Document_And_Entity_Informatio
Document And Entity Information (USD $) | 12 Months Ended | ||
In Thousands, except Share data, unless otherwise specified | Dec. 31, 2013 | Mar. 05, 2014 | Jun. 30, 2013 |
Document and Entity Information [Abstract] | ' | ' | ' |
Entity Registrant Name | 'JAVELIN MORTGAGE INVESTMENT CORP. | ' | ' |
Entity Central Index Key | '0001552890 | ' | ' |
Current Fiscal Year End Date | '--12-31 | ' | ' |
Entity Filer Category | 'Non-accelerated Filer | ' | ' |
Document Type | '10-K | ' | ' |
Document Period End Date | 31-Dec-13 | ' | ' |
Document Fiscal Year Focus | '2013 | ' | ' |
Document Fiscal Period Focus (Q1,Q2,Q3,FY) | 'FY | ' | ' |
Amendment Flag | 'false | ' | ' |
Entity Common Stock, Shares Outstanding | ' | 11,992,743 | ' |
Entity Well-known Seasoned Issuer | 'No | ' | ' |
Entity Voluntary Filers | 'No | ' | ' |
Entity Current Reporting Status | 'Yes | ' | ' |
Entity Public Float | ' | ' | $186,330 |
Balance_Sheet
Balance Sheet (USD $) | Dec. 31, 2013 | Dec. 31, 2012 | ||
In Thousands, unless otherwise specified | ||||
Assets | ' | ' | ||
Cash | $41,524 | $36,316 | ||
Cash collateral posted | 648 | 273 | ||
Agency Securities, available for sale, at fair value (including pledged securities of $770,172 and $1,087,452) | 801,777 | 1,112,358 | ||
Non-Agency Securities, trading, at fair value (including pledged securities of $143,080 and $129,946) | 143,399 | 129,946 | ||
Linked Transactions, net, at fair value (including pledged securities of $140,945 in 2013) | 16,322 | 0 | ||
Derivatives, at fair value | 59,703 | 4,940 | ||
Accrued interest receivable | 2,336 | 2,759 | ||
Prepaid and other assets | 623 | 171 | ||
Total Assets | 1,066,332 | 1,286,763 | ||
Liabilities: | ' | ' | ||
Repurchase agreements | 839,405 | 1,135,830 | ||
Cash collateral held | 53,314 | [1] | 1,426 | [1] |
Derivatives, at fair value | 0 | 365 | ||
Accrued interest payable | 611 | 844 | ||
Accounts payable and other accrued expenses | 1,722 | 251 | ||
Total Liabilities | 895,052 | 1,138,716 | ||
Stockholders’ Equity: | ' | ' | ||
Preferred stock, $0.001 par value, 25,000 shares authorized and none issued and outstanding at December 31, 2013 and December 31, 2012. | 0 | 0 | ||
Common stock, $0.001 par value, 250,000 shares authorized, 11,993 shares and 7,500 shares issued and outstanding at December 31, 2013 and December 31, 2012. | 12 | 8 | ||
Additional paid-in capital | 243,951 | 149,993 | ||
Retained earnings (Accumulated deficit) | -69,540 | 2,648 | ||
Accumulated other comprehensive loss | -3,143 | -4,602 | ||
Total Stockholders’ Equity | 171,280 | 148,047 | ||
Total Liabilities and Stockholders’ Equity | $1,066,332 | $1,286,763 | ||
[1] | See Note 5, "Fair Value of Financial Instruments" for additional discussion. |
Balance_Sheet_Parentheticals
Balance Sheet (Parentheticals) (USD $) | Dec. 31, 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) | 11,992,743 | 7,500,050 |
Common Stock, Shares, Outstanding (in Shares) | 11,992,743 | 7,500,050 |
US Government Agencies Debt Securities | ' | ' |
Plеdgеd assеts | $770,172 | $1,087,452 |
Non-Agency Securities | ' | ' |
Plеdgеd assеts | 143,080 | 129,946 |
Linked Transactions | ' | ' |
Plеdgеd assеts | $140,945 | ' |
Statement_of_Operations
Statement of Operations (USD $) | 6 Months Ended | 12 Months Ended | ||
In Thousands, except Share data, unless otherwise specified | Dec. 31, 2012 | Dec. 31, 2013 | ||
Interest Income: | ' | ' | ||
Agency Securities, net of amortization of premium | $6,767 | $35,081 | ||
Non-Agency Securities, including discount accretion | 1,421 | 7,975 | ||
Total interest income | 8,188 | 43,056 | ||
Interest expense | -1,455 | -7,332 | ||
Net interest income | 6,733 | 35,724 | ||
Other Income (Loss): | ' | ' | ||
Realized loss on sale of Agency Securities (reclassified from Other comprehensive income (loss)) | 0 | -81,045 | ||
Other than temporary impairment of Agency Securities (reclassified from Other comprehensive income (loss); no amounts remaining in Accumulated other comprehensive income (loss)) | 0 | -44,278 | ||
Net gain (loss) on Non-Agency Securities | 1,124 | -977 | ||
Gain on short sale of U.S. Treasury Securities | 0 | 633 | ||
Unrealized net loss and net interest income from Linked Transactions | 0 | -3,352 | ||
Subtotal | 1,124 | -129,019 | ||
Realized loss on derivatives | -583 | [1] | -2,795 | [1] |
Unrealized gain (loss) on derivatives | -302 | 57,748 | ||
Subtotal | -885 | 54,953 | ||
Total Other Income (Loss) | 239 | -74,066 | ||
Expenses: | ' | ' | ||
Management fee | 550 | 3,315 | ||
Professional fees | 118 | 1,025 | ||
Insurance | 56 | 280 | ||
Board compensation | 55 | 292 | ||
Other | 49 | 518 | ||
Total expenses | 828 | 5,430 | ||
Net income (loss) before taxes | 6,144 | -43,772 | ||
Income tax expense | -46 | -2 | ||
Net Income (Loss) | $6,098 | ($43,774) | ||
Net income (loss) per common share (in Dollars per share) | $1.88 | ($3.89) | ||
Weighted average common shares outstanding (in Shares) | 3,247,000 | 11,257,000 | ||
[1] | Interest expense related to our interest rate swap contracts is recorded in realized losses on derivatives on the statements of operations. For additional information see Note 10 to the financial statements. |
Statement_of_Comprehensive_Inc
Statement of Comprehensive Income (USD $) | 6 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Dec. 31, 2012 | Dec. 31, 2013 |
Statement of Comprehensive Income [Abstract] | ' | ' |
Net Income (Loss) | $6,098 | ($43,774) |
Other comprehensive income (loss): | ' | ' |
Reclassification adjustment for realized loss on sale of available for sale Agency Securities | 0 | 81,045 |
Reclassification adjustment for other than temporary impairment of available for sale Agency Securities | 0 | 44,278 |
Net unrealized loss on available for sale Agency Securities | -4,602 | -123,864 |
Other comprehensive income (loss) | -4,602 | 1,459 |
Comprehensive Income (Loss) | $1,496 | ($42,315) |
Statement_of_Stockholders_Equi
Statement of Stockholders' Equity (USD $) | Total | Common Stock | Additional Paid-In Capital | Retained Earnings | Accumulated Other Comprehensive (Income) Loss |
In Thousands, except Share data, unless otherwise specified | |||||
Beginning Balance at Jun. 20, 2012 | $0 | $0 | $0 | $0 | $0 |
Beginning Balance (in Shares) at Jun. 20, 2012 | ' | 0 | ' | ' | ' |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ' | ' | ' | ' | ' |
Common stock dividends declared | -3,450 | ' | ' | -3,450 | ' |
Issuance of common stock, net (in Shares) | ' | 7,500,000 | ' | ' | ' |
Issuance of common stock, net | 150,001 | 8 | 149,993 | ' | ' |
Net Income (Loss) | 6,098 | ' | ' | 6,098 | ' |
Other comprehensive income | -4,602 | ' | ' | ' | -4,602 |
Ending Balance at Dec. 31, 2012 | 148,047 | 8 | 149,993 | 2,648 | -4,602 |
Ending Balance (in Shares) at Dec. 31, 2012 | ' | 7,500,000 | ' | ' | ' |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ' | ' | ' | ' | ' |
Common stock dividends declared | -28,414 | ' | ' | -28,414 | ' |
Issuance of common stock, net (in Shares) | ' | 6,000,000 | ' | ' | ' |
Issuance of common stock, net | 113,163 | 6 | 113,157 | ' | ' |
Common stock repurchased (in Shares) | ' | -1,507,307 | ' | ' | ' |
Common stock repurchased | -19,201 | -2 | -19,199 | ' | ' |
Net Income (Loss) | -43,774 | ' | ' | -43,774 | ' |
Other comprehensive income | 1,459 | ' | ' | ' | 1,459 |
Ending Balance at Dec. 31, 2013 | $171,280 | $12 | $243,951 | ($69,540) | ($3,143) |
Ending Balance (in Shares) at Dec. 31, 2013 | ' | 11,993,000 | ' | ' | ' |
Statement_of_Cash_Flows
Statement of Cash Flows (USD $) | 6 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Dec. 31, 2012 | Dec. 31, 2013 |
Cash Flows From Operating Activities: | ' | ' |
Net Income (Loss) | $6,098 | ($43,774) |
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | ' | ' |
Net (gain) loss on Non-Agency Securities | -1,124 | 977 |
Loss on sale of Agency Securities | 0 | 81,045 |
Other than temporary impairment of Agency Securities | 0 | 44,278 |
Unrealized net loss and net interest income from Linked Transactions | 0 | 3,352 |
Gain on short sale of U.S. Treasury Securities | 0 | -633 |
Changes in operating assets and liabilities: | ' | ' |
(Increase) decrease in accrued interest receivable | -2,759 | 423 |
Increase in prepaid and other assets | -171 | -452 |
Increase in derivatives, at fair value | -4,575 | -55,128 |
Increase (decrease) in accrued interest payable | 844 | -233 |
Increase in accounts payable and other accrued expenses | 251 | 379 |
Net cash provided by (used in) operating activities | -1,293 | 36,697 |
Cash Flows From Investing Activities: | ' | ' |
Purchases of Agency Securities | -1,123,594 | -899,127 |
Purchases of Non-Agency Securities | -131,077 | -38,332 |
Cash disbursements on Linked Transactions | 0 | -19,674 |
Principal repayments of Agency Securities | 6,266 | 95,690 |
Principal repayments of Non-Agency Securities | 2,480 | 21,788 |
Proceeds from sales of Agency Securities | 0 | 984,453 |
Proceeds from sales of Non-Agency Securities | 0 | 1,352 |
Disbursements on reverse repurchase agreements | 0 | -1,265,400 |
Principal receipts on reverse repurchase agreements | 0 | 1,265,400 |
Decrease in cash collateral | 1,153 | 51,513 |
Net cash provided by (used in) investing activities | -1,244,772 | 197,663 |
Cash Flows From Financing Activities: | ' | ' |
Issuance of common stock, net of expenses | 150,001 | 113,163 |
Proceeds from repurchase agreements | 2,644,202 | 9,307,401 |
Principal repayments on repurchase agreements | -1,508,372 | -9,603,826 |
Common stock dividends paid | -3,450 | -28,414 |
Common stock repurchased | 0 | -18,109 |
Net cash provided by (used in) financing activities | 1,282,381 | -229,152 |
Net increase in cash | 36,316 | 5,208 |
Cash - beginning of year and at June 21, 2012 | 0 | 36,316 |
Cash - end of year | 36,316 | 41,524 |
Supplemental Disclosure: | ' | ' |
Cash paid for income taxes (not including refunds received) | ' | 48 |
Cash paid during the period for interest | 588 | 12,079 |
Non-Cash Investing and Financing Activities: | ' | ' |
Unrealized loss on investment in available for sale securities | -4,602 | -123,864 |
Amounts payable for common stock repurchased | 0 | -1,092 |
Angency Securities | ' | ' |
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | ' | ' |
Accretion (amortization) of discounts and premiums, investments | 368 | 5,701 |
Non-Agency Securities | ' | ' |
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | ' | ' |
Accretion (amortization) of discounts and premiums, investments | -225 | 762 |
Payments | ' | ' |
Cash Flows From Financing Activities: | ' | ' |
Proceeds from (Payments for) Treasury Securities | 0 | 301,512 |
Proceeds | ' | ' |
Cash Flows From Financing Activities: | ' | ' |
Proceeds from (Payments for) Treasury Securities | $0 | ($300,879) |
Note_1_Basis_of_Presentation
Note 1 - Basis of Presentation | 12 Months Ended |
Dec. 31, 2013 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | ' |
Basis of Presentation | ' |
Basis of Presentation | |
The accompanying financial statements have been prepared in accordance with generally accepted accounting principles in the U.S. (“GAAP”). 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 | 12 Months Ended |
Dec. 31, 2013 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | ' |
Organization and Nature of Business Operations | ' |
Organization and Nature of Business Operations | |
References to “we,” “us,” “our,” "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). ARRM is an investment advisor registered with the Securities and Exchange Commission. 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 $0.001per 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 (“SBBC”), 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, over collateralization 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 | 12 Months Ended | ||||||||
Dec. 31, 2013 | |||||||||
Accounting Policies [Abstract] | ' | ||||||||
Summary of Significant Accounting Policies | ' | ||||||||
Summary of Significant Accounting Policies | |||||||||
Cash | |||||||||
Cash includes cash on deposit with financial institutions. We may maintain deposits in federally insured financial institutions in excess of federally insured limits. However, management believes we are not exposed to significant credit risk due to the financial position and creditworthiness of the depository institutions in which those deposits are held. | |||||||||
Cash Collateral Posted/Held | |||||||||
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 balance sheets as of December 31, 2013 and December 31, 2012. | |||||||||
December 31, 2013 | |||||||||
Assets at Fair Value (1) | Liabilities at Fair Value (1) | ||||||||
(in thousands) | |||||||||
MBS | $ | 648 | $ | (999 | ) | ||||
Interest rate swap contracts | — | (52,315 | ) | ||||||
Totals | $ | 648 | $ | (53,314 | ) | ||||
(1) See Note 5, "Fair Value of Financial Instruments" for additional discussion. | |||||||||
December 31, 2012 | |||||||||
Assets at Fair Value (1) | Liabilities at 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 December 31, 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 as part of the statements of comprehensive income (loss). | |||||||||
We evaluate Agency Securities for other than temporary impairment at least on a quarterly basis and more frequently when economic or market concerns warrant such evaluation. We consider an impairment to be other than temporary if we (1) have the intent to sell the Agency Securities, (2) believe it is more likely than not that we will be required to sell the securities before recovery (for example, because of liquidity requirements or contractual obligations) or (3) a credit loss exists. Impairment losses recognized establish a new cost basis for the related Agency Securities. | |||||||||
Non-Agency Securities | |||||||||
As of December 31, 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/or 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. We did not have any reverse repurchase agreements outstanding at December 31, 2013 or December 31, 2012. | |||||||||
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 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. We did not have any obligations to return securities received as collateral at December 31, 2013 or December 31, 2012. | |||||||||
Derivatives, at Fair Value | |||||||||
We recognize all derivatives as either assets or liabilities at fair value on our balance sheets. 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 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. Any changes in the fair value of our derivatives will affect 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. Our acquisition of a Non-Agency Security and a related repurchase financing provided by the seller are generally considered to be linked if the initial transfer of and repurchase financing are contractually contingent, or there is a limited secondary market for the security. 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 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 statements of operations and are not included in other comprehensive income. When the linking criteria are no longer 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 | |||||||||
At December 31, 2013, we were authorized to issue up to 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 our Board of Directors ("Board") or a committee thereof. We have not issued any preferred stock to date. | |||||||||
Common Stock | |||||||||
At December 31, 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 11,992,743 shares of common stock issued and outstanding at December 31, 2013 and 7,500,050 issued and outstanding at December 31, 2012. | |||||||||
Common Stock Repurchased | |||||||||
On October 30, 2013, we announced that our Board had authorized a stock repurchase program of up to two million shares of our common stock outstanding (the “Repurchase Program”). Under the Repurchase Program shares may be purchased in the open market, including block trades, through privately negotiated transactions, or pursuant to a trading plan separately adopted in the future. The timing, manner, price and amount of any repurchases will be at our discretion, subject to the requirements of the Securities Exchange Act of 1934, as amended, and related rules. We are not required to repurchase any shares under the Repurchase Program and it may be modified, suspended or terminated at any time for any reason. We do not intend to purchase shares from our Board or other affiliates. Under Maryland law, such repurchased shares are treated as authorized but unissued. As of December 31, 2013, we repurchased 1,507,307 shares of our common stock under the Repurchase Program for an aggregate cost of $19.2 million. As of December 31, 2013, there were 492,693 authorized shares remaining under our Repurchase Program. | |||||||||
Revenue Recognition | |||||||||
Interest income is earned and recognized on Agency Securities based on their unpaid principal amounts and their contractual terms. Premiums and discounts associated with the purchase of Agency Securities are amortized or accreted into interest income over the actual lives of the securities, reflecting actual prepayments as they occur. | |||||||||
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 and statement of cash flows 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 | 12 Months Ended |
Dec. 31, 2013 | |
Recent Accounting Pronouncements [Abstract] | ' |
Recent Accounting Pronouncements | ' |
Recent Accounting Pronouncements | |
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 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 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 | 12 Months Ended | |||||||||||||||||||
Dec. 31, 2013 | ||||||||||||||||||||
Fair Value Disclosures [Abstract] | ' | |||||||||||||||||||
Fair Value of Financial Instruments | ' | |||||||||||||||||||
Fair Value of Financial Instruments | ||||||||||||||||||||
Our valuation techniques for financial instruments are based on observable and unobservable inputs. Observable inputs reflect readily obtainable data from third-party sources, while unobservable inputs reflect management’s market assumptions. The 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/or dealer quotes. The third-party pricing services use common market pricing methods that may include pricing models that may incorporate such factors as coupons, prepayment speeds, spread to the Treasury curves and interest rate swap curves, duration, periodic and life caps and credit enhancement. If the fair value of an Agency Security is not available from the third-party pricing services or such data appears unreliable, we obtain 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 December 31, 2013 and December 31, 2012, all of our Agency Security fair values are classified as Level 2 based on the inputs used by our third-party pricing services and dealer quotes. | ||||||||||||||||||||
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. As of December 31, 2013 and December 31, 2012, all of our Non-Agency Security fair values are calculated in this manner and therefore were classified as 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 may incorporate 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 3. | ||||||||||||||||||||
The following tables provide a summary of our assets and liabilities that are measured at fair value on a recurring basis as of December 31, 2013 and December 31, 2012. | ||||||||||||||||||||
