Document_And_Entity_Informatio
Document And Entity Information | 3 Months Ended | |
Mar. 31, 2014 | 5-May-14 | |
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 | 'Accelerated Filer | ' |
Document Type | '10-Q | ' |
Document Period End Date | 31-Mar-14 | ' |
Document Fiscal Year Focus | '2014 | ' |
Document Fiscal Period Focus (Q1,Q2,Q3,FY) | 'Q1 | ' |
Amendment Flag | 'false | ' |
Entity Common Stock, Shares Outstanding | ' | 11,995,983 |
Condensed_Balance_Sheets_Unaud
Condensed Balance Sheets (Unaudited) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
Assets | ' | ' | ||
Cash | $32,544 | $41,524 | ||
Cash collateral posted | 1,851 | 648 | ||
Agency Securities, available for sale, at fair value (including pledged securities of $869,347 and $770,172) | 1,187,467 | 801,777 | ||
Non-Agency Securities, trading, at fair value (including pledged securities of $142,409 and $143,080) | 142,409 | 143,399 | ||
Linked Transactions, net, at fair value (including pledged securities of $142,166 and $140,945) | 20,069 | 16,322 | ||
Receivable for unsettled sales (including pledged securities of $355,112 in 2014) | 358,456 | 0 | ||
Derivatives, at fair value | 38,511 | [1] | 59,703 | [1] |
Accrued interest receivable | 3,570 | 2,336 | ||
Prepaid and other assets | 573 | 623 | ||
Total Assets | 1,785,450 | 1,066,332 | ||
Liabilities: | ' | ' | ||
Repurchase agreements | 1,275,793 | 839,405 | ||
Cash collateral held | 35,294 | 53,314 | ||
Payable for unsettled purchases | 312,447 | 0 | ||
Accrued interest payable | 678 | 611 | ||
Accounts payable and other accrued expenses | 685 | 1,722 | ||
Total Liabilities | 1,624,897 | 895,052 | ||
Commitments and Contingencies | ' | ' | ||
Stockholders’ Equity: | ' | ' | ||
Preferred stock, $0.001 par value, 25,000 shares authorized, none issued and outstanding at March 31, 2014 and December 31, 2013 | 0 | 0 | ||
Common stock, $0.001 par value, 250,000 shares authorized, 11,996 and 11,993 shares issued and outstanding at March 31, 2014 and December 31, 2013 | 12 | 12 | ||
Additional paid-in capital | 243,996 | 243,951 | ||
Accumulated deficit | -76,800 | -69,540 | ||
Accumulated other comprehensive loss | -6,655 | -3,143 | ||
Total Stockholders’ Equity | 160,553 | 171,280 | ||
Total Liabilities and Stockholders’ Equity | $1,785,450 | $1,066,332 | ||
[1] | See Note 4, “Fair Value of Financial Instruments†for additional discussion. |
Condensed_Balance_Sheets_Unaud1
Condensed Balance Sheets (Unaudited) (Parentheticals) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, except Share data, unless otherwise specified | ||
Preferred stock, par value (in usd 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) | 11,996,000 | 11,993,000 |
Common Stock, shares outstanding (in Shares) | 11,996,000 | 11,993,000 |
US Government Agencies Debt Securities | ' | ' |
Plеdgеd assеts | $869,347 | $770,172 |
Non-Agency Securities | ' | ' |
Plеdgеd assеts | 142,409 | 143,080 |
Linked Transactions | ' | ' |
Plеdgеd assеts | 142,166 | 140,945 |
Unsettled Sales | ' | ' |
Plеdgеd assеts | $355,112 | ' |
Condensed_Statement_of_Operati
Condensed Statement of Operations (Unaudited) (USD $) | 3 Months Ended | |||
In Thousands, except Per Share data, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 | ||
Interest Income: | ' | ' | ||
Agency Securities, net of amortization of premium | $8,445 | $7,144 | ||
Non-Agency Securities, including discount accretion | 2,308 | 1,860 | ||
Total Interest Income | 10,753 | 9,004 | ||
Interest expense | -1,448 | -1,727 | ||
Net interest income | 9,305 | 7,277 | ||
Other Income (Loss): | ' | ' | ||
Realized gain on sale of Agency Securities (reclassified from Other comprehensive loss) | 8,810 | 0 | ||
Gain on Non-Agency Securities | 833 | 2,210 | ||
Unrealized net gain and net interest income from Linked Transactions | 4,427 | 0 | ||
Subtotal | 14,070 | 2,210 | ||
Realized loss on derivatives | -3,106 | [1] | -950 | [1] |
Unrealized gain (loss) on derivatives | -20,029 | 3,444 | ||
Subtotal | -23,135 | 2,494 | ||
Total Other Income (Loss) | -9,065 | 4,704 | ||
Expenses: | ' | ' | ||
Management fee | 912 | 563 | ||
Professional fees | 742 | 194 | ||
Insurance | 110 | 56 | ||
Board compensation | 125 | 84 | ||
Other | 214 | 106 | ||
Total expenses | 2,103 | 1,003 | ||
Net income (loss) before taxes | -1,863 | 10,978 | ||
Income tax expense | 0 | -2 | ||
Net Income (Loss) | -1,863 | 10,976 | ||
Net Income (Loss) per common share (in usd per share) | ($0.16) | $1.46 | ||
Weighted average common shares outstanding (in shares) | 11,993 | 7,500 | ||
Dividends | ' | ' | ||
Common stock dividends declared | $5,397 | $5,175 | ||
Common stock dividends declared per share (in usd per share) | $0.45 | $0.69 | ||
Common shares of record-end of period (in shares) | 11,996 | 7,500 | ||
[1] | Interest expense related to our interest rate swap contracts is recorded in realized loss on derivatives on the condensed statements of operations. For additional information, see Note 9 to the condensed financial statements. |
Condensed_Statement_of_Compreh
Condensed Statement of Comprehensive Income (Unaudited) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Statement of Comprehensive Income [Abstract] | ' | ' |
Net Income (Loss) | ($1,863) | $10,976 |
Other comprehensive loss: | ' | ' |
Reclassification adjustment for realized gain on sale of Agency Securities | -8,810 | 0 |
Net unrealized gain (loss) on available for sale Agency Securities | 5,298 | -15,840 |
Other comprehensive loss | -3,512 | -15,840 |
Comprehensive Loss | ($5,375) | ($4,864) |
Condensed_Statement_of_Stockho
Condensed Statement of Stockholders' Equity (Unaudited) (USD $) | Total | Common Stock | Additional Paid in Capital | Accumulated Deficit | Accumulated Other Comprehensive Loss |
In Thousands, unless otherwise specified | |||||
Balance at Dec. 31, 2013 | $171,280 | $12 | $243,951 | ($69,540) | ($3,143) |
Balance (in Shares) at Dec. 31, 2013 | ' | 11,993 | ' | ' | ' |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ' | ' | ' | ' | ' |
Common stock dividends declared | -5,397 | ' | ' | -5,397 | ' |
Stock based compensation, net of withholding requirements (shares) | ' | 3 | ' | ' | ' |
Stock based compensation, net of withholding requirements | 45 | ' | 45 | ' | ' |
Net loss | -1,863 | ' | ' | -1,863 | ' |
Other comprehensive loss | -3,512 | ' | ' | ' | -3,512 |
Balance at Mar. 31, 2014 | $160,553 | $12 | $243,996 | ($76,800) | ($6,655) |
Balance (in Shares) at Mar. 31, 2014 | ' | 11,996 | ' | ' | ' |
Condensed_Statements_of_Cash_F
Condensed Statements of Cash Flows (Unaudited) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Cash Flows From Operating Activities: | ' | ' |
Net Income (Loss) | ($1,863) | $10,976 |
Adjustments to reconcile net income (loss) to net cash provided by operating activities: | ' | ' |
Realized gain on sale of Agency Securities | -8,810 | 0 |
Gain on Non-Agency Securities | -833 | -2,210 |
Unrealized net loss and net interest income from Linked Transactions | -4,427 | 0 |
Stock based compensation | 45 | 0 |
Changes in operating assets and liabilities: | ' | ' |
(Increase) decrease in accrued interest receivable | -1,001 | 46 |
(Increase) decrease in prepaid and other assets | 50 | -153 |
(Increase) decrease in derivatives, at fair value | 21,192 | -2,494 |
Increase (decrease) in accrued interest payable | 67 | -108 |
Increase (decrease) in accounts payable and other accrued expenses | -1,037 | 27 |
Net cash provided by operating activities | 3,235 | 7,419 |
Cash Flows From Investing Activities: | ' | ' |
Purchases of Agency Securities | -826,539 | 0 |
Purchases of Non-Agency Securities | -1,250 | -9,757 |
Cash receipts on Linked Transactions | 681 | 0 |
Principal repayments of Agency Securities | 14,534 | 17,188 |
Principal repayments of Non-Agency Securities | 3,400 | 4,875 |
Proceeds from sales of Agency Securities | 385,191 | 0 |
(Increase) decrease in cash collateral | -19,223 | 4,082 |
Net cash provided by (used in) investing activities | -443,206 | 16,388 |
Cash Flows From Financing Activities: | ' | ' |
Proceeds from repurchase agreements | 2,150,972 | 1,609,523 |
Principal repayments on repurchase agreements | -1,714,584 | -1,636,411 |
Common stock dividends paid | -5,397 | -5,175 |
Net cash provided by (used in) financing activities | 430,991 | -32,063 |
Net decrease in cash | -8,980 | -8,256 |
Cash - beginning of period | 41,524 | 36,316 |
Cash - end of period | 32,544 | 28,060 |
Supplemental Disclosure: | ' | ' |
Cash paid during the period for interest | 6,361 | 1,808 |
Non-Cash Investing and Financing Activities: | ' | ' |
Receivable for unsettled sales | 358,456 | 0 |
Payable for unsettled purchases | 312,447 | 0 |
Unrealized (gain) loss on investment in available for sale Agency Securities | 5,298 | -15,840 |
Agency Securities | ' | ' |
Adjustments to reconcile net income (loss) to net cash provided by operating activities: | ' | ' |
Accretion (amortization) of discounts and premiums, investments | 180 | 1,049 |
Non-Agency Securities | ' | ' |
Adjustments to reconcile net income (loss) to net cash provided by operating activities: | ' | ' |
Accretion (amortization) of discounts and premiums, investments | ($328) | $286 |
Basis_of_Presentation
Basis of Presentation | 3 Months Ended |
Mar. 31, 2014 | |
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 United States (“GAAP”) for interim financial information and with the instructions to Form 10-Q and Rule 10-01 of Regulation S-X promulgated by the Securities and Exchange Commission (the “SEC”). Accordingly, they do not include all of the information and footnotes required by GAAP for complete financial statements. In the opinion of management, all adjustments (consisting of only normal recurring accruals) considered necessary for a fair presentation have been included. Operating results for the quarter ended March 31, 2014 are not necessarily indicative of the results that may be expected for the calendar year ending December 31, 2014. These unaudited financial statements should be read in conjunction with the audited financial statements and notes thereto included in our Annual Report on Form 10-K for the year ended December 31, 2013. | |
The 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. |
Organization_and_Nature_of_Bus
Organization and Nature of Business Operations | 3 Months Ended |
Mar. 31, 2014 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | ' |
Organization and Nature of Business Operations | ' |
Organization and Nature of Business Operations | |
References to “we,” “us,” “our,” "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 14, “Related Party Transactions” for additional discussion). ARRM is an investment advisor registered with the SEC. On June 21, 2012, an initial capital contribution of $1 was made to us and we issued 0.05 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 shares to 250,000 shares and authorized 25,000 shares of preferred stock, par value $0.001 per share, for issuance. The registration statement for our initial public offering (“IPO”) was declared effective on October 2, 2012. On October 3, 2012, our common stock commenced trading on the New York Stock Exchange under the symbol “JMI”. We commenced operations upon consummation of our IPO and concurrent private placement (the “Private Placement”) of our common stock on October 9, 2012. Pursuant to our IPO and Private Placement, we sold to the public 7,250 shares of common stock and sold 250 shares of common stock to Staton Bell Blank Check LLC (the “Sub-Manager”), an entity jointly owned by two of our directors, at a price of $20.00 per share. Net proceeds from the IPO and Private Placement totaled $150,000. On November 2, 2012, the underwriters in the IPO decided not to exercise their over-allotment option to purchase up to an additional 1,088 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. |
Summary_of_Significant_Account
Summary of Significant Accounting Policies | 3 Months Ended |
Mar. 31, 2014 | |
Accounting Policies [Abstract] | ' |
Summary of Significant Accounting Policies | ' |
Summary of Significant Accounting Policies | |
Cash | |
Cash includes cash on deposit with financial institutions. We may maintain deposits in federally insured financial institutions in excess of federally insured limits. However, management believes we are not exposed to significant credit risk due to the financial position and creditworthiness of the depository institutions in which those deposits are held. | |
Cash Collateral Posted/Held | |
Cash collateral posted or held represents cash posted by us to counterparties or held by us from counterparties as collateral for our interest rate swap contracts, Eurodollar Futures Contracts (“Futures Contracts”) and repurchase agreements on our MBS. | |
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 March 31, 2014 and December 31, 2013, 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 condensed 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 March 31, 2014 and December 31, 2013, 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 during the quarters ended or at March 31, 2014 and March 31, 2013 or at December 31, 2013. | |
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 during the quarters ended March 31, 2014 and March 31, 2013 or at December 31, 2013. | |
Derivatives, at Fair Value | |
