and are collateralized by residential mortgages originated between 2002 and 2007. The loans were originally considered to be either prime or one tier below prime credit quality. Prime mortgage loans are residential mortgage loans that are considered the highest tier with the most stringent underwriting standards within the Non-agency mortgage market, but do not carry any credit guarantee from either a U.S. government agency or GSE. These loans were originated during a period when underwriting standards were generally weak and housing prices have dropped significantly subsequent to their origination. As a result, there is still material credit risk embedded in these vintage tranches. Alt-A, or alternative A-paper, mortgage loans are considered riskier than prime mortgage loans and less risky than sub-prime mortgage loans and are typically characterized by borrowers with less than full documentation, lower credit scores, higher loan to value ratios and a higher percentage of investment properties. These securities were generally rated below investment grade as of September 30, 2013 and December 31, 2012. | |||||||||||||||||||||||||
The following table summarizes the weighted average lives of our Non-Agency Securities as of September 30, 2013 and December 31, 2012. | |||||||||||||||||||||||||
30-Sep-13 | 31-Dec-12 | ||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Weighted Average Life of all Non-Agency Securities | Fair Value | Amortized | Fair Value | Amortized | |||||||||||||||||||||
Cost | Cost | ||||||||||||||||||||||||
Less than one year | $ | - | $ | - | $ | - | $ | - | |||||||||||||||||
Greater than or equal to one year and less than three years | - | - | - | - | |||||||||||||||||||||
Greater than or equal to three years and less than five years | 21,582 | 21,698 | 5,763 | 5,678 | |||||||||||||||||||||
Greater than or equal to five years | 124,383 | 122,388 | 124,183 | 121,359 | |||||||||||||||||||||
Total Non-Agency Securities | $ | 145,965 | $ | 144,086 | $ | 129,946 | $ | 127,037 | |||||||||||||||||
We use a third-party model to calculate the weighted average lives of our Non-Agency Securities. Weighted average life is calculated based on expectations for estimated prepayments for the underlying mortgage loans of our Non-Agency Securities. These estimated prepayments are based on assumptions such as interest rates, current and future home prices, housing policy and borrower incentives. The weighted average lives of our Non-Agency Securities as of September 30, 2013 and December 31, 2012 in the table above are based upon market factors, assumptions, models and estimates from the third-party model and also incorporate management’s judgment and experience. The actual weighted average lives of our Non-Agency Securities could be longer or shorter than estimated. | |||||||||||||||||||||||||
The following table presents the unrealized losses and estimated fair value of our Non-Agency Securities by length of time that such securities have been in a continuous unrealized loss position as of September 30, 2013 and December 31, 2012. | |||||||||||||||||||||||||
Unrealized Loss Position For: | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Less than 12 months | 12 Months or More | Total | |||||||||||||||||||||||
As of | Fair Value | Unrealized | Fair Value | Unrealized | Fair Value | Unrealized | |||||||||||||||||||
Losses | Losses | Losses | |||||||||||||||||||||||
30-Sep-13 | $ | 48,078 | $ | (1,236 | ) | $ | - | $ | - | $ | 48,078 | $ | (1,236 | ) | |||||||||||
31-Dec-12 | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | |||||||||||||
Our Non-Agency Securities are subject to risk of loss with regard to principal and interest payments and as of September 30, 2013 and December 31, 2012, have generally either been assigned below investment grade ratings by rating agencies, or have not been rated. We evaluate each investment based on the characteristics of the underlying collateral and securitization structure, rather than relying on the ratings assigned by rating agencies. | |||||||||||||||||||||||||
There were no sales of Non-Agency Securities for the quarter and nine months ended September 30, 2013. |
Note_8_Linked_Transactions
Note 8 - Linked Transactions | 9 Months Ended | ||||||||||||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||||||||||||
Linked Transactions Disclosure [Abstract] | |||||||||||||||||||||||||||||
Linked Transactions Disclosure [Text Block] | Note 8 – Linked Transactions | ||||||||||||||||||||||||||||
Our Linked Transactions are evaluated on a combined basis, reported as forward (derivative) instruments and presented as assets on our condensed balance sheets at fair value. The fair value of Linked Transactions reflect the value of the underlying Non-Agency MBS, linked repurchase agreement borrowings and accrued interest receivable and payable on such instruments. Our Linked Transactions are not designated as hedging instruments and, as a result, the change in the fair value and net interest income from Linked Transactions is reported in other income on our condensed statements of operations. | |||||||||||||||||||||||||||||
The following tables present information about our Non-Agency Securities and repurchase agreements underlying our Linked Transactions at September 30, 2013. Our Non-Agency Securities underlying our Linked Transactions represent approximately 7.9% of our overall investment in MBS. | |||||||||||||||||||||||||||||
Linked Repurchase Agreements | Linked Non-Agency Securities | ||||||||||||||||||||||||||||
Maturity or Repricing | Balance | Weighted Average Interest | Non-Agency MBS | Fair Value | Amortized | Par/Current | Weighted Average Coupon | ||||||||||||||||||||||
Rate | Cost | Face | Rate | ||||||||||||||||||||||||||
Within 30 days | $ | 5,301 | 1.94 | % | Prime | $ | 92,384 | $ | 93,152 | $ | 97,761 | 2.98 | % | ||||||||||||||||
31 days to 60 days | 23,386 | 1.41 | Alt/A | 28,814 | 28,720 | 36,946 | 4.7 | ||||||||||||||||||||||
61 days to 90 days | 66,229 | 1.04 | Total | $ | 121,198 | $ | 121,872 | $ | 134,707 | 3.39 | % | ||||||||||||||||||
Greater than 90 days | 6,467 | 2 | |||||||||||||||||||||||||||
Total | $ | 101,383 | 1.23 | % | |||||||||||||||||||||||||
The following table presents certain information about the components of the unrealized net gains and net interest income from Linked Transactions included in our condensed statements of operations for the quarter and nine months ended September 30, 2013. There is no comparable data for the quarter ended September 30, 2012 and for the period from June 21, 2012 through September 30, 2012 due to our limited operating history. | |||||||||||||||||||||||||||||
Unrealized Net Gain (Loss) and Net Interest Income from Linked Transactions | For the Quarter | For the Nine Months Ended September 30, 2013 | |||||||||||||||||||||||||||
Ended September 30, 2013 | |||||||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||||||
Interest income attributable to MBS underlying Linked Transactions | $ | 854 | $ | 893 | |||||||||||||||||||||||||
Interest expense attributable to linked repurchase agreements underlying Linked Transactions | (170 | ) | (179 | ) | |||||||||||||||||||||||||
Change in fair value of Linked Transactions included in earnings | 40 | (2,287 | ) | ||||||||||||||||||||||||||
Unrealized net gain (loss) and net interest income from Linked Transactions | $ | 724 | $ | (1,573 | ) | ||||||||||||||||||||||||
Note_9_Repurchase_Agreements
Note 9 - Repurchase Agreements | 9 Months Ended | ||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||
Disclosure Text Block [Abstract] | |||||||||||||||||
Repurchase Agreements, Resale Agreements, Securities Borrowed, and Securities Loaned Disclosure [Text Block] | Note 9 – Repurchase Agreements | ||||||||||||||||
As of September 30, 2013 we had MRAs with 27 counterparties and had $1.3 billion in outstanding borrowings with 21 of those counterparties. As of December 31, 2012 we had MRAs with 26 counterparties and had $1.1 billion in outstanding borrowings with 18 of those counterparties. See Note 8, “Linked Transactions” for additional discussion of repurchase agreements that are accounted for as a component of Linked Transactions. | |||||||||||||||||
The following tables represent the contractual repricing and other information regarding our repurchase agreements to finance our MBS purchases as of September 30, 2013 and December 31, 2012. | |||||||||||||||||
30-Sep-13 | |||||||||||||||||
Repurchase Agreements | Weighted | Weighted | Haircut for | ||||||||||||||
(in thousands) | Average | Average | Repurchase Agreements (1) | ||||||||||||||
Contractual | Maturity | ||||||||||||||||
Rate | in days | ||||||||||||||||
Agency Securities | $ | 1,176,849 | 0.39 | % | 39 | 4.95 | % | ||||||||||
Non-Agency Securities | 108,185 | 1.58 | 54 | 20.63 | |||||||||||||
Total | $ | 1,285,034 | 0.49 | % | 40 | 6.27 | % | ||||||||||
(1) The Haircut represents the weighted average margin requirement, or the percentage amount by which the collateral value must exceed the loan amount. | |||||||||||||||||
31-Dec-12 | |||||||||||||||||
Repurchase Agreements | Weighted | Weighted | Haircut for | ||||||||||||||
(in thousands) | Average | Average | Repurchase Agreements (1) | ||||||||||||||
Contractual Rate | Maturity in | ||||||||||||||||
days | |||||||||||||||||
Agency Securities | $ | 1,033,496 | 0.48 | % | 43 | 4.83 | % | ||||||||||
Non-Agency Securities | 102,334 | 2.07 | 25 | 22.35 | |||||||||||||
Total | $ | 1,135,830 | 0.62 | % | 41 | 6.4 | % | ||||||||||
(1) The Haircut represents the weighted average margin requirement, or the percentage amount by which the collateral value must exceed the loan amount. | |||||||||||||||||
Maturing or Repricing | September 30, | December 31, | |||||||||||||||
2013 | 2012 | ||||||||||||||||
(in thousands) | |||||||||||||||||
Within 30 days | $ | 504,587 | $ | 280,435 | |||||||||||||
31 days to 60 days | 591,792 | 629,311 | |||||||||||||||
61 days to 90 days | 186,380 | 226,084 | |||||||||||||||
Greater than 90 days | 2,275 | - | |||||||||||||||
Total | $ | 1,285,034 | $ | 1,135,830 | |||||||||||||
For the nine months ended September 30, 2013, we sold short $301.5 million of U.S. Treasury Securities acquired under reverse repurchase agreements. We had purchases of $230.8 million and $300.9 million, respectively, of U.S. Treasury Securities resulting in a gain of $3.7 million and $0.6 million, respectively, for the quarter and nine months ended September 30, 2013. During the quarter ended September 30, 2013, we did not sell any U.S. Treasury Securities. During the quarter ended September 30, 2012 and for the period from June 21, 2012 through September 30, 2012, we did not sell or purchase any U.S. Treasury Securities. |
Note_10_Derivatives
Note 10 - Derivatives | 9 Months Ended | ||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Text Block] | Note 10 – Derivatives | ||||||||||||||||
In addition to the Linked Transactions described in Note 8, “Linked Transactions” we enter into transactions to manage our interest rate risk exposure. These transactions include entering into interest rate swap contracts and interest rate swaptions. These transactions are designed to lock in funding costs for repurchase agreements associated with our assets in such a way to help assure the realization of net interest margins. Such transactions are based on assumptions about prepayments on our Agency Securities which, if not realized, will cause transaction results to differ from expectations. Our derivatives are carried on our condensed balance sheets, as assets or as liabilities at their fair value. We do not designate our derivatives as cash flow hedges and as such, we recognize changes in the fair value of these derivatives through earnings. | |||||||||||||||||
We have agreements with our swap (including swaption) counterparties that provide for the posting of collateral based on the fair values of our interest rate swap contracts. Through this margin process, either we or our swap counterparty may be required to pledge cash or Agency Securities as collateral. Collateral requirements vary by counterparty and change over time based on the market value; notional amount and remaining term of the contracts. Certain interest rate swap contracts provide for cross collateralization and cross default with repurchase agreements and other contracts with the same counterparty. | |||||||||||||||||