Quoted Prices | Significant | Significant | Balance at December 31, 2013 | |||||||||||||||||
in Active | Observable | Unobservable | ||||||||||||||||||
Markets for | Inputs | Inputs | ||||||||||||||||||
Identical Assets | (Level 2) | (Level 3) | ||||||||||||||||||
(Level 1) | ||||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Assets at Fair Value: | ||||||||||||||||||||
Agency Securities, available for sale | $ | — | $ | 801,777 | $ | — | $ | 801,777 | ||||||||||||
Non-Agency Securities, trading | $ | — | $ | — | $ | 143,399 | $ | 143,399 | ||||||||||||
Linked Transactions, net | $ | — | $ | — | $ | 16,322 | $ | 16,322 | ||||||||||||
Derivatives | $ | — | $ | 59,703 | $ | — | $ | 59,703 | ||||||||||||
There were no transfers of assets or liabilities between Levels of the fair value hierarchy during the year ended December 31, 2013. | ||||||||||||||||||||
Quoted Prices | Significant | Significant | Balance at December 31, 2012 | |||||||||||||||||
in Active | Observable | Unobservable | ||||||||||||||||||
Markets for | Inputs | Inputs | ||||||||||||||||||
Identical Assets | (Level 2) | (Level 3) | ||||||||||||||||||
(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 | ||||||||||||
There were no transfers of assets or liabilities between Levels of the fair value hierarchy during the year ended December 31, 2012. | ||||||||||||||||||||
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 December 31, 2013 and December 31, 2012. | ||||||||||||||||||||
December 31, 2013 | Fair Value Measurements using: | |||||||||||||||||||
Carrying Value | Fair | Quoted Prices | Significant | Significant | ||||||||||||||||
Value | in Active | Observable | Unobservable | |||||||||||||||||
Markets for | Inputs | Inputs | ||||||||||||||||||
Identical Assets | (Level 2) | (Level 3) | ||||||||||||||||||
(Level 1) | ||||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Financial Assets: | ||||||||||||||||||||
Cash | $ | 41,524 | $ | 41,524 | $ | 41,524 | $ | — | $ | — | ||||||||||
Cash collateral posted | $ | 648 | $ | 648 | $ | — | $ | 648 | $ | — | ||||||||||
Accrued interest receivable | $ | 2,336 | $ | 2,336 | $ | — | $ | 2,336 | $ | — | ||||||||||
Financial Liabilities: | ||||||||||||||||||||
Repurchase agreements | $ | 839,405 | $ | 839,405 | $ | — | $ | 839,405 | $ | — | ||||||||||
Cash collateral held | $ | 53,314 | $ | 53,314 | $ | — | $ | 53,314 | $ | — | ||||||||||
Accrued interest payable | $ | 611 | $ | 611 | $ | — | $ | 611 | $ | — | ||||||||||
December 31, 2012 | Fair Value Measurements using: | |||||||||||||||||||
Carrying Value | Fair | Quoted Prices | Significant | Significant | ||||||||||||||||
Value | in Active | Observable | Unobservable | |||||||||||||||||
Markets for | Inputs | Inputs | ||||||||||||||||||
Identical Assets | (Level 2) | (Level 3) | ||||||||||||||||||
(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 as of December 31, 2013 and December 31, 2012. | ||||||||||||||||||||
December 31, 2013 | December 31, 2012 | |||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Balance, beginning of period | $ | 129,946 | $ | — | ||||||||||||||||
Purchases of securities, at cost | 38,332 | 131,077 | ||||||||||||||||||
Principal repayments | (21,788 | ) | (2,480 | ) | ||||||||||||||||
Cash disbursements on Linked Transactions | 19,674 | — | ||||||||||||||||||
Proceeds from the sale of Non-Agency Securities | (1,352 | ) | — | |||||||||||||||||
Net gain (loss) on Non-Agency Securities | (977 | ) | 1,124 | |||||||||||||||||
Unrealized net loss and net interest income from Linked Transactions | (3,352 | ) | — | |||||||||||||||||
Discount accretion | (762 | ) | 225 | |||||||||||||||||
Balance, end of period | $ | 159,721 | $ | 129,946 | ||||||||||||||||
Net gains (losses) for outstanding Level 3 Assets | $ | (4,329 | ) | $ | 1,124 | |||||||||||||||
The significant unobservable inputs used in the fair value measurement of our Level 3 Non-Agency Securities (inclusive of Non-Agency Securities underlying Linked Transactions) 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 (inclusive of Non-Agency Securities underlying Linked Transactions) as of December 31, 2013 and December 31, 2012, respectively. See Note 8, "Linked Transaction" for additional discussion of Non-Agency Securities that are accounted for as a component of Linked Transactions. | ||||||||||||||||||||
December 31, 2013 | ||||||||||||||||||||
Unobservable | Minimum | Weighted | Maximum | |||||||||||||||||
Level 3 Input | Average | |||||||||||||||||||
Cumulative default | 0 | % | 6.99 | % | 33.27 | % | ||||||||||||||
Loss Severity (life) | 0 | % | 31.2 | % | 62.6 | % | ||||||||||||||
Discount rate | 4.01 | % | 5.32 | % | 6.5 | % | ||||||||||||||
Delinquency (life) | 0 | % | 9.74 | % | 29.5 | % | ||||||||||||||
Voluntary prepayments (life) | 6.7 | % | 9.74 | % | 14.8 | % | ||||||||||||||
December 31, 2012 | ||||||||||||||||||||
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 | 12 Months Ended | ||||||||||||||||||||||||
Dec. 31, 2013 | |||||||||||||||||||||||||
Investments, Debt and Equity Securities [Abstract] | ' | ||||||||||||||||||||||||
Agency Securities, Available for Sale | ' | ||||||||||||||||||||||||
Agency Securities, Available for Sale | |||||||||||||||||||||||||
All of our Agency Securities are classified as available for sale securities 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 December 31, 2013, investments in Agency Securities accounted for 84.8% of our MBS portfolio and 73.8% 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 December 31, 2012, investments in Agency Securities accounted for 89.5% of our MBS portfolio. There were no Linked Transactions as of December 31, 2012. | |||||||||||||||||||||||||
As of December 31, 2013, we had the following securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities as of December 31, 2013 are also presented below. All of our Agency Securities are fixed rate securities with a weighted average coupon of 3.48% as of December 31, 2013. | |||||||||||||||||||||||||
December 31, 2013 | Fannie | Total | |||||||||||||||||||||||
Mae | Agency | ||||||||||||||||||||||||
Securities | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Principal Amount | $ | 804,865 | $ | 804,865 | |||||||||||||||||||||
Net unamortized premium | 55 | 55 | |||||||||||||||||||||||
Amortized cost | $ | 804,920 | $ | 804,920 | |||||||||||||||||||||
Unrealized losses | (3,143 | ) | (3,143 | ) | |||||||||||||||||||||
Fair value | $ | 801,777 | $ | 801,777 | |||||||||||||||||||||
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. All of our Agency Securities are fixed rate securities with a weighted average coupon of 3.14% as of December 31, 2012. | |||||||||||||||||||||||||
December 31, 2012 | 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 December 31, 2013 and December 31, 2012. | |||||||||||||||||||||||||
December 31, 2013 | December 31, 2012 | ||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Weighted Average Life of all Agency Securities | Fair Value | Amortized Cost | Fair Value | Amortized 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 | 28,279 | 29,336 | 638,744 | 641,231 | |||||||||||||||||||||
Greater than or equal to five years | 773,498 | 775,584 | 473,614 | 475,729 | |||||||||||||||||||||
Total Agency Securities | $ | 801,777 | $ | 804,920 | $ | 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 December 31, 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 December 31, 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 | Unrealized | Unrealized | |||||||||||||||||||||
Losses | Fair Value | Losses | Fair Value | Losses | |||||||||||||||||||||
December 31, 2013 | $ | — | $ | — | $ | 57,167 | $ | (3,143 | ) | $ | 57,167 | $ | (3,143 | ) | |||||||||||
December 31, 2012 | $ | 1,032,421 | $ | (4,692 | ) | $ | — | $ | — | $ | 1,032,421 | $ | (4,692 | ) | |||||||||||
We evaluated our Agency Securities with unrealized losses as of December 31, 2013 and December 31, 2012, to determine whether there was any an other than temporary impairment. The decline in value of our 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 GSEs. The GSEs have a rating of AA+. As of those dates, we also considered whether we intended to sell Agency Securities and whether it was more likely than not that we could meet our liquidity requirements and contractual obligations without selling Agency Securities. Anticipating portfolio repositioning sales in the first quarter of 2014 (see Note 18, "Subsequent Events" for additional discussion), we concluded that the December 31, 2013 unrealized losses on our 25-year and 30-year fixed rate Agency Securities represented an other than temporary impairment. Accordingly, we recognized losses totaling $(44.3) million in our 2013 consolidated statements of operations, thereby establishing a new cost basis for Agency Securities with aggregate fair value of $744.6 million as of December 31, 2013. We determined that at December 31, 2013, there was no other than temporary impairment of our other Agency Securities, which are primarily 20-year and 15-year fixed rate securities. We previously determined that at December 31, 2012, there was no other than temporary impairment. | |||||||||||||||||||||||||
During the year ended December 31, 2013 we sold $984.5 million of Agency Securities, resulting in a realized loss of $81.0 million. For the period from June 21, 2012 through December 31, 2012, we did not sell any Agency Securities. | |||||||||||||||||||||||||
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 statement of operations in the period in which they occur. | |||||||||||||||||||||||||
As of December 31, 2013, investments in Non-Agency Securities accounted for 15.2% of our MBS portfolio and 26.2% 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) | |||||||||||||||||||||||||
December 31, 2013 | Fair Value | Amortized | Principal | Weighted | |||||||||||||||||||||
Cost | Amount | Average | |||||||||||||||||||||||
Coupon | |||||||||||||||||||||||||
Prime Fixed | $ | 51,515 | $ | 51,922 | $ | 57,995 | 4.96 | % | |||||||||||||||||
Prime Hybrid | $ | 17,067 | $ | 15,705 | $ | 21,253 | 3.36 | % | |||||||||||||||||
Prime Floater | $ | 2,117 | $ | 2,001 | $ | 2,000 | 5.41 | % | |||||||||||||||||
Alt A Fixed | $ | 63,582 | $ | 61,554 | $ | 77,922 | 5.85 | % | |||||||||||||||||
Alt A Hybrid | $ | 9,118 | $ | 8,494 | $ | 11,091 | 2.59 | % | |||||||||||||||||
Total Non-Agency Securities | $ | 143,399 | $ | 139,676 | $ | 170,261 | 5.02 | % | |||||||||||||||||
As of December 31, 2012, investments in Non-Agency Securities accounted for 10.5% of our MBS portfolio. There were no Linked Transactions as of December 31, 2012. | |||||||||||||||||||||||||
Non-Agency Securities | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
December 31, 2012 | Fair Value | Amortized | Principal | Weighted | |||||||||||||||||||||
Cost | Amount | Average | |||||||||||||||||||||||
Coupon | |||||||||||||||||||||||||
Prime Fixed | $ | 28,115 | $ | 27,457 | $ | 30,336 | 5.75 | % | |||||||||||||||||
Prime Hybrid | $ | 19,411 | $ | 19,029 | $ | 25,842 | 3.71 | % | |||||||||||||||||
Alt A Fixed | $ | 72,440 | $ | 70,675 | $ | 87,869 | 5.87 | % | |||||||||||||||||
Alt A Hybrid | $ | 9,980 | $ | 9,876 | $ | 12,910 | 2.88 | % | |||||||||||||||||
Total Non-Agency Securities | $ | 129,946 | $ | 127,037 | $ | 156,957 | 5.29 | % | |||||||||||||||||
Prime/Alt-A Non-Agency Securities as of December 31, 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 December 31, 2013 and December 31, 2012. | |||||||||||||||||||||||||
The following table summarizes the weighted average lives of our Non-Agency Securities as of December 31, 2013 and December 31, 2012. | |||||||||||||||||||||||||
December 31, 2013 | December 31, 2012 | ||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Weighted Average Life of all Non-Agency Securities | Fair Value | Amortized Cost | Fair Value | Amortized | |||||||||||||||||||||
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 | 36,581 | 35,254 | 5,763 | 5,678 | |||||||||||||||||||||
Greater than or equal to five years | 106,818 | 104,422 | 124,183 | 121,359 | |||||||||||||||||||||
Total Non-Agency Securities | $ | 143,399 | $ | 139,676 | $ | 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 December 31, 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 December 31, 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 Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | |||||||||||||||||||
December 31, 2013 | $ | 42,096 | $ | (1,089 | ) | $ | — | $ | — | $ | 42,096 | $ | (1,089 | ) | |||||||||||
December 31, 2012 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Our Non-Agency Securities are subject to risk of loss with regard to principal and interest payments and as of December 31, 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. | |||||||||||||||||||||||||
During the year ended December 31, 2013 we sold $1.4 million of Non-Agency Securities resulting in a realized loss of $0.1 million. For the period from June 21, 2012 through December 31, 2012, we did not sell any Non-Agency Securities. |
Note_7_NonAgency_Securities_Tr
Note 7 - Non-Agency Securities, Trading - Non-Agency Securities | 12 Months Ended | ||||||||||||||||||||||||
Dec. 31, 2013 | |||||||||||||||||||||||||
Investments, Debt and Equity Securities [Abstract] | ' | ||||||||||||||||||||||||
Non-Agency Securities, Trading | ' | ||||||||||||||||||||||||
Agency Securities, Available for Sale | |||||||||||||||||||||||||
All of our Agency Securities are classified as available for sale securities 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 December 31, 2013, investments in Agency Securities accounted for 84.8% of our MBS portfolio and 73.8% 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 December 31, 2012, investments in Agency Securities accounted for 89.5% of our MBS portfolio. There were no Linked Transactions as of December 31, 2012. | |||||||||||||||||||||||||
As of December 31, 2013, we had the following securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities as of December 31, 2013 are also presented below. All of our Agency Securities are fixed rate securities with a weighted average coupon of 3.48% as of December 31, 2013. | |||||||||||||||||||||||||
December 31, 2013 | Fannie | Total | |||||||||||||||||||||||
Mae | Agency | ||||||||||||||||||||||||
Securities | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Principal Amount | $ | 804,865 | $ | 804,865 | |||||||||||||||||||||
Net unamortized premium | 55 | 55 | |||||||||||||||||||||||
Amortized cost | $ | 804,920 | $ | 804,920 | |||||||||||||||||||||
Unrealized losses | (3,143 | ) | (3,143 | ) | |||||||||||||||||||||
Fair value | $ | 801,777 | $ | 801,777 | |||||||||||||||||||||
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. All of our Agency Securities are fixed rate securities with a weighted average coupon of 3.14% as of December 31, 2012. | |||||||||||||||||||||||||
December 31, 2012 | 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 December 31, 2013 and December 31, 2012. | |||||||||||||||||||||||||
December 31, 2013 | December 31, 2012 | ||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Weighted Average Life of all Agency Securities | Fair Value | Amortized Cost | Fair Value | Amortized 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 | 28,279 | 29,336 | 638,744 | 641,231 | |||||||||||||||||||||
Greater than or equal to five years | 773,498 | 775,584 | 473,614 | 475,729 | |||||||||||||||||||||
Total Agency Securities | $ | 801,777 | $ | 804,920 | $ | 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 December 31, 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 December 31, 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 | Unrealized | Unrealized | |||||||||||||||||||||
Losses | Fair Value | Losses | Fair Value | Losses | |||||||||||||||||||||
December 31, 2013 | $ | — | $ | — | $ | 57,167 | $ | (3,143 | ) | $ | 57,167 | $ | (3,143 | ) | |||||||||||
December 31, 2012 | $ | 1,032,421 | $ | (4,692 | ) | $ | — | $ | — | $ | 1,032,421 | $ | (4,692 | ) | |||||||||||
We evaluated our Agency Securities with unrealized losses as of December 31, 2013 and December 31, 2012, to determine whether there was any an other than temporary impairment. The decline in value of our 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 GSEs. The GSEs have a rating of AA+. As of those dates, we also considered whether we intended to sell Agency Securities and whether it was more likely than not that we could meet our liquidity requirements and contractual obligations without selling Agency Securities. Anticipating portfolio repositioning sales in the first quarter of 2014 (see Note 18, "Subsequent Events" for additional discussion), we concluded that the December 31, 2013 unrealized losses on our 25-year and 30-year fixed rate Agency Securities represented an other than temporary impairment. Accordingly, we recognized losses totaling $(44.3) million in our 2013 consolidated statements of operations, thereby establishing a new cost basis for Agency Securities with aggregate fair value of $744.6 million as of December 31, 2013. We determined that at December 31, 2013, there was no other than temporary impairment of our other Agency Securities, which are primarily 20-year and 15-year fixed rate securities. We previously determined that at December 31, 2012, there was no other than temporary impairment. | |||||||||||||||||||||||||
During the year ended December 31, 2013 we sold $984.5 million of Agency Securities, resulting in a realized loss of $81.0 million. For the period from June 21, 2012 through December 31, 2012, we did not sell any Agency Securities. | |||||||||||||||||||||||||
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 statement of operations in the period in which they occur. | |||||||||||||||||||||||||
As of December 31, 2013, investments in Non-Agency Securities accounted for 15.2% of our MBS portfolio and 26.2% 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) | |||||||||||||||||||||||||
December 31, 2013 | Fair Value | Amortized | Principal | Weighted | |||||||||||||||||||||
Cost | Amount | Average | |||||||||||||||||||||||
Coupon | |||||||||||||||||||||||||
Prime Fixed | $ | 51,515 | $ | 51,922 | $ | 57,995 | 4.96 | % | |||||||||||||||||
Prime Hybrid | $ | 17,067 | $ | 15,705 | $ | 21,253 | 3.36 | % | |||||||||||||||||
Prime Floater | $ | 2,117 | $ | 2,001 | $ | 2,000 | 5.41 | % | |||||||||||||||||
Alt A Fixed | $ | 63,582 | $ | 61,554 | $ | 77,922 | 5.85 | % | |||||||||||||||||
Alt A Hybrid | $ | 9,118 | $ | 8,494 | $ | 11,091 | 2.59 | % | |||||||||||||||||
Total Non-Agency Securities | $ | 143,399 | $ | 139,676 | $ | 170,261 | 5.02 | % | |||||||||||||||||
As of December 31, 2012, investments in Non-Agency Securities accounted for 10.5% of our MBS portfolio. There were no Linked Transactions as of December 31, 2012. | |||||||||||||||||||||||||
Non-Agency Securities | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
December 31, 2012 | Fair Value | Amortized | Principal | Weighted | |||||||||||||||||||||
Cost | Amount | Average | |||||||||||||||||||||||
Coupon | |||||||||||||||||||||||||
Prime Fixed | $ | 28,115 | $ | 27,457 | $ | 30,336 | 5.75 | % | |||||||||||||||||
Prime Hybrid | $ | 19,411 | $ | 19,029 | $ | 25,842 | 3.71 | % | |||||||||||||||||
Alt A Fixed | $ | 72,440 | $ | 70,675 | $ | 87,869 | 5.87 | % | |||||||||||||||||
Alt A Hybrid | $ | 9,980 | $ | 9,876 | $ | 12,910 | 2.88 | % | |||||||||||||||||
Total Non-Agency Securities | $ | 129,946 | $ | 127,037 | $ | 156,957 | 5.29 | % | |||||||||||||||||