We recognize all derivatives as either assets or liabilities at fair value on our condensed balance sheets. Since we have not elected cash flow hedge accounting treatment as allowed by GAAP, all changes in the fair values of our derivatives are reflected in our condensed statements of operations. Accordingly, our operating results may reflect greater volatility than otherwise would be the case, because gains or losses on derivatives may not be offset by changes in the fair value or cash flows of the transaction within the same accounting period or ever. Consequently, any declines in the fair value of our derivatives will result in a charge to earnings. We will continue to designate derivatives as hedges for tax purposes and any unrealized derivative gains or losses would not affect our distributable net taxable income. | |
Linked Transactions | |
The initial purchase of Non-Agency Securities and the related contemporaneous repurchase financing of such MBS with the same counterparty are considered part of the same arrangement, or a “Linked Transaction,” when certain criteria are met. 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 purchased 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 Non-Agency Securities and repurchase liabilities underlying the Linked Transactions and associated interest income and expense are reported as “unrealized net gains and net interest income from Linked Transactions” on our statements of operations and are not included in other comprehensive loss. 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. | |
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 March 31, 2014, we were authorized to issue up to 25,000 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 March 31, 2014, we were authorized to issue up to 250,000 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 11,996 shares of common stock issued and outstanding at March 31, 2014 and 11,993 shares of common stock issued and outstanding at December 31, 2013. | |
Common Stock Repurchased | |
On October 30, 2013, we announced that our Board had authorized a stock repurchase program of up to 2,000 shares of our common stock outstanding (the “Repurchase Program”). On March 5, 2014, our Board increased the authorization to 3,000 shares of our common stock outstanding. Under the Repurchase Program shares may be purchased in the open market, including block trades, through privately negotiated transactions, or pursuant to a trading plan separately adopted in the future. The timing, manner, price and amount of any repurchases will be at our discretion, subject to the requirements of the Securities Exchange Act of 1934, as amended, and related rules. We are not required to repurchase any shares under the Repurchase Program and it may be modified, suspended or terminated at any time for any reason. We do not intend to purchase shares from our Board or other affiliates. Under Maryland law, such repurchased shares are treated as authorized but unissued. For the quarter ended March 31, 2014, we did not repurchase any shares under our Repurchase Program. As of March 31, 2014, there were 1,493 remaining shares authorized for repurchase under our Repurchase Program. | |
Revenue Recognition | |
Interest income is earned and recognized on Agency Securities based on their unpaid principal balance 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 Loss | |
Comprehensive loss refers to changes in equity during a period from transactions and other events and circumstances from non-owner sources. It includes all changes in equity during a period except those resulting from investments by owners and distributions to owners. |
Fair_Value_of_Financial_Instru
Fair Value of Financial Instruments | 3 Months Ended | |||||||||||||||||||
Mar. 31, 2014 | ||||||||||||||||||||
Fair Value Disclosures [Abstract] | ' | |||||||||||||||||||
Fair Value of Financial Instruments | ' | |||||||||||||||||||
Fair Value of Financial Instruments | ||||||||||||||||||||
Our valuation techniques for financial instruments use 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 techniques 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 by us to counterparties or held by us from counterparties as collateral are classified as Level 2. | ||||||||||||||||||||
Agency Securities, Available for Sale - Fair value for the Agency Securities in our 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 quotes from up to three dealers who make markets in similar Agency Securities. In general, the dealers incorporate common market pricing methods, including a spread measurement to the Treasury curve or interest rate swap curve as well as underlying characteristics of the particular Agency Security including coupon, periodic and life caps, collateral type, rate reset period and seasoning or age of the Agency Security. Management reviews pricing used to ensure that current market conditions are properly reflected. This review includes, but is not limited to, comparisons of similar market transactions or alternative third party pricing services, dealer quotes and comparisons to a third party pricing model. Fair values obtained from the third party pricing services for similar instruments are classified as Level 2 securities if the inputs to the pricing models 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 March 31, 2014 and December 31, 2013, 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 March 31, 2014 and December 31, 2013, 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 that are measured at fair value on a recurring basis as of March 31, 2014 and December 31, 2013. | ||||||||||||||||||||
Quoted | Significant Observable | Significant Unobservable | Balance at March 31, 2014 | |||||||||||||||||
Prices in | Inputs | Inputs | ||||||||||||||||||
Active | (Level 2) | (Level 3) | ||||||||||||||||||
Markets for Identical | ||||||||||||||||||||
Assets | ||||||||||||||||||||
(Level 1) | ||||||||||||||||||||
Assets at Fair Value: | ||||||||||||||||||||
Agency Securities, available for sale | $ | — | $ | 1,187,467 | $ | — | $ | 1,187,467 | ||||||||||||
Non-Agency Securities, trading | $ | — | $ | — | $ | 142,409 | $ | 142,409 | ||||||||||||
Linked Transactions, net | $ | — | $ | — | $ | 20,069 | $ | 20,069 | ||||||||||||
Derivatives | $ | — | $ | 38,511 | $ | — | $ | 38,511 | ||||||||||||
There were no transfers of assets or liabilities between levels of the fair value hierarchy during the quarter ended March 31, 2014. | ||||||||||||||||||||
Quoted | Significant Observable | Significant Unobservable | Balance at December 31, 2013 | |||||||||||||||||
Prices in | Inputs | Inputs | ||||||||||||||||||
Active | (Level 2) | (Level 3) | ||||||||||||||||||
Markets for Identical | ||||||||||||||||||||
Assets | ||||||||||||||||||||
(Level 1) | ||||||||||||||||||||
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. | ||||||||||||||||||||
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 March 31, 2014 and December 31, 2013. | ||||||||||||||||||||
31-Mar-14 | Fair Value Measurements using: | |||||||||||||||||||
Carrying | Fair | Quoted Prices | Significant Observable | Significant Unobservable | ||||||||||||||||
Value | Value | in Active | Inputs | Inputs | ||||||||||||||||
Markets for Identical | (Level 2) | (Level 3) | ||||||||||||||||||
Assets | ||||||||||||||||||||
(Level 1) | ||||||||||||||||||||
Financial Assets: | ||||||||||||||||||||
Cash | $ | 32,544 | $ | 32,544 | $ | 32,544 | $ | — | $ | — | ||||||||||
Cash collateral posted | $ | 1,851 | $ | 1,851 | $ | — | $ | 1,851 | $ | — | ||||||||||
Receivable for unsettled sales | $ | 358,456 | $ | 358,456 | $ | — | $ | 358,456 | $ | — | ||||||||||
Accrued interest receivable | $ | 3,570 | $ | 3,570 | $ | — | $ | 3,570 | $ | — | ||||||||||
Financial Liabilities: | ||||||||||||||||||||
Repurchase agreements | $ | 1,275,793 | $ | 1,275,793 | $ | — | $ | 1,275,793 | $ | — | ||||||||||
Cash collateral held | $ | 35,294 | $ | 35,294 | $ | — | $ | 35,294 | $ | — | ||||||||||
Payable for unsettled purchases | $ | 312,447 | $ | 312,447 | $ | — | $ | 312,447 | $ | — | ||||||||||
Accrued interest payable | $ | 678 | $ | 678 | $ | — | $ | 678 | $ | — | ||||||||||
31-Dec-13 | Fair Value Measurements using: | |||||||||||||||||||
Carrying | Fair | Quoted Prices | Significant Observable | Significant Unobservable | ||||||||||||||||
Value | Value | in Active | Inputs | Inputs | ||||||||||||||||
Markets for Identical | (Level 2) | (Level 3) | ||||||||||||||||||
Assets | ||||||||||||||||||||
(Level 1) | ||||||||||||||||||||
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 | $ | — | ||||||||||
The following table provides a summary of the changes in Level 3 assets measured at fair value on a recurring basis as of March 31, 2014 and December 31, 2013. | ||||||||||||||||||||
Quarter Ended | Year | |||||||||||||||||||
March 31, 2014 | Ended | |||||||||||||||||||
31-Dec-13 | ||||||||||||||||||||
Balance, beginning of period | $ | 159,721 | $ | 129,946 | ||||||||||||||||
Purchase of Non-Agency Securities, at cost | 1,250 | 38,332 | ||||||||||||||||||
Principal repayments of Non-Agency Securities | (3,400 | ) | (21,788 | ) | ||||||||||||||||
Cash disbursements on Linked Transactions | (681 | ) | 19,674 | |||||||||||||||||
Proceeds from the sale of Non-Agency Securities | — | (1,352 | ) | |||||||||||||||||
Net gain (loss) on Non-Agency Securities | 833 | (977 | ) | |||||||||||||||||
Unrealized net gain (loss) and net interest income from Linked Transactions | 4,427 | (3,352 | ) | |||||||||||||||||
Net change in discount on Non-Agency Securities | 328 | (762 | ) | |||||||||||||||||
Balance, end of period | $ | 162,478 | $ | 159,721 | ||||||||||||||||
Net gains (losses) for outstanding level 3 assets | $ | 5,260 | $ | (4,329 | ) | |||||||||||||||
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 March 31, 2014 and December 31, 2013. See Note 7, "Linked Transactions" for additional discussion of Non-Agency Securities that are accounted for as a component of Linked Transactions. | ||||||||||||||||||||
March 31, 2014 | ||||||||||||||||||||
Unobservable | Minimum | Weighted | Maximum | |||||||||||||||||
Level 3 Input | Average | |||||||||||||||||||
Cumulative default | 0 | % | 8.66 | % | 31.56 | % | ||||||||||||||
Loss severity (life) | 0 | % | 34.78 | % | 66.8 | % | ||||||||||||||
Discount rate | 3.76 | % | 4.83 | % | 6.5 | % | ||||||||||||||
Delinquency (life) | 0 | % | 9.63 | % | 35.1 | % | ||||||||||||||
Voluntary prepayments (life) | 6.4 | % | 8.41 | % | 12.4 | % | ||||||||||||||
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 | % | ||||||||||||||
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. |
Agency_Securities_Available_fo
Agency Securities, Available for Sale | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||||||||||
Schedule of Available-for-sale Securities [Line Items] | ' | ||||||||||||||||||||||||
Agency Securities, Available for Sale | ' | ||||||||||||||||||||||||
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 March 31, 2014, investments in Non-Agency Securities accounted for 10.7% of our MBS portfolio and 19.3% of our total MBS portfolio inclusive of the Non-Agency Securities underlying our Linked Transactions (see Note 7,“Linked Transactions” for additional discussion of Non-Agency Securities that are accounted for as a component of Linked Transactions). | |||||||||||||||||||||||||
Non-Agency Securities | |||||||||||||||||||||||||
March 31, 2014 | Fair Value | Amortized | Principal | Weighted | |||||||||||||||||||||
Cost | Amount | Average | |||||||||||||||||||||||
Coupon | |||||||||||||||||||||||||
Prime Fixed | $ | 50,692 | $ | 50,148 | $ | 56,925 | 4.94 | % | |||||||||||||||||
Prime Hybrid | 16,718 | 15,225 | 20,534 | 3.23 | % | ||||||||||||||||||||
Prime Floater | 3,542 | 3,261 | 3,250 | 5.12 | % | ||||||||||||||||||||
Alt-A Fixed | 62,432 | 59,729 | 75,627 | 5.85 | % | ||||||||||||||||||||
Alt-A Hybrid | 9,025 | 8,491 | 10,859 | 2.54 | % | ||||||||||||||||||||
Total Non-Agency Securities | $ | 142,409 | $ | 136,854 | $ | 167,195 | 4.99 | % | |||||||||||||||||
As of December 31, 2013, investments in Non-Agency Securities accounted for 15.2% of our total MBS portfolio and 26.2% of our total MBS portfolio inclusive of the Non-Agency Securities underlying our Linked Transactions (see Note 7,“Linked Transactions” for additional discussion of Non-Agency Securities that are accounted for as a component of Linked Transactions). | |||||||||||||||||||||||||
Non-Agency Securities | |||||||||||||||||||||||||
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 | % | |||||||||||||||||
Prime/Alt-A Non-Agency Securities as of March 31, 2014 and December 31, 2013 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 March 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
The following table summarizes the weighted average lives of our Non-Agency Securities as of March 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
March 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||
Weighted Average Life of all Non-Agency Securities | Fair Value | Amortized | Fair Value | Amortized | |||||||||||||||||||||
Cost | Cost | ||||||||||||||||||||||||
Less than one year | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||
Greater than or equal to one year and less than three years | — | — | — | — | |||||||||||||||||||||
Greater than or equal to three years and less than five years | 57,580 | 55,429 | 36,581 | 35,254 | |||||||||||||||||||||
Greater than or equal to five years | 84,829 | 81,425 | 106,818 | 104,422 | |||||||||||||||||||||
Total Non-Agency Securities | $ | 142,409 | $ | 136,854 | $ | 143,399 | $ | 139,676 | |||||||||||||||||
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 March 31, 2014 and December 31, 2013 in the table above are based upon market factors, assumptions, models and estimates from the third party model and also incorporate management’s judgment and experience. The actual weighted average lives of our 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 March 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