Interest rate swaptions generally provide us the option to enter into an interest rate swap agreement at a certain point of time in the future with a predetermined notional amount, stated term and stated rate of interest in the fixed leg and interest rate index on the floating leg. | |||||||||||||||||
The following tables present information about interest rate swap contracts and interest rate swaptions which are included in derivatives on the accompanying condensed balance sheets as of September 30, 2013 and December 31, 2012. | |||||||||||||||||
30-Sep-13 | |||||||||||||||||
Notional | Assets at | Liabilities at | |||||||||||||||
Amount | Fair Value (1) | Fair Value (1) | |||||||||||||||
(in thousands) | |||||||||||||||||
Interest rate swap contracts | $ | 801,250 | $ | 35,481 | $ | - | |||||||||||
Interest rate swaptions | 130,000 | 10,782 | - | ||||||||||||||
Totals | $ | 931,250 | $ | 46,263 | $ | - | |||||||||||
-1 | See Note 5, “Fair Value of Financial Instruments” for additional discussion. | ||||||||||||||||
31-Dec-12 | |||||||||||||||||
Notional | Assets at | Liabilities at | |||||||||||||||
Amount | Fair Value (1) | Fair Value (1) | |||||||||||||||
(in thousands) | |||||||||||||||||
Interest rate swap contracts | $ | 325,000 | $ | 395 | $ | (365 | ) | ||||||||||
Interest rate swaptions | 130,000 | 4,545 | - | ||||||||||||||
Totals | $ | 455,000 | $ | 4,940 | $ | (365 | ) | ||||||||||
-1 | See Note 5, “Fair Value of Financial Instruments” for additional discussion. | ||||||||||||||||
30-Sep-13 | |||||||||||||||||
Gross Amounts Not Offset | |||||||||||||||||
in the | |||||||||||||||||
Condensed Balance Sheet | |||||||||||||||||
Assets | Gross Amounts | Financial | Cash | Net Amount | |||||||||||||
of Assets | Instruments | Collateral | |||||||||||||||
Presented in the Condensed | Held | ||||||||||||||||
Balance Sheet | |||||||||||||||||
(in thousands) | |||||||||||||||||
Interest rate swap contracts | $ | 35,481 | $ | - | $ | (35,481 | ) | $ | - | ||||||||
Interest rate swaptions | 10,782 | - | (8,058 | ) | 2,724 | ||||||||||||
Totals | $ | 46,263 | $ | - | $ | (43,539 | ) | $ | 2,724 | ||||||||
We did not have any derivatives in a liability position on our condensed balance sheet at September 30, 2013. | |||||||||||||||||
31-Dec-12 | |||||||||||||||||
Gross Amounts Not Offset in the | |||||||||||||||||
Condensed Balance Sheet | |||||||||||||||||
Assets | Gross Amounts of Assets Presented in the Condensed Balance Sheet | Financial Instruments | Cash Collateral Held | Net Amount | |||||||||||||
(in thousands) | |||||||||||||||||
Interest rate swap contracts | $ | 395 | $ | (92 | ) | $ | - | $ | 303 | ||||||||
Interest rate swaptions | 4,545 | - | (1,426 | ) | 3,119 | ||||||||||||
Totals | $ | 4,940 | $ | (92 | ) | $ | (1,426 | ) | $ | 3,422 | |||||||
Gross Amounts Not Offset in the | |||||||||||||||||
Condensed Balance Sheet | |||||||||||||||||
Liabilities | Gross Amounts of Liabilities Presented | Financial Instruments | Cash | Net Amount | |||||||||||||
in the Condensed | Collateral | ||||||||||||||||
Balance Sheet | Posted | ||||||||||||||||
(in thousands) | |||||||||||||||||
Interest rate swap contracts | $ | (365 | ) | $ | 92 | $ | 273 | $ | - | ||||||||
Totals | $ | (365 | ) | $ | 92 | $ | 273 | $ | - | ||||||||
The following table represents the location and information regarding our derivatives which are included in Other Income (Loss) in the accompanying condensed statements of operations for the quarter and nine months ended September 30, 2013. There is no comparable data for the quarter ended September 30, 2012 and for the period from June 21, 2012 through September 30, 2012 due to our limited operating history. | |||||||||||||||||
Income (Loss) Recognized (in thousands) | |||||||||||||||||
Derivatives | Location on condensed statements of operations | For the Quarter Ended September 30, 2013 | For the Nine Months Ended September 30, 2013 | ||||||||||||||
Interest rate swap contracts: | |||||||||||||||||
Interest income | Realized loss on derivatives | $ | 212 | $ | 530 | ||||||||||||
Interest expense | Realized loss on derivatives | (2,885 | ) | (6,142 | ) | ||||||||||||
Changes in fair value | Unrealized gain on derivatives | 572 | 40,657 | ||||||||||||||
$ | (2,101 | ) | $ | 35,045 | |||||||||||||
Interest rate swaptions: | |||||||||||||||||
Changes in fair value | Unrealized gain on derivatives | (303 | ) | 6,237 | |||||||||||||
$ | (303 | ) | $ | 6,237 | |||||||||||||
Totals | $ | (2,404 | ) | $ | 41,282 | ||||||||||||
Note_11_Commitments_and_Contin
Note 11 - Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2013 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies Disclosure [Text Block] | Note 11 – Commitments and Contingencies |
Management Agreement with ARRM | |
As discussed in Note 16 “Related Party Transactions,” we are externally managed by ARRM pursuant to a management agreement, (the “Management Agreement”). The Management Agreement entitles ARRM to receive a management fee payable monthly in arrears in an amount equal to 1/12th of (a) 1.5% of gross equity raised (including our IPO and Private Placement equity) up to $1 billion plus (b) 1.0% of gross equity raised in excess of $1 billion. We are also obligated to reimburse certain expenses incurred by ARRM and its affiliates. For the quarter and nine months ended September 30, 2013, we reimbursed ARRM $38,000 and $76,000 for other expenses incurred on our behalf. For the quarter ended September 30, 2012 and the period from June 21, 2012 through September 30, 2012 we did not reimburse ARRM for any expenses. | |
ARRM is further entitled to receive a termination fee from us under certain circumstances. The ARRM monthly management fee is not calculated based on the performance of our assets. Accordingly, the payment of our monthly management fee may not decline in the event of a decline in our earnings and may cause us to incur losses. | |
Indemnifications and Litigation | |
We enter into certain contracts that contain a variety of indemnifications, principally with ARRM and underwriters, against third-party claims for errors and omissions in connection with their services to us. We have not incurred any costs to defend lawsuits or settle claims related to these indemnification agreements. As a result, the estimated fair value of these agreements, as well as the maximum amount attributable to past events, is minimal. Accordingly, we have no liabilities recorded for these agreements as of September 30, 2013 and December 31, 2012. | |
We are not party to any pending, threatened or contemplated litigation. |
Note_12_StockBased_Compensatio
Note 12 - Stock-Based Compensation | 9 Months Ended |
Sep. 30, 2013 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
Disclosure of Compensation Related Costs, Share-based Payments [Text Block] | Note 12 – Stock Based Compensation |
Stock Incentive Plan | |
On October 2, 2012, we adopted the 2012 Stock Incentive Plan (the "Plan") to attract, retain and reward directors and other persons who provide services to us in the course of operations (collectively "Eligible Individuals"). | |
The Plan provides for grants of common stock, restricted shares of common stock, stock options, performance shares, performance units, stock appreciation rights and other equity and cash-based awards (collectively “Awards”), and will be subject to a ceiling amount of shares available for issuance under the Plan. Pursuant to the Plan, the maximum number of shares of common stock reserved for the grant of awards thereunder is equal to 3.0% of the total issued and outstanding shares of common stock (on a fully diluted basis) at the time of the grant of the award (other than any shares of common stock issued or subject to awards made pursuant to the Plan). | |
The Plan allows for the Board to expand the types of awards available under the Plan and determine the maximum number of shares that may underlie these awards in any one year to any Eligible Individual. If an award granted under the Plan expires or terminates, the shares subject to any portion of the award that expires or terminates without having been exercised or paid, as the case may be, will again become available for the issuance of additional awards. | |
Awards under the Plan | |
As of September 30, 2013, there were 405,001 shares reserved for award under the Plan. No awards have been made to date. |
Note_13_Stockholders_Equity
Note 13 - Stockholders' Equity | 9 Months Ended | ||||||||||||||
Sep. 30, 2013 | |||||||||||||||
Stockholders' Equity Note [Abstract] | |||||||||||||||
Stockholders' Equity Note Disclosure [Text Block] | Note 13 – Stockholders’ Equity | ||||||||||||||
Dividends | |||||||||||||||
The following table presents our common stock dividend transactions for the nine months ended September 30, 2013. | |||||||||||||||
Record Date | Payment Date | Rate per | Aggregate | ||||||||||||
common share | amount paid to | ||||||||||||||
holders of record | |||||||||||||||
(in thousands) | |||||||||||||||
15-Jan-13 | 30-Jan-13 | $ | 0.23 | $ | 1,725 | ||||||||||
15-Feb-13 | 27-Feb-13 | $ | 0.23 | $ | 1,725 | ||||||||||
15-Mar-13 | 27-Mar-13 | $ | 0.23 | $ | 1,725 | ||||||||||
15-Apr-13 | 29-Apr-13 | $ | 0.23 | $ | 1,725 | ||||||||||
15-May-13 | 30-May-13 | $ | 0.23 | $ | 3,105 | ||||||||||
14-Jun-13 | 27-Jun-13 | $ | 0.23 | $ | 3,105 | ||||||||||
15-Jul-13 | 30-Jul-13 | $ | 0.23 | $ | 3,105 | ||||||||||
15-Aug-13 | 29-Aug-13 | $ | 0.23 | $ | 3,105 | ||||||||||
16-Sep-13 | 27-Sep-13 | $ | 0.23 | $ | 3,105 | ||||||||||
Equity Capital Raising Activities | |||||||||||||||
The following table presents our equity transactions for the nine months ended September 30, 2013. | |||||||||||||||
Transaction Type | Completion Date | Number of | Per Share | Net Proceeds | |||||||||||
Shares | price | (in thousands) | |||||||||||||
Common stock follow-on public offering | 13-May-13 | 6,000,000 | $ | 18.93 | $ | 113,188 | |||||||||
Note_14_Net_Income_Loss_per_Co
Note 14 - Net Income (Loss) per Common Share | 9 Months Ended |
Sep. 30, 2013 | |
Earnings Per Share [Abstract] | |
Earnings Per Share [Text Block] | Note 14 – Net Income (Loss) per Common Share |
GAAP requires earnings per share to be computed based on the weighted average number of shares outstanding during the period presented, calculated on a daily basis. Net income (loss) per common share was ($2.76) and $1.13 for the quarter and nine months ended September 30, 2013. For the quarter ended September 30, 2012 and for the period from June 21, 2012 through September 30, 2012 our net (loss) and weighted average number of shares were nominal resulting in a net (loss) per common share of ($1.20). | |
To date, we have not issued any dilutive securities. |
Note_15_Income_Taxes
Note 15 - Income Taxes | 9 Months Ended | ||||||||
Sep. 30, 2013 | |||||||||
Income Tax Disclosure [Abstract] | |||||||||
Income Tax Disclosure [Text Block] | Note 15 – Income Taxes | ||||||||
We have elected to be taxed as a REIT under the Code. We will generally not be subject to federal income tax to the extent that we distribute our taxable income to our stockholders and as long as we satisfy the ongoing REIT requirements under the Code including meeting certain asset, income and stock ownership tests. | |||||||||
The following table reconciles our GAAP net income to estimated taxable REIT income for the quarter and nine months ended September 30, 2013. Our net loss was nominal for the quarter ended September 30, 2012 and for the period from June 21, 2012 through September 30, 2012. | |||||||||
For the | For the Nine | ||||||||
Quarter | Months | ||||||||
Ended | Ended | ||||||||
September | September | ||||||||
30, 2013 | 30, 2013 | ||||||||
(in thousands) | |||||||||
GAAP net income (loss) | $ | (37,217 | ) | $ | 11,995 | ||||
Book to tax differences: | |||||||||
Net book/tax differences on Non-Agency Securities and Linked Transactions | (70 | ) | 6,564 | ||||||
Net capital losses carried forward | 44,815 | 47,921 | |||||||
Unrealized gain on derivatives | (268 | ) | (46,894 | ) | |||||
Other | - | 2 | |||||||
Estimated taxable income | $ | 7,260 | $ | 19,588 | |||||
The aggregate tax basis of our assets and liabilities is greater than our total Stockholders’ Equity at September 30, 2013 by approximately $19.5 million, or approximately $1.44 per share (based on the 13,500,050 shares then outstanding). | |||||||||