Prime/Alt-A Non-Agency Securities as of December 31, 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 December 31, 2013 and December 31, 2012. | |||||||||||||||||||||||||
The following table summarizes the weighted average lives of our Non-Agency Securities as of December 31, 2013 and December 31, 2012. | |||||||||||||||||||||||||
December 31, 2013 | December 31, 2012 | ||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Weighted Average Life of all Non-Agency Securities | Fair Value | Amortized Cost | Fair Value | Amortized | |||||||||||||||||||||
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 | 36,581 | 35,254 | 5,763 | 5,678 | |||||||||||||||||||||
Greater than or equal to five years | 106,818 | 104,422 | 124,183 | 121,359 | |||||||||||||||||||||
Total Non-Agency Securities | $ | 143,399 | $ | 139,676 | $ | 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 December 31, 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 December 31, 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 Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | |||||||||||||||||||
December 31, 2013 | $ | 42,096 | $ | (1,089 | ) | $ | — | $ | — | $ | 42,096 | $ | (1,089 | ) | |||||||||||
December 31, 2012 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Our Non-Agency Securities are subject to risk of loss with regard to principal and interest payments and as of December 31, 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. | |||||||||||||||||||||||||
During the year ended December 31, 2013 we sold $1.4 million of Non-Agency Securities resulting in a realized loss of $0.1 million. For the period from June 21, 2012 through December 31, 2012, we did not sell any Non-Agency Securities. |
Note_8_Linked_Transactions
Note 8 - Linked Transactions | 12 Months Ended | ||||||||||||||||||||||||
Dec. 31, 2013 | |||||||||||||||||||||||||
Linked Transactions Disclosure [Abstract] | ' | ||||||||||||||||||||||||
Linked Transactions Disclosure | ' | ||||||||||||||||||||||||
Linked Transactions | |||||||||||||||||||||||||
Our Linked Transactions are evaluated on a combined basis, reported as forward (derivative) instruments and presented as assets on our 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 statements of operations. | |||||||||||||||||||||||||
The following tables present information about our Non-Agency Securities and repurchase agreements underlying our Linked Transactions at December 31, 2013. We did not have any Linked Transactions at December 31, 2012. Our Non-Agency Securities underlying our Linked Transactions represented approximately 13.0% of our overall investment in MBS at December 31, 2013 (dollars in thousands). | |||||||||||||||||||||||||
Linked Repurchase Agreements | Linked Non-Agency Securities | ||||||||||||||||||||||||
Maturity or Repricing | Balance | Weighted Average Interest Rate | Non-Agency MBS | Fair Value | Amortized Cost | Par/Current Face | Weighted Average Coupon Rate | ||||||||||||||||||
Within 30 days | $ | 8,177 | 1.88 | % | Prime | $ | 112,956 | $ | 116,631 | $ | 121,571 | 3 | % | ||||||||||||
31 days to 60 days | 44,974 | 1.23 | % | Alt/A | 27,989 | 27,788 | 35,822 | 4.7 | % | ||||||||||||||||
61 days to 90 days | 71,389 | 1.09 | % | Total | $ | 140,945 | $ | 144,419 | $ | 157,393 | 3.3 | % | |||||||||||||
Greater than 90 days | — | — | |||||||||||||||||||||||
Total | $ | 124,540 | 1.19 | % | |||||||||||||||||||||
Not included in the tables above is $83 thousand of accrued interest payable from Linked Transactions included in our balance sheet for the year ended December 31, 2013. | |||||||||||||||||||||||||
The following table presents certain information about the components of the unrealized net gains and net interest income from Linked Transactions included in our statements of operations for the year ended December 31, 2013. We did not have any Linked Transactions for the period from June 21, 2012 through December 31, 2012. | |||||||||||||||||||||||||
Unrealized Net Loss and Net Interest Income from Linked Transactions | December 31, 2013 | ||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Interest income attributable to MBS underlying Linked Transactions | $ | 2,334 | |||||||||||||||||||||||
Interest expense attributable to linked repurchase agreements underlying Linked Transactions | (534 | ) | |||||||||||||||||||||||
Change in fair value of Linked Transactions included in earnings | (5,152 | ) | |||||||||||||||||||||||
Unrealized net loss and net interest income from Linked Transactions | $ | (3,352 | ) |
Note_9_Repurchase_Agreements
Note 9 - Repurchase Agreements | 12 Months Ended | ||||||||||||
Dec. 31, 2013 | |||||||||||||
Disclosure of Repurchase Agreements [Abstract] | ' | ||||||||||||
Repurchase Agreements | ' | ||||||||||||
Repurchase Agreements | |||||||||||||
As of December 31, 2013 we had MRAs with 27 counterparties and had $839.4 million in outstanding borrowings with 20 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 December 31, 2013 and December 31, 2012. | |||||||||||||
December 31, 2013 | |||||||||||||
Repurchase Agreements (in thousands) | Weighted Average Contractual Rate | Weighted Average Maturity in days | Haircut for Repurchase Agreements (1) | ||||||||||
Agency Securities | $ | 731,782 | 0.42 | % | 33 | 4.9 | % | ||||||
Non-Agency Securities | 107,623 | 1.96 | % | 46 | 25.39 | % | |||||||
Total | $ | 839,405 | 0.61 | % | 35 | 7.53 | % | ||||||
(1) The Haircut represents the weighted average margin requirement, or the percentage amount by which the collateral value must exceed the loan amount. | |||||||||||||
December 31, 2012 | |||||||||||||
Repurchase Agreements (in thousands) | Weighted Average Contractual Rate | Weighted Average Maturity in days | Haircut for Repurchase Agreements (1) | ||||||||||
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 | December 31, 2013 | December 31, 2012 | |||||||||||
(in thousands) | |||||||||||||
Within 30 days | $ | 380,744 | $ | 280,435 | |||||||||
31 days to 60 days | 408,054 | 629,311 | |||||||||||
61 days to 90 days | 40,362 | 226,084 | |||||||||||
Greater than 90 days | 10,245 | — | |||||||||||
Total | $ | 839,405 | $ | 1,135,830 | |||||||||
For the year ended December 31, 2013, we sold short $301.5 million of U.S. Treasury Securities acquired under reverse repurchase agreements. We had purchases of $300.9 million of U.S. Treasury Securities resulting in a gain of $0.6 million for the year ended December 31, 2013. During the period from June 21, 2012 through December 31, 2012, we did not sell or purchase any U.S. Treasury Securities. |
Note_10_Derivatives
Note 10 - Derivatives | 12 Months Ended | ||||||||||||||||
Dec. 31, 2013 | |||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ' | ||||||||||||||||
Derivatives | ' | ||||||||||||||||
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 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 balance sheets as of December 31, 2013 and December 31, 2012. | |||||||||||||||||
December 31, 2013 | |||||||||||||||||
Notional Amount | Assets at | Liabilities at | |||||||||||||||
Fair Value (1) | Fair Value (1) | ||||||||||||||||
(in thousands) | |||||||||||||||||
Interest rate swap contracts | $ | 801,250 | $ | 52,819 | $ | — | |||||||||||
Interest rate swaptions | 750,000 | 6,884 | — | ||||||||||||||
Totals | $ | 1,551,250 | $ | 59,703 | $ | — | |||||||||||
(1) See Note 5, "Fair Value of Financial Instruments" for additional discussion. | |||||||||||||||||
December 31, 2012 | |||||||||||||||||
Notional Amount | Assets at | Liabilities at | |||||||||||||||
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. | |||||||||||||||||
We apply trade date accounting. We did not have any unsettled purchases or sales of derivatives at December 31, 2013 or December 31, 2012. | |||||||||||||||||
We have netting arrangements in place with all derivative counterparties pursuant to standard documentation developed by the International Swap and Derivatives Association. We are also required to post or hold cash collateral based upon the net underlying market value of our open positions with the counterparty. The following tables present information about interest rate swap contracts and interest rate swaptions and the potential effects of the master netting arrangements if we were to offset the assets and liabilities of these financial instruments on the accompanying balance sheets. Currently we present these financial instruments at their gross amounts and they are included in derivatives, at fair value on the accompanying balance sheets as of December 31, 2013. | |||||||||||||||||
December 31, 2013 | Gross Amounts Not Offset in the Balance Sheet | ||||||||||||||||
Assets | Gross Amounts of Assets Presented in the Balance Sheet | Financial Instruments | Cash Collateral Held | Net Amount | |||||||||||||
(in thousands) | |||||||||||||||||
Interest rate swap contracts | $ | 52,819 | $ | — | $ | (52,315 | ) | $ | 504 | ||||||||
Interest rate swaptions | 6,884 | — | — | 6,884 | |||||||||||||
Totals | $ | 59,703 | $ | — | $ | (52,315 | ) | $ | 7,388 | ||||||||
We did not have any derivatives in a liability position on our balance sheet at December 31, 2013. | |||||||||||||||||
The following tables present information about interest rate swap contracts and interest rate swaptions and the potential effects of netting if we were to offset the assets and liabilities of these financial instruments on the accompanying balance sheets. Currently we present these financial instruments at their gross amounts and they are included in derivatives, at fair value on the accompanying balance sheets as of December 31, 2012. | |||||||||||||||||
December 31, 2012 | Gross Amounts Not Offset in the Balance Sheet | ||||||||||||||||
Assets | Gross Amounts of Assets Presented in the 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 | |||||||
December 31, 2012 | Gross Amounts Not Offset in the Balance Sheet | ||||||||||||||||
Liabilities | Gross Amounts of Liabilities Presented in the Balance Sheet | Financial Instruments | Cash Collateral Posted | Net Amount | |||||||||||||
(in thousands) | |||||||||||||||||
Interest rate swap contracts | $ | (365 | ) | $ | 92 | $ | 273 | $ | — | ||||||||
Totals | $ | (365 | ) | $ | 92 | $ | 273 | $ | — | ||||||||
We apply trade date accounting. We did not have unsettled purchases or sales of derivatives at December 31, 2013 or December 31, 2012. | |||||||||||||||||
The following table represents the location and information regarding our derivatives which are included in total Other Income (Loss) in the accompanying statements of operations for the year ended December 31, 2013 and for the period from June 21, 2012 through December 31, 2012. | |||||||||||||||||
Income (Loss) Recognized | |||||||||||||||||
(in thousands) | |||||||||||||||||
Derivatives | Location on statements | For the Year Ended December 31, 2013 | For the Period From June 21, 2012 Through December 31, 2012 | ||||||||||||||
of operations | |||||||||||||||||
Interest rate swap contracts: | |||||||||||||||||
Interest income | Realized loss on derivatives | $ | 787 | $ | 83 | ||||||||||||
Interest expense | Realized loss on derivatives | (9,457 | ) | (666 | ) | ||||||||||||
Changes in fair value | Unrealized gain (loss) on derivatives | 57,738 | 614 | ||||||||||||||
$ | 49,068 | $ | 31 | ||||||||||||||
Interest rate swaptions: | |||||||||||||||||
Realized gain | Realized loss on derivatives | 5,875 | — | ||||||||||||||
Changes in fair value | Unrealized gain (loss) on derivatives | 10 | (916 | ) | |||||||||||||
$ | 5,885 | $ | (916 | ) | |||||||||||||
Totals | $ | 54,953 | $ | (885 | ) | ||||||||||||
Note_11_Commitments_and_Contin
Note 11 - Commitments and Contingencies | 12 Months Ended |
Dec. 31, 2013 | |
Commitments and Contingencies Disclosure [Abstract] | ' |
Commitments and Contingencies | ' |
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”), which was most recently amended on March 5, 2014. 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 until gross equity raised (including our IPO and Private Placement equity) up to $1.0 billion plus (b) 1.0% of gross equity raised in excess of $1.0 billion. The cost of repurchased stock reduces the amount of gross equity raised used to calculate the monthly management fee. We are also obligated to reimburse certain expenses incurred by ARRM and its affiliates. For the year ended December 31, 2013 and for the period from June 21, 2012 to December 31, 2012 we reimbursed ARRM $147,096 and $2,564, respectively, for expenses incurred on our behalf. 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 portfolio. 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. | |
ARRM is also the external manager of ARMOUR Residential REIT, Inc. ("ARMOUR"), a publicly traded REIT, which invests in a leveraged portfolio of Agency Securities. Our executive officers also serve as the executive officers of ARMOUR. | |
Also, JAVELIN and ARRM entered into a sub-management agreement with SBBC, an entity jointly owned by Daniel C. Staton and Marc H. Bell, each of whom is a member of our board of directors. Pursuant to the sub-management agreement, SBBC provides the following services to support ARRM's performance of services to us under the Management Agreement, in each case upon reasonable request by ARRM: (i) serving as a consultant to ARRM with respect to the periodic review of our investment guidelines; (ii) identifying for ARRM potential new lines of business and investment opportunities for us; (iii) identifying for and advising ARRM with respect to selection of independent contractors that provide investment banking, securities brokerage, mortgage brokerage and other financial services, due diligence services, underwriting review services, legal and accounting services, and all other services as may be required relating to our investments; (iv) advising ARRM with respect to our stockholder and public relations matters; (v) advising and assisting ARRM with respect to our capital structure and capital raising; and (vi) advising ARRM on negotiating agreements relating to programs established by the U.S. Government. In exchange for such services, ARRM pays SBBC a monthly retainer of $115,000 and a sub-management fee of 25% of the net management fee earned by ARRM under the Management Agreement. The sub-management agreement continues in effect until it is terminated in accordance with its terms. SBBC is also the sub-manager of ARMOUR and provides ARRM the services described above in connection with ARRM's management of ARMOUR. | |
Indemnifications and Litigation | |
We enter into certain contracts that contain a variety of indemnifications to third-parties, principally with ARRM and brokers. The maximum potential amount of future payments we could be required to make under these indemnification provisions is unknown. 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 is minimal. Accordingly, we have no liabilities recorded for these agreements as of December 31, 2013 and December 31, 2012. | |
We are not party to any pending, threatened or contemplated litigation. |
Note_12_ShareBased_Compensatio
Note 12 - Share-Based Compensation | 12 Months Ended |
Dec. 31, 2013 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | ' |
Share-Based Compensation | ' |
Stock-Based Compensation | |
Stock Incentive Plan | |
On October 4, 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 December 31, 2013 there were 359,790 shares reserved for award under the Plan. No awards have been made to date. |
Note_13_Stockholders_Equity
Note 13 - Stockholders' Equity | 12 Months Ended | ||||||||||||||
Dec. 31, 2013 | |||||||||||||||
Equity [Abstract] | ' | ||||||||||||||
Stockholders' Equity | ' | ||||||||||||||
Stockholders’ Equity | |||||||||||||||
Dividends | |||||||||||||||
The following table presents our common stock dividend transactions for the year ended December 31, 2013. | |||||||||||||||
Record Date | Payment Date | Rate per | Aggregate amount | ||||||||||||
common share | paid to holders of | ||||||||||||||
record (in thousands) | |||||||||||||||
January 15, 2013 | January 30, 2013 | $0.23 | $1,725 | ||||||||||||
February 15, 2013 | February 27, 2013 | $0.23 | $1,725 | ||||||||||||
March 15, 2013 | March 27, 2013 | $0.23 | $1,725 | ||||||||||||
April 15, 2013 | April 29, 2013 | $0.23 | $1,725 | ||||||||||||
May 15, 2013 | May 30, 2013 | $0.23 | $3,105 | ||||||||||||
June 14, 2013 | June 27, 2013 | $0.23 | $3,105 | ||||||||||||
July 15, 2013 | July 30, 2013 | $0.23 | $3,105 | ||||||||||||
August 15, 2013 | August 29, 2013 | $0.23 | $3,105 | ||||||||||||
September 16, 2013 | September 27, 2013 | $0.23 | $3,105 | ||||||||||||
October 15, 2013 | October 28, 2013 | $0.15 | $2,025 | ||||||||||||
November 15, 2013 | November 27, 2013 | $0.15 | $2,025 | ||||||||||||
December 16, 2013 | December 27, 2013 | $0.15 | $1,939 | ||||||||||||
The following table presents our common stock dividend transactions for the period from June 21, 2012 through December 31, 2012. | |||||||||||||||
Record Date | Payment Date | Rate per | Aggregate amount | ||||||||||||
common share | paid to holders of | ||||||||||||||
record (in thousands) | |||||||||||||||
November 19, 2012 | November 29, 2012 | $0.23 | $1,725 | ||||||||||||
December 14, 2012 | December 28, 2012 | $0.23 | $1,725 | ||||||||||||
Equity Capital Raising Activities | |||||||||||||||
The following table presents our equity transactions for the year ended December 31, 2013. | |||||||||||||||
Transaction Type | Completion Date | Number of | Per Share | Net Proceeds | |||||||||||
Shares | price | (in millions) | |||||||||||||
Common stock follow-on public offering | May 13, 2013 | 6,000,000 | $ | 18.93 | $ | 113.2 | |||||||||
The following table presents our equity transactions for the period from June 21, 2012 through December 31, 2012. | |||||||||||||||
Transaction Type | Completion Date | Number of | Per Share | Net Proceeds | |||||||||||
Shares | price | (in millions) | |||||||||||||
Initial Capital Contribution | June 21, 2012 | 50 | $ | 20 | $ | — | |||||||||
IPO | October 9, 2012 | 7,250,000 | $ | 20 | $ | 145 | |||||||||
Private Placement | October 9, 2012 | 250,000 | $ | 20 | $ | 5 | |||||||||
The underwriting discounts and commissions in connection with the IPO and our organizational costs and other costs related to the IPO were paid by SBBC and we did not reimburse SBBC for these costs. As a result, we received net proceeds from the IPO of $145.0 million. | |||||||||||||||
Common Stock Repurchases | |||||||||||||||
The following tables present our common stock repurchases for the year ended December 31, 2013. We did not have any common stock repurchases for the period from June 21, 2012 through December 31, 2012. | |||||||||||||||
Transaction Type | Completion Date | Number of | Per Share | Net Cost | |||||||||||
Shares | price | (in millions) | |||||||||||||
Repurchased shares | November 26, 2013 to December 30, 2013 | 1,507,307 | $ | 12.72 | -1 | $ | 19.2 | ||||||||
(1) Weighted average price. | |||||||||||||||
As of December 31, 2013, there were 492,693 authorized shares remaining under our Repurchase Program. |
Note_14_Net_Income_per_Common_
Note 14 - Net Income per Common Share | 12 Months Ended |
Dec. 31, 2013 | |
Earnings Per Share [Abstract] | ' |
Net Income per Common Share | ' |