Unrealized Loss Position For: | |||||||||||||||||||||||||
Less than 12 months | 12 Months or More | Total | |||||||||||||||||||||||
As of | Fair Value | Unrealized | Fair Value | Unrealized | Fair Value | Unrealized | |||||||||||||||||||
Losses | Losses | Losses | |||||||||||||||||||||||
March 31, 2014 | $ | 18,537 | $ | (582 | ) | $ | — | $ | — | $ | 18,537 | $ | (582 | ) | |||||||||||
December 31, 2013 | $ | 42,096 | $ | (1,089 | ) | $ | — | $ | — | $ | 42,096 | $ | (1,089 | ) | |||||||||||
Our Non-Agency Securities are subject to risk of loss with regard to principal and interest payments and as of March 31, 2014 and December 31, 2013, 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. | |||||||||||||||||||||||||
Agency Securities | ' | ||||||||||||||||||||||||
Schedule of Available-for-sale Securities [Line Items] | ' | ||||||||||||||||||||||||
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 are reported as part of the statements of comprehensive income. As of March 31, 2014, investments in Agency Securities accounted for 89.3% of our MBS portfolio and 80.7% of our total MBS portfolio inclusive of the Non-Agency Securities underlying our Linked Transactions. 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 7, “Linked Transactions” for additional discussion of Non-Agency Securities that are accounted for as a component of Linked Transactions). | |||||||||||||||||||||||||
We evaluated our Agency Securities with unrealized losses as of March 31, 2014, March 31, 2013 and December 31, 2013, to determine whether there was an other than temporary impairment. The decline in value of our Agency Securities in 2013 was solely due to market conditions and not the credit quality of the assets. All of our Agency Securities are issued and guaranteed by GSEs. The GSEs have a long term credit rating of AA+. As of March 31, 2014 and December 31, 2013, we also considered whether we intended to sell Agency Securities and whether it was more likely than not that we could meet our liquidity requirements and contractual obligations without selling Agency Securities. There was no other than temporary impairment for the quarter ended March 31, 2014. In December 2013, anticipating portfolio repositioning sales in the first quarter of 2014, we concluded that the December 31, 2013 unrealized losses on our 25-year and 30-year fixed rate Agency Securities represented an other than temporary impairment. Accordingly, we recognized losses totaling $(44,300) in our 2013 statements of operations, thereby establishing a new cost basis for Agency Securities with aggregate fair value of $744,600 as of December 31, 2013. We also determined that at December 31, 2013, there was no other than temporary impairment of our other Agency Securities, which are primarily 20-year and 15-year fixed rate securities. | |||||||||||||||||||||||||
As of March 31, 2014, 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 March 31, 2014 are also presented below. All of our Agency Securities are fixed rate securities with a weighted average coupon of 3.22% as of March 31, 2014. | |||||||||||||||||||||||||
March 31, 2014 | |||||||||||||||||||||||||
Amortized Cost | Gross Unrealized Loss | Gross Unrealized Gain | Fair Value | Percent of Total | |||||||||||||||||||||
Fannie Mae | |||||||||||||||||||||||||
Multi-Family MBS | $ | 29,719 | $ | (55 | ) | $ | — | $ | 29,664 | 2.5 | % | ||||||||||||||
15 Year Fixed | 1,113,840 | (4,933 | ) | 42 | 1,108,949 | 93.39 | % | ||||||||||||||||||
20 Year Fixed | 50,563 | (1,709 | ) | — | 48,854 | 4.11 | % | ||||||||||||||||||
Total Fannie Mae | $ | 1,194,122 | $ | (6,697 | ) | $ | 42 | $ | 1,187,467 | 100 | % | ||||||||||||||
Total Agency Securities | $ | 1,194,122 | $ | (6,697 | ) | $ | 42 | $ | 1,187,467 | ||||||||||||||||
We apply trade date accounting, Included in the above table are unsettled purchases with an aggregate cost of $312,447 and estimated fair value of $311,108 at March 31, 2014. | |||||||||||||||||||||||||
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 were fixed rate securities with a weighted average coupon of 3.48% as of December 31, 2013. | |||||||||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||
Amortized Cost | Gross Unrealized Loss | Gross Unrealized Gain | Fair Value | Percent of Total | |||||||||||||||||||||
Fannie Mae | |||||||||||||||||||||||||
15 Year Fixed | $ | 29,336 | $ | (1,057 | ) | $ | — | $ | 28,279 | 3.53 | % | ||||||||||||||
20 Year Fixed | 30,974 | (2,086 | ) | — | 28,888 | 3.6 | % | ||||||||||||||||||
25 Year Fixed | 52,944 | — | — | 52,944 | 6.6 | % | |||||||||||||||||||
30 Year Fixed | 691,666 | — | — | 691,666 | 86.27 | % | |||||||||||||||||||
Total Fannie Mae | $ | 804,920 | $ | (3,143 | ) | $ | — | $ | 801,777 | 100 | % | ||||||||||||||
Total Agency Securities | $ | 804,920 | $ | (3,143 | ) | $ | — | $ | 801,777 | ||||||||||||||||
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 March 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
March 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||
Weighted Average Life of all Agency Securities | Fair Value | Amortized | Fair Value | Amortized | |||||||||||||||||||||
Cost | Cost | ||||||||||||||||||||||||
Less than one year | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||
Greater than or equal to one year and less than three years | — | — | — | — | |||||||||||||||||||||
Greater than or equal to three years and less than five years | 864,463 | 868,454 | 28,279 | 29,336 | |||||||||||||||||||||
Greater than or equal to five years | 323,004 | 325,668 | 773,498 | 775,584 | |||||||||||||||||||||
Total Agency Securities | $ | 1,187,467 | $ | 1,194,122 | $ | 801,777 | $ | 804,920 | |||||||||||||||||
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 March 31, 2014 and December 31, 2013 in the table above are based upon market factors, assumptions, models and estimates from the third party model and also incorporate management’s judgment and experience. The actual weighted average lives of our Agency Securities could be longer or shorter than estimated. | |||||||||||||||||||||||||
The following table presents the unrealized losses and estimated fair value of our Agency Securities by length of time that such securities have been in a continuous unrealized loss position as of March 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
Unrealized Loss Position For: | |||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||||
As of | Fair Value | Unrealized | Fair Value | Unrealized | Fair Value | Unrealized | |||||||||||||||||||
Losses | Losses | Losses | |||||||||||||||||||||||
March 31, 2014 | $ | 1,088,949 | $ | (4,157 | ) | $ | 56,650 | $ | (2,540 | ) | $ | 1,145,599 | $ | (6,697 | ) | ||||||||||
December 31, 2013 | $ | — | $ | — | $ | 57,167 | $ | (3,143 | ) | $ | 57,167 | $ | (3,143 | ) | |||||||||||
During the quarter ended March 31, 2014 we sold $743.6 million of Agency Securities, to reposition our portfolio, which resulted in realized gains of $8.8 million. During the quarter ended March 31, 2013, we did not sell any Agency Securities. |
NonAgency_Securities_Trading_N
Non-Agency Securities, Trading Non-Agency Securities, Trading | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||||||||||
Investments, Debt and Equity Securities [Abstract] | ' | ||||||||||||||||||||||||
Non-Agency Securities, Trading | ' | ||||||||||||||||||||||||
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 March 31, 2014, investments in Non-Agency Securities accounted for 10.7% of our MBS portfolio and 19.3% of our total MBS portfolio inclusive of the Non-Agency Securities underlying our Linked Transactions (see Note 7,“Linked Transactions” for additional discussion of Non-Agency Securities that are accounted for as a component of Linked Transactions). | |||||||||||||||||||||||||
Non-Agency Securities | |||||||||||||||||||||||||
March 31, 2014 | Fair Value | Amortized | Principal | Weighted | |||||||||||||||||||||
Cost | Amount | Average | |||||||||||||||||||||||
Coupon | |||||||||||||||||||||||||
Prime Fixed | $ | 50,692 | $ | 50,148 | $ | 56,925 | 4.94 | % | |||||||||||||||||
Prime Hybrid | 16,718 | 15,225 | 20,534 | 3.23 | % | ||||||||||||||||||||
Prime Floater | 3,542 | 3,261 | 3,250 | 5.12 | % | ||||||||||||||||||||
Alt-A Fixed | 62,432 | 59,729 | 75,627 | 5.85 | % | ||||||||||||||||||||
Alt-A Hybrid | 9,025 | 8,491 | 10,859 | 2.54 | % | ||||||||||||||||||||
Total Non-Agency Securities | $ | 142,409 | $ | 136,854 | $ | 167,195 | 4.99 | % | |||||||||||||||||
As of December 31, 2013, investments in Non-Agency Securities accounted for 15.2% of our total MBS portfolio and 26.2% of our total MBS portfolio inclusive of the Non-Agency Securities underlying our Linked Transactions (see Note 7,“Linked Transactions” for additional discussion of Non-Agency Securities that are accounted for as a component of Linked Transactions). | |||||||||||||||||||||||||
Non-Agency Securities | |||||||||||||||||||||||||
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 | % | |||||||||||||||||
Prime/Alt-A Non-Agency Securities as of March 31, 2014 and December 31, 2013 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 March 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
The following table summarizes the weighted average lives of our Non-Agency Securities as of March 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
March 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||
Weighted Average Life of all Non-Agency Securities | Fair Value | Amortized | Fair Value | Amortized | |||||||||||||||||||||
Cost | Cost | ||||||||||||||||||||||||
Less than one year | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||
Greater than or equal to one year and less than three years | — | — | — | — | |||||||||||||||||||||
Greater than or equal to three years and less than five years | 57,580 | 55,429 | 36,581 | 35,254 | |||||||||||||||||||||
Greater than or equal to five years | 84,829 | 81,425 | 106,818 | 104,422 | |||||||||||||||||||||
Total Non-Agency Securities | $ | 142,409 | $ | 136,854 | $ | 143,399 | $ | 139,676 | |||||||||||||||||
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 March 31, 2014 and December 31, 2013 in the table above are based upon market factors, assumptions, models and estimates from the third party model and also incorporate management’s judgment and experience. The actual weighted average lives of our 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 March 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
Unrealized Loss Position For: | |||||||||||||||||||||||||
Less than 12 months | 12 Months or More | Total | |||||||||||||||||||||||
As of | Fair Value | Unrealized | Fair Value | Unrealized | Fair Value | Unrealized | |||||||||||||||||||
Losses | Losses | Losses | |||||||||||||||||||||||
March 31, 2014 | $ | 18,537 | $ | (582 | ) | $ | — | $ | — | $ | 18,537 | $ | (582 | ) | |||||||||||
December 31, 2013 | $ | 42,096 | $ | (1,089 | ) | $ | — | $ | — | $ | 42,096 | $ | (1,089 | ) | |||||||||||
Our Non-Agency Securities are subject to risk of loss with regard to principal and interest payments and as of March 31, 2014 and December 31, 2013, 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. |
Linked_Transactions
Linked Transactions | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||||||||||
Linked Transactions Disclosure [Abstract] | ' | ||||||||||||||||||||||||
Linked Transactions | ' | ||||||||||||||||||||||||
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 March 31, 2014 and December 31, 2013. Our Non-Agency Securities underlying our Linked Transactions represent approximately 9.66% and 13.0% of our overall investment in MBS at March 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
March 31, 2014 | |||||||||||||||||||||||||
Linked Repurchase Agreements | Linked Non-Agency Securities | ||||||||||||||||||||||||
Maturity or Repricing | Balance | Weighted Average Interest Rate | Non-Agency MBS | Fair Value | Amortized | Par/Current | Weighted Average Coupon | ||||||||||||||||||
Cost | Face | Rate | |||||||||||||||||||||||
Within 30 days | $ | 8,227 | 1.94 | % | Prime | $ | 113,831 | $ | 114,778 | $ | 120,032 | 3.05 | % | ||||||||||||
31 days to 60 days | 44,792 | 1.23 | % | Alt/A | 28,335 | 27,033 | 34,947 | 4.89 | % | ||||||||||||||||
61 days to 90 days | 62,521 | 0.98 | % | Total | $ | 142,166 | $ | 141,811 | $ | 154,979 | 3.42 | % | |||||||||||||
Greater than 90 days | 6,467 | 2.03 | % | ||||||||||||||||||||||
Total | $ | 122,007 | 1.19 | % | |||||||||||||||||||||
Not included in the tables above is $90 of accrued interest payable from Linked Transactions included in our balance sheet as of March 31, 2014. | |||||||||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||
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 | 4.71 | % | ||||||||||||||||
61 days to 90 days | 71,389 | 1.09 | % | Total | $ | 140,945 | $ | 144,419 | $ | 157,393 | 3.34 | % | |||||||||||||
Greater than 90 days | — | 0 | % | ||||||||||||||||||||||
Total | $ | 124,540 | 1.19 | % | |||||||||||||||||||||
Not included in the tables above is $83 of accrued interest payable from Linked Transactions included in our balance sheet as of 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 condensed statements of operations for the quarter ended March 31, 2014. We did not have Linked Transactions as of March 31, 2013. | |||||||||||||||||||||||||
For the Quarter Ended | |||||||||||||||||||||||||
Unrealized Net Gain and Net Interest Income from Linked Transactions | 31-Mar-14 | ||||||||||||||||||||||||
Interest income attributable to MBS underlying Linked Transactions | $ | 1,569 | |||||||||||||||||||||||