We are required and intend to timely distribute substantially all of our taxable REIT income in order to maintain our REIT status under the Code. Total dividend payments to stockholders were $9.3 million and $22.4 million for the quarter and nine months ended September 30, 2013, respectively. Our estimated taxable REIT income available to pay dividends was $7.3 million and $19.6 million for the quarter and nine months ended September 30, 2013, respectively. We also carried forward from the year ended December 31, 2012, undistributed taxable REIT income of $2.0 million. Our taxable REIT income and dividend requirements are determined on an annual basis. Dividends in excess of taxable REIT income for the year (including taxable income carried forward from the previous year) will generally not be taxable to common stockholders. | |||||||||
Our management is responsible for determining whether tax positions taken by us are more likely than not to be sustained on their merits. We have no material unrecognized tax benefits or material uncertain tax positions. |
Note_16_Related_Party_Transact
Note 16 - Related Party Transactions | 9 Months Ended | ||
Sep. 30, 2013 | |||
Related Party Transactions [Abstract] | |||
Related Party Transactions Disclosure [Text Block] | Note 16 – Related Party Transactions | ||
We are externally managed by ARRM pursuant to the Management Agreement. All of our executive officers are also employees of ARRM. ARRM manages our day-to-day operations, subject to the direction and oversight of the Board. The Management Agreement expires after an initial term of five years on October 5, 2017 and is thereafter automatically renewed for successive one-year terms, unless terminated under certain circumstances. Either party must provide 180 days prior written notice of any such termination. | |||
Under the terms of the Management Agreement, ARRM is responsible for costs incident to the performance of its duties, such as compensation of its employees and various overhead expenses. ARRM is responsible for the following primary roles: | |||
● | Advising us with respect to, arranging for and managing the acquisition, financing, management and disposition of, elements of our investment portfolio; | ||
● | Evaluating the duration risk and prepayment risk within the investment portfolio and arranging borrowing and hedging strategies; | ||
● | Coordinating capital raising activities; | ||
● | Advising us on the formulation and implementation of operating strategies and policies, arranging for the acquisition of assets, monitoring the performance of those assets and providing administrative and managerial services in connection with our day-to-day operations; and | ||
● | Providing executive and administrative personnel, office space and other appropriate services required in rendering management services to us. | ||
ARRM is also responsible for the payment of a sub-management fee payable monthly in arrears to the Sub-Manager in an amount equal to a retainer of $115,000 plus 25% of the management fee earned by ARRM, net of expenses. | |||
We are required to take actions as may be reasonably required to permit and enable ARRM to carry out its duties and obligations. We are also responsible for any costs and expenses that ARRM incurred solely on behalf of us other than the various overhead expenses specified in the terms of the Management Agreement. For the quarter and nine months ended September 30, 2013, we reimbursed ARRM $38,000 and $76,000, respectively, for other expenses incurred on our behalf. For the quarter ended September 30, 2012 and for the period from June 21, 2012 through September 30, 2012, we did not reimburse ARRM for any expenses. | |||
For the quarter and nine months ended September 30, 2013, we incurred $1.0 billion and $2.3 billion, respectively, in management fees to ARRM. For the quarter ended September 30, 2012 and for the period from June 21, 2012 through September 30, 2012, we did not incur any management fees. |
Note_17_Interest_Rate_Risk
Note 17 - Interest Rate Risk | 9 Months Ended |
Sep. 30, 2013 | |
Interest Rate Risk [Abstract] | |
Interest Rate Risk [Text Block] | Note 17 – Interest Rate Risk |
Our primary market risk is interest rate risk. Interest rates are highly sensitive to many factors, including governmental monetary and tax policies, domestic and international economic and political considerations and other factors beyond our control. Changes in the general level of interest rates can affect net interest income, which is the difference between the interest income earned and the interest expense incurred in connection with the liabilities, by affecting the spread between the interest-earning assets and interest-bearing liabilities. Changes in the level of interest rates also can affect the value of MBS and our ability to realize gains from the sale of these assets. A decline in the value of the MBS pledged as collateral for borrowings under repurchase agreements could result in the counterparties demanding additional collateral pledges or liquidation of some of the existing collateral to reduce borrowing levels. |
Note_18_Subsequent_events
Note 18 - Subsequent events | 9 Months Ended |
Sep. 30, 2013 | |
Subsequent Events [Abstract] | |
Subsequent Events [Text Block] | Note 18 – Subsequent Events |
On October 28, 2013, a cash dividend of $0.15 per outstanding common share, or $2.0 million in the aggregate, was paid to holders of record on October 15, 2013. We have also announced cash dividends of $0.15 per outstanding common share payable November 27, 2013 to holders of record on November 15, 2013 and payable December 27, 2013 to holders of record on December 16, 2013. | |
On October 29, 2013, our Board authorized us to repurchase up to two million shares of outstanding common stock. Shares may be purchased in the open market, including block trades, through privately negotiated transactions, or pursuant to a trading plan separately adopted in the future. The timing, manner, price and amount of any repurchases will be at our discretion, subject to the requirements of the Securities Exchange Act of 1934 and related rules. The program does not oblige us to repurchase any shares and it may be modified, suspended or terminated at any time and for any reason. We do not intend to purchase shares from our directors, officers or other affiliates. |
Accounting_Policies_by_Policy_
Accounting Policies, by Policy (Policies) | 9 Months Ended | ||||||||
Sep. 30, 2013 | |||||||||
Accounting Policies [Abstract] | |||||||||
Cash and Cash Equivalents, Policy [Policy Text Block] | Cash | ||||||||
Cash includes cash on deposit with financial institutions. We may maintain deposits in federally insured financial institutions in excess of federally insured limits. However, management believes we are not exposed to significant credit risk due to the financial position and creditworthiness of the depository institutions in which those deposits are held. | |||||||||
Cash and Cash Equivalents, Restricted Cash and Cash Equivalents, Policy [Policy Text Block] | Cash Collateral Posted/Held | ||||||||
The following table presents information related to margin collateral posted (held) for MBS, interest rate swap contracts and interest rate swaptions which are included in cash collateral on the accompanying condensed balance sheets as of September 30, 2013 and December 31, 2012. | |||||||||
30-Sep-13 | |||||||||
Assets at | Liabilities at | ||||||||
Fair Value (1) | Fair Value (1) | ||||||||
(in thousands) | |||||||||
MBS | $ | 9,446 | $ | (9,346 | ) | ||||
Interest rate swap contracts | - | (35,481 | ) | ||||||
Interest rate swaptions | - | (8,058 | ) | ||||||
Totals | $ | 9,446 | $ | (52,885 | ) | ||||
-1 | See Note 5, “Fair Value of Financial Instruments” for additional discussion. | ||||||||
31-Dec-12 | |||||||||
Assets at | Liabilities at | ||||||||
Fair Value (1) | Fair Value (1) | ||||||||
(in thousands) | |||||||||
Interest rate swap contracts | $ | 273 | $ | - | |||||
Interest rate swaptions | - | (1,426 | ) | ||||||
Totals | $ | 273 | $ | (1,426 | ) | ||||
-1 | See Note 5, “Fair Value of Financial Instruments” for additional discussion. | ||||||||
Marketable Securities, Policy [Policy Text Block] | MBS, at Fair Value | ||||||||
We generally intend to hold most of our MBS for extended periods of time. We may, from time to time, sell any of our MBS as part of the overall management of our MBS portfolio. Management determines the appropriate classifications of the securities at the time they are acquired and evaluates the appropriateness of such classifications at each balance sheet date. | |||||||||
Purchases and sales of our MBS are recorded on the trade date. However, if on the purchase settlement date, a repurchase agreement is used to finance the purchase of an MBS with the same counterparty and such transactions are determined to be linked, then the MBS and linked repurchase borrowing will be reported on the same settlement date as Linked Transactions (see below). | |||||||||
Agency Securities | |||||||||
As of September 30, 2013 and December 31, 2012, all of our Agency Securities were classified as available for sale securities. Agency Securities classified as available for sale are reported at their estimated fair values with unrealized gains and losses excluded from earnings and reported in net unrealized loss on available for sale securities in the statements of comprehensive income. | |||||||||
We evaluate Agency Securities for other than temporary impairment at least on a quarterly basis and more frequently when economic or market concerns warrant such evaluation. We consider an impairment to be other than temporary if we (1) have the intent to sell the Agency Securities, (2) believe it is more likely than not that we will be required to sell the securities before recovery (for example, because of liquidity requirements or contractual obligations) or (3) a credit loss exists. | |||||||||
Non-Agency Securities | |||||||||
As of September 30, 2013 and December 31, 2012, all of our Non-Agency Securities were classified as trading securities. Non-Agency Securities classified as trading are reported at their estimated fair values with unrealized gains and losses included in other income (loss) as a component of the statements of operations. We estimate future cash flows for each Non-Agency Security and then discount those cash flows based on our estimates of current market yield for each individual security. We then compare our calculated price with our pricing services and dealer marks. Our estimates for future cash flows and current market yields incorporate such factors as coupons, prepayment speeds, defaults, delinquencies and severities. | |||||||||
Accrued Interest Receivable and Payable [Policy Text Block] | Accrued Interest Receivable and Payable | ||||||||
Accrued interest receivable includes interest accrued between payment dates on MBS. Accrued interest payable includes interest payable on our repurchase agreements. | |||||||||
Repurchase and Resale Agreements Policy [Policy Text Block] | Repurchase Agreements | ||||||||
We finance the acquisition of our MBS through the use of repurchase agreements. Our repurchase agreements are secured by our MBS and bear interest rates that have historically moved in close relationship to the Federal Funds Rate and the London Interbank Offered Rate (“LIBOR”). Under these repurchase agreements, we sell MBS to a lender and agree to repurchase the same MBS in the future for a price that is higher than the original sales price. The difference between the sales price that we receive and the repurchase price that we pay represents interest paid to the lender. A repurchase agreement operates as a financing arrangement (with the exception of repurchase agreements accounted for as a component of a Linked Transaction described below) under which we pledge our MBS as collateral to secure a loan which is equal in value to a specified percentage of the estimated fair value of the pledged collateral. We retain beneficial ownership of the pledged collateral. At the maturity of a repurchase agreement, we are required to repay the loan and concurrently receive back our pledged collateral from the lender or, with the consent of the lender, we may renew such agreement at the then prevailing interest rate. The repurchase agreements may require us to pledge additional assets to the lender in the event the estimated fair value of the existing pledged collateral declines. | |||||||||