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 loss per common share was $(3.89) based on weighted average shares outstanding of 11,257,000 for the year ended December 31, 2013. Because our income, expenses and capitalization were nominal during a majority of the period from June 21, 2012 through December 31, 2012, weighted average shares outstanding of 3,247,000, as computed on a daily basis in accordance with GAAP, is not representative of the actual number of shares outstanding for that period. As a result, net income per common share of $1.88 per share, calculated in accordance with GAAP, was not meaningful under the circumstances. Among other reasons, such calculation understated the actual shares outstanding during the relevant period of operations by including the pre-operating period. As a result, such per share amounts overstated the amount of dividends per share that stockholders were entitled to receive if our total net income for 2012 had been distributed as earned. During 2012, we paid dividends of $0.46 per common share, or $3.45 million in aggregate, based on 7,500,050 shares of record. | |
To date, we have not issued any dilutive securities. |
Note_15_Income_Taxes
Note 15 - Income Taxes | 12 Months Ended | |||||||
Dec. 31, 2013 | ||||||||
Income Tax Disclosure [Abstract] | ' | |||||||
Income Taxes | ' | |||||||
Income Taxes | ||||||||
We have elected to be taxed as a REIT under the Code. We will generally not be subject to federal income tax to the extent that we distribute our taxable income to our stockholders and as long as we satisfy the ongoing REIT requirements under the Code including meeting certain asset, income and stock ownership tests. | ||||||||
The following table reconciles our GAAP net income (loss) to estimated REIT taxable income for the year ended December 31, 2013 and for the period from June 21, 2012 through December 31, 2012. | ||||||||
31-Dec-13 | For the Period from June 21, 2012 Through December 31, 2012 | |||||||
(in thousands) | ||||||||
GAAP Net income (loss) | $ | (43,774 | ) | $ | 6,098 | |||
Book to tax differences: | ||||||||
Net book/tax differences on Non-Agency Securities and Linked Transactions | 8,006 | (978 | ) | |||||
Net capital losses carried forward | 80,509 | — | ||||||
Other than temporary impairment of Agency Securities | 44,278 | — | ||||||
Amortization of deferred hedging costs | (57,879 | ) | — | |||||
Unrealized (gain) loss on derivatives | (5,875 | ) | 302 | |||||
Other | 3 | 46 | ||||||
Estimated taxable income | $ | 25,268 | $ | 5,468 | ||||
The aggregate tax basis of our assets and liabilities is less than our Total Stockholders’ Equity at December 31, 2013 by approximately $9.0 million, or approximately $0.75 per share (based on the 11,992.743 shares then outstanding). | ||||||||
We are required and intend to timely distribute substantially all of our REIT taxable income in order to maintain our REIT status under the Code. Total dividend payments to stockholders were $28.4 million for the year ended December 31, 2013. For the period from June 21, 2012 through December 31, 2012, we made dividend payments to stockholders of $3.5 million. Our estimated REIT taxable income available to pay dividends was $25.3 million for the year ended December 31, 2013. As of December 31, 2012, undistributed estimated REIT taxable income totaled $2.0 million or approximately $0.27 per share (based on the 7,500,050 shares then outstanding). Our total monthly dividend distributions for January and February of 2013 exceeded this amount, and accordingly, we did not recognize an income tax liability related to undistributed REIT taxable income as of December 31, 2012. | ||||||||
In 2012, we did not distribute the required minimum amount of taxable income pursuant to federal excise tax requirements and consequently we accrued an excise tax of $46,000, which is included in income tax expense on our statement of operations. Distributions in 2013 exceeded the required minimum. | ||||||||
Net capital losses realized in 2013 will be available to offset future capital gains realized through 2018. | ||||||||
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 | 12 Months Ended | |
Dec. 31, 2013 | ||
Related Party Transactions [Abstract] | ' | |
Related Party Transactions | ' | |
Related Party Transactions | ||
We are externally managed by ARRM pursuant to the Management Agreement. All of our executive officers are also employees of ARRM. ARRM manages our day-to-day operations, subject to the direction and oversight of the Board. The Management Agreement expires after an initial term of five years on October 5, 2017 and is thereafter automatically renewed for successive one-year term unless terminated under certain circumstances. Either party must provide 180 days prior written notice of any such termination. | ||
Under the terms of the Management Agreement, ARRM is responsible for costs incident to the performance of its duties, such as compensation of its employees and various overhead expenses. ARRM is responsible for the following primary roles: | ||
• | Advising us with respect to, arranging for and managing the acquisition, financing, management and disposition of, elements of our investment portfolio, | |
• | Evaluating the duration risk and prepayment risk within the investment portfolio and arranging borrowing and hedging strategies, | |
• | Coordinating capital raising activities, | |
• | Advising us on the formulation and implementation of operating strategies and policies, arranging for the acquisition of assets, monitoring the performance of those assets and providing administrative and managerial services in connection with our day-to-day operations, and | |
• | Providing executive and administrative personnel, office space and other appropriate services required in rendering management services to us. | |
In accordance with the Management Agreement, we incurred $3.3 million in management fees for the year ended December 31, 2013 and $0.6 million in management fees for the period from June 21, 2012 through December 31, 2012. | ||
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 year ended December 31, 2013 and for the period from June 21, 2012 through December 31, 2012, we reimbursed ARRM $147,096 and $2,564, respectively, for expenses incurred on our behalf. |
Note_17_Interest_Rate_Risk
Note 17 - Interest Rate Risk | 12 Months Ended |
Dec. 31, 2013 | |
Interest Rate Risk Text Block Abstract | ' |
Interest Rate Risk | ' |
Interest Rate Risk | |
Our primary market risk is interest rate risk. Interest rates are highly sensitive to many factors, including governmental monetary and tax policies, domestic and international economic and political considerations and other factors beyond our control. Changes in the general level of interest rates can affect net interest income, which is the difference between the interest income earned and the interest expense incurred in connection with the liabilities, by affecting the spread between the interest-earning assets and interest-bearing liabilities. Changes in the level of interest rates also can affect the value of 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 | 12 Months Ended |
Dec. 31, 2013 | |
Subsequent Events [Abstract] | ' |
Subsequent Events | ' |
Subsequent Events | |
On January 30, 2014, a cash dividend of $0.15 per outstanding common share, or $1.8 million in the aggregate, was paid to holders of record on January 15, 2014. | |
On February 7, 2014, we entered into a Distribution Agreement with J.P. Morgan Securities LLC, as our agent, to offer and sell, from time to time, up to 3,000,000 shares of our common stock. Sales of the shares of common stock, if any, under the Distribution Agreement, may be made in transactions that are deemed to be "at-the-market" offerings, including ordinary brokers' transactions on the NYSE at market prices and in block transactions, or as otherwise agreed between us and the agent. | |
On February 7, 2014, we adopted a Dividend Reinvestment and Stock Purchase Plan (the "2014 Plan") relating to the offer and sale of up to 1,000,000 shares of our common stock. The 2014 Plan permits stockholders to automatically reinvest all or a portion of their cash dividends on their shares of common stock and to purchase additional shares of our common stock. The 2014 Plan also, among other things, (i) allows any stockholder to participate in the 2014 Plan, (ii) allows interested investors who are not stockholders to make their initial purchase through the 2014 Plan, (iii) provides up to a 3% discount on optional cash purchases of shares in excess of $10,000 per month purchased under the 2014 Plan, and (iv) allows optional cash purchases of between $50 and $10,000 per month and, with our prior approval, optional cash purchases in excess of $10,000 per month. | |
On February 27, 2014 , a cash dividend of $0.15 per outstanding common share, or $1.8 million in the aggregate, was paid to holders of record on February 14, 2014. We have also announced cash dividends of $0.15 per outstanding common share payable March 28, 2014 to holders of record on March 17, 2014. | |
On March 5, 2014, our Board increased the authorization to repurchase outstanding common stock up to a total of three million shares from the previous two million shares authorized. With the additional authorization, the Company may repurchase up to 1,492,693 shares in the future. 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 the discretion of the Company, subject to the requirements of the Securities Exchange Act of 1934 and related rules. The program does not oblige the Company to repurchase any shares and it may be modified, suspended or terminated at any time and for any reason. The Company does not intend to purchase shares from its directors, officers or other affiliates. | |
Through March 5, 2014, we sold approximately $603.7 million of our 25-year fixed rate and 30-year fixed rate Agency Securities, leaving approximately $142.8 million of 30-year fixed rate Agency Securities to be sold. We recovered approximately $7.0 million of other than temporary impairment loss recognized at December 31, 2013. For tax purposes, the sales generated capital losses of approximately $29.8 million, which will be available to offset future capital gains through 2019. Through March 5, 2014, we purchased approximately $268.3 million of 15-year fixed rate and $20.0 million of 20-year fixed rate Agency Securities. These sales and purchases were intended to reduce the interest rate risk of our Agency Securities portfolio. |
Note_19_Quarterly_Financial_Da
Note 19 - Quarterly Financial Data (unaudited) | 12 Months Ended | |||||||||||||||
Dec. 31, 2013 | ||||||||||||||||
Quarterly Financial Information Disclosure [Abstract] | ' | |||||||||||||||
Quarterly Financial Data (unaudited) | ' | |||||||||||||||
Quarterly Financial Data (unaudited) | ||||||||||||||||
The following table is a comparative breakdown of our unaudited quarterly financial results for the immediately preceding seven quarters (from June 21, 2012). | ||||||||||||||||
Quarters Ended | ||||||||||||||||
March 31, | June 30, | September 30, | December 31, | |||||||||||||
2013 | 2013 | 2013 | 2013 | |||||||||||||
(in thousands, except per share amounts) | ||||||||||||||||
Interest income: | ||||||||||||||||
Agency Securities, net of amortization of premium | $ | 7,144 | $ | 9,336 | $ | 9,834 | $ | 8,767 | ||||||||
Non-Agency Securities, including discount accretion | 1,860 | 1,832 | 2,105 | 2,178 | ||||||||||||
Total Interest Income | $ | 9,004 | $ | 11,168 | $ | 11,939 | $ | 10,945 | ||||||||
Interest expense | (1,727 | ) | (1,924 | ) | (2,001 | ) | (1,690 | ) | ||||||||
Net interest income | $ | 7,277 | $ | 9,244 | $ | 9,938 | $ | 9,255 | ||||||||
Realized loss on sale of Agency Securities (reclassified from Other comprehensive income (loss) | — | — | (48,554 | ) | (32,491 | ) | ||||||||||
Other than temporary impairment of Agency Securities (reclassified from Other comprehensive income (loss)) | — | — | — | (44,278 | ) | |||||||||||
Gain (loss) on Non-Agency Securities | 2,210 | (5,635 | ) | 734 | 1,714 | |||||||||||
Gain (loss) on short sale of U.S. Treasury Securities | — | (3,106 | ) | 3,739 | — | |||||||||||
Unrealized net gain (loss) and net interest income from Linked Transactions | — | (2,288 | ) | 724 | (1,778 | ) | ||||||||||
Realized gain (loss) on derivatives (1) | (950 | ) | (1,989 | ) | (2,673 | ) | 2,817 | |||||||||
Unrealized loss on derivatives | 3,444 | 43,181 | 269 | 10,854 | ||||||||||||
Expenses | (1,003 | ) | (1,170 | ) | (1,394 | ) | (1,863 | ) | ||||||||
Income tax expense | (2 | ) | — | — | — | |||||||||||
Net income (loss) | $ | 10,976 | $ | 38,237 | $ | (37,217 | ) | $ | (55,770 | ) | ||||||
Net income (loss) per common share | $ | (1.46 | ) | $ | 3.56 | $ | (2.76 | ) | $ | (4.22 | ) | |||||
Weighted average common shares outstanding | 7,500 | 10,731 | 13,500 | 13,209 | ||||||||||||
Common stock dividends declared | $ | 5,175 | $ | 7,935 | $ | 9,315 | $ | 5,989 | ||||||||
Common stock dividends declared per share | $ | 0.69 | $ | 0.69 | $ | 0.69 | $ | 0.45 | ||||||||
Common Shares of record end of period | 7,500 | 13,500 | 13,500 | 11,993 | ||||||||||||
(1) Interest expense related to our interest rate swap contracts is recorded in realized loss on derivatives on the statement of operations. | ||||||||||||||||
For the Period From | For the Quarter | For the Quarter | ||||||||||||||
21-Jun-12 | Ended | Ended | ||||||||||||||
Through | September 30, | December 31, | ||||||||||||||
30-Jun-12 | 2012 | 2012 | ||||||||||||||
(in thousands, except per share amounts) | ||||||||||||||||
Interest income: | ||||||||||||||||
Agency Securities, net of amortization of premium | $ | — | $ | — | $ | 6,767 | ||||||||||
Non-Agency Securities, including discount accretion | — | — | 1,421 | |||||||||||||
Total interest income | $ | — | $ | — | $ | 8,188 | ||||||||||
Interest expense | — | — | (1,455 | ) | ||||||||||||
Net interest income | $ | — | $ | — | $ | 6,733 | ||||||||||
Gain (loss) on Non-Agency Securities | — | — | 1,124 | |||||||||||||
Realized gain (loss) on derivatives (1) | — | — | (583 | ) | ||||||||||||
Unrealized loss on derivatives | — | — | (302 | ) | ||||||||||||
Expenses | — | — | (828 | ) | ||||||||||||
Income tax expense | — | — | (46 | ) | ||||||||||||
Net income | $ | — | $ | — | $ | 6,098 | ||||||||||
Net income (loss) per common share | $ | — | $ | (1.20 | ) | $ | 0.89 | |||||||||
Weighted average common shares outstanding | — | — | 6,848 | |||||||||||||
Common stock dividends declared | $ | — | $ | — | $ | 3,450 | ||||||||||
Common stock dividends declared per share | $ | — | $ | — | $ | 0.46 | ||||||||||
Common Shares of record end of period | — | — | 7,500 | |||||||||||||
(1) Interest expense related to our interest rate swap contracts is recorded in realized loss on derivatives on the statement of operations. |
Note_3_Summary_of_Significant_1
Note 3 - Summary of Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2013 | |
Accounting Policies [Abstract] | ' |
Cash | ' |
Cash | |
Cash includes cash on deposit with financial institutions. We may maintain deposits in federally insured financial institutions in excess of federally insured limits. However, management believes we are not exposed to significant credit risk due to the financial position and creditworthiness of the depository institutions in which those deposits are held. | |
Cash Collateral Posted/Held | ' |
Cash Collateral Posted/Held | |
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 balance sheets as of December 31, 2013 and December 31, 2012. | |
MBS, at Fair Value | ' |
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 December 31, 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 as part of the statements of comprehensive income (loss). | |
We evaluate Agency Securities for other than temporary impairment at least on a quarterly basis and more frequently when economic or market concerns warrant such evaluation. We consider an impairment to be other than temporary if we (1) have the intent to sell the Agency Securities, (2) believe it is more likely than not that we will be required to sell the securities before recovery (for example, because of liquidity requirements or contractual obligations) or (3) a credit loss exists. Impairment losses recognized establish a new cost basis for the related Agency Securities. | |
Non-Agency Securities | |
As of December 31, 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/or 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 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 | ' |
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. We did not have any reverse repurchase agreements outstanding at December 31, 2013 or December 31, 2012. | |
Obligations To Return Securities Received As Collateral, at Fair Value | ' |
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 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. We did not have any obligations to return securities received as collateral at December 31, 2013 or December 31, 2012. | |
Derivatives, at Fair Value | ' |
Derivatives, at Fair Value | |
We recognize all derivatives as either assets or liabilities at fair value on our balance sheets. 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 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. Any changes in the fair value of our derivatives will affect 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 | ' |
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. Our acquisition of a Non-Agency Security and a related repurchase financing provided by the seller are generally considered to be linked if the initial transfer of and repurchase financing are contractually contingent, or there is a limited secondary market for the security. 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 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 statements of operations and are not included in other comprehensive income. When the linking criteria are no longer 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 | ' |
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 | ' |
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 | ' |
Preferred Stock | |
At December 31, 2013, we were authorized to issue up to 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 our Board of Directors ("Board") or a committee thereof. We have not issued any preferred stock to date. | |
Common Stock | ' |
Common Stock | |
At December 31, 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 11,992,743 shares of common stock issued and outstanding at December 31, 2013 and 7,500,050 issued and outstanding at December 31, 2012. | |
Common Stock Repurchased | |
On October 30, 2013, we announced that our Board had authorized a stock repurchase program of up to two million shares of our common stock outstanding (the “Repurchase Program”). Under the Repurchase Program shares may be purchased in the open market, including block trades, through privately negotiated transactions, or pursuant to a trading plan separately adopted in the future. The timing, manner, price and amount of any repurchases will be at our discretion, subject to the requirements of the Securities Exchange Act of 1934, as amended, and related rules. We are not required to repurchase any shares under the Repurchase Program and it may be modified, suspended or terminated at any time for any reason. We do not intend to purchase shares from our Board or other affiliates. Under Maryland law, such repurchased shares are treated as authorized but unissued. As of December 31, 2013, we repurchased 1,507,307 shares of our common stock under the Repurchase Program for an aggregate cost of $19.2 million. As of December 31, 2013, there were 492,693 authorized shares remaining under our Repurchase Program. | |