Interest expense attributable to linked repurchase agreements underlying Linked Transactions | (372 | ) | |||||||||||||||||||||||
Change in fair value of Linked Transactions included in earnings | 3,230 | ||||||||||||||||||||||||
Unrealized net gain and net interest income from Linked Transactions | $ | 4,427 | |||||||||||||||||||||||
Repurchase_Agreements
Repurchase Agreements | 3 Months Ended | ||||||||||||||
Mar. 31, 2014 | |||||||||||||||
Disclosure of Repurchase Agreements [Abstract] | ' | ||||||||||||||
Repurchase Agreements | ' | ||||||||||||||
Repurchase Agreements | |||||||||||||||
As of March 31, 2014, we had MRAs with 28 counterparties and had $1,275,793 in outstanding borrowings with 22 of those counterparties. As of December 31, 2013 we had MRAs with 27 counterparties and had $839,405 in outstanding borrowings with 20 of those counterparties. See Note 7, “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 March 31, 2014 and December 31, 2013. | |||||||||||||||
March 31, 2014 | |||||||||||||||
Repurchase Agreements | Weighted | Weighted | Haircut for | ||||||||||||
Average | Average | Repurchase Agreements (1) | |||||||||||||
Contractual | Maturity | ||||||||||||||
Rate | in days | ||||||||||||||
Agency Securities | $ | 1,168,045 | 0.36 | % | 31 | 4.8 | % | ||||||||
Non-Agency Securities | 107,748 | 1.95 | % | 42 | 25.45 | % | |||||||||
Total or Weighted Average | $ | 1,275,793 | 0.49 | % | 32 | 6.54 | % | ||||||||
(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, 2013 | |||||||||||||||
Repurchase Agreements | Weighted | Weighted | Haircut for | ||||||||||||
Average | Average | Repurchase Agreements (1) | |||||||||||||
Contractual Rate | Maturity in | ||||||||||||||
days | |||||||||||||||
Agency Securities | $ | 731,782 | 0.42 | % | 33 | 4.9 | % | ||||||||
Non-Agency Securities | 107,623 | 1.96 | % | 46 | 25.39 | % | |||||||||
Total or Weighted Average | $ | 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. | |||||||||||||||
31-Mar-14 | 31-Dec-13 | ||||||||||||||
Maturing or Repricing | Repurchase Agreements | Weighted | Repurchase Agreements | Weighted | |||||||||||
Average | Average | ||||||||||||||
Contractual Rate | Contractual Rate | ||||||||||||||
Within 30 days | $ | 749,509 | 0.47 | % | $ | 380,744 | 0.67 | % | |||||||
31 days to 60 days | 301,500 | 0.48 | % | 408,054 | 0.49 | % | |||||||||
61 days to 90 days | 216,670 | 0.52 | % | 40,362 | 1 | % | |||||||||
Greater than 90 days | 8,114 | 2.06 | % | 10,245 | 2.1 | % | |||||||||
Total or Weighted Average | $ | 1,275,793 | 0.49 | % | $ | 839,405 | 0.61 | % | |||||||
We have 10 repurchase agreement counterparties that individually account for between 5% and 10% of our aggregate borrowings. In total, these counterparties account for approximately 71.75% of our repurchase agreement borrowings outstanding at March 31, 2014. |
Derivatives
Derivatives | 3 Months Ended | |||||||||||||||||||
Mar. 31, 2014 | ||||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ' | |||||||||||||||||||
Derivatives | ' | |||||||||||||||||||
Derivatives | ||||||||||||||||||||
In addition to the Linked Transactions described in Note 7, “Linked Transactions,” we enter into derivative transactions to manage our interest rate risk exposure. These transactions include entering into interest rate swap contracts and interest rate swaptions. 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 fair 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 March 31, 2014 and December 31, 2013. | ||||||||||||||||||||
March 31, 2014 | ||||||||||||||||||||
Derivative Type | Remaining / Underlying Term | Weighted Average Remaining Swap / Option Term (Months) | Weighted Average Rate | Notional Amount | Asset Fair Value (1) | Liability Fair Value (1) | ||||||||||||||
Interest rate swap contracts | 0-12 Months | 0 | 0 | % | $ | — | — | $ | — | |||||||||||
Interest rate swap contracts | 13-24 Months | 0 | 0 | % | — | — | — | |||||||||||||
Interest rate swap contracts | 25-36 Months | 0 | 0 | % | — | — | — | |||||||||||||
Interest rate swap contracts | 37-48 Months | 43 | 0.55 | % | 50,000 | 749 | — | |||||||||||||
Interest rate swap contracts | 49-60 Months | 50 | 0.92 | % | 50,000 | 378 | — | |||||||||||||
Interest rate swap contracts | 61-72 Months | 0 | 0 | % | — | — | — | |||||||||||||
Interest rate swap contracts | 73-84 Months | 0 | 0 | % | — | — | — | |||||||||||||
Interest rate swap contracts | 85-96 Months | 0 | 0 | % | — | — | — | |||||||||||||
Interest rate swap contracts | 97-108 Months | 104 | 1.64 | % | 325,000 | 19,162 | — | |||||||||||||
Interest rate swap contracts | 109-120 Months | 111 | 1.95 | % | 376,250 | 15,498 | — | |||||||||||||
Interest rate swaptions | 60 Months | 6 | 2.73 | % | 750,000 | 2,724 | — | |||||||||||||
Total or Weighted Average | 55 | 2.19 | % | $ | 1,551,250 | $ | 38,511 | $ | — | |||||||||||
-1 | See Note 4, “Fair Value of Financial Instruments” for additional discussion. | |||||||||||||||||||
We did not have any unsettled purchases or sales of derivatives at March 31, 2014. | ||||||||||||||||||||
December 31, 2013 | ||||||||||||||||||||
Derivative Type | Remaining / Underlying Term | Weighted Average Remaining Swap / Option Term (Months) | Weighted Average Rate | Notional Amount | Asset Fair Value (1) | Liability Fair Value (1) | ||||||||||||||
Interest rate swap contracts | 0-12 Months | 0 | 0 | % | $ | — | $ | — | $ | — | ||||||||||
Interest rate swap contracts | 13-24 Months | 0 | 0 | % | — | — | — | |||||||||||||
Interest rate swap contracts | 25-36 Months | 0 | 0 | % | — | — | — | |||||||||||||
Interest rate swap contracts | 37-48 Months | 46 | 0.55 | % | 50,000 | 801 | — | |||||||||||||
Interest rate swap contracts | 49-60 Months | 53 | 0.92 | % | 50,000 | 532 | — | |||||||||||||
Interest rate swap contracts | 61-72 Months | 0 | 0 | % | — | — | — | |||||||||||||
Interest rate swap contracts | 73-84 Months | 0 | 0 | % | — | — | — | |||||||||||||
Interest rate swap contracts | 85-96 Months | 0 | 0 | % | — | — | — | |||||||||||||
Interest rate swap contracts | 97-108 Months | 105 | 1.5 | % | 175,000 | 15,023 | — | |||||||||||||
Interest rate swap contracts | 109-120 Months | 112 | 1.91 | % | 526,250 | 36,463 | — | |||||||||||||
Interest rate swaptions | 60 Months | 9 | 2.73 | % | 750,000 | 6,884 | — | |||||||||||||
Total or Weighted Average | 58 | 2.19 | % | $ | 1,551,250 | $ | 59,703 | $ | — | |||||||||||
-1 | See Note 4, “Fair Value of Financial Instruments” for additional discussion. | |||||||||||||||||||
We did not have any unsettled purchases or sales of derivatives at December 31, 2013. | ||||||||||||||||||||
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 sheet as of March 31, 2014. | ||||||||||||||||||||
March 31, 2014 | ||||||||||||||||||||
Gross Amounts Not Offset | ||||||||||||||||||||
in the | ||||||||||||||||||||
Condensed Balance Sheet | ||||||||||||||||||||
Assets | Gross and Net Amounts | Financial | Cash | Net Amount | ||||||||||||||||
of Assets | Instruments | Collateral | ||||||||||||||||||
Presented in the Condensed | Held | |||||||||||||||||||
Balance Sheet | ||||||||||||||||||||
Interest rate swap contracts | $ | 35,786 | $ | — | $ | (34,356 | ) | $ | 1,430 | |||||||||||
Interest rate swaptions | 2,725 | — | — | 2,725 | ||||||||||||||||
Totals | $ | 38,511 | $ | — | $ | (34,356 | ) | $ | 4,155 | |||||||||||
We did not have any derivatives in a liability position on our condensed balance sheet at March 31, 2014. | ||||||||||||||||||||
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 sheet as of December 31, 2013. | ||||||||||||||||||||
December 31, 2013 | ||||||||||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||||
Condensed Balance Sheet | ||||||||||||||||||||
Assets | Gross and Net Amounts of Assets Presented in the Condensed Balance Sheet | Financial Instruments | Cash Collateral Held | Net Amount | ||||||||||||||||
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 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 quarters ended March 31, 2014 and March 31, 2013. | ||||||||||||||||||||
Income (Loss) Recognized | ||||||||||||||||||||
For the Quarters Ended | ||||||||||||||||||||
Derivatives | Location on condensed statements of operations | 31-Mar-14 | 31-Mar-13 | |||||||||||||||||
Interest rate swap contracts: | ||||||||||||||||||||
Interest income | Realized loss on derivatives | $ | 240 | $ | 113 | |||||||||||||||
Interest expense | Realized loss on derivatives | (3,346 | ) | (1,063 | ) | |||||||||||||||
Changes in fair value | Unrealized gain (loss) on derivatives | (15,870 | ) | 3,115 | ||||||||||||||||
$ | (18,976 | ) | $ | 2,165 | ||||||||||||||||
Interest rate swaptions: | ||||||||||||||||||||
Changes in fair value | Unrealized gain (loss) on derivatives | (4,159 | ) | 329 | ||||||||||||||||
$ | (4,159 | ) | $ | 329 | ||||||||||||||||
Totals | $ | (23,135 | ) | $ | 2,494 | |||||||||||||||
Commitments_and_Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2014 | |
Commitments and Contingencies Disclosure [Abstract] | ' |
Commitments and Contingencies | ' |
Commitments and Contingencies | |
Management Agreement with ARRM | |
As discussed in Note 14 “Related Party Transactions,” we are externally managed by ARRM pursuant to a management agreement, (the “Management Agreement”), which was most recently amended on 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 (including our IPO and Private Placement equity) up to $1 billion plus (b) 1.0% of gross equity raised in excess of $1 billion. The cost of repurchased stock and any dividend representing a return of capital for tax purposes will reduce the amount of gross equity raised used to calculate the monthly management fee. We are also obligated to reimburse certain expenses incurred by ARRM and its affiliates. For the quarters ended March 31, 2014 and March 31, 2013 we reimbursed ARRM $84 and $11, respectively, for other 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. | |
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 not material. Accordingly, we have no liabilities recorded for these agreements as of March 31, 2014 and December 31, 2013. | |
We are not party to any pending, threatened or contemplated litigation. |
StockBased_Compensation
Stock-Based Compensation | 3 Months Ended |
Mar. 31, 2014 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | ' |
Stock Based Compensation | ' |
Stock Based Compensation | |
Stock Incentive Plan | |
On October 2, 2012, we adopted the 2012 Stock Incentive Plan (the "Plan") to attract, retain and reward directors and other persons who provide services to us in the course of operations (collectively, "Eligible Individuals"). | |
The Plan provides for grants of common stock, restricted shares of common stock, stock options, performance shares, performance units, stock appreciation rights and other equity and cash-based awards (collectively “Awards”), and will be subject to a ceiling amount of shares available for issuance under the Plan. Pursuant to the Plan, the maximum number of shares of common stock reserved for the grant of awards thereunder is equal to 3.0% of the total issued and outstanding shares of common stock (on a fully diluted basis) at the time of the grant of the award (other than any shares of common stock issued or subject to awards made pursuant to the Plan). | |
The Plan allows for the Board to expand the types of awards available under the Plan and determine the maximum number of shares that may underlie these awards in any one year to any Eligible Individual. If an award granted under the Plan expires or terminates, the shares subject to any portion of the award that expires or terminates without having been exercised or paid, as the case may be, will again become available for the issuance of additional awards. | |
Awards under the Plan | |
As of March 31, 2014, there were 360 shares reserved for award under the Plan. No awards have been made to date. | |
Directors Fees | |
In the quarter ended March 31, 2014, we began paying a portion of the fees to our Board in shares of common stock. The number of shares issued is determined by dividing the fixed dollar portion of these fees by the closing market price for our stock at the end of each quarter. |
Stockholders_Equity
Stockholders' Equity | 3 Months Ended | ||||||||||
Mar. 31, 2014 | |||||||||||
Equity [Abstract] | ' | ||||||||||
Stockholders' Equity | ' | ||||||||||
Stockholders’ Equity | |||||||||||
Dividends | |||||||||||
The following table presents our common stock dividend transactions for the quarter ended March 31, 2014. | |||||||||||
Record Date | Payment Date | Rate per | Aggregate | ||||||||
common share | amount paid to | ||||||||||
holders of record | |||||||||||
15-Jan-14 | 30-Jan-14 | $ | 0.15 | $ | 1,799 | ||||||
14-Feb-14 | 27-Feb-14 | $ | 0.15 | $ | 1,799 | ||||||
17-Mar-14 | 28-Mar-14 | $ | 0.15 | $ | 1,799 | ||||||
Income_Taxes
Income Taxes | 3 Months Ended | |||||||
Mar. 31, 2014 | ||||||||
Income Tax Disclosure [Abstract] | ' | |||||||
Income Taxes | ' | |||||||
Income Taxes | ||||||||
We have elected to be taxed as a REIT under the Code. We will generally not be subject to federal income tax to the extent that we distribute our taxable income to our stockholders and as long as we satisfy the ongoing REIT requirements under the Code including meeting certain asset, income and stock ownership tests. | ||||||||
The following table reconciles our GAAP net income (loss) to estimated REIT taxable income for the quarters ended March 31, 2014 and March 31, 2013. | ||||||||
For the Quarters Ended | ||||||||
31-Mar-14 | 31-Mar-13 | |||||||
GAAP net income (loss) | $ | (1,863 | ) | $ | 10,976 | |||
Book to tax differences: | ||||||||
Net book to tax differences on Non-Agency Securities and Linked Transactions | (3,696 | ) | (1,726 | ) | ||||