In addition to the repurchase agreement financing discussed above we have entered into reverse repurchase agreements with certain of our repurchase agreement counterparties. Under a typical reverse repurchase agreement, we purchase U.S. Treasury Securities from a borrower in exchange for cash and agree to sell the same securities in the future in exchange for a price that is higher than the original purchase price. The difference between the purchase price originally paid and the sale price represents interest received from the borrower. Reverse repurchase agreement receivables and repurchase agreement liabilities are presented net when they meet certain criteria, including being with the same counterparty, being governed by the same master repurchase agreement ("MRA"), settlement through the same brokerage or clearing account and maturing on the same day. | |||||||||
Obligations to Return Securities Received as Collateral, at Fair Value [Policy Text Block] | Obligations to Return Securities Received as Collateral, at Fair Value | ||||||||
We also sell to third parties the U.S. Treasury Securities received as collateral for reverse repurchase agreements and recognize the resulting obligation to return said U.S. Treasury Securities as a liability on our condensed balance sheet. Interest is recorded on the repurchase agreements, reverse repurchase agreements and U.S. Treasury Securities on an accrual basis and presented as net interest expense. Both parties to the transaction have the right to make daily margin calls based on changes in the fair value of the collateral received and/or pledged. | |||||||||
Derivatives, Policy [Policy Text Block] | Derivatives, at Fair Value | ||||||||
We recognize all derivatives as either assets or liabilities at fair value on our condensed balance sheets. We do not designate our derivatives as cash flow hedges, which, among other factors, would require us to match the pricing dates of both derivatives and repurchase agreements. Operational issues and credit market volatility make such matching impractical for us. Since we have not elected cash flow hedge accounting treatment as allowed by GAAP, all changes in the fair values of our derivatives are reflected in our condensed statements of operations. Accordingly, our operating results may reflect greater volatility than otherwise would be the case, because gains or losses on derivatives may not be offset by changes in the fair value or cash flows of the transaction within the same accounting period or ever. Consequently, any declines in the fair value of our derivatives result in a charge to earnings. We will continue to designate derivatives as hedges for tax purposes and any unrealized derivative gains or losses would not affect our distributable net taxable income. | |||||||||
Linked Transactions [Policy Text Block] | Linked Transactions | ||||||||
The initial purchase of Non-Agency Securities and the related contemporaneous repurchase financing of such MBS with the same counterparty are considered part of the same arrangement, or a “Linked Transaction,” when certain criteria are met. The components of a Linked Transaction are evaluated on a combined basis and in totality, accounted for as a forward contract and reported as “Linked Transactions” on our condensed balance sheets. Changes in the fair value of the assets and liabilities underlying Linked Transactions and associated interest income and expense are reported as “unrealized net gains (losses) and net interest income from Linked Transactions” on our condensed statements of operations and are not included in other comprehensive income. When certain criteria are met, the initial transfer (i.e., the purchase of a security) and repurchase financing will no longer be treated as a Linked Transaction and will be evaluated and reported separately, as a MBS purchase and repurchase financing. | |||||||||
Concentration Risk, Credit Risk, Policy [Policy Text Block] | Credit Risk | ||||||||
We have limited our exposure to credit losses on our Agency Securities in our MBS portfolio. The payment of principal and interest on the Fannie Mae and Freddie Mac Agency Securities are guaranteed by those respective agencies and the payment of principal and interest on the Ginnie Mae Agency Securities are backed by the full faith and credit of the U.S. Government. | |||||||||
In September 2008, both Fannie Mae and Freddie Mac were placed in the conservatorship of the U.S. Government. On August 5, 2011, Standard & Poor’s Corporation downgraded the U.S. Government’s credit rating from AAA to AA+ and on August 8, 2011, Fannie Mae and Freddie Mac’s credit ratings were downgraded from AAA to AA+. Fannie Mae and Freddie Mac remain in conservatorship of the U.S. Government. There can be no assurances as to how or when the U.S. Government will end these conservatorships or how the future profitability of Fannie Mae and Freddie Mac and any future credit rating actions may impact the credit risk associated with Agency Securities and, therefore, the value of the Agency Securities in our MBS portfolio. | |||||||||
We purchase Non-Agency Securities at prices which incorporate our expectations for prepayment speeds, defaults, delinquencies and severities. These expectations determine the yields we receive on our assets. If actual prepayment speeds, defaults, delinquencies and severities are different from our expectations, our actual yields could be higher or lower. | |||||||||
Market Risk [Policy Text Block] | Market Risk | ||||||||
Weakness in the mortgage market may adversely affect the performance and market value of our investments. This could negatively impact our book value. Furthermore, if our lenders are unwilling or unable to provide additional financing, we could be forced to sell our MBS at an inopportune time when prices are depressed. | |||||||||
Preferred Stock [Policy Text Block] | Preferred Stock | ||||||||
We are authorized to issue 25,000,000 shares of preferred stock, par value $0.001 per share, with such designations, voting and other rights and preferences as may be determined from time to time by the Board of Directors ("Board") or a committee thereof. We have not issued any preferred stock to date. | |||||||||
Stockholders' Equity, Policy [Policy Text Block] | Common Stock | ||||||||
At September 30, 2013, we were authorized to issue up to 250,000,000 shares of common stock, par value $0.001 per share, with such designations, voting and other rights and preferences as may be determined from time to time by our Board. We had 13,500,050 shares of common stock issued and outstanding at September 30, 2013 and 7,500,050 issued and outstanding at December 31, 2012. | |||||||||
Revenue Recognition, Policy [Policy Text Block] | Revenue Recognition | ||||||||
Interest income is earned and recognized on Agency Securities based on their unpaid principal amounts and their contractual terms. Premiums and discounts associated with the purchase of Agency Securities are amortized or accreted into interest income over the actual lives of the securities. | |||||||||
Interest income on Non-Agency Securities is recognized using the effective yield method over the life of the securities based on the future cash flows expected to be received. Future cash flow projections and related effective yields are determined for each security and updated quarterly. Other than temporary impairments, which establish a new cost basis in the security for purposes of calculating effective yields, are recognized when the fair value of a security is less than its cost basis and there has been an adverse change in the future cash flows expected to be received. Other changes in future cash flows expected to be received are recognized prospectively over the remaining life of the security. | |||||||||
Comprehensive Income, Policy [Policy Text Block] | Comprehensive Income (loss) | ||||||||
Comprehensive income (loss) refers to changes in equity during a period from transactions and other events and circumstances from non-owner sources. It includes all changes in equity during a period except those resulting from investments by owners and distributions to owners. | |||||||||
Reclassification, Policy [Policy Text Block] | Reclassification | ||||||||
Cash collateral positions have been presented separately in the December 31, 2012 balance sheet to conform to the current presentation. No other reclassifications have been made to previously reported amounts. |
Note_3_Summary_of_Significant_1
Note 3 - Summary of Significant Accounting Policies (Tables) | 9 Months Ended | ||||||||
Sep. 30, 2013 | |||||||||
Accounting Policies [Abstract] | |||||||||
Schedule of Financial Instruments Owned and Pledged as Collateral [Table Text Block] | Assets at | Liabilities at | |||||||
Fair Value (1) | Fair Value (1) | ||||||||
(in thousands) | |||||||||
MBS | $ | 9,446 | $ | (9,346 | ) | ||||
Interest rate swap contracts | - | (35,481 | ) | ||||||
Interest rate swaptions | - | (8,058 | ) | ||||||
Totals | $ | 9,446 | $ | (52,885 | ) | ||||
Assets at | Liabilities at | ||||||||
Fair Value (1) | Fair Value (1) | ||||||||
(in thousands) | |||||||||
Interest rate swap contracts | $ | 273 | $ | - | |||||
Interest rate swaptions | - | (1,426 | ) | ||||||
Totals | $ | 273 | $ | (1,426 | ) |
Note_5_Fair_Value_of_Financial1
Note 5 - Fair Value of Financial Instruments (Tables) | 9 Months Ended | ||||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||||
Fair Value Disclosures [Abstract] | |||||||||||||||||||||
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis [Table Text Block] | Quoted | Significant Observable | Significant Unobservable | Balance at | |||||||||||||||||
Prices in | Inputs | Inputs | September 30, | ||||||||||||||||||
Active | (Level 2) | (Level 3) | 2013 | ||||||||||||||||||
Markets for Identical | |||||||||||||||||||||
Assets | |||||||||||||||||||||
(Level 1) | |||||||||||||||||||||
(in thousands) | |||||||||||||||||||||
Assets at Fair Value: | |||||||||||||||||||||
Agency Securities, available for sale | $ | - | $ | 1,275,843 | $ | - | $ | 1,275,843 | |||||||||||||
Non-Agency Securities, trading | $ | - | $ | - | $ | 145,965 | $ | 145,965 | |||||||||||||
Linked Transactions | $ | - | $ | 19,815 | $ | - | $ | 19,815 | |||||||||||||
Derivatives | $ | - | $ | 46,263 | $ | - | $ | 46,263 | |||||||||||||
Quoted | Significant Observable | Significant Unobservable | Balance at December 31, | ||||||||||||||||||
Prices in | Inputs | Inputs | 2012 | ||||||||||||||||||
Active | (Level 2) | (Level 3) | |||||||||||||||||||
Markets for Identical | |||||||||||||||||||||
Assets | |||||||||||||||||||||
(Level 1) | |||||||||||||||||||||
(in thousands) | |||||||||||||||||||||
Assets at Fair Value: | |||||||||||||||||||||
Agency Securities, available for sale | $ | - | $ | 1,112,358 | $ | - | $ | 1,112,358 | |||||||||||||
Non-Agency Securities, trading | $ | - | $ | - | $ | 129,946 | $ | 129,946 | |||||||||||||
Derivatives | $ | - | $ | 4,940 | $ | - | $ | 4,940 | |||||||||||||
Liabilities at Fair Value: | |||||||||||||||||||||
Derivatives | $ | - | $ | 365 | $ | - | $ | 365 | |||||||||||||
Carrying Values and Fair Values of Financial Assets and Liabilities [Table Text Block] | At September 30, 2013 | Fair Value Measurements using: | |||||||||||||||||||
Carrying | Fair | Quoted Prices | Significant Observable | Significant Unobservable | |||||||||||||||||
Value | Value | in Active | Inputs | Inputs | |||||||||||||||||
Markets for Identical | (Level 2) | (Level 3) | |||||||||||||||||||
Assets | |||||||||||||||||||||
(Level 1) | |||||||||||||||||||||
(in thousands) | |||||||||||||||||||||
Financial Assets: | |||||||||||||||||||||
Cash | $ | 33,305 | $ | 33,305 | $ | 33,305 | $ | - | $ | - | |||||||||||
Cash collateral posted | $ | 9,446 | $ | 9,446 | $ | - | $ | 9,446 | $ | - | |||||||||||
Accrued interest receivable | $ | 3,569 | $ | 3,569 | $ | - | $ | 3,569 | $ | - | |||||||||||
Financial Liabilities: | |||||||||||||||||||||
Repurchase agreements | $ | 1,285,034 | $ | 1,285,034 | $ | - | $ | 1,285,034 | $ | - | |||||||||||
Cash collateral held | $ | 52,885 | $ | 52,885 | $ | - | $ | 52,885 | $ | - | |||||||||||