Revenue Recognition | ' |
Revenue Recognition | |
Interest income is earned and recognized on Agency Securities based on their unpaid principal amounts and their contractual terms. Premiums and discounts associated with the purchase of Agency Securities are amortized or accreted into interest income over the actual lives of the securities, reflecting actual prepayments as they occur. | |
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) | |
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 | ' |
Reclassification | |
Cash collateral positions have been presented separately in the December 31, 2012 balance sheet and statement of cash flows to conform to the current presentation. No other reclassifications have been made to previously reported amounts. | |
Recent Accounting Pronouncements | ' |
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 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 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_3_Summary_of_Significant_2
Note 3 - Summary of Significant Accounting Policies Note 3 - Summary of Significant Accounting Policies (Tables) | 12 Months Ended | ||||||||
Dec. 31, 2013 | |||||||||
Accounting Policies [Abstract] | ' | ||||||||
Schedule of Financial Instruments Owned and Pledged as Collateral | ' | ||||||||
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 balance sheets as of December 31, 2013 and December 31, 2012. | |||||||||
December 31, 2013 | |||||||||
Assets at Fair Value (1) | Liabilities at Fair Value (1) | ||||||||
(in thousands) | |||||||||
MBS | $ | 648 | $ | (999 | ) | ||||
Interest rate swap contracts | — | (52,315 | ) | ||||||
Totals | $ | 648 | $ | (53,314 | ) | ||||
(1) See Note 5, "Fair Value of Financial Instruments" for additional discussion. | |||||||||
December 31, 2012 | |||||||||
Assets at Fair Value (1) | Liabilities at 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. |
Note_5_Fair_Value_of_Financial1
Note 5 - Fair Value of Financial Instruments (Tables) | 12 Months Ended | |||||||||||||||||||
Dec. 31, 2013 | ||||||||||||||||||||
Fair Value Disclosures [Abstract] | ' | |||||||||||||||||||
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis | ' | |||||||||||||||||||
The following tables provide a summary of our assets and liabilities that are measured at fair value on a recurring basis as of December 31, 2013 and December 31, 2012. | ||||||||||||||||||||
Quoted Prices | Significant | Significant | Balance at December 31, 2013 | |||||||||||||||||
in Active | Observable | Unobservable | ||||||||||||||||||
Markets for | Inputs | Inputs | ||||||||||||||||||
Identical Assets | (Level 2) | (Level 3) | ||||||||||||||||||
(Level 1) | ||||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Assets at Fair Value: | ||||||||||||||||||||
Agency Securities, available for sale | $ | — | $ | 801,777 | $ | — | $ | 801,777 | ||||||||||||
Non-Agency Securities, trading | $ | — | $ | — | $ | 143,399 | $ | 143,399 | ||||||||||||
Linked Transactions, net | $ | — | $ | — | $ | 16,322 | $ | 16,322 | ||||||||||||
Derivatives | $ | — | $ | 59,703 | $ | — | $ | 59,703 | ||||||||||||
Quoted Prices | Significant | Significant | Balance at December 31, 2012 | |||||||||||||||||
in Active | Observable | Unobservable | ||||||||||||||||||
Markets for | Inputs | Inputs | ||||||||||||||||||
Identical Assets | (Level 2) | (Level 3) | ||||||||||||||||||
(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 | ' | |||||||||||||||||||
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 December 31, 2013 and December 31, 2012. | ||||||||||||||||||||
December 31, 2013 | Fair Value Measurements using: | |||||||||||||||||||
Carrying Value | Fair | Quoted Prices | Significant | Significant | ||||||||||||||||
Value | in Active | Observable | Unobservable | |||||||||||||||||
Markets for | Inputs | Inputs | ||||||||||||||||||
Identical Assets | (Level 2) | (Level 3) | ||||||||||||||||||
(Level 1) | ||||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Financial Assets: | ||||||||||||||||||||
Cash | $ | 41,524 | $ | 41,524 | $ | 41,524 | $ | — | $ | — | ||||||||||
Cash collateral posted | $ | 648 | $ | 648 | $ | — | $ | 648 | $ | — | ||||||||||
Accrued interest receivable | $ | 2,336 | $ | 2,336 | $ | — | $ | 2,336 | $ | — | ||||||||||
Financial Liabilities: | ||||||||||||||||||||
Repurchase agreements | $ | 839,405 | $ | 839,405 | $ | — | $ | 839,405 | $ | — | ||||||||||
Cash collateral held | $ | 53,314 | $ | 53,314 | $ | — | $ | 53,314 | $ | — | ||||||||||
Accrued interest payable | $ | 611 | $ | 611 | $ | — | $ | 611 | $ | — | ||||||||||
December 31, 2012 | Fair Value Measurements using: | |||||||||||||||||||
Carrying Value | Fair | Quoted Prices | Significant | Significant | ||||||||||||||||
Value | in Active | Observable | Unobservable | |||||||||||||||||
Markets for | Inputs | Inputs | ||||||||||||||||||
Identical Assets | (Level 2) | (Level 3) | ||||||||||||||||||
(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 | ' | |||||||||||||||||||
The following table provides a summary of the changes in Level 3 assets and liabilities measured at fair value on a recurring basis as of December 31, 2013 and December 31, 2012. | ||||||||||||||||||||
December 31, 2013 | December 31, 2012 | |||||||||||||||||||
(in thousands) | ||||||||||||||||||||
Balance, beginning of period | $ | 129,946 | $ | — | ||||||||||||||||
Purchases of securities, at cost | 38,332 | 131,077 | ||||||||||||||||||
Principal repayments | (21,788 | ) | (2,480 | ) | ||||||||||||||||
Cash disbursements on Linked Transactions | 19,674 | — | ||||||||||||||||||
Proceeds from the sale of Non-Agency Securities | (1,352 | ) | — | |||||||||||||||||
Net gain (loss) on Non-Agency Securities | (977 | ) | 1,124 | |||||||||||||||||
Unrealized net loss and net interest income from Linked Transactions | (3,352 | ) | — | |||||||||||||||||
Discount accretion | (762 | ) | 225 | |||||||||||||||||
Balance, end of period | $ | 159,721 | $ | 129,946 | ||||||||||||||||
Net gains (losses) for outstanding Level 3 Assets | $ | (4,329 | ) | $ | 1,124 | |||||||||||||||
Range of Estimates of Cumulative Default and Loss Severities and 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 (inclusive of Non-Agency Securities underlying Linked Transactions) as of December 31, 2013 and December 31, 2012, respectively. See Note 8, "Linked Transaction" for additional discussion of Non-Agency Securities that are accounted for as a component of Linked Transactions. | ||||||||||||||||||||
December 31, 2013 | ||||||||||||||||||||
Unobservable | Minimum | Weighted | Maximum | |||||||||||||||||
Level 3 Input | Average | |||||||||||||||||||
Cumulative default | 0 | % | 6.99 | % | 33.27 | % | ||||||||||||||
Loss Severity (life) | 0 | % | 31.2 | % | 62.6 | % | ||||||||||||||
Discount rate | 4.01 | % | 5.32 | % | 6.5 | % | ||||||||||||||
Delinquency (life) | 0 | % | 9.74 | % | 29.5 | % | ||||||||||||||
Voluntary prepayments (life) | 6.7 | % | 9.74 | % | 14.8 | % | ||||||||||||||
December 31, 2012 | ||||||||||||||||||||
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) (Agency Securities) | 12 Months Ended | ||||||||||||||||||||||||
Dec. 31, 2013 | |||||||||||||||||||||||||
Agency Securities | ' | ||||||||||||||||||||||||
Schedule of Available-for-sale Securities [Line Items] | ' | ||||||||||||||||||||||||
Available-for-sale Securities | ' | ||||||||||||||||||||||||
As of December 31, 2013, we had the following securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities as of December 31, 2013 are also presented below. All of our Agency Securities are fixed rate securities with a weighted average coupon of 3.48% as of December 31, 2013. | |||||||||||||||||||||||||
December 31, 2013 | Fannie | Total | |||||||||||||||||||||||
Mae | Agency | ||||||||||||||||||||||||
Securities | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Principal Amount | $ | 804,865 | $ | 804,865 | |||||||||||||||||||||
Net unamortized premium | 55 | 55 | |||||||||||||||||||||||
Amortized cost | $ | 804,920 | $ | 804,920 | |||||||||||||||||||||
Unrealized losses | (3,143 | ) | (3,143 | ) | |||||||||||||||||||||
Fair value | $ | 801,777 | $ | 801,777 | |||||||||||||||||||||
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. All of our Agency Securities are fixed rate securities with a weighted average coupon of 3.14% as of December 31, 2012. | |||||||||||||||||||||||||
December 31, 2012 | 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 | ' | ||||||||||||||||||||||||
The following table summarizes the weighted average lives of our Agency Securities as of December 31, 2013 and December 31, 2012. | |||||||||||||||||||||||||
December 31, 2013 | December 31, 2012 | ||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Weighted Average Life of all Agency Securities | Fair Value | Amortized Cost | Fair Value | Amortized 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 | 28,279 | 29,336 | 638,744 | 641,231 | |||||||||||||||||||||
Greater than or equal to five years | 773,498 | 775,584 | 473,614 | 475,729 | |||||||||||||||||||||
Total Agency Securities | $ | 801,777 | $ | 804,920 | $ | 1,112,358 | $ | 1,116,960 | |||||||||||||||||
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | ' | ||||||||||||||||||||||||
The following table presents the unrealized losses and estimated fair value of our Agency Securities by length of time that such securities have been in a continuous unrealized loss position as of December 31, 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 | Unrealized | Unrealized | |||||||||||||||||||||
Losses | Fair Value | Losses | Fair Value | Losses | |||||||||||||||||||||
December 31, 2013 | $ | — | $ | — | $ | 57,167 | $ | (3,143 | ) | $ | 57,167 | $ | (3,143 | ) | |||||||||||
December 31, 2012 | $ | 1,032,421 | $ | (4,692 | ) | $ | — | $ | — | $ | 1,032,421 | $ | (4,692 | ) | |||||||||||
Note_7_NonAgency_Securities_Tr1
Note 7 - Non-Agency Securities, Trading - Non-Agency Securities (Tables) (Non-Agency Securities) | 12 Months Ended | ||||||||||||||||||||||||
Dec. 31, 2013 | |||||||||||||||||||||||||
Non-Agency Securities | ' | ||||||||||||||||||||||||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ||||||||||||||||||||||||
Trading Securities | ' | ||||||||||||||||||||||||
As of December 31, 2013, investments in Non-Agency Securities accounted for 15.2% of our MBS portfolio and 26.2% 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) | |||||||||||||||||||||||||
December 31, 2013 | Fair Value | Amortized | Principal | Weighted | |||||||||||||||||||||
Cost | Amount | Average | |||||||||||||||||||||||
Coupon | |||||||||||||||||||||||||
Prime Fixed | $ | 51,515 | $ | 51,922 | $ | 57,995 | 4.96 | % | |||||||||||||||||
Prime Hybrid | $ | 17,067 | $ | 15,705 | $ | 21,253 | 3.36 | % | |||||||||||||||||
Prime Floater | $ | 2,117 | $ | 2,001 | $ | 2,000 | 5.41 | % | |||||||||||||||||
Alt A Fixed | $ | 63,582 | $ | 61,554 | $ | 77,922 | 5.85 | % | |||||||||||||||||
Alt A Hybrid | $ | 9,118 | $ | 8,494 | $ | 11,091 | 2.59 | % | |||||||||||||||||
Total Non-Agency Securities | $ | 143,399 | $ | 139,676 | $ | 170,261 | 5.02 | % | |||||||||||||||||
As of December 31, 2012, investments in Non-Agency Securities accounted for 10.5% of our MBS portfolio. There were no Linked Transactions as of December 31, 2012. | |||||||||||||||||||||||||
Non-Agency Securities | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
December 31, 2012 | Fair Value | Amortized | Principal | Weighted | |||||||||||||||||||||
Cost | Amount | Average | |||||||||||||||||||||||
Coupon | |||||||||||||||||||||||||
Prime Fixed | $ | 28,115 | $ | 27,457 | $ | 30,336 | 5.75 | % | |||||||||||||||||
Prime Hybrid | $ | 19,411 | $ | 19,029 | $ | 25,842 | 3.71 | % | |||||||||||||||||
Alt A Fixed | $ | 72,440 | $ | 70,675 | $ | 87,869 | 5.87 | % | |||||||||||||||||
Alt A Hybrid | $ | 9,980 | $ | 9,876 | $ | 12,910 | 2.88 | % | |||||||||||||||||
Total Non-Agency Securities | $ | 129,946 | $ | 127,037 | $ | 156,957 | 5.29 | % | |||||||||||||||||
Non-Agency Securities | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
December 31, 2012 | Fair Value | Amortized | Principal | Weighted | |||||||||||||||||||||
Cost | Amount | Average | |||||||||||||||||||||||
Coupon | |||||||||||||||||||||||||
Prime Fixed | $ | 28,115 | $ | 27,457 | $ | 30,336 | 5.75 | % | |||||||||||||||||
Prime Hybrid | $ | 19,411 | $ | 19,029 | $ | 25,842 | 3.71 | % | |||||||||||||||||
Alt A Fixed | $ | 72,440 | $ | 70,675 | $ | 87,869 | 5.87 | % | |||||||||||||||||
Alt A Hybrid | $ | 9,980 | $ | 9,876 | $ | 12,910 | 2.88 | % | |||||||||||||||||
Total Non-Agency Securities | $ | 129,946 | $ | 127,037 | $ | 156,957 | 5.29 | % | |||||||||||||||||
Investments Classified by Contractual Maturity Date | ' | ||||||||||||||||||||||||
The following table summarizes the weighted average lives of our Non-Agency Securities as of December 31, 2013 and December 31, 2012. | |||||||||||||||||||||||||
December 31, 2013 | December 31, 2012 | ||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Weighted Average Life of all Non-Agency Securities | Fair Value | Amortized Cost | Fair Value | Amortized | |||||||||||||||||||||
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 | 36,581 | 35,254 | 5,763 | 5,678 | |||||||||||||||||||||
Greater than or equal to five years | 106,818 | 104,422 | 124,183 | 121,359 | |||||||||||||||||||||
Total Non-Agency Securities | $ | 143,399 | $ | 139,676 | $ | 129,946 | $ | 127,037 | |||||||||||||||||
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | ' | ||||||||||||||||||||||||
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 December 31, 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 Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | |||||||||||||||||||
December 31, 2013 | $ | 42,096 | $ | (1,089 | ) | $ | — | $ | — | $ | 42,096 | $ | (1,089 | ) | |||||||||||
December 31, 2012 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Note_8_Linked_Transactions_Tab
Note 8 - Linked Transactions (Tables) | 12 Months Ended | ||||||||||||||||||||||||
Dec. 31, 2013 | |||||||||||||||||||||||||
Linked Transactions Disclosure [Abstract] | ' | ||||||||||||||||||||||||
Non-Agency Securities and Repurchase Agreements Underlying Linked Transactions | ' | ||||||||||||||||||||||||
The following tables present information about our Non-Agency Securities and repurchase agreements underlying our Linked Transactions at December 31, 2013. We did not have any Linked Transactions at December 31, 2012. Our Non-Agency Securities underlying our Linked Transactions represented approximately 13.0% of our overall investment in MBS at December 31, 2013 (dollars in thousands). | |||||||||||||||||||||||||
Linked Repurchase Agreements | Linked Non-Agency Securities | ||||||||||||||||||||||||
Maturity or Repricing | Balance | Weighted Average Interest Rate | Non-Agency MBS | Fair Value | Amortized Cost | Par/Current Face | Weighted Average Coupon Rate | ||||||||||||||||||
Within 30 days | $ | 8,177 | 1.88 | % | Prime | $ | 112,956 | $ | 116,631 | $ | 121,571 | 3 | % | ||||||||||||
31 days to 60 days | 44,974 | 1.23 | % | Alt/A | 27,989 | 27,788 | 35,822 | 4.7 | % | ||||||||||||||||
61 days to 90 days | 71,389 | 1.09 | % | Total | $ | 140,945 | $ | 144,419 | $ | 157,393 | 3.3 | % | |||||||||||||
Greater than 90 days | — | — | |||||||||||||||||||||||
Total | $ | 124,540 | 1.19 | % | |||||||||||||||||||||
Schedule of Other Nonoperating Income (Expense) | ' | ||||||||||||||||||||||||
The following table presents certain information about the components of the unrealized net gains and net interest income from Linked Transactions included in our statements of operations for the year ended December 31, 2013. We did not have any Linked Transactions for the period from June 21, 2012 through December 31, 2012. | |||||||||||||||||||||||||
Unrealized Net Loss and Net Interest Income from Linked Transactions | December 31, 2013 | ||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Interest income attributable to MBS underlying Linked Transactions | $ | 2,334 | |||||||||||||||||||||||
Interest expense attributable to linked repurchase agreements underlying Linked Transactions | (534 | ) | |||||||||||||||||||||||
Change in fair value of Linked Transactions included in earnings | (5,152 | ) | |||||||||||||||||||||||
Unrealized net loss and net interest income from Linked Transactions | $ | (3,352 | ) |
Note_9_Repurchase_Agreements_T
Note 9 - Repurchase Agreements (Tables) | 12 Months Ended | ||||||||||||
Dec. 31, 2013 | |||||||||||||
Disclosure of Repurchase Agreements [Abstract] | ' | ||||||||||||
Schedule of Repurchase Agreements | ' | ||||||||||||
Maturing or Repricing | December 31, 2013 | December 31, 2012 | |||||||||||
(in thousands) | |||||||||||||
Within 30 days | $ | 380,744 | $ | 280,435 | |||||||||
31 days to 60 days | 408,054 | 629,311 | |||||||||||
61 days to 90 days | 40,362 | 226,084 | |||||||||||
Greater than 90 days | 10,245 | — | |||||||||||
Total | $ | 839,405 | $ | 1,135,830 | |||||||||
The following tables represent the contractual repricing and other information regarding our repurchase agreements to finance our MBS purchases as of December 31, 2013 and December 31, 2012. | |||||||||||||
December 31, 2013 | |||||||||||||
Repurchase Agreements (in thousands) | Weighted Average Contractual Rate | Weighted Average Maturity in days | Haircut for Repurchase Agreements (1) | ||||||||||
Agency Securities | $ | 731,782 | 0.42 | % | 33 | 4.9 | % | ||||||
Non-Agency Securities | 107,623 | 1.96 | % | 46 | 25.39 | % | |||||||
Total | $ | 839,405 | 0.61 | % | 35 | 7.53 | % | ||||||
(1) The Haircut represents the weighted average margin requirement, or the percentage amount by which the collateral value must exceed the loan amount. | |||||||||||||
December 31, 2012 | |||||||||||||
Repurchase Agreements (in thousands) | Weighted Average Contractual Rate | Weighted Average Maturity in days | Haircut for Repurchase Agreements (1) | ||||||||||
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. |
Note_10_Derivatives_Tables
Note 10 - Derivatives (Tables) | 12 Months Ended | ||||||||||||||||
Dec. 31, 2013 | |||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ' | ||||||||||||||||
Schedule of Derivative Instruments | ' | ||||||||||||||||
The following tables present information about interest rate swap contracts and interest rate swaptions which are included in derivatives on the accompanying balance sheets as of December 31, 2013 and December 31, 2012. | |||||||||||||||||
December 31, 2013 | |||||||||||||||||
Notional Amount | Assets at | Liabilities at | |||||||||||||||
Fair Value (1) | Fair Value (1) | ||||||||||||||||
(in thousands) | |||||||||||||||||
Interest rate swap contracts | $ | 801,250 | $ | 52,819 | $ | — | |||||||||||
Interest rate swaptions | 750,000 | 6,884 | — | ||||||||||||||
Totals | $ | 1,551,250 | $ | 59,703 | $ | — | |||||||||||
(1) See Note 5, "Fair Value of Financial Instruments" for additional discussion. | |||||||||||||||||
December 31, 2012 | |||||||||||||||||
Notional Amount | Assets at | Liabilities at | |||||||||||||||
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 Sheet | ' | ||||||||||||||||
The following tables present information about interest rate swap contracts and interest rate swaptions and the potential effects of the master netting arrangements if we were to offset the assets and liabilities of these financial instruments on the accompanying balance sheets. Currently we present these financial instruments at their gross amounts and they are included in derivatives, at fair value on the accompanying balance sheets as of December 31, 2013. | |||||||||||||||||