Gain on sale of Agency Securities | (8,810 | ) | — | |||||
Amortization of deferred hedging gains | 145 | — | ||||||
Net premium amortization differences | (628 | ) | — | |||||
Unrealized (gain) loss on derivatives | 20,029 | (3,444 | ) | |||||
Other | 1 | 2 | ||||||
Estimated taxable income | $ | 5,178 | $ | 5,808 | ||||
The aggregate tax basis of our assets and liabilities was less than our total Stockholders’ Equity at March 31, 2014 by approximately $(33,239), or approximately $(2.77) per share (based on the 11,996 shares then outstanding). | ||||||||
We are required and intend to timely distribute substantially all of our taxable REIT income in order to maintain our REIT status under the Code. Total dividend payments to stockholders were $5,397 for the quarter ended March 31, 2014. Our estimated taxable REIT income available to pay dividends was $5,178 for the quarter ended March 31, 2014. Our taxable REIT income and dividend requirements to maintain our REIT status are determined on an annual basis. Dividends in excess of taxable REIT income for the year (including amounts carried forward from prior years) will generally not be taxable to common stockholders. | ||||||||
Net capital losses realized in 2013 and 2014 will be available to offset future capital gains realized through 2018 and 2019, respectively. | ||||||||
Our management is responsible for determining whether tax positions taken by us are more likely than not to be sustained on their merits. We have no material unrecognized tax benefits or material uncertain tax positions. |
Related_Party_Transactions
Related Party Transactions | 3 Months Ended | |
Mar. 31, 2014 | ||
Related Party Transactions [Abstract] | ' | |
Related Party Transactions | ' | |
Related Party Transactions | ||
We are externally managed by ARRM pursuant to the Management Agreement. All of our executive officers are also employees of ARRM. ARRM manages our day-to-day operations, subject to the direction and oversight of the Board. The Management Agreement expires after an initial term of five years on October 5, 2017 and is thereafter automatically renewed for successive one year terms, unless terminated under certain circumstances. Either party must provide 180 days prior written notice of any such termination. | ||
Under the terms of the Management Agreement, ARRM is responsible for costs incident to the performance of its duties, such as compensation of its employees and various overhead expenses. ARRM is responsible for the following primary roles: | ||
• | Advising us with respect to, arranging for and managing the acquisition, financing, management and disposition of, elements of our investment portfolio; | |
• | Evaluating the duration risk and prepayment risk within the investment portfolio and arranging borrowing and hedging strategies; | |
• | Coordinating capital raising activities; | |
• | Advising us on the formulation and implementation of operating strategies and policies, arranging for the acquisition of assets, monitoring the performance of those assets and providing administrative and managerial services in connection with our day-to-day operations; and | |
• | Providing executive and administrative personnel, office space and other appropriate services required in rendering management services to us. | |
In accordance with the Management Agreement, we incurred $912 in management fees to ARRM for the quarter ended March 31, 2014 and $563 in management fees for the quarter ended March 31, 2013. | ||
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 quarters ended March 31, 2014 and March 31, 2013, we reimbursed ARRM $84 and $11, respectively, for other expenses incurred on our behalf. | ||
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, ARRM is responsible for paying a sub-management fee to SBBC in an amount equal to a monthly retainer of $115 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. |
Interest_Rate_Risk
Interest Rate Risk | 3 Months Ended |
Mar. 31, 2014 | |
Interest Rate Risk [Abstract] | ' |
Interest Rate Risk | ' |
Interest Rate Risk | |
Our primary market risk is interest rate risk. Interest rates are highly sensitive to many factors, including governmental monetary and tax policies, domestic and international economic and political considerations and other factors beyond our control. Changes in the general level of interest rates can affect net interest income, which is the difference between the interest income earned and the interest expense incurred in connection with the liabilities, by affecting the spread between the interest-earning assets and interest-bearing liabilities. Changes in the level of interest rates also can affect the value of 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. |
Subsequent_events
Subsequent events | 3 Months Ended |
Mar. 31, 2014 | |
Subsequent Events [Abstract] | ' |
Subsequent Events | ' |
Subsequent Events | |
In April 2014, we entered in to a long term collateral exchange agreement whereby we will receive approximately $50.0 million of U.S. Treasury Securities for two years (declining to $30.0 million for a third year) in exchange for certain of our Non-Agency Securities. Because the U.S. Treasury Securities we received have remaining terms of three months or less at the time we received them, they represent cash equivalents and the exchange agreement is treated as a repurchase financing of the related Non-Agency Securities. | |
On April 29, 2014, a cash dividend of $0.15 per outstanding common share, or $1,799 in the aggregate, was paid to holders of record on April 15, 2014. |
Summary_of_Significant_Account1
Summary of Significant Accounting Policies Summary of Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2014 | |
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 | |
Cash collateral posted or held represents cash posted by us to counterparties or held by us from counterparties as collateral for our interest rate swap contracts, Eurodollar Futures Contracts (“Futures Contracts”) and repurchase agreements on our MBS. | |
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 March 31, 2014 and December 31, 2013, 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 condensed 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 March 31, 2014 and December 31, 2013, 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. | |
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. | |
Derivatives, at Fair Value | ' |
Derivatives, at Fair Value | |
We recognize all derivatives as either assets or liabilities at fair value on our condensed balance sheets. Since we have not elected cash flow hedge accounting treatment as allowed by GAAP, all changes in the fair values of our derivatives are reflected in our condensed statements of operations. Accordingly, our operating results may reflect greater volatility than otherwise would be the case, because gains or losses on derivatives may not be offset by changes in the fair value or cash flows of the transaction within the same accounting period or ever. Consequently, any declines in the fair value of our derivatives will result in a charge to earnings. We will continue to designate derivatives as hedges for tax purposes and any unrealized derivative gains or losses would not affect our distributable net taxable income. | |
Linked Transactions | ' |
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 purchased 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 Non-Agency Securities and repurchase liabilities underlying the Linked Transactions and associated interest income and expense are reported as “unrealized net gains and net interest income from Linked Transactions” on our statements of operations and are not included in other comprehensive loss. 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. | |
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 March 31, 2014, we were authorized to issue up to 25,000 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 March 31, 2014, we were authorized to issue up to 250,000 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 11,996 shares of common stock issued and outstanding at March 31, 2014 and 11,993 shares of common stock issued and outstanding at December 31, 2013. | |
Common Stock Repurchased | |
On October 30, 2013, we announced that our Board had authorized a stock repurchase program of up to 2,000 shares of our common stock outstanding (the “Repurchase Program”). On March 5, 2014, our Board increased the authorization to 3,000 shares of our common stock outstanding. Under the Repurchase Program shares may be purchased in the open market, including block trades, through privately negotiated transactions, or pursuant to a trading plan separately adopted in the future. The timing, manner, price and amount of any repurchases will be at our discretion, subject to the requirements of the Securities Exchange Act of 1934, as amended, and related rules. We are not required to repurchase any shares under the Repurchase Program and it may be modified, suspended or terminated at any time for any reason. We do not intend to purchase shares from our Board or other affiliates. Under Maryland law, such repurchased shares are treated as authorized but unissued. For the quarter ended March 31, 2014, we did not repurchase any shares under our Repurchase Program. As of March 31, 2014, there were 1,493 remaining shares authorized for repurchase under our Repurchase Program. | |
Revenue Recognition | ' |
Revenue Recognition | |
Interest income is earned and recognized on Agency Securities based on their unpaid principal balance 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 Loss | |
Comprehensive loss refers to changes in equity during a period from transactions and other events and circumstances from non-owner sources. It includes all changes in equity during a period except those resulting from investments by owners and distributions to owners. |
Fair_Value_of_Financial_Instru1
Fair Value of Financial Instruments (Tables) | 3 Months Ended | |||||||||||||||||||
Mar. 31, 2014 | ||||||||||||||||||||
Fair Value Disclosures [Abstract] | ' | |||||||||||||||||||
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis | ' | |||||||||||||||||||
The following tables provide a summary of our assets that are measured at fair value on a recurring basis as of March 31, 2014 and December 31, 2013. | ||||||||||||||||||||
Quoted | Significant Observable | Significant Unobservable | Balance at March 31, 2014 | |||||||||||||||||
Prices in | Inputs | Inputs | ||||||||||||||||||
Active | (Level 2) | (Level 3) | ||||||||||||||||||
Markets for Identical | ||||||||||||||||||||
Assets | ||||||||||||||||||||
(Level 1) | ||||||||||||||||||||
Assets at Fair Value: | ||||||||||||||||||||
Agency Securities, available for sale | $ | — | $ | 1,187,467 | $ | — | $ | 1,187,467 | ||||||||||||
Non-Agency Securities, trading | $ | — | $ | — | $ | 142,409 | $ | 142,409 | ||||||||||||
Linked Transactions, net | $ | — | $ | — | $ | 20,069 | $ | 20,069 | ||||||||||||
Derivatives | $ | — | $ | 38,511 | $ | — | $ | 38,511 | ||||||||||||
There were no transfers of assets or liabilities between levels of the fair value hierarchy during the quarter ended March 31, 2014. | ||||||||||||||||||||
Quoted | Significant Observable | Significant Unobservable | Balance at December 31, 2013 | |||||||||||||||||
Prices in | Inputs | Inputs | ||||||||||||||||||
Active | (Level 2) | (Level 3) | ||||||||||||||||||
Markets for Identical | ||||||||||||||||||||
Assets | ||||||||||||||||||||
(Level 1) | ||||||||||||||||||||
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 | ||||||||||||
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 March 31, 2014 and December 31, 2013. | ||||||||||||||||||||
31-Mar-14 | Fair Value Measurements using: | |||||||||||||||||||
Carrying | Fair | Quoted Prices | Significant Observable | Significant Unobservable | ||||||||||||||||
Value | Value | in Active | Inputs | Inputs | ||||||||||||||||
Markets for Identical | (Level 2) | (Level 3) | ||||||||||||||||||
Assets | ||||||||||||||||||||
(Level 1) | ||||||||||||||||||||
Financial Assets: | ||||||||||||||||||||
Cash | $ | 32,544 | $ | 32,544 | $ | 32,544 | $ | — | $ | — | ||||||||||
Cash collateral posted | $ | 1,851 | $ | 1,851 | $ | — | $ | 1,851 | $ | — | ||||||||||
Receivable for unsettled sales | $ | 358,456 | $ | 358,456 | $ | — | $ | 358,456 | $ | — | ||||||||||
Accrued interest receivable | $ | 3,570 | $ | 3,570 | $ | — | $ | 3,570 | $ | — | ||||||||||
Financial Liabilities: | ||||||||||||||||||||
Repurchase agreements | $ | 1,275,793 | $ | 1,275,793 | $ | — | $ | 1,275,793 | $ | — | ||||||||||
Cash collateral held | $ | 35,294 | $ | 35,294 | $ | — | $ | 35,294 | $ | — | ||||||||||
Payable for unsettled purchases | $ | 312,447 | $ | 312,447 | $ | — | $ | 312,447 | $ | — | ||||||||||
Accrued interest payable | $ | 678 | $ | 678 | $ | — | $ | 678 | $ | — | ||||||||||
31-Dec-13 | Fair Value Measurements using: | |||||||||||||||||||
Carrying | Fair | Quoted Prices | Significant Observable | Significant Unobservable | ||||||||||||||||
Value | Value | in Active | Inputs | Inputs | ||||||||||||||||
Markets for Identical | (Level 2) | (Level 3) | ||||||||||||||||||
Assets | ||||||||||||||||||||
(Level 1) | ||||||||||||||||||||
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 | $ | — | ||||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation | ' | |||||||||||||||||||
The following table provides a summary of the changes in Level 3 assets measured at fair value on a recurring basis as of March 31, 2014 and December 31, 2013. | ||||||||||||||||||||