Accrued interest payable | $ | 712 | $ | 712 | $ | - | $ | 712 | $ | - | |||||||||||
At December 31, 2012 | Fair Value Measurements using: | ||||||||||||||||||||
Carrying | Fair | Quoted Prices | Significant Observable | Significant Unobservable | |||||||||||||||||
Value | Value | in Active | Inputs | Inputs | |||||||||||||||||
Markets for Identical | (Level 2) | (Level 3) | |||||||||||||||||||
Assets | |||||||||||||||||||||
(Level 1) | |||||||||||||||||||||
(in thousands) | |||||||||||||||||||||
Financial Assets: | |||||||||||||||||||||
Cash | $ | 36,316 | $ | 36,316 | $ | 36,316 | $ | - | $ | - | |||||||||||
Cash collateral posted | $ | 273 | $ | 273 | $ | - | $ | 273 | $ | - | |||||||||||
Accrued interest receivable | $ | 2,759 | $ | 2,759 | $ | - | $ | 2,759 | $ | - | |||||||||||
Financial Liabilities: | |||||||||||||||||||||
Repurchase agreements | $ | 1,135,830 | $ | 1,135,830 | $ | - | $ | 1,135,830 | $ | - | |||||||||||
Cash collateral held | $ | 1,426 | $ | 1,426 | $ | - | $ | 1,426 | $ | - | |||||||||||
Accrued interest payable | $ | 844 | $ | 844 | $ | - | $ | 844 | $ | - | |||||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block] | For the | For the | |||||||||||||||||||
Quarter | Nine Months Ended | ||||||||||||||||||||
Ended | 30-Sep-13 | ||||||||||||||||||||
30-Sep-13 | |||||||||||||||||||||
(in thousands) | |||||||||||||||||||||
Balance, beginning of period | $ | 148,953 | $ | 129,946 | |||||||||||||||||
Purchase of securities, at cost | 3,056 | 36,332 | |||||||||||||||||||
Principal repayments | (6,649 | ) | (16,895 | ) | |||||||||||||||||
Net gain (loss) | 735 | (2,691 | ) | ||||||||||||||||||
Discount accretion | (130 | ) | (727 | ) | |||||||||||||||||
Balance, end of period | $ | 145,965 | $ | 145,965 | |||||||||||||||||
Net gains (losses) for outstanding Level 3 Assets | $ | 735 | $ | (2,691 | ) | ||||||||||||||||
Range of Estimates of Cumulative Default and Loss Severities and Discount Rates [Table Text Block] | Unobservable | Minimum | Weighted | Maximum | |||||||||||||||||
Level 3 Input | Average | ||||||||||||||||||||
Cumulative default | - | % | 9.52 | % | 32.9 | % | |||||||||||||||
Loss severity (life) | 9.2 | % | 38.36 | % | 54.6 | % | |||||||||||||||
Discount rate | 3.71 | % | 5.66 | % | 8.97 | % | |||||||||||||||
Delinquency (life) | 0.9 | % | 14.41 | % | 22.3 | % | |||||||||||||||
Voluntary prepayments (life) | 6.9 | % | 9.77 | % | 14 | % | |||||||||||||||
Unobservable | Minimum | Weighted | Maximum | ||||||||||||||||||
Level 3 Input | Average | ||||||||||||||||||||
Cumulative default | 6.28 | % | 17.65 | % | 26.26 | % | |||||||||||||||
Loss severity (life) | 36.7 | % | 48.52 | % | 56 | % | |||||||||||||||
Discount rate | 4.5 | % | 5.17 | % | 5.54 | % | |||||||||||||||
Delinquency (life) | 13.5 | % | 22.56 | % | 33.6 | % | |||||||||||||||
Voluntary prepayments (life) | 4.6 | % | 8.3 | % | 11.4 | % |
Note_6_Agency_Securities_Avail1
Note 6 - Agency Securities, Available for Sale (Tables) | 9 Months Ended | ||||||||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||||||||
Angency Securities [Member] | |||||||||||||||||||||||||
Note 6 - Agency Securities, Available for Sale (Tables) [Line Items] | |||||||||||||||||||||||||
Available-for-sale Securities [Table Text Block] | 30-Sep-13 | Fannie | Freddie | Total | |||||||||||||||||||||
Mae | Mac | Agency | |||||||||||||||||||||||
Securities | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Principal amount | $ | 980,458 | $ | 281,574 | $ | 1,262,032 | |||||||||||||||||||
Net unamortized premium | 54,263 | 16,633 | 70,896 | ||||||||||||||||||||||
Amortized cost | 1,034,721 | 298,207 | 1,332,928 | ||||||||||||||||||||||
Unrealized gains | 137 | - | 137 | ||||||||||||||||||||||
Unrealized losses | (40,392 | ) | (16,830 | ) | (57,222 | ) | |||||||||||||||||||
Fair value | $ | 994,466 | $ | 281,377 | $ | 1,275,843 | |||||||||||||||||||
31-Dec-12 | Fannie | Freddie | Total | ||||||||||||||||||||||
Mae | Mac | Agency | |||||||||||||||||||||||
Securities | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Principal amount | $ | 651,867 | $ | 403,589 | $ | 1,055,456 | |||||||||||||||||||
Net unamortized premium | 38,683 | 22,821 | 61,504 | ||||||||||||||||||||||
Amortized cost | 690,550 | 426,410 | 1,116,960 | ||||||||||||||||||||||
Unrealized gains | 86 | 4 | 90 | ||||||||||||||||||||||
Unrealized losses | (2,480 | ) | (2,212 | ) | (4,692 | ) | |||||||||||||||||||
Fair value | $ | 688,156 | $ | 424,202 | $ | 1,112,358 | |||||||||||||||||||
Investments Classified by Contractual Maturity Date [Table Text Block] | 30-Sep-13 | 31-Dec-12 | |||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Weighted Average Life of all Agency Securities | Fair Value | Amortized | Fair Value | Amortized | |||||||||||||||||||||
Cost | Cost | ||||||||||||||||||||||||
Less than one year | $ | - | $ | - | $ | - | $ | - | |||||||||||||||||
Greater than or equal to one year and less than three years | - | - | - | - | |||||||||||||||||||||
Greater than or equal to three years and less than five years | 31,956 | 32,692 | 638,744 | 641,231 | |||||||||||||||||||||
Greater than or equal to five years | 1,243,887 | 1,300,236 | 473,614 | 475,729 | |||||||||||||||||||||
Total Agency Securities | $ | 1,275,843 | $ | 1,332,928 | $ | 1,112,358 | $ | 1,116,960 | |||||||||||||||||
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value [Table Text Block] | Unrealized Loss Position For: | ||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||||
As of | Fair Value | Unrealized | Fair Value | Unrealized | Fair Value | Unrealized | |||||||||||||||||||
Losses | Losses | Losses | |||||||||||||||||||||||
30-Sep-13 | $ | 1,235,161 | $ | (57,222 | ) | $ | - | $ | - | $ | 1,235,161 | $ | (57,222 | ) | |||||||||||
31-Dec-12 | $ | 1,032,421 | $ | (4,692 | ) | $ | - | $ | - | $ | 1,032,421 | $ | (4,692 | ) | |||||||||||
Non-Agency Securities [Member] | |||||||||||||||||||||||||
Note 6 - Agency Securities, Available for Sale (Tables) [Line Items] | |||||||||||||||||||||||||
Investments Classified by Contractual Maturity Date [Table Text Block] | 30-Sep-13 | 31-Dec-12 | |||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Weighted Average Life of all Non-Agency Securities | Fair Value | Amortized | Fair Value | Amortized | |||||||||||||||||||||
Cost | Cost | ||||||||||||||||||||||||
Less than one year | $ | - | $ | - | $ | - | $ | - | |||||||||||||||||
Greater than or equal to one year and less than three years | - | - | - | - | |||||||||||||||||||||
Greater than or equal to three years and less than five years | 21,582 | 21,698 | 5,763 | 5,678 | |||||||||||||||||||||
Greater than or equal to five years | 124,383 | 122,388 | 124,183 | 121,359 | |||||||||||||||||||||
Total Non-Agency Securities | $ | 145,965 | $ | 144,086 | $ | 129,946 | $ | 127,037 | |||||||||||||||||
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value [Table Text Block] | Unrealized Loss Position For: | ||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Less than 12 months | 12 Months or More | Total | |||||||||||||||||||||||
As of | Fair Value | Unrealized | Fair Value | Unrealized | Fair Value | Unrealized | |||||||||||||||||||
Losses | Losses | Losses | |||||||||||||||||||||||
30-Sep-13 | $ | 48,078 | $ | (1,236 | ) | $ | - | $ | - | $ | 48,078 | $ | (1,236 | ) | |||||||||||
31-Dec-12 | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | |||||||||||||
Trading Securities [Table Text Block] | Non-Agency Securities | ||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
30-Sep-13 | Fair Value | Amortized | Principal | Weighted | |||||||||||||||||||||
Cost | Amount | Average | |||||||||||||||||||||||
Coupon | |||||||||||||||||||||||||
Prime/Alt-A | $ | 145,965 | $ | 144,086 | $ | 176,954 | 4.17 | % | |||||||||||||||||
Non-Agency Securities | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
31-Dec-12 | Fair Value | Amortized | Principal | Weighted | |||||||||||||||||||||
Cost | Amount | Average | |||||||||||||||||||||||
Coupon | |||||||||||||||||||||||||
Prime/Alt-A | $ | 129,946 | $ | 127,037 | $ | 156,957 | 5.29 | % |
Note_8_Linked_Transactions_Tab
Note 8 - Linked Transactions (Tables) | 9 Months Ended | ||||||||||||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||||||||||||
Linked Transactions Disclosure [Abstract] | |||||||||||||||||||||||||||||
Non-Agency Securities and Repurchase Agreements Underlying Linked Transactions [Table Text Block] | Linked Repurchase Agreements | Linked Non-Agency Securities | |||||||||||||||||||||||||||
Maturity or Repricing | Balance | Weighted Average Interest | Non-Agency MBS | Fair Value | Amortized | Par/Current | Weighted Average Coupon | ||||||||||||||||||||||
Rate | Cost | Face | Rate | ||||||||||||||||||||||||||
Within 30 days | $ | 5,301 | 1.94 | % | Prime | $ | 92,384 | $ | 93,152 | $ | 97,761 | 2.98 | % | ||||||||||||||||
31 days to 60 days | 23,386 | 1.41 | Alt/A | 28,814 | 28,720 | 36,946 | 4.7 | ||||||||||||||||||||||
61 days to 90 days | 66,229 | 1.04 | Total | $ | 121,198 | $ | 121,872 | $ | 134,707 | 3.39 | % | ||||||||||||||||||
Greater than 90 days | 6,467 | 2 | |||||||||||||||||||||||||||
Total | $ | 101,383 | 1.23 | % | |||||||||||||||||||||||||
Schedule of Other Nonoperating Income (Expense) [Table Text Block] | Unrealized Net Gain (Loss) and Net Interest Income from Linked Transactions | For the Quarter | For the Nine Months Ended September 30, 2013 | ||||||||||||||||||||||||||
Ended September 30, 2013 | |||||||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||||||
Interest income attributable to MBS underlying Linked Transactions | $ | 854 | $ | 893 | |||||||||||||||||||||||||
Interest expense attributable to linked repurchase agreements underlying Linked Transactions | (170 | ) | (179 | ) | |||||||||||||||||||||||||
Change in fair value of Linked Transactions included in earnings | 40 | (2,287 | ) | ||||||||||||||||||||||||||
Unrealized net gain (loss) and net interest income from Linked Transactions | $ | 724 | $ | (1,573 | ) |
Note_9_Repurchase_Agreements_T
Note 9 - Repurchase Agreements (Tables) | 9 Months Ended | ||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||
Initial [Member] | |||||||||||||||||
Note 9 - Repurchase Agreements (Tables) [Line Items] | |||||||||||||||||
Schedule of Repurchase Agreements [Table Text Block] | Repurchase Agreements | Weighted | Weighted | Haircut for | |||||||||||||
(in thousands) | Average | Average | Repurchase Agreements (1) | ||||||||||||||
Contractual | Maturity | ||||||||||||||||
Rate | in days | ||||||||||||||||
Agency Securities | $ | 1,176,849 | 0.39 | % | 39 | 4.95 | % | ||||||||||
Non-Agency Securities | 108,185 | 1.58 | 54 | 20.63 | |||||||||||||
Total | $ | 1,285,034 | 0.49 | % | 40 | 6.27 | % | ||||||||||
Repurchase Agreements | Weighted | Weighted | Haircut for | ||||||||||||||
(in thousands) | Average | Average | Repurchase Agreements (1) | ||||||||||||||
Contractual Rate | Maturity in | ||||||||||||||||
days | |||||||||||||||||
Agency Securities | $ | 1,033,496 | 0.48 | % | 43 | 4.83 | % | ||||||||||
Non-Agency Securities | 102,334 | 2.07 | 25 | 22.35 | |||||||||||||
Total | $ | 1,135,830 | 0.62 | % | 41 | 6.4 | % | ||||||||||
Additional [Member] | |||||||||||||||||
Note 9 - Repurchase Agreements (Tables) [Line Items] | |||||||||||||||||
Schedule of Repurchase Agreements [Table Text Block] | Maturing or Repricing | September 30, | December 31, | ||||||||||||||
2013 | 2012 | ||||||||||||||||
(in thousands) | |||||||||||||||||
Within 30 days | $ | 504,587 | $ | 280,435 | |||||||||||||
31 days to 60 days | 591,792 | 629,311 | |||||||||||||||
61 days to 90 days | 186,380 | 226,084 | |||||||||||||||
Greater than 90 days | 2,275 | - | |||||||||||||||
Total | $ | 1,285,034 | $ | 1,135,830 |
Note_10_Derivatives_Tables
Note 10 - Derivatives (Tables) | 9 Months Ended | ||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||
Schedule of Derivative Instruments [Table Text Block] | Notional | Assets at | Liabilities at | ||||||||||||||
Amount | Fair Value (1) | Fair Value (1) | |||||||||||||||
(in thousands) | |||||||||||||||||
Interest rate swap contracts | $ | 801,250 | $ | 35,481 | $ | - | |||||||||||
Interest rate swaptions | 130,000 | 10,782 | - | ||||||||||||||
Totals | $ | 931,250 | $ | 46,263 | $ | - | |||||||||||
Notional | Assets at | Liabilities at | |||||||||||||||
Amount | Fair Value (1) | Fair Value (1) | |||||||||||||||
(in thousands) | |||||||||||||||||