December 31, 2013 | Gross Amounts Not Offset in the Balance Sheet | ||||||||||||||||
Assets | Gross Amounts of Assets Presented in the Balance Sheet | Financial Instruments | Cash Collateral Held | Net Amount | |||||||||||||
(in thousands) | |||||||||||||||||
Interest rate swap contracts | $ | 52,819 | $ | — | $ | (52,315 | ) | $ | 504 | ||||||||
Interest rate swaptions | 6,884 | — | — | 6,884 | |||||||||||||
Totals | $ | 59,703 | $ | — | $ | (52,315 | ) | $ | 7,388 | ||||||||
We did not have any derivatives in a liability position on our balance sheet at December 31, 2013. | |||||||||||||||||
The following tables present information about interest rate swap contracts and interest rate swaptions and the potential effects of netting if we were to offset the assets and liabilities of these financial instruments on the accompanying balance sheets. Currently we present these financial instruments at their gross amounts and they are included in derivatives, at fair value on the accompanying balance sheets as of December 31, 2012. | |||||||||||||||||
December 31, 2012 | Gross Amounts Not Offset in the Balance Sheet | ||||||||||||||||
Assets | Gross Amounts of Assets Presented in the 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 | |||||||
December 31, 2012 | Gross Amounts Not Offset in the Balance Sheet | ||||||||||||||||
Liabilities | Gross Amounts of Liabilities Presented in the Balance Sheet | Financial Instruments | Cash Collateral Posted | Net Amount | |||||||||||||
(in thousands) | |||||||||||||||||
Interest rate swap contracts | $ | (365 | ) | $ | 92 | $ | 273 | $ | — | ||||||||
Totals | $ | (365 | ) | $ | 92 | $ | 273 | $ | — | ||||||||
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance | ' | ||||||||||||||||
The following table represents the location and information regarding our derivatives which are included in total Other Income (Loss) in the accompanying statements of operations for the year ended December 31, 2013 and for the period from June 21, 2012 through December 31, 2012. | |||||||||||||||||
Income (Loss) Recognized | |||||||||||||||||
(in thousands) | |||||||||||||||||
Derivatives | Location on statements | For the Year Ended December 31, 2013 | For the Period From June 21, 2012 Through December 31, 2012 | ||||||||||||||
of operations | |||||||||||||||||
Interest rate swap contracts: | |||||||||||||||||
Interest income | Realized loss on derivatives | $ | 787 | $ | 83 | ||||||||||||
Interest expense | Realized loss on derivatives | (9,457 | ) | (666 | ) | ||||||||||||
Changes in fair value | Unrealized gain (loss) on derivatives | 57,738 | 614 | ||||||||||||||
$ | 49,068 | $ | 31 | ||||||||||||||
Interest rate swaptions: | |||||||||||||||||
Realized gain | Realized loss on derivatives | 5,875 | — | ||||||||||||||
Changes in fair value | Unrealized gain (loss) on derivatives | 10 | (916 | ) | |||||||||||||
$ | 5,885 | $ | (916 | ) | |||||||||||||
Totals | $ | 54,953 | $ | (885 | ) | ||||||||||||
Note_13_Stockholders_Equity_Ta
Note 13 - Stockholders' Equity (Tables) | 12 Months Ended | ||||||||||||||
Dec. 31, 2013 | |||||||||||||||
Equity [Abstract] | ' | ||||||||||||||
Dividends Transactions | ' | ||||||||||||||
The following table presents our common stock dividend transactions for the year ended December 31, 2013. | |||||||||||||||
Record Date | Payment Date | Rate per | Aggregate amount | ||||||||||||
common share | paid to holders of | ||||||||||||||
record (in thousands) | |||||||||||||||
January 15, 2013 | January 30, 2013 | $0.23 | $1,725 | ||||||||||||
February 15, 2013 | February 27, 2013 | $0.23 | $1,725 | ||||||||||||
March 15, 2013 | March 27, 2013 | $0.23 | $1,725 | ||||||||||||
April 15, 2013 | April 29, 2013 | $0.23 | $1,725 | ||||||||||||
May 15, 2013 | May 30, 2013 | $0.23 | $3,105 | ||||||||||||
June 14, 2013 | June 27, 2013 | $0.23 | $3,105 | ||||||||||||
July 15, 2013 | July 30, 2013 | $0.23 | $3,105 | ||||||||||||
August 15, 2013 | August 29, 2013 | $0.23 | $3,105 | ||||||||||||
September 16, 2013 | September 27, 2013 | $0.23 | $3,105 | ||||||||||||
October 15, 2013 | October 28, 2013 | $0.15 | $2,025 | ||||||||||||
November 15, 2013 | November 27, 2013 | $0.15 | $2,025 | ||||||||||||
December 16, 2013 | December 27, 2013 | $0.15 | $1,939 | ||||||||||||
The following table presents our common stock dividend transactions for the period from June 21, 2012 through December 31, 2012. | |||||||||||||||
Record Date | Payment Date | Rate per | Aggregate amount | ||||||||||||
common share | paid to holders of | ||||||||||||||
record (in thousands) | |||||||||||||||
November 19, 2012 | November 29, 2012 | $0.23 | $1,725 | ||||||||||||
December 14, 2012 | December 28, 2012 | $0.23 | $1,725 | ||||||||||||
Equity Transactions | ' | ||||||||||||||
The following table presents our equity transactions for the year ended December 31, 2013. | |||||||||||||||
Transaction Type | Completion Date | Number of | Per Share | Net Proceeds | |||||||||||
Shares | price | (in millions) | |||||||||||||
Common stock follow-on public offering | May 13, 2013 | 6,000,000 | $ | 18.93 | $ | 113.2 | |||||||||
The following table presents our equity transactions for the period from June 21, 2012 through December 31, 2012. | |||||||||||||||
Transaction Type | Completion Date | Number of | Per Share | Net Proceeds | |||||||||||
Shares | price | (in millions) | |||||||||||||
Initial Capital Contribution | June 21, 2012 | 50 | $ | 20 | $ | — | |||||||||
IPO | October 9, 2012 | 7,250,000 | $ | 20 | $ | 145 | |||||||||
Private Placement | October 9, 2012 | 250,000 | $ | 20 | $ | 5 | |||||||||
Schedule of Common Stock Repurchases | ' | ||||||||||||||
The following tables present our common stock repurchases for the year ended December 31, 2013. We did not have any common stock repurchases for the period from June 21, 2012 through December 31, 2012. | |||||||||||||||
Transaction Type | Completion Date | Number of | Per Share | Net Cost | |||||||||||
Shares | price | (in millions) | |||||||||||||
Repurchased shares | November 26, 2013 to December 30, 2013 | 1,507,307 | $ | 12.72 | -1 | $ | 19.2 | ||||||||
(1) Weighted average price. |
Note_15_Income_Taxes_Tables
Note 15 - Income Taxes (Tables) | 12 Months Ended | |||||||
Dec. 31, 2013 | ||||||||
Income Tax Disclosure [Abstract] | ' | |||||||
Schedule of Effective Income Tax Rate Reconciliation | ' | |||||||
The following table reconciles our GAAP net income (loss) to estimated REIT taxable income for the year ended December 31, 2013 and for the period from June 21, 2012 through December 31, 2012. | ||||||||
31-Dec-13 | For the Period from June 21, 2012 Through December 31, 2012 | |||||||
(in thousands) | ||||||||
GAAP Net income (loss) | $ | (43,774 | ) | $ | 6,098 | |||
Book to tax differences: | ||||||||
Net book/tax differences on Non-Agency Securities and Linked Transactions | 8,006 | (978 | ) | |||||
Net capital losses carried forward | 80,509 | — | ||||||
Other than temporary impairment of Agency Securities | 44,278 | — | ||||||
Amortization of deferred hedging costs | (57,879 | ) | — | |||||
Unrealized (gain) loss on derivatives | (5,875 | ) | 302 | |||||
Other | 3 | 46 | ||||||
Estimated taxable income | $ | 25,268 | $ | 5,468 | ||||
Note_19_Quarterly_Financial_Da1
Note 19 - Quarterly Financial Data (unaudited) (Tables) | 12 Months Ended | |||||||||||||||
Dec. 31, 2013 | ||||||||||||||||
Quarterly Financial Information Disclosure [Abstract] | ' | |||||||||||||||
Schedule of Quarterly Financial Information | ' | |||||||||||||||
The following table is a comparative breakdown of our unaudited quarterly financial results for the immediately preceding seven quarters (from June 21, 2012). | ||||||||||||||||
Quarters Ended | ||||||||||||||||
March 31, | June 30, | September 30, | December 31, | |||||||||||||
2013 | 2013 | 2013 | 2013 | |||||||||||||
(in thousands, except per share amounts) | ||||||||||||||||
Interest income: | ||||||||||||||||
Agency Securities, net of amortization of premium | $ | 7,144 | $ | 9,336 | $ | 9,834 | $ | 8,767 | ||||||||
Non-Agency Securities, including discount accretion | 1,860 | 1,832 | 2,105 | 2,178 | ||||||||||||
Total Interest Income | $ | 9,004 | $ | 11,168 | $ | 11,939 | $ | 10,945 | ||||||||
Interest expense | (1,727 | ) | (1,924 | ) | (2,001 | ) | (1,690 | ) | ||||||||
Net interest income | $ | 7,277 | $ | 9,244 | $ | 9,938 | $ | 9,255 | ||||||||
Realized loss on sale of Agency Securities (reclassified from Other comprehensive income (loss) | — | — | (48,554 | ) | (32,491 | ) | ||||||||||
Other than temporary impairment of Agency Securities (reclassified from Other comprehensive income (loss)) | — | — | — | (44,278 | ) | |||||||||||
Gain (loss) on Non-Agency Securities | 2,210 | (5,635 | ) | 734 | 1,714 | |||||||||||
Gain (loss) on short sale of U.S. Treasury Securities | — | (3,106 | ) | 3,739 | — | |||||||||||
Unrealized net gain (loss) and net interest income from Linked Transactions | — | (2,288 | ) | 724 | (1,778 | ) | ||||||||||
Realized gain (loss) on derivatives (1) | (950 | ) | (1,989 | ) | (2,673 | ) | 2,817 | |||||||||
Unrealized loss on derivatives | 3,444 | 43,181 | 269 | 10,854 | ||||||||||||
Expenses | (1,003 | ) | (1,170 | ) | (1,394 | ) | (1,863 | ) | ||||||||
Income tax expense | (2 | ) | — | — | — | |||||||||||
Net income (loss) | $ | 10,976 | $ | 38,237 | $ | (37,217 | ) | $ | (55,770 | ) | ||||||
Net income (loss) per common share | $ | (1.46 | ) | $ | 3.56 | $ | (2.76 | ) | $ | (4.22 | ) | |||||
Weighted average common shares outstanding | 7,500 | 10,731 | 13,500 | 13,209 | ||||||||||||
Common stock dividends declared | $ | 5,175 | $ | 7,935 | $ | 9,315 | $ | 5,989 | ||||||||
Common stock dividends declared per share | $ | 0.69 | $ | 0.69 | $ | 0.69 | $ | 0.45 | ||||||||
Common Shares of record end of period | 7,500 | 13,500 | 13,500 | 11,993 | ||||||||||||
(1) Interest expense related to our interest rate swap contracts is recorded in realized loss on derivatives on the statement of operations. | ||||||||||||||||
For the Period From | For the Quarter | For the Quarter | ||||||||||||||
21-Jun-12 | Ended | Ended | ||||||||||||||
Through | September 30, | December 31, | ||||||||||||||
30-Jun-12 | 2012 | 2012 | ||||||||||||||
(in thousands, except per share amounts) | ||||||||||||||||
Interest income: | ||||||||||||||||
Agency Securities, net of amortization of premium | $ | — | $ | — | $ | 6,767 | ||||||||||
Non-Agency Securities, including discount accretion | — | — | 1,421 | |||||||||||||
Total interest income | $ | — | $ | — | $ | 8,188 | ||||||||||
Interest expense | — | — | (1,455 | ) | ||||||||||||
Net interest income | $ | — | $ | — | $ | 6,733 | ||||||||||
Gain (loss) on Non-Agency Securities | — | — | 1,124 | |||||||||||||
Realized gain (loss) on derivatives (1) | — | — | (583 | ) | ||||||||||||
Unrealized loss on derivatives | — | — | (302 | ) | ||||||||||||
Expenses | — | — | (828 | ) | ||||||||||||
Income tax expense | — | — | (46 | ) | ||||||||||||
Net income | $ | — | $ | — | $ | 6,098 | ||||||||||
Net income (loss) per common share | $ | — | $ | (1.20 | ) | $ | 0.89 | |||||||||
Weighted average common shares outstanding | — | — | 6,848 | |||||||||||||
Common stock dividends declared | $ | — | $ | — | $ | 3,450 | ||||||||||
Common stock dividends declared per share | $ | — | $ | — | $ | 0.46 | ||||||||||
Common Shares of record end of period | — | — | 7,500 | |||||||||||||
(1) Interest expense related to our interest rate swap contracts is recorded in realized loss on derivatives on the statement of operations. |
Note_2_Organization_and_Nature1
Note 2 - Organization and Nature of Business Operations (Detail) (USD $) | 0 Months Ended | 6 Months Ended | 12 Months Ended | |||||
13-May-13 | Oct. 09, 2012 | Jun. 22, 2012 | Dec. 31, 2012 | Dec. 31, 2013 | Nov. 02, 2012 | Sep. 24, 2012 | Jun. 20, 2012 | |
Subsidiary, Sale of Stock [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' |
Proceeds from Contributed Capital (in Dollars) | ' | ' | $1,000 | ' | ' | ' | ' | ' |
Issuance of common stock, net (in Shares) | 6,000,000 | ' | 50 | ' | ' | ' | ' | ' |
Common Stock, par value (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 |
Preferred Stock, Shares Authorized (in Shares) | ' | ' | ' | 25,000,000 | 25,000,000 | ' | 25,000,000 | ' |
Preferred stock, par value (in Dollars per share) | ' | ' | ' | $0.00 | $0.00 | ' | $0.00 | ' |
Shares Issued, Price Per Share | ' | $20 | ' | ' | ' | ' | ' | ' |
Proceeds from Issuance of Common Stock (in Dollars) | ' | $150,000,000 | ' | $150,001,000 | $113,163,000 | ' | ' | ' |
Over-Allotment Option to Purchase Additional Common Stock | ' | ' | ' | ' | ' | 1,087,500 | ' | ' |
IPO | ' | ' | ' | ' | ' | ' | ' | ' |
Subsidiary, Sale of Stock [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' |
Issuance of common stock, net (in Shares) | ' | 7,250,000 | ' | ' | ' | ' | ' | ' |
Private Placement | ' | ' | ' | ' | ' | ' | ' | ' |
Subsidiary, Sale of Stock [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' |
Issuance of common stock, net (in Shares) | ' | 250,000 | ' | ' | ' | ' | ' | ' |
Note_3_Summary_of_Significant_3
Note 3 - Summary of Significant Accounting Policies (Detail) (USD $) | 1 Months Ended | 12 Months Ended | ||||
In Thousands, except Share data, unless otherwise specified | Dec. 30, 2013 | Dec. 31, 2013 | Oct. 30, 2013 | Dec. 31, 2012 | Sep. 24, 2012 | Jun. 20, 2012 |
Class of Stock [Line Items] | ' | ' | ' | ' | ' | ' |
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) | ' | 11,992,743 | ' | 7,500,050 | ' | ' |
Common Stock, shares issued (in Shares) | ' | 11,992,743 | ' | 7,500,050 | ' | ' |
Number of shares authorized to be repurchased | ' | 2,000,000 | 2,000,000 | ' | ' | ' |
Common stock repurchased (in Shares) | 1,507,307 | ' | ' | ' | ' | ' |
Common stock repurchased | $19,200 | $19,201 | ' | ' | ' | ' |
Remaining number of shares authorized to be repurchased | ' | 492,693 | ' | ' | ' | ' |
Common Stock | ' | ' | ' | ' | ' | ' |
Class of Stock [Line Items] | ' | ' | ' | ' | ' | ' |
Common stock repurchased (in Shares) | ' | 1,507,307 | ' | ' | ' | ' |
Common stock repurchased | ' | $2 | ' | ' | ' | ' |
Note_3_Summary_of_Significant_4
Note 3 - Summary of Significant Accounting Policies Note 3 - Summary of Significant Accounting Policies - Cash Collateral Sold/Held (Details) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 | ||
In Thousands, unless otherwise specified | ||||
Restricted Cash and Cash Equivalents Items [Line Items] | ' | ' | ||
Assets at Fair Value | $648 | $273 | ||
Liabilities at Fair Value | 53,314 | [1] | 1,426 | [1] |
MBS | ' | ' | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ' | ' | ||
Assets at Fair Value | 648 | ' | ||
Liabilities at Fair Value | 999 | [1] | ' | |
Interest rate swap contracts | ' | ' | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ' | ' | ||
Assets at Fair Value | 0 | 273 | ||
Liabilities at Fair Value | 52,315 | [1] | 0 | [1] |
Interest rate swaptions | ' | ' | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ' | ' | ||
Assets at Fair Value | ' | 0 | ||
Liabilities at Fair Value | ' | $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 - Summary of Assets and Liabilities Measured at Fair Value on a Recurring Basis (Detail) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Assets at Fair Value: | ' | ' |
Agency Securities, available for sale | $801,777 | $1,112,358 |
Non-Agency Securities, trading | 143,399 | 129,946 |
Linked Transactions, net | 16,322 | ' |
Derivatives | 59,703 | 4,940 |
Liabilities at Fair Value: | ' | ' |
Derivatives | 0 | 365 |
Quoted Prices in Active Markets for Identical Assets (Level 1) | ' | ' |
Assets at Fair Value: | ' | ' |
Agency Securities, available for sale | 0 | 0 |
Non-Agency Securities, trading | 0 | 0 |
Linked Transactions, net | 0 | ' |
Derivatives | 0 | 0 |
Liabilities at Fair Value: | ' | ' |
Derivatives | ' | 0 |
Significant Observable Inputs (Level 2) | ' | ' |
Assets at Fair Value: | ' | ' |
Agency Securities, available for sale | 801,777 | 1,112,358 |
Non-Agency Securities, trading | 0 | 0 |
Linked Transactions, net | 0 | ' |
Derivatives | 59,703 | 4,940 |
Liabilities at Fair Value: | ' | ' |
Derivatives | ' | 365 |
Significant Unobservable Inputs (Level 3) | ' | ' |
Assets at Fair Value: | ' | ' |
Agency Securities, available for sale | 0 | 0 |
Non-Agency Securities, trading | 143,399 | 129,946 |
Linked Transactions, net | 16,322 | ' |
Derivatives | 0 | 0 |
Liabilities at Fair Value: | ' | ' |
Derivatives | ' | $0 |
Note_5_Fair_Value_of_Financial3
Note 5 - Fair Value of Financial Instruments - Carrying Values and Fair Values of Financial Assets and Liabilities (Detail) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 | Jun. 20, 2012 | ||
In Thousands, unless otherwise specified | |||||
Financial Assets: | ' | ' | ' | ||
Cash | $41,524 | $36,316 | $0 | ||
Cash, fair value | 41,524 | 36,316 | ' | ||
Cash collateral posted | 648 | 273 | ' | ||
Cash collateral posted, fair value | 648 | 273 | ' | ||
Accrued interest receivable | 2,336 | 2,759 | ' | ||
Accrued interest receivable, fair value | 2,336 | 2,759 | ' | ||
Financial Liabilities: | ' | ' | ' | ||
Repurchase agreements | 839,405 | 1,135,830 | ' | ||
Repurchase agreements, fair value | 839,405 | 1,135,830 | ' | ||
Cash collateral held | 53,314 | [1] | 1,426 | [1] | ' |
Cash collateral held, fair value | 53,314 | 1,426 | ' | ||
Accrued interest payable | 611 | 844 | ' | ||
Accrued interest payable, fair value | 611 | 844 | ' | ||
Quoted Prices in Active Markets for Identical Assets (Level 1) | ' | ' | ' | ||
Financial Assets: | ' | ' | ' | ||
Cash, fair value | 41,524 | 36,316 | ' | ||
Significant Observable Inputs (Level 2) | ' | ' | ' | ||
Financial Assets: | ' | ' | ' | ||
Cash collateral posted, fair value | 648 | 273 | ' | ||
Accrued interest receivable, fair value | 2,336 | 2,759 | ' | ||
Financial Liabilities: | ' | ' | ' | ||
Repurchase agreements, fair value | 839,405 | 1,135,830 | ' | ||
Cash collateral held, fair value | 53,314 | 1,426 | ' | ||
Accrued interest payable, fair value | $611 | $844 | ' | ||
[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 - Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis (Detail) (USD $) | 0 Months Ended | 3 Months Ended | 6 Months Ended | 12 Months Ended | 6 Months Ended | 12 Months Ended | ||||||
In Thousands, unless otherwise specified | Jun. 30, 2012 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Dec. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2012 |
Significant Unobservable Inputs (Level 3) | Significant Unobservable Inputs (Level 3) | Significant Unobservable Inputs (Level 3) | ||||||||||
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Roll Forward] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Balance, beginning of period | ' | ' | ' | ' | ' | ' | ' | ' | ' | $0 | $129,946 | ' |
Purchases of securities, at cost | ' | ' | ' | ' | ' | ' | ' | ' | ' | 131,077 | 38,332 | ' |
Principal repayments | ' | ' | ' | ' | ' | ' | ' | ' | ' | -2,480 | -21,788 | ' |
Cash disbursements on Linked Transactions | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 19,674 | 0 |
Proceeds from the sale of Non-Agency Securities | ' | ' | ' | ' | ' | ' | ' | 0 | -1,352 | 0 | -1,352 | ' |
Net gain (loss) on Non-Agency Securities | 0 | 1,714 | 734 | -5,635 | 2,210 | 1,124 | 0 | 1,124 | -977 | 1,124 | -977 | ' |
Unrealized net loss and net interest income from Linked Transactions | ' | -1,778 | 724 | -2,288 | 0 | ' | ' | 0 | -3,352 | ' | -3,352 | 0 |