Quarter Ended | Year | |||||||||||||||||||
March 31, 2014 | Ended | |||||||||||||||||||
31-Dec-13 | ||||||||||||||||||||
Balance, beginning of period | $ | 159,721 | $ | 129,946 | ||||||||||||||||
Purchase of Non-Agency Securities, at cost | 1,250 | 38,332 | ||||||||||||||||||
Principal repayments of Non-Agency Securities | (3,400 | ) | (21,788 | ) | ||||||||||||||||
Cash disbursements on Linked Transactions | (681 | ) | 19,674 | |||||||||||||||||
Proceeds from the sale of Non-Agency Securities | — | (1,352 | ) | |||||||||||||||||
Net gain (loss) on Non-Agency Securities | 833 | (977 | ) | |||||||||||||||||
Unrealized net gain (loss) and net interest income from Linked Transactions | 4,427 | (3,352 | ) | |||||||||||||||||
Net change in discount on Non-Agency Securities | 328 | (762 | ) | |||||||||||||||||
Balance, end of period | $ | 162,478 | $ | 159,721 | ||||||||||||||||
Net gains (losses) for outstanding level 3 assets | $ | 5,260 | $ | (4,329 | ) | |||||||||||||||
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 March 31, 2014 and December 31, 2013. See Note 7, "Linked Transactions" for additional discussion of Non-Agency Securities that are accounted for as a component of Linked Transactions. | ||||||||||||||||||||
March 31, 2014 | ||||||||||||||||||||
Unobservable | Minimum | Weighted | Maximum | |||||||||||||||||
Level 3 Input | Average | |||||||||||||||||||
Cumulative default | 0 | % | 8.66 | % | 31.56 | % | ||||||||||||||
Loss severity (life) | 0 | % | 34.78 | % | 66.8 | % | ||||||||||||||
Discount rate | 3.76 | % | 4.83 | % | 6.5 | % | ||||||||||||||
Delinquency (life) | 0 | % | 9.63 | % | 35.1 | % | ||||||||||||||
Voluntary prepayments (life) | 6.4 | % | 8.41 | % | 12.4 | % | ||||||||||||||
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 | % |
Agency_Securities_Available_fo1
Agency Securities, Available for Sale (Tables) (Agency Securities) | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||||||||||
Agency Securities | ' | ||||||||||||||||||||||||
Schedule of Available-for-sale Securities [Line Items] | ' | ||||||||||||||||||||||||
Available-for-sale Securities | ' | ||||||||||||||||||||||||
As of March 31, 2014, 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 March 31, 2014 are also presented below. All of our Agency Securities are fixed rate securities with a weighted average coupon of 3.22% as of March 31, 2014. | |||||||||||||||||||||||||
March 31, 2014 | |||||||||||||||||||||||||
Amortized Cost | Gross Unrealized Loss | Gross Unrealized Gain | Fair Value | Percent of Total | |||||||||||||||||||||
Fannie Mae | |||||||||||||||||||||||||
Multi-Family MBS | $ | 29,719 | $ | (55 | ) | $ | — | $ | 29,664 | 2.5 | % | ||||||||||||||
15 Year Fixed | 1,113,840 | (4,933 | ) | 42 | 1,108,949 | 93.39 | % | ||||||||||||||||||
20 Year Fixed | 50,563 | (1,709 | ) | — | 48,854 | 4.11 | % | ||||||||||||||||||
Total Fannie Mae | $ | 1,194,122 | $ | (6,697 | ) | $ | 42 | $ | 1,187,467 | 100 | % | ||||||||||||||
Total Agency Securities | $ | 1,194,122 | $ | (6,697 | ) | $ | 42 | $ | 1,187,467 | ||||||||||||||||
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 were fixed rate securities with a weighted average coupon of 3.48% as of December 31, 2013. | |||||||||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||
Amortized Cost | Gross Unrealized Loss | Gross Unrealized Gain | Fair Value | Percent of Total | |||||||||||||||||||||
Fannie Mae | |||||||||||||||||||||||||
15 Year Fixed | $ | 29,336 | $ | (1,057 | ) | $ | — | $ | 28,279 | 3.53 | % | ||||||||||||||
20 Year Fixed | 30,974 | (2,086 | ) | — | 28,888 | 3.6 | % | ||||||||||||||||||
25 Year Fixed | 52,944 | — | — | 52,944 | 6.6 | % | |||||||||||||||||||
30 Year Fixed | 691,666 | — | — | 691,666 | 86.27 | % | |||||||||||||||||||
Total Fannie Mae | $ | 804,920 | $ | (3,143 | ) | $ | — | $ | 801,777 | 100 | % | ||||||||||||||
Total Agency Securities | $ | 804,920 | $ | (3,143 | ) | $ | — | $ | 801,777 | ||||||||||||||||
Investments Classified by Contractual Maturity Date | ' | ||||||||||||||||||||||||
The following table summarizes the weighted average lives of our Agency Securities as of March 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
March 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||
Weighted Average Life of all Agency Securities | Fair Value | Amortized | Fair Value | Amortized | |||||||||||||||||||||
Cost | Cost | ||||||||||||||||||||||||
Less than one year | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||
Greater than or equal to one year and less than three years | — | — | — | — | |||||||||||||||||||||
Greater than or equal to three years and less than five years | 864,463 | 868,454 | 28,279 | 29,336 | |||||||||||||||||||||
Greater than or equal to five years | 323,004 | 325,668 | 773,498 | 775,584 | |||||||||||||||||||||
Total Agency Securities | $ | 1,187,467 | $ | 1,194,122 | $ | 801,777 | $ | 804,920 | |||||||||||||||||
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 March 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
Unrealized Loss Position For: | |||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||||
As of | Fair Value | Unrealized | Fair Value | Unrealized | Fair Value | Unrealized | |||||||||||||||||||
Losses | Losses | Losses | |||||||||||||||||||||||
March 31, 2014 | $ | 1,088,949 | $ | (4,157 | ) | $ | 56,650 | $ | (2,540 | ) | $ | 1,145,599 | $ | (6,697 | ) | ||||||||||
December 31, 2013 | $ | — | $ | — | $ | 57,167 | $ | (3,143 | ) | $ | 57,167 | $ | (3,143 | ) | |||||||||||
NonAgency_Securities_Trading_N1
Non-Agency Securities, Trading Non-Agency Securities, Trading (Tables) (Non-Agency Securities) | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||||||||||
Non-Agency Securities | ' | ||||||||||||||||||||||||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ||||||||||||||||||||||||
Trading Securities | ' | ||||||||||||||||||||||||
As of March 31, 2014, investments in Non-Agency Securities accounted for 10.7% of our MBS portfolio and 19.3% of our total MBS portfolio inclusive of the Non-Agency Securities underlying our Linked Transactions (see Note 7,“Linked Transactions” for additional discussion of Non-Agency Securities that are accounted for as a component of Linked Transactions). | |||||||||||||||||||||||||
Non-Agency Securities | |||||||||||||||||||||||||
March 31, 2014 | Fair Value | Amortized | Principal | Weighted | |||||||||||||||||||||
Cost | Amount | Average | |||||||||||||||||||||||
Coupon | |||||||||||||||||||||||||
Prime Fixed | $ | 50,692 | $ | 50,148 | $ | 56,925 | 4.94 | % | |||||||||||||||||
Prime Hybrid | 16,718 | 15,225 | 20,534 | 3.23 | % | ||||||||||||||||||||
Prime Floater | 3,542 | 3,261 | 3,250 | 5.12 | % | ||||||||||||||||||||
Alt-A Fixed | 62,432 | 59,729 | 75,627 | 5.85 | % | ||||||||||||||||||||
Alt-A Hybrid | 9,025 | 8,491 | 10,859 | 2.54 | % | ||||||||||||||||||||
Total Non-Agency Securities | $ | 142,409 | $ | 136,854 | $ | 167,195 | 4.99 | % | |||||||||||||||||
As of December 31, 2013, investments in Non-Agency Securities accounted for 15.2% of our total MBS portfolio and 26.2% of our total MBS portfolio inclusive of the Non-Agency Securities underlying our Linked Transactions (see Note 7,“Linked Transactions” for additional discussion of Non-Agency Securities that are accounted for as a component of Linked Transactions). | |||||||||||||||||||||||||
Non-Agency Securities | |||||||||||||||||||||||||
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 | % | |||||||||||||||||
Investments Classified by Contractual Maturity Date | ' | ||||||||||||||||||||||||
The following table summarizes the weighted average lives of our Non-Agency Securities as of March 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
March 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||
Weighted Average Life of all Non-Agency Securities | Fair Value | Amortized | Fair Value | Amortized | |||||||||||||||||||||
Cost | Cost | ||||||||||||||||||||||||
Less than one year | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||
Greater than or equal to one year and less than three years | — | — | — | — | |||||||||||||||||||||
Greater than or equal to three years and less than five years | 57,580 | 55,429 | 36,581 | 35,254 | |||||||||||||||||||||
Greater than or equal to five years | 84,829 | 81,425 | 106,818 | 104,422 | |||||||||||||||||||||
Total Non-Agency Securities | $ | 142,409 | $ | 136,854 | $ | 143,399 | $ | 139,676 | |||||||||||||||||
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 March 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
Unrealized Loss Position For: | |||||||||||||||||||||||||
Less than 12 months | 12 Months or More | Total | |||||||||||||||||||||||
As of | Fair Value | Unrealized | Fair Value | Unrealized | Fair Value | Unrealized | |||||||||||||||||||
Losses | Losses | Losses | |||||||||||||||||||||||
March 31, 2014 | $ | 18,537 | $ | (582 | ) | $ | — | $ | — | $ | 18,537 | $ | (582 | ) | |||||||||||
December 31, 2013 | $ | 42,096 | $ | (1,089 | ) | $ | — | $ | — | $ | 42,096 | $ | (1,089 | ) | |||||||||||
Linked_Transactions_Tables
Linked Transactions (Tables) | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2014 | |||||||||||||||||||||||||
Linked Transactions Disclosure [Abstract] | ' | ||||||||||||||||||||||||
Non-Agency Securities and Repurchase Agreements Underlying Linked Transactions | ' | ||||||||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||
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 | 4.71 | % | ||||||||||||||||
61 days to 90 days | 71,389 | 1.09 | % | Total | $ | 140,945 | $ | 144,419 | $ | 157,393 | 3.34 | % | |||||||||||||
Greater than 90 days | — | 0 | % | ||||||||||||||||||||||
Total | $ | 124,540 | 1.19 | % | |||||||||||||||||||||
The following tables present information about our Non-Agency Securities and repurchase agreements underlying our Linked Transactions at March 31, 2014 and December 31, 2013. Our Non-Agency Securities underlying our Linked Transactions represent approximately 9.66% and 13.0% of our overall investment in MBS at March 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
March 31, 2014 | |||||||||||||||||||||||||
Linked Repurchase Agreements | Linked Non-Agency Securities | ||||||||||||||||||||||||
Maturity or Repricing | Balance | Weighted Average Interest Rate | Non-Agency MBS | Fair Value | Amortized | Par/Current | Weighted Average Coupon | ||||||||||||||||||
Cost | Face | Rate | |||||||||||||||||||||||
Within 30 days | $ | 8,227 | 1.94 | % | Prime | $ | 113,831 | $ | 114,778 | $ | 120,032 | 3.05 | % | ||||||||||||
31 days to 60 days | 44,792 | 1.23 | % | Alt/A | 28,335 | 27,033 | 34,947 | 4.89 | % | ||||||||||||||||
61 days to 90 days | 62,521 | 0.98 | % | Total | $ | 142,166 | $ | 141,811 | $ | 154,979 | 3.42 | % | |||||||||||||
Greater than 90 days | 6,467 | 2.03 | % | ||||||||||||||||||||||
Total | $ | 122,007 | 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 condensed statements of operations for the quarter ended March 31, 2014. We did not have Linked Transactions as of March 31, 2013. | |||||||||||||||||||||||||
For the Quarter Ended | |||||||||||||||||||||||||
Unrealized Net Gain and Net Interest Income from Linked Transactions | 31-Mar-14 | ||||||||||||||||||||||||
Interest income attributable to MBS underlying Linked Transactions | $ | 1,569 | |||||||||||||||||||||||
Interest expense attributable to linked repurchase agreements underlying Linked Transactions | (372 | ) | |||||||||||||||||||||||
Change in fair value of Linked Transactions included in earnings | 3,230 | ||||||||||||||||||||||||
Unrealized net gain and net interest income from Linked Transactions | $ | 4,427 | |||||||||||||||||||||||
Repurchase_Agreements_Tables
Repurchase Agreements (Tables) | 3 Months Ended | ||||||||||||||
Mar. 31, 2014 | |||||||||||||||
Disclosure of Repurchase Agreements [Abstract] | ' | ||||||||||||||
Schedule of Repurchase Agreements | ' | ||||||||||||||
The following tables represent the contractual repricing and other information regarding our repurchase agreements to finance our MBS purchases as of March 31, 2014 and December 31, 2013. | |||||||||||||||
March 31, 2014 | |||||||||||||||
Repurchase Agreements | Weighted | Weighted | Haircut for | ||||||||||||
Average | Average | Repurchase Agreements (1) | |||||||||||||
Contractual | Maturity | ||||||||||||||
Rate | in days | ||||||||||||||
Agency Securities | $ | 1,168,045 | 0.36 | % | 31 | 4.8 | % | ||||||||
Non-Agency Securities | 107,748 | 1.95 | % | 42 | 25.45 | % | |||||||||
Total or Weighted Average | $ | 1,275,793 | 0.49 | % | 32 | 6.54 | % | ||||||||
(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, 2013 | |||||||||||||||
Repurchase Agreements | Weighted | Weighted | Haircut for | ||||||||||||
Average | Average | Repurchase Agreements (1) | |||||||||||||
Contractual Rate | Maturity in | ||||||||||||||
days | |||||||||||||||
Agency Securities | $ | 731,782 | 0.42 | % | 33 | 4.9 | % | ||||||||
Non-Agency Securities | 107,623 | 1.96 | % | 46 | 25.39 | % | |||||||||
Total or Weighted Average | $ | 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. | |||||||||||||||
31-Mar-14 | 31-Dec-13 | ||||||||||||||
Maturing or Repricing | Repurchase Agreements | Weighted | Repurchase Agreements | Weighted | |||||||||||
Average | Average | ||||||||||||||
Contractual Rate | Contractual Rate | ||||||||||||||
Within 30 days | $ | 749,509 | 0.47 | % | $ | 380,744 | 0.67 | % | |||||||
31 days to 60 days | 301,500 | 0.48 | % | 408,054 | 0.49 | % | |||||||||
61 days to 90 days | 216,670 | 0.52 | % | 40,362 | 1 | % | |||||||||
Greater than 90 days | 8,114 | 2.06 | % | 10,245 | 2.1 | % | |||||||||
Total or Weighted Average | $ | 1,275,793 | 0.49 | % | $ | 839,405 | 0.61 | % | |||||||