Interest rate swap contracts | $ | 325,000 | $ | 395 | $ | (365 | ) | ||||||||||
Interest rate swaptions | 130,000 | 4,545 | - | ||||||||||||||
Totals | $ | 455,000 | $ | 4,940 | $ | (365 | ) | ||||||||||
Potential Effects of Netting Derivative Instruments on the Balance Sheets [Table Text Block] | Gross Amounts Not Offset | ||||||||||||||||
in the | |||||||||||||||||
Condensed Balance Sheet | |||||||||||||||||
Assets | Gross Amounts | Financial | Cash | Net Amount | |||||||||||||
of Assets | Instruments | Collateral | |||||||||||||||
Presented in the Condensed | Held | ||||||||||||||||
Balance Sheet | |||||||||||||||||
(in thousands) | |||||||||||||||||
Interest rate swap contracts | $ | 35,481 | $ | - | $ | (35,481 | ) | $ | - | ||||||||
Interest rate swaptions | 10,782 | - | (8,058 | ) | 2,724 | ||||||||||||
Totals | $ | 46,263 | $ | - | $ | (43,539 | ) | $ | 2,724 | ||||||||
Gross Amounts Not Offset in the | |||||||||||||||||
Condensed Balance Sheet | |||||||||||||||||
Assets | Gross Amounts of Assets Presented in the Condensed Balance Sheet | Financial Instruments | Cash Collateral Held | Net Amount | |||||||||||||
(in thousands) | |||||||||||||||||
Interest rate swap contracts | $ | 395 | $ | (92 | ) | $ | - | $ | 303 | ||||||||
Interest rate swaptions | 4,545 | - | (1,426 | ) | 3,119 | ||||||||||||
Totals | $ | 4,940 | $ | (92 | ) | $ | (1,426 | ) | $ | 3,422 | |||||||
Gross Amounts Not Offset in the | |||||||||||||||||
Condensed Balance Sheet | |||||||||||||||||
Liabilities | Gross Amounts of Liabilities Presented | Financial Instruments | Cash | Net Amount | |||||||||||||
in the Condensed | Collateral | ||||||||||||||||
Balance Sheet | Posted | ||||||||||||||||
(in thousands) | |||||||||||||||||
Interest rate swap contracts | $ | (365 | ) | $ | 92 | $ | 273 | $ | - | ||||||||
Totals | $ | (365 | ) | $ | 92 | $ | 273 | $ | - | ||||||||
Derivative Instruments, Gain (Loss) [Table Text Block] | Income (Loss) Recognized (in thousands) | ||||||||||||||||
Derivatives | Location on condensed statements of operations | For the Quarter Ended September 30, 2013 | For the Nine Months Ended September 30, 2013 | ||||||||||||||
Interest rate swap contracts: | |||||||||||||||||
Interest income | Realized loss on derivatives | $ | 212 | $ | 530 | ||||||||||||
Interest expense | Realized loss on derivatives | (2,885 | ) | (6,142 | ) | ||||||||||||
Changes in fair value | Unrealized gain on derivatives | 572 | 40,657 | ||||||||||||||
$ | (2,101 | ) | $ | 35,045 | |||||||||||||
Interest rate swaptions: | |||||||||||||||||
Changes in fair value | Unrealized gain on derivatives | (303 | ) | 6,237 | |||||||||||||
$ | (303 | ) | $ | 6,237 | |||||||||||||
Totals | $ | (2,404 | ) | $ | 41,282 |
Note_13_Stockholders_Equity_Ta
Note 13 - Stockholders' Equity (Tables) | 9 Months Ended | ||||||||||||||
Sep. 30, 2013 | |||||||||||||||
Stockholders' Equity Note [Abstract] | |||||||||||||||
Dividends Transactions [Table Text Block] | Record Date | Payment Date | Rate per | Aggregate | |||||||||||
common share | amount paid to | ||||||||||||||
holders of record | |||||||||||||||
(in thousands) | |||||||||||||||
15-Jan-13 | 30-Jan-13 | $ | 0.23 | $ | 1,725 | ||||||||||
15-Feb-13 | 27-Feb-13 | $ | 0.23 | $ | 1,725 | ||||||||||
15-Mar-13 | 27-Mar-13 | $ | 0.23 | $ | 1,725 | ||||||||||
15-Apr-13 | 29-Apr-13 | $ | 0.23 | $ | 1,725 | ||||||||||
15-May-13 | 30-May-13 | $ | 0.23 | $ | 3,105 | ||||||||||
14-Jun-13 | 27-Jun-13 | $ | 0.23 | $ | 3,105 | ||||||||||
15-Jul-13 | 30-Jul-13 | $ | 0.23 | $ | 3,105 | ||||||||||
15-Aug-13 | 29-Aug-13 | $ | 0.23 | $ | 3,105 | ||||||||||
16-Sep-13 | 27-Sep-13 | $ | 0.23 | $ | 3,105 | ||||||||||
Equity Transactions [Table Text Block] | Transaction Type | Completion Date | Number of | Per Share | Net Proceeds | ||||||||||
Shares | price | (in thousands) | |||||||||||||
Common stock follow-on public offering | 13-May-13 | 6,000,000 | $ | 18.93 | $ | 113,188 |
Note_15_Income_Taxes_Tables
Note 15 - Income Taxes (Tables) | 9 Months Ended | ||||||||
Sep. 30, 2013 | |||||||||
Income Tax Disclosure [Abstract] | |||||||||
Schedule of Effective Income Tax Rate Reconciliation [Table Text Block] | For the | For the Nine | |||||||
Quarter | Months | ||||||||
Ended | Ended | ||||||||
September | September | ||||||||
30, 2013 | 30, 2013 | ||||||||
(in thousands) | |||||||||
GAAP net income (loss) | $ | (37,217 | ) | $ | 11,995 | ||||
Book to tax differences: | |||||||||
Net book/tax differences on Non-Agency Securities and Linked Transactions | (70 | ) | 6,564 | ||||||
Net capital losses carried forward | 44,815 | 47,921 | |||||||
Unrealized gain on derivatives | (268 | ) | (46,894 | ) | |||||
Other | - | 2 | |||||||
Estimated taxable income | $ | 7,260 | $ | 19,588 |
Note_2_Organization_and_Nature1
Note 2 - Organization and Nature of Business Operations (Details) (USD $) | 0 Months Ended | 1 Months Ended | 3 Months Ended | 9 Months Ended | |||
Oct. 03, 2012 | Jun. 30, 2012 | Sep. 30, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Nov. 02, 2012 | Sep. 24, 2012 | |
Note 2 - Organization and Nature of Business Operations (Details) [Line Items] | |||||||
Proceeds from Contributed Capital (in Dollars) | $1,000 | $1,000 | |||||
Stock Issued During Period, Shares, New Issues | 50 | 6,000,000 | |||||
Common Stock, Par or Stated Value Per Share (in Dollars per share) | $0.00 | $0.00 | $0.00 | ||||
Common Stock, Shares Authorized (in Shares) | 1,000 | 250,000,000 | 250,000,000 | 250,000,000 | |||
Preferred Stock, Shares Authorized (in Shares) | 25,000,000 | 25,000,000 | 25,000,000 | ||||
Preferred Stock, Par or Stated Value Per Share (in Dollars per share) | $0.00 | $0.00 | $0.00 | ||||
Shares Issued, Price Per Share (in Dollars per share) | $20 | $18.93 | |||||
Proceeds from Issuance of Common Stock (in Dollars) | $150,000,000 | $113,188,000 | |||||
Over-Allotment Option to Purchase Additional Common Stock | 1,087,500 | ||||||
IPO [Member] | |||||||
Note 2 - Organization and Nature of Business Operations (Details) [Line Items] | |||||||
Stock Issued During Period, Shares, New Issues | 7,250,000 | ||||||
Private Placement [Member] | |||||||
Note 2 - Organization and Nature of Business Operations (Details) [Line Items] | |||||||
Stock Issued During Period, Shares, New Issues | 250,000 |
Note_3_Summary_of_Significant_2
Note 3 - Summary of Significant Accounting Policies (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 24, 2012 | Jun. 30, 2012 |
Accounting Policies [Abstract] | ||||
Preferred Stock, Shares Authorized (in Shares) | 25,000,000 | 25,000,000 | 25,000,000 | |
Preferred Stock, Par or Stated Value Per Share (in Dollars per share) | $0.00 | $0.00 | $0.00 | |
Common Stock, Shares Authorized (in Shares) | 250,000,000 | 250,000,000 | 250,000,000 | 1,000 |
Common Stock, Par or Stated Value Per Share (in Dollars per share) | $0.00 | $0.00 | $0.00 | |
Common Stock, Shares, Outstanding (in Shares) | 13,500,050 | 7,500,050 |
Note_3_Summary_of_Significant_3
Note 3 - Summary of Significant Accounting Policies (Details) - Information Related to Net Margin Collateral Posted (Held) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | ||
In Thousands, unless otherwise specified | ||||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||||
Assets at Fair Value | $9,446 | [1] | $273 | [1] |
Liabilities at Fair Value | -52,885 | [1] | -1,426 | [1] |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||||
Assets at Fair Value | 9,446 | [1] | ||
Liabilities at Fair Value | -9,346 | [1] | ||
Interest Rate Swap [Member] | ||||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||||
Assets at Fair Value | [1] | 273 | [1] | |
Liabilities at Fair Value | -35,481 | [1] | [1] | |
Swaption [Member] | ||||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||||
Assets at Fair Value | [1] | [1] | ||
Liabilities at Fair Value | ($8,058) | [1] | ($1,426) | [1] |
[1] | See Note 5, "Fair Value of Financial Instruments" for additional discussion. |
Note_5_Fair_Value_of_Financial2
Note 5 - Fair Value of Financial Instruments (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Note 5 - Fair Value of Financial Instruments (Details) [Line Items] | ||
Trading Securities, Debt | $145,965 | $129,946 |
Fair Value, Inputs, Level 3 [Member] | ||
Note 5 - Fair Value of Financial Instruments (Details) [Line Items] | ||
Trading Securities, Debt | $146,000 | $129,900 |
Note_5_Fair_Value_of_Financial3
Note 5 - Fair Value of Financial Instruments (Details) - Summary of Assets and Liabilities Measured at Fair Value on a Recurring Basis (USD $) | Sep. 30, 2013 | Jun. 30, 2013 | Dec. 31, 2012 | ||
In Thousands, unless otherwise specified | |||||
Note 5 - Fair Value of Financial Instruments (Details) - Summary of Assets and Liabilities Measured at Fair Value on a Recurring Basis [Line Items] | |||||
Agency Securities, available for sale | $1,275,843 | $1,112,358 | |||
Non-Agency Securities, trading | 145,965 | 148,953 | 129,946 | ||
Linked Transactions | 19,815 | ||||
Derivatives | 46,263 | [1] | 4,940 | [1] | |
Derivatives | [1] | 365 | [1] | ||
Fair Value, Inputs, Level 2 [Member] | |||||
Note 5 - Fair Value of Financial Instruments (Details) - Summary of Assets and Liabilities Measured at Fair Value on a Recurring Basis [Line Items] | |||||
Agency Securities, available for sale | 1,275,843 | 1,112,358 | |||
Linked Transactions | 19,815 | ||||
Derivatives | 46,263 | 4,940 | |||
Derivatives | 365 | ||||
Fair Value, Inputs, Level 3 [Member] | |||||
Note 5 - Fair Value of Financial Instruments (Details) - Summary of Assets and Liabilities Measured at Fair Value on a Recurring Basis [Line Items] | |||||
Non-Agency Securities, trading | $145,965 | $129,946 | |||
[1] | See Note 5, "Fair Value of Financial Instruments" for additional discussion. |
Note_5_Fair_Value_of_Financial4
Note 5 - Fair Value of Financial Instruments (Details) - Carrying Values and Fair Values of Financial Assets and Liabilities (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | ||
In Thousands, unless otherwise specified | |||||
Financial Assets: | |||||
Cash | $33,305 | $36,316 | $1 | ||
Cash | 33,305 | 36,316 | |||
Cash collateral posted | 9,446 | [1] | 273 | [1] | |
Accrued interest receivable | 3,569 | 2,759 | |||
Accrued interest receivable | 3,569 | 2,759 | |||
Financial Liabilities: | |||||
Repurchase agreements, net | 1,285,034 | 1,135,830 | |||
Repurchase agreements, net | 1,285,034 | 1,135,830 | |||
Cash collateral held | 52,885 | [1] | 1,426 | [1] | |
Accrued interest payable | 712 | 844 | |||
Accrued interest payable | 712 | 844 | |||
Fair Value, Inputs, Level 1 [Member] | |||||
Financial Assets: | |||||
Cash | 33,305 | 36,316 | |||
Fair Value, Inputs, Level 2 [Member] | |||||
Financial Assets: | |||||
Cash collateral posted | 9,446 | 273 | |||
Accrued interest receivable | 3,569 | 2,759 | |||
Financial Liabilities: | |||||
Repurchase agreements, net | 1,285,034 | 1,135,830 | |||
Cash collateral held | 52,885 | 1,426 | |||
Accrued interest payable | $712 | $844 | |||
[1] | See Note 5, "Fair Value of Financial Instruments" for additional discussion. |
Note_5_Fair_Value_of_Financial5
Note 5 - Fair Value of Financial Instruments (Details) - Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis (USD $) | 3 Months Ended | 9 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2013 |
Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis [Abstract] | ||
Balance, beginning of period | $148,953 | $129,946 |
Purchase of securities, at cost | 3,056 | 36,332 |
Principal repayments | -6,649 | -16,895 |
Net gain (loss) | 735 | -2,691 |
Discount accretion | -130 | -727 |
Balance, end of period | 145,965 | 145,965 |
Net gains (losses) for outstanding Level 3 Assets | $735 | ($2,691) |
Note_5_Fair_Value_of_Financial6
Note 5 - Fair Value of Financial Instruments (Details) - Range of Estimates of Cumulative Default and Loss Severities and Discount Rates (Fair Value, Inputs, Level 3 [Member]) | 6 Months Ended | 9 Months Ended |
Dec. 31, 2012 | Sep. 30, 2013 | |
Minimum [Member] | ||
Note 5 - Fair Value of Financial Instruments (Details) - Range of Estimates of Cumulative Default and Loss Severities and Discount Rates [Line Items] | ||
Cumulative default | 6.28% | 0.00% |
Loss Severity (Life) | 36.70% | 9.20% |
Discount rate | 4.50% | 3.71% |
Delinquency (life) | 13.50% | 0.90% |
Voluntary prepayments (life) | 4.60% | 6.90% |
Weighted Average [Member] | ||