Discount accretion | ' | ' | ' | ' | ' | ' | ' | ' | ' | 225 | -762 | ' |
Balance, end of period | ' | ' | ' | ' | ' | ' | ' | ' | ' | 129,946 | 159,721 | 129,946 |
Net gains (losses) for outstanding Level 3 Assets | ' | ' | ' | ' | ' | ' | ' | ' | ' | $1,124 | ($4,329) | ' |
Note_5_Fair_Value_of_Financial5
Note 5 - Fair Value of Financial Instruments - Range of Estimates of Cumulative Default and Loss Severities and Discount Rates (Detail) (Significant Unobservable Inputs (Level 3)) | 6 Months Ended | 12 Months Ended |
Dec. 31, 2012 | Dec. 31, 2013 | |
Minimum | ' | ' |
Fair Value Inputs, Equity, Quantitative Information [Line Items] | ' | ' |
Cumulative default | 6.28% | 0.00% |
Loss Severity (life) | 36.70% | 0.00% |
Discount rate | 4.50% | 4.01% |
Delinquency (life) | 13.50% | 0.00% |
Voluntary prepayments (life) | 4.60% | 6.70% |
Weighted Average | ' | ' |
Fair Value Inputs, Equity, Quantitative Information [Line Items] | ' | ' |
Cumulative default | 17.65% | 6.99% |
Loss Severity (life) | 48.52% | 31.20% |
Discount rate | 5.17% | 5.32% |
Delinquency (life) | 22.56% | 9.74% |
Voluntary prepayments (life) | 8.30% | 9.74% |
Maximum | ' | ' |
Fair Value Inputs, Equity, Quantitative Information [Line Items] | ' | ' |
Cumulative default | 26.26% | 33.27% |
Loss Severity (life) | 56.00% | 62.60% |
Discount rate | 5.54% | 6.50% |
Delinquency (life) | 33.60% | 29.50% |
Voluntary prepayments (life) | 11.40% | 14.80% |
Note_6_Agency_Securities_Avail2
Note 6 - Agency Securities, Available for Sale (Detail) (USD $) | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||
Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2013 | |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | ' | ' | ' |
Percentage of Portfolio Invested in Agency Securities | ' | ' | ' | ' | 89.50% | ' |
Linked transactions | $16,322,000 | ' | ' | ' | $0 | $16,322,000 |
Weighted average coupon rate of fixed rate agency securities | 3.48% | ' | ' | ' | 3.14% | 3.48% |
Other than temporary impairment of Agency Securities | 44,278,000 | 0 | 0 | 0 | 0 | 44,278,000 |
Fair value | 801,777,000 | ' | ' | ' | 1,112,358,000 | 801,777,000 |
Agency securities sold | ' | ' | ' | ' | ' | 984,500,000 |
Realized loss on agency securities | ' | ' | ' | ' | ' | -81,000,000 |
MBS Portfolio | ' | ' | ' | ' | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | ' | ' | ' |
Percentage of Portfolio Invested in Agency Securities | 84.80% | ' | ' | ' | ' | 84.80% |
MBS Portfolio Inclusive Of Non Agency Securities Underlying Linked Transactions | ' | ' | ' | ' | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | ' | ' | ' |
Percentage of Portfolio Invested in Agency Securities | 73.80% | ' | ' | ' | ' | 73.80% |
25-Year and 30-Year Fixed Rate Agency Securities | ' | ' | ' | ' | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | ' | ' | ' |
Other than temporary impairment of Agency Securities | ' | ' | ' | ' | ' | 7,000,000 |
Fair value | $744,600,000 | ' | ' | ' | ' | $744,600,000 |
Note_6_Agency_Securities_Avail3
Note 6 - Agency Securities, Available for Sale - Unrealized Gain or Loss Position and Components of Carrying Value of Available for Sale Agency Securities (Detail) (USD $) | 6 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Dec. 31, 2012 | Dec. 31, 2013 |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Principal Amount | $1,055,456 | $804,865 |
Net unamortized premium | 61,504 | 55 |
Amortized cost | 1,116,960 | 804,920 |
Unrealized gains | 90 | ' |
Unrealized losses | -4,692 | -3,143 |
Fair value | 1,112,358 | 801,777 |
Fannie Mae | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Principal Amount | 651,867 | 804,865 |
Net unamortized premium | 38,683 | 55 |
Amortized cost | 690,550 | 804,920 |
Unrealized gains | 86 | ' |
Unrealized losses | -2,480 | -3,143 |
Fair value | 688,156 | 801,777 |
Freddie Mac | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Principal Amount | 403,589 | ' |
Net unamortized premium | 22,821 | ' |
Amortized cost | 426,410 | ' |
Unrealized gains | 4 | ' |
Unrealized losses | -2,212 | ' |
Fair value | $424,202 | ' |
Note_6_Agency_Securities_Avail4
Note 6 - Agency Securities, Available for Sale - Summary of Weighted Average Lives of Agency Securities (Detail) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Fair Value | ' | ' |
Greater than or equal to three years and less than five years | $28,279 | $638,744 |
Greater than or equal to five years | 773,498 | 473,614 |
Total Agency Securities | 801,777 | 1,112,358 |
Amortized Cost | ' | ' |
Greater than three years and less than five years | 29,336 | 641,231 |
Greater than or equal to five years | 775,584 | 475,729 |
Total Agency Securities | $804,920 | $1,116,960 |
Note_6_Agency_Securities_Avail5
Note 6 - Agency Securities, Available for Sale - Unrealized Losses and Estimated Fair Value of Agency Securities (Detail) (USD $) | 6 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Dec. 31, 2012 | Dec. 31, 2013 |
Fair Value | ' | ' |
Less than 12 Months | $1,032,421 | $0 |
12 Months or More | 0 | 57,167 |
Total | 1,032,421 | 57,167 |
Unrealized Losses | ' | ' |
Less than 12 Months | -4,692 | 0 |
12 Months or More | 0 | -3,143 |
Total | ($4,692) | ($3,143) |
Note_7_NonAgency_Securities_Tr2
Note 7 - Non-Agency Securities, Trading - Non-Agency Securities (Detail) (USD $) | 6 Months Ended | 12 Months Ended |
Dec. 31, 2012 | Dec. 31, 2013 | |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' |
Percentage Of Portfolio Invested In Non Agency Securities | 10.50% | ' |
Proceeds from sales of Non-Agency Securities | $0 | $1,352,000 |
Trading Securities, Realized Gain (Loss) | ' | ($100,000) |
MBS Portfolio | ' | ' |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' |
Percentage Of Portfolio Invested In Non Agency Securities | ' | 15.20% |
Overall Investment In Nonagency Securities Including Those Underlying Linked Transactions | ' | ' |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' |
Percentage Of Portfolio Invested In Non Agency Securities | ' | 26.20% |
Note_7_NonAgency_Securities_Tr3
Note 7 - Non-Agency Securities, Trading - Non-Agency Securities - Summary of Non-Agency Securities (Details) (USD $) | 6 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Dec. 31, 2012 | Dec. 31, 2013 |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' |
Non-Agency Securities, trading | $129,946 | $143,399 |
Amortized Cost | 127,037 | 139,676 |
Principal Amount | 156,957 | 170,261 |
Weighted Average Coupon | 5.29% | 5.02% |
Prime Fixed | ' | ' |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' |
Non-Agency Securities, trading | 28,115 | 51,515 |
Amortized Cost | 27,457 | 51,922 |
Principal Amount | 30,336 | 57,995 |
Weighted Average Coupon | 5.75% | 4.96% |
Prime Hybrid | ' | ' |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' |
Non-Agency Securities, trading | 19,411 | 17,067 |
Amortized Cost | 19,029 | 15,705 |
Principal Amount | 25,842 | 21,253 |
Weighted Average Coupon | 3.71% | 3.36% |
Prime Floater | ' | ' |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' |
Non-Agency Securities, trading | ' | 2,117 |
Amortized Cost | ' | 2,001 |
Principal Amount | ' | 2,000 |
Weighted Average Coupon | ' | 5.41% |
Alt A Fixed | ' | ' |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' |
Non-Agency Securities, trading | 72,440 | 63,582 |
Amortized Cost | 70,675 | 61,554 |
Principal Amount | 87,869 | 77,922 |
Weighted Average Coupon | 5.87% | 5.85% |
Alt A Hybrid | ' | ' |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' |
Non-Agency Securities, trading | 9,980 | 9,118 |
Amortized Cost | 9,876 | 8,494 |
Principal Amount | $12,910 | $11,091 |
Weighted Average Coupon | 2.88% | 2.59% |
Note_7_NonAgency_Securities_Tr4
Note 7 - Non-Agency Securities, Trading - Non-Agency Securities - Summary of Weighted Average Lives of Agency Securities (Detail) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Fair Value | ' | ' |
Greater than or equal to three years and less than five years | $36,581 | $5,763 |
Greater than or equal to five years | 106,818 | 124,183 |
Total Non-Agency Securities | 143,399 | 129,946 |
Amortized Cost | ' | ' |
Greater than or equal to three years and less than five years | 35,254 | 5,678 |
Greater than or equal to five years | 104,422 | 121,359 |
Total Non-Agency Securities | $139,676 | $127,037 |
Note_7_NonAgency_Securities_Tr5
Note 7 - Non-Agency Securities, Trading - Non-Agency Securities - Unrealized Losses and Estimated Fair Value of Non-Agency Securities (Details) (USD $) | 6 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Dec. 31, 2012 | Dec. 31, 2013 |
Fair Value | ' | ' |
Less than 12 Months | $1,032,421 | $0 |
12 Months or More | 0 | 57,167 |
Total | 1,032,421 | 57,167 |
Unrealized Losses | ' | ' |
Less than 12 Months | -4,692 | 0 |
12 Months or More | 0 | -3,143 |
Total | -4,692 | -3,143 |
Non-Agency Securities | ' | ' |
Fair Value | ' | ' |
Less than 12 Months | 0 | 42,096 |
12 Months or More | 0 | 0 |
Total | 0 | 42,096 |
Unrealized Losses | ' | ' |
Less than 12 Months | 0 | -1,089 |
12 Months or More | 0 | 0 |
Total | $0 | ($1,089) |
Note_8_Linked_Transactions_Det
Note 8 - Linked Transactions (Details) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Linked Transactions [Line Items] | ' | ' |
Accrued interest payable | $611 | $844 |
MBS Portfolio | ' | ' |
Linked Transactions [Line Items] | ' | ' |
Percentage of Portfolio Invested in Non-Agency Securities Underlying Linked Transactions | 13.00% | ' |
Linked Transactions | ' | ' |
Linked Transactions [Line Items] | ' | ' |
Accrued interest payable | $83 | ' |
Note_8_Linked_Transactions_Non
Note 8 - Linked Transactions - Non-Agency Securities and Repurchase Agreements Underlying Linked Transactions (Details) (USD $) | 6 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Dec. 31, 2012 | Dec. 31, 2013 |
Linked Transactions - Non-Agency Securities and Repurchase Agreements Underlying Linked Transactions [Line Items] | ' | ' |
Balance | $1,135,830 | $839,405 |
Weighted Average Interest Rate | 0.62% | 0.61% |
Amortized Cost | 127,037 | 139,676 |
Par/Current Face | 156,957 | 170,261 |
Weighted Average Coupon Rate | 5.29% | 5.02% |
Linked Transactions | ' | ' |
Linked Transactions - Non-Agency Securities and Repurchase Agreements Underlying Linked Transactions [Line Items] | ' | ' |
Balance | ' | 124,540 |
Weighted Average Interest Rate | ' | 1.19% |
Within 30 days | Linked Transactions | ' | ' |
Linked Transactions - Non-Agency Securities and Repurchase Agreements Underlying Linked Transactions [Line Items] | ' | ' |
Balance | ' | 8,177 |
Weighted Average Interest Rate | ' | 1.88% |
Fair Value | ' | 112,956 |
Amortized Cost | ' | 116,631 |
Par/Current Face | ' | 121,571 |
Weighted Average Coupon Rate | ' | 3.00% |
31 days to 60 days | Linked Transactions | ' | ' |
Linked Transactions - Non-Agency Securities and Repurchase Agreements Underlying Linked Transactions [Line Items] | ' | ' |
Balance | ' | 44,974 |
Weighted Average Interest Rate | ' | 1.23% |
Fair Value | ' | 27,989 |
Amortized Cost | ' | 27,788 |
Par/Current Face | ' | 35,822 |
Weighted Average Coupon Rate | ' | 4.70% |
61 days to 90 days | Linked Transactions | ' | ' |
Linked Transactions - Non-Agency Securities and Repurchase Agreements Underlying Linked Transactions [Line Items] | ' | ' |
Balance | ' | 71,389 |
Weighted Average Interest Rate | ' | 1.09% |
Fair Value | ' | 140,945 |
Amortized Cost | ' | 144,419 |
Par/Current Face | ' | 157,393 |
Weighted Average Coupon Rate | ' | 3.30% |
Greater than 90 days | Linked Transactions | ' | ' |
Linked Transactions - Non-Agency Securities and Repurchase Agreements Underlying Linked Transactions [Line Items] | ' | ' |
Balance | ' | $0 |
Weighted Average Interest Rate | ' | 0.00% |
Note_8_Linked_Transactions_Unr
Note 8 - Linked Transactions - Unrealized Net Gain (Loss) and Net Interest Income from Linked Transactions (Details) (USD $) | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||
In Thousands, unless otherwise specified | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2013 |
Unrealized Net Gain (Loss) and Net Interest Income from Linked Transactions [Abstract] | ' | ' | ' | ' | ' | ' |
Interest income attributable to MBS underlying Linked Transactions | ' | ' | ' | ' | ' | $2,334 |
Interest expense attributable to linked repurchase agreements underlying Linked Transactions | ' | ' | ' | ' | ' | -534 |
Change in fair value of Linked Transactions included in earnings | ' | ' | ' | ' | ' | -5,152 |
Unrealized net loss and net interest income from Linked Transactions | ($1,778) | $724 | ($2,288) | $0 | $0 | ($3,352) |
Note_9_Repurchase_Agreements_N
Note 9 - Repurchase Agreements Note 9 - Repurchase Agreements - Repurchase Agreements Information (Details) (USD $) | 6 Months Ended | 12 Months Ended | ||
In Thousands, unless otherwise specified | Dec. 31, 2012 | Dec. 31, 2013 | ||
Restructuring Cost and Reserve [Line Items] | ' | ' | ||
Repurchase Agreements (in thousands) | $1,135,830 | $839,405 | ||
Weighted Average Contractual Rate | 0.62% | 0.61% | ||
Weighted Average Maturity in days | '41 days | '35 days | ||
Haircut for repurchase agreements | 6.40% | [1] | 7.53% | [1] |
Agency Securities | ' | ' | ||
Restructuring Cost and Reserve [Line Items] | ' | ' | ||
Repurchase Agreements (in thousands) | 1,033,496 | 731,782 | ||
Weighted Average Contractual Rate | 0.48% | 0.42% | ||
Weighted Average Maturity in days | '43 days | '33 days | ||
Haircut for repurchase agreements | 4.83% | [1] | 4.90% | [1] |
Non-Agency Securities | ' | ' | ||
Restructuring Cost and Reserve [Line Items] | ' | ' | ||
Repurchase Agreements (in thousands) | $102,334 | $107,623 | ||
Weighted Average Contractual Rate | 2.07% | 1.96% | ||
Weighted Average Maturity in days | '25 days | '46 days | ||
Haircut for repurchase agreements | 22.35% | [1] | 25.39% | [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_C
Note 9 - Repurchase Agreements - Contractual Repricing, Master Repurchase Agreement and Other Information Regarding Repurchase Agreements (Detail) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Repurchase Agreements (in thousands) | $839,405 | $1,135,830 |
Within 30 days | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Repurchase Agreements (in thousands) | 380,744 | 280,435 |
31 days to 60 days | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Repurchase Agreements (in thousands) | 408,054 | 629,311 |
61 days to 90 days | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Repurchase Agreements (in thousands) | 40,362 | 226,084 |
Greater than 90 days | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Repurchase Agreements (in thousands) | $10,245 | $0 |
Note_9_Repurchase_Agreements_N1
Note 9 - Repurchase Agreements Note 9 - Repurchase Agreements (Details) (USD $) | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||||
Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2012 | |
counterparty | counterparty | ||||||
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' | ' | ' | ' | ' | ' |
Number of counterparties | ' | ' | ' | ' | ' | 27 | 26 |
Repurchase agreements | $839,405,000 | ' | ' | ' | $1,135,830,000 | $839,405,000 | $1,135,830,000 |
Amount Of US Treasury Securities Sold Short | ' | ' | ' | ' | ' | 301,500,000 | ' |
Amount of U.S. Treasury Securities repurchased. | ' | ' | ' | ' | ' | 300,900,000 | ' |
Gain on short sale of U.S. Treasury Securities | $0 | $3,739,000 | ($3,106,000) | $0 | $0 | $633,000 | ' |
Outstanding Borrowings | ' | ' | ' | ' | ' | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' | ' | ' | ' | ' | ' |
Number of counterparties | ' | ' | ' | ' | ' | 20 | 18 |
Note_10_Derivatives_Interest_R
Note 10 - Derivatives - Interest Rate Swap Contracts and Interest Rate Swaptions (Detail) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 | ||
In Thousands, unless otherwise specified | ||||
Derivative [Line Items] | ' | ' | ||
Notional Amount | $1,551,250 | $455,000 | ||
Assets at Fair Value | 59,703 | [1] | 4,940 | [1] |
Liabilities at Fair Value | 0 | [1] | -365 | [1] |
Interest rate swap contracts | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Notional Amount | 801,250 | 325,000 | ||
Assets at Fair Value | 52,819 | [1] | 395 | [1] |
Liabilities at Fair Value | 0 | [1] | -365 | [1] |
Interest rate swaptions | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Notional Amount | 750,000 | 130,000 | ||
Assets at Fair Value | 6,884 | [1] | 4,545 | [1] |
Liabilities at Fair Value | $0 | [1] | $0 | [1] |
[1] | (1) See Note 5, "Fair Value of Financial Instruments" for additional discussion. |
Note_10_Derivatives_Note_10_De
Note 10 - Derivatives Note 10 - Derivatives - Potential Effects of Netting Derivative Instruments on the Balance Sheet (Details) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 | ||
In Thousands, unless otherwise specified | ||||
Assets | ' | ' | ||
Gross Amounts of Assets Presented in the Balance Sheet | $59,703 | [1] | $4,940 | [1] |
Financial Instruments | 0 | -92 | ||
Cash Collateral Held | -52,315 | -1,426 | ||
Net Amount | 7,388 | 3,422 | ||
Liabilities | ' | ' | ||
Gross Amounts of Liabilities Presented in the Balance Sheet | ' | -365 | ||
Financial Instruments | ' | 92 | ||
Cash Collateral Posted | ' | 273 | ||
Net Amount | ' | 0 | ||
Interest rate swap contracts | ' | ' | ||
Assets | ' | ' | ||
Gross Amounts of Assets Presented in the Balance Sheet | 52,819 | [1] | 395 | [1] |
Financial Instruments | 0 | -92 | ||
Cash Collateral Held | -52,315 | 0 | ||
Net Amount | 504 | 303 | ||
Liabilities | ' | ' | ||
Gross Amounts of Liabilities Presented in the Balance Sheet | ' | -365 | ||
Financial Instruments | ' | 92 | ||
Cash Collateral Posted | ' | 273 | ||
Net Amount | ' | 0 | ||
Interest rate swaptions | ' | ' | ||
Assets | ' | ' | ||
Gross Amounts of Assets Presented in the Balance Sheet | 6,884 | [1] | 4,545 | [1] |
Financial Instruments | 0 | 0 | ||
Cash Collateral Held | 0 | -1,426 | ||
Net Amount | $6,884 | $3,119 | ||
[1] | (1) See Note 5, "Fair Value of Financial Instruments" for additional discussion. |
Note_10_Derivatives_Location_a
Note 10 - Derivatives - Location and Information of Derivatives (Detail) (USD $) | 6 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Dec. 31, 2012 | Dec. 31, 2013 |
Interest rate swap contracts: | ' | ' |
Unrealized gain (loss) on derivatives | $302 | ($5,875) |
Totals | -885 | 54,953 |
Interest rate swap contracts | ' | ' |
Interest rate swap contracts: | ' | ' |
Totals | 31 | 49,068 |
Interest rate swaptions | ' | ' |
Interest rate swap contracts: | ' | ' |
Totals | -916 | 5,885 |
Interest income | Interest rate swap contracts | ' | ' |
Interest rate swap contracts: | ' | ' |
Realized loss on derivatives | 83 | 787 |
Interest expense | Interest rate swap contracts | ' | ' |
Interest rate swap contracts: | ' | ' |
Realized loss on derivatives | -666 | -9,457 |
Changes in fair value | Interest rate swap contracts | ' | ' |
Interest rate swap contracts: | ' | ' |
Unrealized gain (loss) on derivatives | 614 | 57,738 |
Changes in fair value | Interest rate swaptions | ' | ' |
Interest rate swap contracts: | ' | ' |
Unrealized gain (loss) on derivatives | -916 | 10 |
Realized gain | Interest rate swaptions | ' | ' |
Interest rate swap contracts: | ' | ' |
Realized loss on derivatives | $0 | $5,875 |
Note_11_Commitments_and_Contin1
Note 11 - Commitments and Contingencies (Detail) (USD $) | 6 Months Ended | 12 Months Ended |
Dec. 31, 2012 | Dec. 31, 2013 | |
Other Commitments [Line Items] | ' | ' |
Management fee | $550,000 | $3,315,000 |
Monthly retainer fee | ' | 115,000 |