Derivatives_Tables
Derivatives (Tables) | 3 Months Ended | |||||||||||||||||||
Mar. 31, 2014 | ||||||||||||||||||||
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 March 31, 2014 and December 31, 2013. | ||||||||||||||||||||
March 31, 2014 | ||||||||||||||||||||
Derivative Type | Remaining / Underlying Term | Weighted Average Remaining Swap / Option Term (Months) | Weighted Average Rate | Notional Amount | Asset Fair Value (1) | Liability Fair Value (1) | ||||||||||||||
Interest rate swap contracts | 0-12 Months | 0 | 0 | % | $ | — | — | $ | — | |||||||||||
Interest rate swap contracts | 13-24 Months | 0 | 0 | % | — | — | — | |||||||||||||
Interest rate swap contracts | 25-36 Months | 0 | 0 | % | — | — | — | |||||||||||||
Interest rate swap contracts | 37-48 Months | 43 | 0.55 | % | 50,000 | 749 | — | |||||||||||||
Interest rate swap contracts | 49-60 Months | 50 | 0.92 | % | 50,000 | 378 | — | |||||||||||||
Interest rate swap contracts | 61-72 Months | 0 | 0 | % | — | — | — | |||||||||||||
Interest rate swap contracts | 73-84 Months | 0 | 0 | % | — | — | — | |||||||||||||
Interest rate swap contracts | 85-96 Months | 0 | 0 | % | — | — | — | |||||||||||||
Interest rate swap contracts | 97-108 Months | 104 | 1.64 | % | 325,000 | 19,162 | — | |||||||||||||
Interest rate swap contracts | 109-120 Months | 111 | 1.95 | % | 376,250 | 15,498 | — | |||||||||||||
Interest rate swaptions | 60 Months | 6 | 2.73 | % | 750,000 | 2,724 | — | |||||||||||||
Total or Weighted Average | 55 | 2.19 | % | $ | 1,551,250 | $ | 38,511 | $ | — | |||||||||||
-1 | See Note 4, “Fair Value of Financial Instruments” for additional discussion. | |||||||||||||||||||
December 31, 2013 | ||||||||||||||||||||
Derivative Type | Remaining / Underlying Term | Weighted Average Remaining Swap / Option Term (Months) | Weighted Average Rate | Notional Amount | Asset Fair Value (1) | Liability Fair Value (1) | ||||||||||||||
Interest rate swap contracts | 0-12 Months | 0 | 0 | % | $ | — | $ | — | $ | — | ||||||||||
Interest rate swap contracts | 13-24 Months | 0 | 0 | % | — | — | — | |||||||||||||
Interest rate swap contracts | 25-36 Months | 0 | 0 | % | — | — | — | |||||||||||||
Interest rate swap contracts | 37-48 Months | 46 | 0.55 | % | 50,000 | 801 | — | |||||||||||||
Interest rate swap contracts | 49-60 Months | 53 | 0.92 | % | 50,000 | 532 | — | |||||||||||||
Interest rate swap contracts | 61-72 Months | 0 | 0 | % | — | — | — | |||||||||||||
Interest rate swap contracts | 73-84 Months | 0 | 0 | % | — | — | — | |||||||||||||
Interest rate swap contracts | 85-96 Months | 0 | 0 | % | — | — | — | |||||||||||||
Interest rate swap contracts | 97-108 Months | 105 | 1.5 | % | 175,000 | 15,023 | — | |||||||||||||
Interest rate swap contracts | 109-120 Months | 112 | 1.91 | % | 526,250 | 36,463 | — | |||||||||||||
Interest rate swaptions | 60 Months | 9 | 2.73 | % | 750,000 | 6,884 | — | |||||||||||||
Total or Weighted Average | 58 | 2.19 | % | $ | 1,551,250 | $ | 59,703 | $ | — | |||||||||||
-1 | See Note 4, “Fair Value of Financial Instruments” for additional discussion. | |||||||||||||||||||
Potential Effects of Netting Derivative Instruments on the Balance Sheets | ' | |||||||||||||||||||
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 sheet as of March 31, 2014. | ||||||||||||||||||||
March 31, 2014 | ||||||||||||||||||||
Gross Amounts Not Offset | ||||||||||||||||||||
in the | ||||||||||||||||||||
Condensed Balance Sheet | ||||||||||||||||||||
Assets | Gross and Net Amounts | Financial | Cash | Net Amount | ||||||||||||||||
of Assets | Instruments | Collateral | ||||||||||||||||||
Presented in the Condensed | Held | |||||||||||||||||||
Balance Sheet | ||||||||||||||||||||
Interest rate swap contracts | $ | 35,786 | $ | — | $ | (34,356 | ) | $ | 1,430 | |||||||||||
Interest rate swaptions | 2,725 | — | — | 2,725 | ||||||||||||||||
Totals | $ | 38,511 | $ | — | $ | (34,356 | ) | $ | 4,155 | |||||||||||
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 sheet as of December 31, 2013. | ||||||||||||||||||||
December 31, 2013 | ||||||||||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||||
Condensed Balance Sheet | ||||||||||||||||||||
Assets | Gross and Net Amounts of Assets Presented in the Condensed Balance Sheet | Financial Instruments | Cash Collateral Held | Net Amount | ||||||||||||||||
Interest rate swap contracts | $ | 52,819 | $ | — | $ | (52,315 | ) | $ | 504 | |||||||||||
Interest rate swaptions | 6,884 | — | — | $ | 6,884 | |||||||||||||||
Totals | $ | 59,703 | $ | — | $ | (52,315 | ) | $ | 7,388 | |||||||||||
Derivative Instruments, Gain (Loss) | ' | |||||||||||||||||||
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 quarters ended March 31, 2014 and March 31, 2013. | ||||||||||||||||||||
Income (Loss) Recognized | ||||||||||||||||||||
For the Quarters Ended | ||||||||||||||||||||
Derivatives | Location on condensed statements of operations | 31-Mar-14 | 31-Mar-13 | |||||||||||||||||
Interest rate swap contracts: | ||||||||||||||||||||
Interest income | Realized loss on derivatives | $ | 240 | $ | 113 | |||||||||||||||
Interest expense | Realized loss on derivatives | (3,346 | ) | (1,063 | ) | |||||||||||||||
Changes in fair value | Unrealized gain (loss) on derivatives | (15,870 | ) | 3,115 | ||||||||||||||||
$ | (18,976 | ) | $ | 2,165 | ||||||||||||||||
Interest rate swaptions: | ||||||||||||||||||||
Changes in fair value | Unrealized gain (loss) on derivatives | (4,159 | ) | 329 | ||||||||||||||||
$ | (4,159 | ) | $ | 329 | ||||||||||||||||
Totals | $ | (23,135 | ) | $ | 2,494 | |||||||||||||||
Stockholders_Equity_Tables
Stockholders' Equity (Tables) | 3 Months Ended | ||||||||||
Mar. 31, 2014 | |||||||||||
Equity [Abstract] | ' | ||||||||||
Dividends Transactions | ' | ||||||||||
The following table presents our common stock dividend transactions for the quarter ended March 31, 2014. | |||||||||||
Record Date | Payment Date | Rate per | Aggregate | ||||||||
common share | amount paid to | ||||||||||
holders of record | |||||||||||
15-Jan-14 | 30-Jan-14 | $ | 0.15 | $ | 1,799 | ||||||
14-Feb-14 | 27-Feb-14 | $ | 0.15 | $ | 1,799 | ||||||
17-Mar-14 | 28-Mar-14 | $ | 0.15 | $ | 1,799 | ||||||
Income_Taxes_Tables
Income Taxes (Tables) | 3 Months Ended | |||||||
Mar. 31, 2014 | ||||||||
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 quarters ended March 31, 2014 and March 31, 2013. | ||||||||
For the Quarters Ended | ||||||||
31-Mar-14 | 31-Mar-13 | |||||||
GAAP net income (loss) | $ | (1,863 | ) | $ | 10,976 | |||
Book to tax differences: | ||||||||
Net book to tax differences on Non-Agency Securities and Linked Transactions | (3,696 | ) | (1,726 | ) | ||||
Gain on sale of Agency Securities | (8,810 | ) | — | |||||
Amortization of deferred hedging gains | 145 | — | ||||||
Net premium amortization differences | (628 | ) | — | |||||
Unrealized (gain) loss on derivatives | 20,029 | (3,444 | ) | |||||
Other | 1 | 2 | ||||||
Estimated taxable income | $ | 5,178 | $ | 5,808 | ||||
Organization_and_Nature_of_Bus1
Organization and Nature of Business Operations (Details) (USD $) | 0 Months Ended | |||||
Oct. 09, 2012 | Jun. 21, 2012 | Mar. 31, 2014 | Dec. 31, 2013 | Nov. 02, 2012 | Sep. 24, 2012 | |
Subsidiary, Sale of Stock [Line Items] | ' | ' | ' | ' | ' | ' |
Proceeds from Contributed Capital (in Dollars) | ' | $1,000 | ' | ' | ' | ' |
Stock Issued During Period, Shares, New Issues | ' | 50 | ' | ' | ' | ' |
Common Stock, Par or Stated Value Per Share (in Dollars per share) | ' | ' | $0.00 | $0.00 | ' | $0.00 |
Common Stock, Shares Authorized (in Shares) | ' | 1,000 | 250,000,000 | 250,000,000 | ' | 250,000,000 |
Preferred Stock, Shares Authorized (in Shares) | ' | ' | 25,000,000 | 25,000,000 | ' | 25,000,000 |
Preferred stock, par value (in usd per share) | ' | ' | $0.00 | $0.00 | ' | $0.00 |
Shares Issued, Price Per Share (in Dollars per share) | $20 | ' | ' | ' | ' | ' |
Proceeds from Issuance of Common Stock (in Dollars) | $150,000,000 | ' | ' | ' | ' | ' |
Over-Allotment Option to Purchase Additional Common Stock | ' | ' | ' | ' | 1,088,000 | ' |
Staton Bell Blank Check LLC | ' | ' | ' | ' | ' | ' |
Subsidiary, Sale of Stock [Line Items] | ' | ' | ' | ' | ' | ' |
Number of Directors | 2 | ' | ' | ' | ' | ' |
IPO | ' | ' | ' | ' | ' | ' |
Subsidiary, Sale of Stock [Line Items] | ' | ' | ' | ' | ' | ' |
Stock Issued During Period, Shares, New Issues | 7,250,000 | ' | ' | ' | ' | ' |
Private Placement | ' | ' | ' | ' | ' | ' |
Subsidiary, Sale of Stock [Line Items] | ' | ' | ' | ' | ' | ' |
Stock Issued During Period, Shares, New Issues | 250,000 | ' | ' | ' | ' | ' |
Summary_of_Significant_Account2
Summary of Significant Accounting Policies (Details) (USD $) | 3 Months Ended | |||||
In Thousands, except Share data, unless otherwise specified | Mar. 31, 2014 | Mar. 05, 2014 | Dec. 31, 2013 | Oct. 30, 2013 | Sep. 24, 2012 | Jun. 21, 2012 |
Accounting Policies [Abstract] | ' | ' | ' | ' | ' | ' |
Preferred Stock, Shares Authorized (in Shares) | 25,000,000 | ' | 25,000,000 | ' | 25,000,000 | ' |
Preferred stock, par value (in usd 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 issued (in Shares) | 11,996,000 | ' | 11,993,000 | ' | ' | ' |
Common Stock, shares outstanding (in Shares) | 11,996,000 | ' | 11,993,000 | ' | ' | ' |
Number of Shares Authorized to be Repurchased | ' | 3,000,000 | ' | 2,000,000 | ' | ' |
Remaining Authorized Repurchase Amount | $1,493 | ' | ' | ' | ' | ' |
Fair_Value_of_Financial_Instru2
Fair Value of Financial Instruments (Details) - Summary of Assets and Liabilities Measured at Fair Value on a Recurring Basis (USD $) | Mar. 31, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
Assets at Fair Value: | ' | ' | ||
Agency Securities, available for sale | $1,187,467 | $801,777 | ||
Non-Agency Securities, trading | 142,409 | 143,399 | ||
Linked Transactions, net | 20,069 | 16,322 | ||
Derivatives, at fair value | 38,511 | [1] | 59,703 | [1] |
Significant Observable Inputs (Level 2) | ' | ' | ||
Assets at Fair Value: | ' | ' | ||
Agency Securities, available for sale | 1,187,467 | 801,777 | ||
Linked Transactions, net | 0 | ' | ||
Derivatives, at fair value | 38,511 | 59,703 | ||
Significant Unobservable Inputs (Level 3) | ' | ' | ||
Assets at Fair Value: | ' | ' | ||
Non-Agency Securities, trading | 142,409 | 143,399 | ||
Linked Transactions, net | $20,069 | $16,322 | ||
[1] | See Note 4, “Fair Value of Financial Instruments†for additional discussion. |
Fair_Value_of_Financial_Instru3
Fair Value of Financial Instruments (Details) - Carrying Values and Fair Values of Financial Assets and Liabilities (USD $) | Mar. 31, 2014 | Dec. 31, 2013 | Mar. 31, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||||
Financial Assets: | ' | ' | ' | ' |
Cash, carrying value | $32,544 | $41,524 | $28,060 | $36,316 |
Cash, fair value | 32,544 | 41,524 | ' | ' |
Cash collateral posted, carrying value | 1,851 | 648 | ' | ' |
Cash collateral posted, fair value | 1,851 | 648 | ' | ' |
Receivable for unsettled sales, carrying value | 358,456 | 0 | 0 | ' |
Receivables for unsettled sales, fair value | 358,456 | ' | ' | ' |
Accrued interest receivable, carrying value | 3,570 | 2,336 | ' | ' |
Accrued interest receivable, fair value | 3,570 | 2,336 | ' | ' |
Financial Liabilities: | ' | ' | ' | ' |
Repurchase agreements, carrying value | 1,275,793 | 839,405 | ' | ' |
Repurchase agreements, fair value | 1,275,793 | 839,405 | ' | ' |
Cash collateral held, carrying value | 35,294 | 53,314 | ' | ' |
Cash collateral held, fair value | 35,294 | 53,314 | ' | ' |
Payable For unsettled securities, carrying value | 312,447 | 0 | 0 | ' |
Payable for unsettled securities, fair value | 312,447 | ' | ' | ' |
Accrued interest payable, carrying value | 678 | 611 | ' | ' |
Accrued interest payable, fair value | 678 | 611 | ' | ' |
Quoted Prices in Active Markets for Identical Assets (Level 1) | ' | ' | ' | ' |
Financial Assets: | ' | ' | ' | ' |
Cash, fair value | 32,544 | 41,524 | ' | ' |
Significant Observable Inputs (Level 2) | ' | ' | ' | ' |
Financial Assets: | ' | ' | ' | ' |
Cash collateral posted, fair value | 1,851 | 648 | ' | ' |
Receivables for unsettled sales, fair value | 358,456 | ' | ' | ' |
Accrued interest receivable, fair value | 3,570 | 2,336 | ' | ' |
Financial Liabilities: | ' | ' | ' | ' |
Repurchase agreements, fair value | 1,275,793 | 839,405 | ' | ' |
Cash collateral held, fair value | 35,294 | 53,314 | ' | ' |
Payable for unsettled securities, fair value | 312,447 | ' | ' | ' |
Accrued interest payable, fair value | $678 | $611 | ' | ' |
Fair_Value_of_Financial_Instru4
Fair Value of Financial Instruments (Details) - Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis (USD $) | 3 Months Ended | 12 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 | Mar. 31, 2014 | Dec. 31, 2013 |
Significant Unobservable Inputs (Level 3) | Significant Unobservable Inputs (Level 3) | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' | ' | ' | ' |
Balance, beginning of period | ' | ' | $159,721 | $129,946 |
Purchase of Non-Agency Securities, at cost | ' | ' | 1,250 | 38,332 |
Principal repayments of Non-Agency Securities | ' | ' | -3,400 | -21,788 |
Cash disbursements on Linked Transactions | ' | ' | -681 | 19,674 |
Proceeds from the sale of Non-Agency Securities | ' | ' | 0 | -1,352 |
Net gain (loss) on Non-Agency Securities | ' | ' | 833 | -977 |
Net gain (loss) on Non-Agency Securities | ' | ' | 833 | -977 |
Unrealized net gain (loss) and net interest income from Linked Transactions | 4,427 | 0 | 4,427 | -3,352 |
Net change in discount on Non-Agency Securities | ' | ' | 328 | -762 |
Balance, end of period | ' | ' | 162,478 | 159,721 |
Net gains (losses) for outstanding level 3 assets | ' | ' | $5,260 | ($4,329) |