Note 5 - Fair Value of Financial Instruments (Details) - Range of Estimates of Cumulative Default and Loss Severities and Discount Rates [Line Items] | ||
Cumulative default | 17.65% | 9.52% |
Loss Severity (Life) | 48.52% | 38.36% |
Discount rate | 5.17% | 5.66% |
Delinquency (life) | 22.56% | 14.41% |
Voluntary prepayments (life) | 8.30% | 9.77% |
Maximum [Member] | ||
Note 5 - Fair Value of Financial Instruments (Details) - Range of Estimates of Cumulative Default and Loss Severities and Discount Rates [Line Items] | ||
Cumulative default | 26.26% | 32.90% |
Loss Severity (Life) | 56.00% | 54.60% |
Discount rate | 5.54% | 8.97% |
Delinquency (life) | 33.60% | 22.30% |
Voluntary prepayments (life) | 11.40% | 14.00% |
Note_6_Agency_Securities_Avail2
Note 6 - Agency Securities, Available for Sale (Details) (USD $) | 3 Months Ended | 9 Months Ended | |
In Millions, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2013 | Dec. 31, 2012 |
Note 6 - Agency Securities, Available for Sale (Details) [Line Items] | |||
Agency Securities, Fixed Rate Securities, Weighted Average Coupon | 3.40% | 3.40% | 3.14% |
Available-for-sale Securities, Gross Realized Gains (Losses), Sale Proceeds (in Dollars) | $554.40 | $554.40 | |
Available-for-sale Securities, Gross Realized Losses (in Dollars) | $48.60 | $48.60 | |
MBS Portfolio [Member] | |||
Note 6 - Agency Securities, Available for Sale (Details) [Line Items] | |||
Percentage of Portfolio Invested in Agency Securities | 89.70% | 89.70% | 89.50% |
Percentage of Portfolio Invested in Non-Agency Securities | 10.30% | 10.30% | 10.50% |
MBS Portfolio Inclusive of Non-Agency Securities Underlying Linked Transactions [Member] | |||
Note 6 - Agency Securities, Available for Sale (Details) [Line Items] | |||
Percentage of Portfolio Invested in Agency Securities | 82.70% | 82.70% | |
Overall Investment in Non-Agency Securities Including Those Underlying Linked Transactions [Member] | |||
Note 6 - Agency Securities, Available for Sale (Details) [Line Items] | |||
Percentage of Portfolio Invested in Non-Agency Securities | 17.30% | 17.30% |
Note_6_Agency_Securities_Avail3
Note 6 - Agency Securities, Available for Sale (Details) - Unrealized Gain or Loss Position and Components of Carrying Value of Available for Sale Agency Securities (USD $) | 9 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2013 | Dec. 31, 2012 |
Schedule of Available-for-sale Securities [Line Items] | ||
Principal Amount | $1,262,032 | $1,055,456 |
Net unamortized premium | 70,896 | 61,504 |
Amortized cost | 1,332,928 | 1,116,960 |
Unrealized gains | 137 | 90 |
Unrealized losses | -57,222 | -4,692 |
Fair value | 1,275,843 | 1,112,358 |
Fannie Mae [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal Amount | 980,458 | 651,867 |
Net unamortized premium | 54,263 | 38,683 |
Amortized cost | 1,034,721 | 690,550 |
Unrealized gains | 137 | 86 |
Unrealized losses | -40,392 | -2,480 |
Fair value | 994,466 | 688,156 |
Freddie Mac [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal Amount | 281,574 | 403,589 |
Net unamortized premium | 16,633 | 22,821 |
Amortized cost | 298,207 | 426,410 |
Unrealized gains | 4 | |
Unrealized losses | -16,830 | -2,212 |
Fair value | $281,377 | $424,202 |
Note_6_Agency_Securities_Avail4
Note 6 - Agency Securities, Available for Sale (Details) - Summary of Weighted Average Lives of Agency Securities (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Summary of Weighted Average Lives of Agency Securities [Abstract] | ||
Greater than or equal to three years and less than five years | $31,956 | $638,744 |
Greater than or equal to three years and less than five years | 32,692 | 641,231 |
Greater than or equal to five years | 1,243,887 | 473,614 |
Greater than or equal to five years | 1,300,236 | 475,729 |
Total Agency Securities | 1,275,843 | 1,112,358 |
Total Agency Securities | $1,332,928 | $1,116,960 |
Note_6_Agency_Securities_Avail5
Note 6 - Agency Securities, Available for Sale (Details) - Unrealized Losses and Estimated Fair Value of Agency Securities (USD $) | 9 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2013 | Dec. 31, 2012 |
Unrealized Losses and Estimated Fair Value of Agency Securities [Abstract] | ||
Less than 12 months - Fair Value | $1,235,161 | $1,032,421 |
Less than 12 months - Unrealized Losses | -57,222 | -4,692 |
Total - Fair Value | 1,235,161 | 1,032,421 |
Total - Unrealized Losses | ($57,222) | ($4,692) |
Note_7_NonAgency_Securities_Tr
Note 7 - Non-Agency Securities, Trading (Details) - Non-Agency Securities (USD $) | 6 Months Ended | 9 Months Ended | |
In Thousands, unless otherwise specified | Dec. 31, 2012 | Sep. 30, 2013 | Jun. 30, 2013 |
Non-Agency Securities [Abstract] | |||
Fair Value | $129,946 | $145,965 | $148,953 |
Amortized Cost | 127,037 | 144,086 | |
Principal Amount | $156,957 | $176,954 | |
Weighted Average Coupon | 5.29% | 4.17% |
Note_7_NonAgency_Securities_Tr1
Note 7 - Non-Agency Securities, Trading (Details) - Summary of Weighted Average Lives of Non-Agency Securities (USD $) | Sep. 30, 2013 | Jun. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | |||
Summary of Weighted Average Lives of Non-Agency Securities [Abstract] | |||
Greater than or equal to three years and less than five years | $21,582 | $5,763 | |
Greater than or equal to three years and less than five years | 21,698 | 5,678 | |
Greater than or equal to five years | 124,383 | 124,183 | |
Greater than or equal to five years | 122,388 | 121,359 | |
Total Non-Agency Securities | 145,965 | 148,953 | 129,946 |
Total Non-Agency Securities | $144,086 | $127,037 |
Note_7_NonAgency_Securities_Tr2
Note 7 - Non-Agency Securities, Trading (Details) - Unrealized Losses and Estimated Fair Value of Non-Agency Securities (USD $) | 9 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2013 | Dec. 31, 2012 |
Note 7 - Non-Agency Securities, Trading (Details) - Unrealized Losses and Estimated Fair Value of Non-Agency Securities [Line Items] | ||
Fair Value - Less than 12 months | $1,235,161 | $1,032,421 |
Unrealized Losses - Less than 12 months | -57,222 | -4,692 |
Fair Value - Total | 1,235,161 | 1,032,421 |
Unrealized Losses - Total | -57,222 | -4,692 |
Non-Agency Securities [Member] | ||
Note 7 - Non-Agency Securities, Trading (Details) - Unrealized Losses and Estimated Fair Value of Non-Agency Securities [Line Items] | ||
Fair Value - Less than 12 months | 48,078 | |
Unrealized Losses - Less than 12 months | -1,236 | |
Fair Value - Total | 48,078 | |
Unrealized Losses - Total | ($1,236) |
Note_8_Linked_Transactions_Det
Note 8 - Linked Transactions (Details) (MBS Portfolio [Member]) | Sep. 30, 2013 |
MBS Portfolio [Member] | |
Note 8 - Linked Transactions (Details) [Line Items] | |
Percentage of Portfolio Invested in Non-Agency Securities Underlying Linked Transactions | 7.90% |
Note_8_Linked_Transactions_Det1
Note 8 - Linked Transactions (Details) - Non-Agency Securities and Repurchase Agreements Underlying Linked Transactions (USD $) | 6 Months Ended | 9 Months Ended |
In Thousands, unless otherwise specified | Dec. 31, 2012 | Sep. 30, 2013 |
Note 8 - Linked Transactions (Details) - Non-Agency Securities and Repurchase Agreements Underlying Linked Transactions [Line Items] | ||
Linked Repurchase Agreements - Balance | $1,135,830 | $1,285,034 |
Linked Repurchase Agreements - Weighted Average Interest Rate | 0.62% | 0.49% |
Linked Non-Agency Securities - Fair Value | 129,946 | 145,965 |
Linked Non-Agency Securities - Amortized Cost | 127,037 | 144,086 |
Linked Non-Agency Securities - Par/Current Face | 156,957 | 176,954 |
Linked Non-Agency Securities - Weighted Average Coupon Rate | 5.29% | 4.17% |
Within 30 Days [Member] | Linked Transactions [Member] | ||
Note 8 - Linked Transactions (Details) - Non-Agency Securities and Repurchase Agreements Underlying Linked Transactions [Line Items] | ||
Linked Repurchase Agreements - Balance | 5,301 | |
Linked Repurchase Agreements - Weighted Average Interest Rate | 1.94% | |
Linked Non-Agency Securities - Fair Value | 92,384 | |
Linked Non-Agency Securities - Amortized Cost | 93,152 | |
Linked Non-Agency Securities - Par/Current Face | 97,761 | |
Linked Non-Agency Securities - Weighted Average Coupon Rate | 2.98% | |
From 31 to 60 Days [Member] | Linked Transactions [Member] | ||
Note 8 - Linked Transactions (Details) - Non-Agency Securities and Repurchase Agreements Underlying Linked Transactions [Line Items] | ||
Linked Repurchase Agreements - Balance | 23,386 | |
Linked Repurchase Agreements - Weighted Average Interest Rate | 1.41% | |
Linked Non-Agency Securities - Fair Value | 28,814 | |
Linked Non-Agency Securities - Amortized Cost | 28,720 | |
Linked Non-Agency Securities - Par/Current Face | 36,946 | |
Linked Non-Agency Securities - Weighted Average Coupon Rate | 4.70% | |
From 61 to 90 Days [Member] | Linked Transactions [Member] | ||
Note 8 - Linked Transactions (Details) - Non-Agency Securities and Repurchase Agreements Underlying Linked Transactions [Line Items] | ||
Linked Repurchase Agreements - Balance | 66,229 | |
Linked Repurchase Agreements - Weighted Average Interest Rate | 1.04% | |
Linked Non-Agency Securities - Fair Value | 121,198 | |
Linked Non-Agency Securities - Amortized Cost | 121,872 | |
Linked Non-Agency Securities - Par/Current Face | 134,707 | |
Linked Non-Agency Securities - Weighted Average Coupon Rate | 3.39% | |
Greater than 90 Days [Member] | Linked Transactions [Member] | ||
Note 8 - Linked Transactions (Details) - Non-Agency Securities and Repurchase Agreements Underlying Linked Transactions [Line Items] | ||
Linked Repurchase Agreements - Balance | 6,467 | |
Linked Repurchase Agreements - Weighted Average Interest Rate | 2.00% | |
Linked Transactions [Member] | ||
Note 8 - Linked Transactions (Details) - Non-Agency Securities and Repurchase Agreements Underlying Linked Transactions [Line Items] | ||
Linked Repurchase Agreements - Balance | $101,383 | |
Linked Repurchase Agreements - Weighted Average Interest Rate | 1.23% |
Note_8_Linked_Transactions_Det2
Note 8 - Linked Transactions (Details) - Unrealized Net Gain (Loss) and Net Interest Income from Linked Transactions (USD $) | 3 Months Ended | 9 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2013 |
Unrealized Net Gain (Loss) and Net Interest Income from Linked Transactions [Abstract] | ||
Interest income attributable to MBS underlying Linked Transactions | $854 | $893 |
Interest expense attributable to linked repurchase agreements underlying Linked Transactions | -170 | -179 |
Change in fair value of Linked Transactions included in earnings | 40 | -2,287 |
Unrealized net gain (loss) and net interest income from Linked Transactions | $724 | ($1,573) |
Note_9_Repurchase_Agreements_D
Note 9 - Repurchase Agreements (Details) (USD $) | 3 Months Ended | 9 Months Ended | |
Sep. 30, 2013 | Sep. 30, 2013 | Dec. 31, 2012 | |
Note 9 - Repurchase Agreements (Details) [Line Items] | |||
Repurchase Agreements, Number of Counterparties | 27 | 27 | 26 |
Securities Sold under Agreements to Repurchase | $1,285,034,000 | $1,285,034,000 | $1,135,830,000 |
Amount of U.S. Treasury Securities Sold Short | 301,500,000 | ||
Amount of U.S. Treasury Securities Repurchased | 230,800,000 | 300,900,000 | |
Realized Gain (Loss) on Short Sale of U.S. Treasury Securities | $3,739,000 | $633,000 | |
Outstanding Borrowings [Member] | |||
Note 9 - Repurchase Agreements (Details) [Line Items] | |||
Repurchase Agreements, Number of Counterparties | 21 | 21 | 18 |
Note_9_Repurchase_Agreements_D1
Note 9 - Repurchase Agreements (Details) - Repurchase Agreements Information (USD $) | 6 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Dec. 31, 2012 | Sep. 30, 2013 | ||
Note 9 - Repurchase Agreements (Details) - Repurchase Agreements Information [Line Items] | ||||
Repurchase Agreements (in Dollars) | $1,135,830 | $1,285,034 | ||
Weighted Average Contractual Rate | 0.62% | 0.49% | ||
Weighted Average Maturity in days | 41 days | 40 days | ||
Haircut for Repurchase Agreements | 6.40% | [1] | 6.27% | [1] |
Angency Securities [Member] | ||||
Note 9 - Repurchase Agreements (Details) - Repurchase Agreements Information [Line Items] | ||||
Repurchase Agreements (in Dollars) | 1,033,496 | 1,176,849 | ||
Weighted Average Contractual Rate | 0.48% | 0.39% | ||
Weighted Average Maturity in days | 43 days | 39 days | ||
Haircut for Repurchase Agreements | 4.83% | [1] | 4.95% | [1] |