Percentage of monthly management fee | ' | 25.00% |
Fee Equal to One Twelfth of One and a Half Percent | ' | ' |
Other Commitments [Line Items] | ' | ' |
Percentage of gross equity raised | ' | 1.50% |
Gross equity raised threshold used in calculation of management fee | ' | 1,000,000,000 |
Fee Equal to One Twelfth of One Percent | ' | ' |
Other Commitments [Line Items] | ' | ' |
Percentage of gross equity raised | ' | 1.00% |
Gross equity raised threshold used in calculation of management fee | ' | 1,000,000,000 |
ARRM | ' | ' |
Other Commitments [Line Items] | ' | ' |
Management fee | $2,564 | $147,096 |
Note_12_ShareBased_Compensatio1
Note 12 - Share-Based Compensation (Detail) | Dec. 31, 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% |
Number of shares available for grant (in Shares) | 359,790 |
Note_13_Stockholders_Equity_Co
Note 13 - Stockholders' Equity - Common Stock Dividend Transactions (Detail) (USD $) | 0 Months Ended | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||||||||||||||||||||||||||||||||
In Thousands, except Per Share data, unless otherwise specified | Dec. 27, 2013 | Dec. 16, 2013 | Nov. 27, 2013 | Nov. 15, 2013 | Oct. 28, 2013 | Oct. 15, 2013 | Sep. 27, 2013 | Sep. 16, 2013 | Aug. 29, 2013 | Aug. 15, 2013 | Jul. 30, 2013 | Jul. 15, 2013 | Jun. 27, 2013 | Jun. 14, 2013 | 30-May-13 | 15-May-13 | Apr. 29, 2013 | Apr. 15, 2013 | Mar. 27, 2013 | Mar. 15, 2013 | Feb. 27, 2013 | Feb. 15, 2013 | Jan. 30, 2013 | Jan. 15, 2013 | Dec. 28, 2012 | Dec. 14, 2012 | Nov. 29, 2012 | Nov. 19, 2012 | Jun. 30, 2012 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Dec. 31, 2012 | Dec. 31, 2013 |
Equity [Abstract] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Dividends declared per common share (in Dollars per share) | ' | $0.15 | ' | $0.15 | ' | $0.15 | ' | $0.23 | ' | $0.23 | ' | $0.23 | ' | $0.23 | ' | $0.23 | ' | $0.23 | ' | $0.23 | ' | $0.23 | ' | $0.23 | ' | $0.23 | ' | $0.23 | $0 | $11,993,000 | $13,500,000 | $13,500,000 | $7,500,000 | $7,500,000 | $0 | ' | ' |
Rate per common share (in Dollars per share) | $0.15 | ' | $0.15 | ' | $0.15 | ' | $0.23 | ' | $0.23 | ' | $0.23 | ' | $0.23 | ' | $0.23 | ' | $0.23 | ' | $0.23 | ' | $0.23 | ' | $0.23 | ' | $0.23 | ' | $0.23 | ' | ' | ' | ' | ' | ' | ' | ' | $0.46 | ' |
Aggregate amount paid to holders of record | $1,939 | ' | $2,025 | ' | $2,025 | ' | $3,105 | ' | $3,105 | ' | $3,105 | ' | $3,105 | ' | $3,105 | ' | $1,725 | ' | $1,725 | ' | $1,725 | ' | $1,725 | ' | $1,725 | ' | $1,725 | ' | ' | ' | ' | ' | ' | ' | ' | $3,450 | $28,414 |
Note_13_Stockholders_Equity_Eq
Note 13 - Stockholders' Equity - Equity Transactions (Detail) (USD $) | 0 Months Ended | 6 Months Ended | 12 Months Ended | ||
13-May-13 | Oct. 09, 2012 | Jun. 22, 2012 | Dec. 31, 2012 | Dec. 31, 2013 | |
Class of Stock [Line Items] | ' | ' | ' | ' | ' |
Number of Shares | 6,000,000 | ' | 50 | ' | ' |
Per Share price (in Dollars per share) | $18.93 | ' | ' | ' | ' |
Net Proceeds (in Dollars) | $113,200,000 | ' | ' | $150,001,000 | $113,163,000 |
Proceeds from Issuance Initial Public Offering | ' | 145,000,000 | ' | ' | ' |
Initial Capital Contribution [Member] | ' | ' | ' | ' | ' |
Class of Stock [Line Items] | ' | ' | ' | ' | ' |
Number of Shares | ' | ' | 50 | ' | ' |
Per Share price (in Dollars per share) | ' | ' | 20 | ' | ' |
Net Proceeds (in Dollars) | ' | ' | 0 | ' | ' |
IPO | ' | ' | ' | ' | ' |
Class of Stock [Line Items] | ' | ' | ' | ' | ' |
Number of Shares | ' | 7,250,000 | ' | ' | ' |
Per Share price (in Dollars per share) | ' | $20 | ' | ' | ' |
Net Proceeds (in Dollars) | ' | 145,000,000 | ' | ' | ' |
Private Placement | ' | ' | ' | ' | ' |
Class of Stock [Line Items] | ' | ' | ' | ' | ' |
Number of Shares | ' | 250,000 | ' | ' | ' |
Per Share price (in Dollars per share) | ' | $20 | ' | ' | ' |
Net Proceeds (in Dollars) | ' | $5,000,000 | ' | ' | ' |
Note_13_Stockholders_Equity_No
Note 13 - Stockholders' Equity Note 13 - Stockholders' Equity - Common Stock Repurchase (Details) (USD $) | 1 Months Ended | 12 Months Ended | |
In Thousands, except Share data, unless otherwise specified | Dec. 30, 2013 | Dec. 31, 2013 | |
Equity [Abstract] | ' | ' | |
Common stock repurchased (in Shares) | 1,507,307 | ' | |
Repurchased per share price | $12.72 | [1] | ' |
Common stock repurchased | $19,200 | $19,201 | |
Remaining number of shares authorized to be repurchased | ' | 492,693 | |
[1] | Weighted average price. |
Note_14_Net_Income_per_Common_1
Note 14 - Net Income per Common Share (Detail) (USD $) | 0 Months Ended | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||||||||||||||||||
In Thousands, except Share data, unless otherwise specified | Dec. 27, 2013 | Nov. 27, 2013 | Oct. 28, 2013 | Sep. 27, 2013 | Aug. 29, 2013 | Jul. 30, 2013 | Jun. 27, 2013 | 30-May-13 | Apr. 29, 2013 | Mar. 27, 2013 | Feb. 27, 2013 | Jan. 30, 2013 | Dec. 28, 2012 | Nov. 29, 2012 | Jun. 30, 2012 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Dec. 31, 2012 | Dec. 31, 2013 |
Earnings Per Share [Abstract] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Net income (loss) per common share (in Dollars per share) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $0 | ($4.22) | ($2.76) | $3.56 | ($1.46) | $0.89 | ($1.20) | $1.88 | ($3.89) |
Weighted Average Number of Shares Outstanding, Basic and Diluted | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 13,209,000 | 13,500,000 | 10,731,000 | 7,500,000 | 6,848,000 | 0 | 3,247,000 | 11,257,000 |
Rate per common share (in Dollars per share) | $0.15 | $0.15 | $0.15 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | ' | ' | ' | ' | ' | ' | ' | $0.46 | ' |
Aggregate amount paid to holders of record | $1,939 | $2,025 | $2,025 | $3,105 | $3,105 | $3,105 | $3,105 | $3,105 | $1,725 | $1,725 | $1,725 | $1,725 | $1,725 | $1,725 | ' | ' | ' | ' | ' | ' | ' | $3,450 | $28,414 |
Common Stock, Shares, Outstanding (in Shares) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 11,992,743 | ' | ' | ' | 7,500,050 | ' | 7,500,050 | 11,992,743 |
Note_15_Income_Taxes_Detail
Note 15 - Income Taxes (Detail) (USD $) | 0 Months Ended | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||||||||||||||||||
Dec. 27, 2013 | Nov. 27, 2013 | Oct. 28, 2013 | Sep. 27, 2013 | Aug. 29, 2013 | Jul. 30, 2013 | Jun. 27, 2013 | 30-May-13 | Apr. 29, 2013 | Mar. 27, 2013 | Feb. 27, 2013 | Jan. 30, 2013 | Dec. 28, 2012 | Nov. 29, 2012 | Jun. 30, 2012 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Dec. 31, 2012 | Dec. 31, 2013 | |
Income Tax Disclosure [Abstract] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Difference Between Aggregate Tax Basis of Assets and Liability and Total Stockholders' Equity | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $9,000,000 | ' | ' | ' | ' | ' | ' | $9,000,000 |
Difference Between Aggregate Tax Basis of Assets and Liability and Total Stockholders' Equity, Per Share Amount (in Dollars per share) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $0.75 | ' | ' | ' | ' | ' | ' | $0.75 |
Common Stock, Shares, Outstanding (in Shares) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 11,992,743 | ' | ' | ' | 7,500,050 | ' | 7,500,050 | 11,992,743 |
Common stock dividends paid | 1,939,000 | 2,025,000 | 2,025,000 | 3,105,000 | 3,105,000 | 3,105,000 | 3,105,000 | 3,105,000 | 1,725,000 | 1,725,000 | 1,725,000 | 1,725,000 | 1,725,000 | 1,725,000 | ' | ' | ' | ' | ' | ' | ' | 3,450,000 | 28,414,000 |
Interest Income, Securities, Operating, Taxable | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 5,468,000 | 25,268,000 |
Undistributed Estimated REIT Taxable Income | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 2,000,000 | ' | 2,000,000 | ' |
Undistributed Estimated REIT Taxable Income, Earnings Per Share (in Dollars per share) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $0.27 | ' | $0.27 | ' |
Income Tax Expense (Benefit) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $0 | $0 | $0 | $0 | $2,000 | $46,000 | $0 | $46,000 | $2,000 |
Note_15_Income_Taxes_Reconcili
Note 15 - Income Taxes - Reconciliation of GAAP Net Income to Estimated REIT Taxable Income (Detail) (USD $) | 0 Months Ended | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||||
In Thousands, unless otherwise specified | Jun. 30, 2012 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Dec. 31, 2012 | Dec. 31, 2013 |
Income Tax Disclosure [Abstract] | ' | ' | ' | ' | ' | ' | ' | ' | ' |
GAAP Net income (loss) | $0 | ($55,770) | ($37,217) | $38,237 | $10,976 | $6,098 | $0 | $6,098 | ($43,774) |
Book to tax differences: | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Net book/tax differences on Non-Agency Securities and Linked Transactions | ' | ' | ' | ' | ' | ' | ' | -978 | 8,006 |
Net capital losses carried forward | ' | ' | ' | ' | ' | ' | ' | ' | 80,509 |
Other than temporary impairment of Agency Securities | ' | 44,278 | 0 | 0 | 0 | ' | ' | 0 | 44,278 |
Amortization of deferred hedging costs | ' | ' | ' | ' | ' | ' | ' | ' | -57,879 |
Unrealized gain (loss) on derivatives | ' | ' | ' | ' | ' | ' | ' | 302 | -5,875 |
Other | ' | ' | ' | ' | ' | ' | ' | 46 | 3 |
Estimated taxable income | ' | ' | ' | ' | ' | ' | ' | $5,468 | $25,268 |
Note_16_Related_Party_Transact1
Note 16 - Related Party Transactions (Detail) (USD $) | 6 Months Ended | 12 Months Ended |
Dec. 31, 2012 | Dec. 31, 2013 | |
Related Party Transactions [Abstract] | ' | ' |
Initial term of management agreement | '5 years | ' |
Automatic Renewal Period of Management Agreement | '1 year | ' |
Period of Written Notice of Termination | ' | '180 days |
Management fee | $550,000 | $3,315,000 |
Management fee | 550,000 | ' |
Expenses from transactions with related party | $2,564 | ' |
Note_18_Subsequent_events_Deta
Note 18 - Subsequent events (Detail) (USD $) | 0 Months Ended | 3 Months Ended | 6 Months Ended | 12 Months Ended | 0 Months Ended | 12 Months Ended | 2 Months Ended | 2 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||
Dec. 27, 2013 | Dec. 16, 2013 | Nov. 27, 2013 | Nov. 15, 2013 | Oct. 28, 2013 | Oct. 15, 2013 | Sep. 27, 2013 | Sep. 16, 2013 | Aug. 29, 2013 | Aug. 15, 2013 | Jul. 30, 2013 | Jul. 15, 2013 | Jun. 27, 2013 | Jun. 14, 2013 | 30-May-13 | 15-May-13 | Apr. 29, 2013 | Apr. 15, 2013 | Mar. 27, 2013 | Mar. 15, 2013 | Feb. 27, 2013 | Feb. 15, 2013 | Jan. 30, 2013 | Jan. 15, 2013 | Dec. 28, 2012 | Dec. 14, 2012 | Nov. 29, 2012 | Nov. 19, 2012 | Jun. 30, 2012 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Dec. 31, 2012 | Dec. 31, 2013 | Oct. 30, 2013 | Sep. 24, 2012 | Jun. 20, 2012 | Mar. 17, 2014 | Feb. 27, 2014 | Jan. 30, 2014 | Mar. 05, 2014 | Feb. 07, 2014 | Feb. 07, 2014 | Feb. 07, 2014 | Feb. 07, 2014 | Dec. 31, 2013 | Mar. 05, 2014 | Mar. 05, 2014 | Mar. 05, 2014 | Mar. 05, 2014 | Mar. 05, 2014 | |
Subsequent Event | Subsequent Event | Subsequent Event | Subsequent Event | Equity Distribution Agreement | Dividend Reinvestment And Stock Purchase Plan | Minimum | Maximum | 25-Year and 30-Year Fixed Rate Agency Securities | 25-Year and 30-Year Fixed Rate Agency Securities | 30-Year Fixed Rate Agency Securities | 15-Year Fixed Rate Agency Securities | 20-Year Fixed Rate Agency Securities | Capital Loss Carryforward | |||||||||||||||||||||||||||||||||||||||||
Subsequent Event | Subsequent Event | Dividend Reinvestment And Stock Purchase Plan | Dividend Reinvestment And Stock Purchase Plan | Subsequent Event | Subsequent Event | Subsequent Event | Subsequent Event | 25-Year and 30-Year Fixed Rate Agency Securities | ||||||||||||||||||||||||||||||||||||||||||||||
Subsequent Event | Subsequent Event | Subsequent Event | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Subsequent Event [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Rate per common share (in Dollars per share) | $0.15 | ' | $0.15 | ' | $0.15 | ' | $0.23 | ' | $0.23 | ' | $0.23 | ' | $0.23 | ' | $0.23 | ' | $0.23 | ' | $0.23 | ' | $0.23 | ' | $0.23 | ' | $0.23 | ' | $0.23 | ' | ' | ' | ' | ' | ' | ' | ' | $0.46 | ' | ' | ' | ' | ' | $0.15 | $0.15 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Aggregate amount paid to holders of record | $1,939,000 | ' | $2,025,000 | ' | $2,025,000 | ' | $3,105,000 | ' | $3,105,000 | ' | $3,105,000 | ' | $3,105,000 | ' | $3,105,000 | ' | $1,725,000 | ' | $1,725,000 | ' | $1,725,000 | ' | $1,725,000 | ' | $1,725,000 | ' | $1,725,000 | ' | ' | ' | ' | ' | ' | ' | ' | $3,450,000 | $28,414,000 | ' | ' | ' | ' | $1,800,000 | $1,800,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Common Stock, Shares Authorized (in Shares) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 250,000,000 | ' | ' | ' | 250,000,000 | ' | 250,000,000 | 250,000,000 | ' | 250,000,000 | 1,000 | ' | ' | ' | ' | 3,000,000 | 1,000,000 | ' | ' | ' | ' | ' | ' | ' | ' |
Discount on optional cash purchases of shares in excess of $10,000 per month | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 3.00% | ' | ' | ' | ' | ' | ' | ' | ' |
Optional monthly cash purchases | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 50 | 10,000 | ' | ' | ' | ' | ' | ' |
Optional monthly cash purchases with approval | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 10,000 | ' | ' | ' | ' | ' | ' | ' |
Dividends declared per common share (in Dollars per share) | ' | $0.15 | ' | $0.15 | ' | $0.15 | ' | $0.23 | ' | $0.23 | ' | $0.23 | ' | $0.23 | ' | $0.23 | ' | $0.23 | ' | $0.23 | ' | $0.23 | ' | $0.23 | ' | $0.23 | ' | $0.23 | $0 | $11,993,000 | $13,500,000 | $13,500,000 | $7,500,000 | $7,500,000 | $0 | ' | ' | ' | ' | ' | $0.15 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Number of shares authorized to be repurchased | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 2,000,000 | ' | ' | ' | ' | ' | ' | 2,000,000 | 2,000,000 | ' | ' | ' | ' | ' | 3,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Remaining number of shares authorized to be repurchased | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 492,693 | ' | ' | ' | ' | ' | ' | 492,693 | ' | ' | ' | ' | ' | ' | 1,492,693 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Proceeds from sales of Non-Agency Securities | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 603,700,000 | ' | ' | ' | ' |
Fair value | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 801,777,000 | ' | ' | ' | 1,112,358,000 | ' | 1,112,358,000 | 801,777,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 744,600,000 | ' | 100,000,000 | ' | ' | ' |
Other than temporary impairment of Agency Securities | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 44,278,000 | 0 | 0 | 0 | ' | ' | 0 | 44,278,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 7,000,000 | ' | ' | ' | ' | ' |
Amount of tax credit carryforward | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 29,800,000 |
Payments to acquire available-for-sale securities | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $1,123,594,000 | $899,127,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $268,300,000 | $20,000,000 | ' |
Note_19_Quarterly_Financial_Da2
Note 19 - Quarterly Financial Data (unaudited) - Unaudited Quarterly Financial Results (Detail) (USD $) | 0 Months Ended | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||||||||||||||||||||||||||||
In Thousands, except Share data, unless otherwise specified | Dec. 16, 2013 | Nov. 15, 2013 | Oct. 15, 2013 | Sep. 16, 2013 | Aug. 15, 2013 | Jul. 15, 2013 | Jun. 14, 2013 | 15-May-13 | Apr. 15, 2013 | Mar. 15, 2013 | Feb. 15, 2013 | Jan. 15, 2013 | Dec. 14, 2012 | Nov. 19, 2012 | Jun. 30, 2012 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Dec. 31, 2012 | Dec. 31, 2013 | |||||||||
Quarterly Financial Information Disclosure [Abstract] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | |||||||||
Agency Securities, net of amortization of premium | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $0 | $8,767 | $9,834 | $9,336 | $7,144 | $6,767 | $0 | $6,767 | $35,081 | |||||||||
Non-Agency Securities, including discount accretion | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 2,178 | 2,105 | 1,832 | 1,860 | 1,421 | 0 | 1,421 | 7,975 | |||||||||
Total interest income | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 10,945 | 11,939 | 11,168 | 9,004 | 8,188 | 0 | 8,188 | 43,056 | |||||||||
Interest expense | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | -1,690 | -2,001 | -1,924 | -1,727 | -1,455 | 0 | ' | ' | |||||||||
Net interest income | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 9,255 | 9,938 | 9,244 | 7,277 | 6,733 | 0 | 6,733 | 35,724 | |||||||||
Realized loss on sale of Agency Securities (reclassified from Other comprehensive income (loss) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -32,491 | -48,554 | 0 | 0 | ' | ' | 0 | -81,045 | |||||||||
Other than temporary impairment of Agency Securities (reclassified from Other comprehensive income (loss); no amounts remaining in Accumulated other comprehensive income (loss)) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -44,278 | 0 | 0 | 0 | ' | ' | 0 | -44,278 | |||||||||
Net gain (loss) on Non-Agency Securities | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 1,714 | 734 | -5,635 | 2,210 | 1,124 | 0 | 1,124 | -977 | |||||||||
Gain on short sale of U.S. Treasury Securities | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 3,739 | -3,106 | 0 | ' | ' | 0 | 633 | |||||||||
Unrealized net loss and net interest income from Linked Transactions | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -1,778 | 724 | -2,288 | 0 | ' | ' | 0 | -3,352 | |||||||||
Realized gain (loss) on derivatives | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | [1] | 2,817 | [1] | -2,673 | [1] | -1,989 | [1] | -950 | [1] | -583 | [1] | 0 | [1] | -583 | [2] | -2,795 | [2] |
Unrealized loss on derivatives | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 10,854 | 269 | 43,181 | 3,444 | -302 | 0 | -302 | 57,748 | |||||||||
Expenses | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | -1,863 | -1,394 | -1,170 | -1,003 | -828 | 0 | -828 | -5,430 | |||||||||
Income tax expense | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0 | 0 | 0 | -2 | -46 | 0 | -46 | -2 | |||||||||
Net Income (Loss) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | -55,770 | -37,217 | 38,237 | 10,976 | 6,098 | 0 | 6,098 | -43,774 | |||||||||
Net income (loss) per common share (in Dollars per share) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $0 | ($4.22) | ($2.76) | $3.56 | ($1.46) | $0.89 | ($1.20) | $1.88 | ($3.89) | |||||||||
Weighted average common shares outstanding (in Shares) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 13,209,000 | 13,500,000 | 10,731,000 | 7,500,000 | 6,848,000 | 0 | 3,247,000 | 11,257,000 | |||||||||
Common stock dividends declared | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $0 | $5,989 | $9,315 | $7,935 | $5,175 | $3,450 | $0 | ' | ' | |||||||||
Common shares of record (in Shares) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 0.45 | 0.69 | 0.69 | 0.69 | 0.46 | 0 | ' | ' | |||||||||
Dividends per common share (in Dollars per share) | $0.15 | $0.15 | $0.15 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0 | $11,993,000 | $13,500,000 | $13,500,000 | $7,500,000 | $7,500,000 | $0 | ' | ' | |||||||||
[1] | Interest expense related to our interest rate swap contracts is recorded in realized loss on derivatives on the statement of operations. | |||||||||||||||||||||||||||||||
[2] | Interest expense related to our interest rate swap contracts is recorded in realized losses on derivatives on the statements of operations. For additional information see Note 10 to the financial statements. |