Non-Agency Securities [Member] | ||||
Note 9 - Repurchase Agreements (Details) - Repurchase Agreements Information [Line Items] | ||||
Repurchase Agreements (in Dollars) | $102,334 | $108,185 | ||
Weighted Average Contractual Rate | 2.07% | 1.58% | ||
Weighted Average Maturity in days | 25 days | 54 days | ||
Haircut for Repurchase Agreements | 22.35% | [1] | 20.63% | [1] |
[1] | The Haircut represents the weighted average margin requirement, or the percentage amount by which the collateral value must exceed the loan amount |
Note_9_Repurchase_Agreements_D2
Note 9 - Repurchase Agreements (Details) - Repurchase Agreements Information - Additional (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Note 9 - Repurchase Agreements (Details) - Repurchase Agreements Information - Additional [Line Items] | ||
Repurchase agreements | $1,285,034 | $1,135,830 |
Maturity up to 30 days [Member] | ||
Note 9 - Repurchase Agreements (Details) - Repurchase Agreements Information - Additional [Line Items] | ||
Repurchase agreements | 504,587 | 280,435 |
Maturity 31 to 60 Days [Member] | ||
Note 9 - Repurchase Agreements (Details) - Repurchase Agreements Information - Additional [Line Items] | ||
Repurchase agreements | 591,792 | 629,311 |
Maturity 61 to 90 Days [Member] | ||
Note 9 - Repurchase Agreements (Details) - Repurchase Agreements Information - Additional [Line Items] | ||
Repurchase agreements | 186,380 | 226,084 |
Maturity over 90 days [Member] | ||
Note 9 - Repurchase Agreements (Details) - Repurchase Agreements Information - Additional [Line Items] | ||
Repurchase agreements | $2,275 |
Note_10_Derivatives_Details_In
Note 10 - Derivatives (Details) - Interest Rate Swap Contracts and Interest Rate Swaptions (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | ||
In Thousands, unless otherwise specified | ||||
Derivative [Line Items] | ||||
Notional Amount | $931,250 | $455,000 | ||
Assets at Fair Value | 46,263 | [1] | 4,940 | [1] |
Liabilities at Fair Value | [1] | -365 | [1] | |
Interest Rate Swap [Member] | ||||
Derivative [Line Items] | ||||
Notional Amount | 801,250 | 325,000 | ||
Assets at Fair Value | 35,481 | [1] | 395 | [1] |
Liabilities at Fair Value | [1] | -365 | [1] | |
Swaption [Member] | ||||
Derivative [Line Items] | ||||
Notional Amount | 130,000 | 130,000 | ||
Assets at Fair Value | 10,782 | [1] | 4,545 | [1] |
Liabilities at Fair Value | [1] | [1] | ||
[1] | See Note 5, "Fair Value of Financial Instruments" for additional discussion. |
Note_10_Derivatives_Details_Po
Note 10 - Derivatives (Details) - Potential Effects of Netting Derivative Instruments On the Balance Sheets (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Note 10 - Derivatives (Details) - Potential Effects of Netting Derivative Instruments On the Balance Sheets [Line Items] | ||
Gross Amounts of Assets Presented in the Condensed Consolidated Balance Sheet | $46,263 | $4,940 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Financial Instruments - Assets | -92 | |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Cash Collateral Held - Assets | -43,539 | -1,426 |
Net Amount - Assets | 2,724 | 3,422 |
Gross Amounts of Assets Presented in the Condensed Consolidated Balance Sheet | -365 | |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Financial Instruments - Liabilities | 92 | |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Cash Collateral Posted - Liabilities | 273 | |
Interest Rate Swap [Member] | ||
Note 10 - Derivatives (Details) - Potential Effects of Netting Derivative Instruments On the Balance Sheets [Line Items] | ||
Gross Amounts of Assets Presented in the Condensed Consolidated Balance Sheet | 35,481 | 395 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Financial Instruments - Assets | -92 | |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Cash Collateral Held - Assets | -35,481 | |
Net Amount - Assets | 303 | |
Gross Amounts of Assets Presented in the Condensed Consolidated Balance Sheet | -365 | |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Financial Instruments - Liabilities | 92 | |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Cash Collateral Posted - Liabilities | 273 | |
Swaption [Member] | ||
Note 10 - Derivatives (Details) - Potential Effects of Netting Derivative Instruments On the Balance Sheets [Line Items] | ||
Gross Amounts of Assets Presented in the Condensed Consolidated Balance Sheet | 10,782 | 4,545 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Cash Collateral Held - Assets | -8,058 | -1,426 |
Net Amount - Assets | $2,724 | $3,119 |
Note_10_Derivatives_Details_Lo
Note 10 - Derivatives (Details) - Location and Information of Derivatives (USD $) | 3 Months Ended | 9 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2013 |
Interest rate swap contracts: | ||
Unrealized loss on derivatives | $269 | $46,894 |
Totals | -2,404 | 41,282 |
Interest Rate Swap [Member] | Interest Income [Member] | ||
Interest rate swap contracts: | ||
Realized loss on derivatives | 212 | 530 |
Interest Rate Swap [Member] | Interest Expense [Member] | ||
Interest rate swap contracts: | ||
Realized loss on derivatives | -2,885 | -6,142 |
Interest Rate Swap [Member] | Changes In Fair Value [Member] | ||
Interest rate swap contracts: | ||
Unrealized loss on derivatives | 572 | 40,657 |
Interest Rate Swap [Member] | ||
Interest rate swap contracts: | ||
Totals | -2,101 | 35,045 |
Swaption [Member] | Changes In Fair Value [Member] | ||
Interest rate swap contracts: | ||
Unrealized loss on derivatives | -303 | 6,237 |
Swaption [Member] | ||
Interest rate swap contracts: | ||
Totals | ($303) | $6,237 |
Note_11_Commitments_and_Contin1
Note 11 - Commitments and Contingencies (Details) (USD $) | 3 Months Ended | 9 Months Ended |
Sep. 30, 2013 | Sep. 30, 2013 | |
Note 11 - Commitments and Contingencies (Details) [Line Items] | ||
Monthly Management Fee Description | Management Agreement with ARRMAs discussed in Note 16 " Related Party Transactions , " we are externally managed by ARRM pursuant to a management agreement, (the "Management Agreement"). The Management Agreement entitles ARRM to receive a management fee payable monthly in arrears in an amount equal to 1/12th of (a) 1.5% of gross equity raised (including our IPO and Private Placement equity) up to $1 billion plus (b) 1.0% of gross equity raised in excess of $1 billion. We are also obligated to reimburse certain expenses incurred by ARRM and its affiliates. For the quarter and nine months ended September 30, 2013, we reimbursed ARRM $38,000 and $76,000 for other expenses incurred on our behalf. For the quarter ended September 30, 2012 and the period from June 21, 2012 through September 30, 2012 we did not reimburse ARRM for any expenses. | |
Gross Equity Raised Threshold Used in Calculation of Management Fee | $1,000,000,000 | $1,000,000,000 |
Related Party Transaction, Expenses from Transactions with Related Party | $38,000 | $76,000 |
Gross Equity Raised up to One Billion U.S. Dollars [Member] | ||
Note 11 - Commitments and Contingencies (Details) [Line Items] | ||
Percentage of Gross Equity Raised Used in Calculation of Management Fee | 1.50% | 1.50% |
Gross Equity Raised in Excess of One Billion U.S. Dollars [Member] | ||
Note 11 - Commitments and Contingencies (Details) [Line Items] | ||
Percentage of Gross Equity Raised Used in Calculation of Management Fee | 1.00% | 1.00% |
Note_12_StockBased_Compensatio1
Note 12 - Stock-Based Compensation (Details) | Sep. 30, 2013 |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
Maximum Number of Common Shares Reserved for Grant of Awards As Percentage of Total Common Shares Issued and Outstanding | 3.00% |
Share-based Compensation Arrangement by Share-based Payment Award, Number of Shares Available for Grant (in Shares) | 405,001 |
Note_13_Stockholders_Equity_De
Note 13 - Stockholders' Equity (Details) - Common Stock Dividend Transactions (USD $) | 1 Months Ended | 3 Months Ended | 9 Months Ended | ||||||||
In Thousands, except Per Share data, unless otherwise specified | Sep. 30, 2013 | Aug. 31, 2013 | Jul. 31, 2013 | Jun. 30, 2013 | 31-May-13 | Apr. 30, 2013 | Mar. 31, 2013 | Feb. 28, 2013 | Jan. 31, 2013 | Sep. 30, 2013 | Sep. 30, 2013 |
Common Stock Dividend Transactions [Abstract] | |||||||||||
Rate per common share | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.69 | $2.07 |
Aggregate amount paid to holders of record (in Dollars) | $3,105 | $3,105 | $3,105 | $3,105 | $3,105 | $1,725 | $1,725 | $1,725 | $1,725 | $22,425 |
Note_13_Stockholders_Equity_De1
Note 13 - Stockholders' Equity (Details) - Equity Transactions (USD $) | 0 Months Ended | 1 Months Ended | 9 Months Ended |
In Thousands, except Share data, unless otherwise specified | Oct. 03, 2012 | Jun. 30, 2012 | Sep. 30, 2013 |
Equity Transactions [Abstract] | |||
Common stock follow-on public offering | 50 | 6,000,000 | |
Common stock follow-on public offering (in Dollars per share) | $20 | $18.93 | |
Common stock follow-on public offering (in Dollars) | $150,000 | $113,188 |
Note_14_Net_Income_Loss_per_Co1
Note 14 - Net Income (Loss) per Common Share (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2012 | Sep. 30, 2013 | |
Earnings Per Share [Abstract] | ||||
Earnings Per Share, Basic | ($2.76) | ($1.20) | ($1.20) | $1.13 |
Note_15_Income_Taxes_Details
Note 15 - Income Taxes (Details) (USD $) | 3 Months Ended | 9 Months Ended | |
In Millions, except Share data, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2013 | Dec. 31, 2012 |
Income Tax Disclosure [Abstract] | |||
Amount of Aggregate Tax Basis of Assets and Liabilities in Excess of Stockholders' Equity | $19.50 | $19.50 | |
Amount of Aggregate Tax Basis of Assets and Liabilities in Excess of Stockholders Equity, Per Share (in Dollars per share) | $1.44 | $1.44 | |
Common Stock, Shares, Outstanding (in Shares) | 13,500,050 | 13,500,050 | 7,500,050 |
Payments of Dividends | 9.3 | 22.4 | |
Estimated Taxable Income Available for Dividends | 7.3 | 19.6 | |
Retained Earnings, Unappropriated | $2 | $2 |
Note_15_Income_Taxes_Details_R
Note 15 - Income Taxes (Details) - Reconciliation of GAAP Net Income to Estimated REIT Taxable Income (USD $) | 3 Months Ended | 9 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2013 |
Reconciliation of GAAP Net Income to Estimated REIT Taxable Income [Abstract] | ||
GAAP net income (loss) | ($37,217) | $11,995 |
Book to tax differences: | ||
Net book/tax differences on Non-Agency Securities and Linked Transactions | -70 | 6,564 |
Net capital losses carried forward | 44,815 | 47,921 |
Unrealized gain on derivatives | -269 | -46,894 |
Other | 2 | |
Estimated taxable income | $7,260 | $19,588 |
Note_16_Related_Party_Transact1
Note 16 - Related Party Transactions (Details) (USD $) | 3 Months Ended | 9 Months Ended |
Sep. 30, 2013 | Sep. 30, 2013 | |
Related Party Transactions [Abstract] | ||
Initial Term of Management Agreement | 5 years | |
Automatic Renewal Period of Management Agreement | 1 year | |
Related Party Transaction, Amounts of Transaction | $115,000 | |
Related Party Transaction, Sub-Management Fee Percentage | 25.00% | 25.00% |
Related Party Transaction, Expenses from Transactions with Related Party | 38,000 | 76,000 |
Related Party Transaction, Selling, General and Administrative Expenses from Transactions with Related Party | $1,000,000,000 | $2,300,000,000 |
Note_18_Subsequent_events_Deta
Note 18 - Subsequent events (Details) (USD $) | 1 Months Ended | 3 Months Ended | 9 Months Ended | 0 Months Ended | |||||||||
In Thousands, except Share data in Millions, unless otherwise specified | Sep. 30, 2013 | Aug. 31, 2013 | Jul. 31, 2013 | Jun. 30, 2013 | 31-May-13 | Apr. 30, 2013 | Mar. 31, 2013 | Feb. 28, 2013 | Jan. 31, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Oct. 28, 2013 | Oct. 29, 2013 |
Subsequent Event [Member] | Subsequent Event [Member] | ||||||||||||
Note 18 - Subsequent events (Details) [Line Items] | |||||||||||||
Common Stock, Dividends, Per Share, Cash Paid | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.69 | $2.07 | $0.15 | |
Payments of Ordinary Dividends, Common Stock (in Dollars) | $3,105 | $3,105 | $3,105 | $3,105 | $3,105 | $1,725 | $1,725 | $1,725 | $1,725 | $22,425 | $2,000 | ||
Common Stock, Dividends, Per Share, Declared | $0.15 | ||||||||||||
Stock Repurchase Program, Number of Shares Authorized to be Repurchased (in Shares) | 2 |