Fair_Value_of_Financial_Instru5
Fair Value of Financial Instruments (Details) - Range of Estimates of Cumulative Default and Loss Severities and Discount Rates | 3 Months Ended | 12 Months Ended |
Mar. 31, 2014 | Dec. 31, 2013 | |
Minimum | ' | ' |
Fair Value Inputs, Equity, Quantitative Information [Line Items] | ' | ' |
Cumulative default | 0.00% | 0.00% |
Loss severity (life) | 0.00% | 0.00% |
Discount rate | 3.76% | 4.01% |
Delinquency (life) | 0.00% | 0.00% |
Voluntary prepayments (life) | 6.40% | 6.70% |
Weighted Average | ' | ' |
Fair Value Inputs, Equity, Quantitative Information [Line Items] | ' | ' |
Cumulative default | 8.66% | 6.99% |
Loss severity (life) | 34.78% | 31.20% |
Discount rate | 4.83% | 5.32% |
Delinquency (life) | 9.63% | 9.74% |
Voluntary prepayments (life) | 8.41% | 9.74% |
Maximum | ' | ' |
Fair Value Inputs, Equity, Quantitative Information [Line Items] | ' | ' |
Cumulative default | 31.56% | 33.27% |
Loss severity (life) | 66.80% | 62.60% |
Discount rate | 6.50% | 6.50% |
Delinquency (life) | 35.10% | 29.50% |
Voluntary prepayments (life) | 12.40% | 14.80% |
Fair_Value_of_Financial_Instru6
Fair Value of Financial Instruments Fair Value of Financial Instruments (Details) | 3 Months Ended |
Mar. 31, 2014 | |
dealer | |
Fair Value Disclosures [Abstract] | ' |
Number of dealers received quotes from | 3 |
Agency_Securities_Available_fo2
Agency Securities, Available for Sale (Details) (USD $) | 1 Months Ended | 3 Months Ended | |
Dec. 31, 2013 | Mar. 31, 2014 | Mar. 31, 2013 | |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' |
Weighted average coupon | 3.48% | 3.22% | ' |
Other than temporary impairment loss | ($44,300,000) | ' | ' |
Sale proceeds (in dollars) | ' | 743,600,000 | 0 |
Realized gain on sale of Agency Securities (reclassified from Other comprehensive loss) | ' | 8,810,000 | 0 |
Fair Value | 801,777,000 | 1,187,467,000 | ' |
MBS Portfolio | ' | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' |
Percentage of Portfolio Invested in Agency Securities | 84.80% | 89.30% | ' |
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% | 80.70% | ' |
Unsettled Purchases | ' | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' |
Principal Amount | ' | 312,447,000 | ' |
Fair Value | ' | 311,108,000 | ' |
25-Year and 30-Year Fixed Rate Agency Securities | ' | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' |
Fair Value | $744,600,000 | ' | ' |
Agency_Securities_Available_fo3
Agency Securities, Available for Sale (Details) - Unrealized Gain or Loss Position and Components of Carrying Value of Available for Sale Agency Securities (USD $) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2014 | Dec. 31, 2013 | |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | $1,194,122,000 | $804,920,000 |
Gross Unrealized Loss | -6,697,000 | -3,143,000 |
Gross Unrealized Gain | 42,000 | 0 |
Fair Value | 1,187,467,000 | 801,777,000 |
Fannie Mae | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | 1,194,122,000 | 804,920,000 |
Gross Unrealized Loss | -6,697,000 | -3,143,000 |
Gross Unrealized Gain | 42,000 | 0 |
Fair Value | 1,187,467,000 | 801,777,000 |
Percent of Total | 100.00% | 100.00% |
Fannie Mae | Multi-Family MBS | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | 29,719,000 | ' |
Gross Unrealized Loss | -55,000 | ' |
Gross Unrealized Gain | 0 | ' |
Fair Value | 29,664,000 | ' |
Percent of Total | 2.50% | ' |
Fannie Mae | 15 Year Fixed | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | 1,113,840,000 | 29,336,000 |
Gross Unrealized Loss | -4,933,000 | -1,057,000 |
Gross Unrealized Gain | 42,000 | 0 |
Fair Value | 1,108,949,000 | 28,279,000 |
Percent of Total | 93.39% | 3.53% |
Fannie Mae | 20 Year Fixed | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | 50,563,000 | 30,974,000 |
Gross Unrealized Loss | -1,709,000 | -2,086,000 |
Gross Unrealized Gain | 0 | 0 |
Fair Value | 48,854,000 | 28,888,000 |
Percent of Total | 4.11% | 3.60% |
Fannie Mae | 25 Year Fixed | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | ' | 52,944,000 |
Gross Unrealized Loss | ' | 0 |
Gross Unrealized Gain | ' | 0 |
Fair Value | ' | 52,944,000 |
Percent of Total | ' | 6.60% |
Fannie Mae | 30 Year Fixed | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Amortized Cost | ' | 691,666,000 |
Gross Unrealized Loss | ' | 0 |
Gross Unrealized Gain | ' | 0 |
Fair Value | ' | $691,666,000 |
Percent of Total | ' | 86.27% |
Agency_Securities_Available_fo4
Agency Securities, Available for Sale (Details) - Summary of Weighted Average Lives of Agency Securities (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Fair Value | ' | ' |
Greater than or equal to three years and less than five years | $864,463 | $28,279 |
Greater than or equal to five years | 323,004 | 773,498 |
Total Agency Securities | 1,187,467 | 801,777 |
Amortized Cost | ' | ' |
Greater than or equal to three years and less than five years | 868,454 | 29,336 |
Greater than or equal to five years | 325,668 | 775,584 |
Total Agency Securities | $1,194,122 | $804,920 |
Agency_Securities_Available_fo5
Agency Securities, Available for Sale (Details) - Unrealized Losses and Estimated Fair Value of Agency Securities (USD $) | 3 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Dec. 31, 2013 |
Fair Value | ' | ' |
Less than 12 Months | $1,088,949 | $0 |
12 Months or More | 56,650 | 57,167 |
Total | 1,145,599 | 57,167 |
Unrealized Losses | ' | ' |
Less than 12 Months | -4,157 | 0 |
12 Months or More | -2,540 | -3,143 |
Total | ($6,697) | ($3,143) |
NonAgency_Securities_Trading_N2
Non-Agency Securities, Trading Non-Agency Securities, Trading (Details) | Mar. 31, 2014 | Dec. 31, 2013 |
MBS Portfolio | ' | ' |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' |
Percentage of Portfolio Invested in Non-Agency Securities | 10.70% | 15.20% |
Overall Investment in Non-Agency Securities Including Those Underlying Linked Transactions | ' | ' |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' |
Percentage of Portfolio Invested in Non-Agency Securities | 19.30% | 26.20% |
NonAgency_Securities_Trading_N3
Non-Agency Securities, Trading Non-Agency Securities, Trading (Details) - Non-Agency Securities (USD $) | 3 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Dec. 31, 2013 |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' |
Fair Value | $142,409 | $143,399 |
Amortized Cost | 136,854 | 139,676 |
Principal Amount | 167,195 | 170,261 |
Weighted Average Coupon | 4.99% | 5.02% |
Prime Fixed | ' | ' |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' |
Fair Value | 50,692 | 51,515 |
Amortized Cost | 50,148 | 51,922 |
Principal Amount | 56,925 | 57,995 |
Weighted Average Coupon | 4.94% | 4.96% |
Prime Hybrid | ' | ' |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' |
Fair Value | 16,718 | 17,067 |
Amortized Cost | 15,225 | 15,705 |
Principal Amount | 20,534 | 21,253 |
Weighted Average Coupon | 3.23% | 3.36% |
Prime Floater | ' | ' |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' |
Fair Value | 3,542 | 2,117 |
Amortized Cost | 3,261 | 2,001 |
Principal Amount | 3,250 | 2,000 |
Weighted Average Coupon | 5.12% | 5.41% |
Alt-A Fixed | ' | ' |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' |
Fair Value | 62,432 | 63,582 |
Amortized Cost | 59,729 | 61,554 |
Principal Amount | 75,627 | 77,922 |
Weighted Average Coupon | 5.85% | 5.85% |
Alt-A Hybrid | ' | ' |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' |
Fair Value | 9,025 | 9,118 |
Amortized Cost | 8,491 | 8,494 |
Principal Amount | $10,859 | $11,091 |
Weighted Average Coupon | 2.54% | 2.59% |
NonAgency_Securities_Trading_N4
Non-Agency Securities, Trading Non-Agency Securities, Trading (Details) - Summary of Weighted Average Lives of Non-Agency Securities (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Fair Value | ' | ' |
Greater than or equal to three years and less than five years | $57,580 | $36,581 |
Greater than or equal to five years | 84,829 | 106,818 |
Total Non-Agency Securities | 142,409 | 143,399 |
Amortized Cost | ' | ' |
Greater than or equal to three years and less than five years | 55,429 | 35,254 |
Greater than or equal to five years | 81,425 | 104,422 |
Total Non-Agency Securities | $136,854 | $139,676 |
NonAgency_Securities_Trading_N5
Non-Agency Securities, Trading Non-Agency Securities, Trading (Details) - Unrealized Losses and Estimated Fair Value of Non-Agency Securities (Details) (USD $) | 3 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Dec. 31, 2013 |
Fair Value | ' | ' |
Less than 12 months | $1,088,949 | $0 |
12 Months or More | 56,650 | 57,167 |
Total | 1,145,599 | 57,167 |
Unrealized Losses | ' | ' |
Less than 12 months | -4,157 | 0 |
12 Months or More | -2,540 | -3,143 |
Total | -6,697 | -3,143 |
Non-Agency Securities | ' | ' |
Fair Value | ' | ' |
Less than 12 months | 18,537 | 42,096 |
12 Months or More | 0 | 0 |
Total | 18,537 | 42,096 |
Unrealized Losses | ' | ' |
Less than 12 months | -582 | -1,089 |
12 Months or More | 0 | 0 |
Total | ($582) | ($1,089) |
Linked_Transactions_Details
Linked Transactions (Details) (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Linked Transactions (Details) [Line Items] | ' | ' |
Accrued interest payable | $678 | $611 |
MBS Portfolio | ' | ' |
Linked Transactions (Details) [Line Items] | ' | ' |
Percentage of Portfolio Invested in Non-Agency Securities Underlying Linked Transactions | 9.66% | 13.00% |
Linked Transactions | ' | ' |
Linked Transactions (Details) [Line Items] | ' | ' |
Accrued interest payable | $90 | $83 |
Linked_Transactions_Details_No
Linked Transactions (Details) - Non-Agency Securities and Repurchase Agreements Underlying Linked Transactions (USD $) | 3 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Dec. 31, 2013 |
Linked Repurchase Agreements | ' | ' |
Balance | $1,275,793 | $839,405 |
Weighted Average Interest Rate | 0.49% | 0.61% |
Linked Non-Agency Securities | ' | ' |
Fair Value | 142,409 | 143,399 |
Amortized Cost | 136,854 | 139,676 |
Par/Current Face | 167,195 | 170,261 |
Weighted Average Coupon Rate | 4.99% | 5.02% |
Linked Transactions | ' | ' |
Linked Repurchase Agreements | ' | ' |
Balance | 122,007 | 124,540 |
Weighted Average Interest Rate | 1.19% | 1.19% |
Within 30 Days | Linked Transactions | ' | ' |
Linked Repurchase Agreements | ' | ' |
Balance | 8,227 | 8,177 |
Weighted Average Interest Rate | 1.94% | 1.88% |
Linked Non-Agency Securities | ' | ' |
Fair Value | 113,831 | 112,956 |
Amortized Cost | 114,778 | 116,631 |
Par/Current Face | 120,032 | 121,571 |
Weighted Average Coupon Rate | 3.05% | 3.00% |
From 31 to 60 Days | Linked Transactions | ' | ' |
Linked Repurchase Agreements | ' | ' |
Balance | 44,792 | 44,974 |
Weighted Average Interest Rate | 1.23% | 1.23% |
Linked Non-Agency Securities | ' | ' |
Fair Value | 28,335 | 27,989 |
Amortized Cost | 27,033 | 27,788 |
Par/Current Face | 34,947 | 35,822 |
Weighted Average Coupon Rate | 4.89% | 4.71% |
From 61 to 90 Days | Linked Transactions | ' | ' |
Linked Repurchase Agreements | ' | ' |
Balance | 62,521 | 71,389 |
Weighted Average Interest Rate | 0.98% | 1.09% |
Linked Non-Agency Securities | ' | ' |
Fair Value | 142,166 | 140,945 |
Amortized Cost | 141,811 | 144,419 |
Par/Current Face | 154,979 | 157,393 |
Weighted Average Coupon Rate | 3.42% | 3.34% |
Greater than 90 Days | Linked Transactions | ' | ' |
Linked Repurchase Agreements | ' | ' |
Balance | $6,467 | $0 |
Weighted Average Interest Rate | 2.03% | 0.00% |
Linked_Transactions_Details_Un
Linked Transactions (Details) - Unrealized Net Gain (Loss) and Net Interest Income from Linked Transactions (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Linked Transactions Disclosure [Abstract] | ' | ' |
Interest income attributable to MBS underlying Linked Transactions | $1,569 | ' |
Interest expense attributable to linked repurchase agreements underlying Linked Transactions | -372 | ' |
Change in fair value of Linked Transactions included in earnings | 3,230 | ' |
Unrealized net gain and net interest income from Linked Transactions | $4,427 | $0 |
Repurchase_Agreements_Details
Repurchase Agreements (Details) (USD $) | 3 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Dec. 31, 2013 |
counterparty | counterparty | |
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Number of counterparties | 28 | 27 |
Securities Sold under Agreements to Repurchase | $1,275,793 | $839,405 |
Borrowings | ' | ' |
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Number of counterparties | 10 | ' |
Repurchase Agreement Borrowings | ' | ' |
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Percentage of concentration risk | 71.75% | ' |
Minimum | Borrowings | ' | ' |
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Percentage of concentration risk | 5.00% | ' |
Maximum | Borrowings | ' | ' |
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Percentage of concentration risk | 10.00% | ' |
Outstanding Borrowings | ' | ' |
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Number of counterparties | 22 | 20 |
Repurchase_Agreements_Details_
Repurchase Agreements (Details) - Repurchase Agreements Information (USD $) | 3 Months Ended | 12 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2014 | Dec. 31, 2013 | ||
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' | ||
Repurchase Agreements | $1,275,793 | $839,405 | ||
Weighted Average Contractual Rate | 0.49% | 0.61% | ||
Weighted Average Maturity in days | '32 days | '35 days | ||
Haircut for Repurchase Agreements | 6.54% | [1] | 7.50% | [1] |
Agency Securities | ' | ' | ||
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' | ||
Repurchase Agreements | 1,168,045 | 731,782 | ||
Weighted Average Contractual Rate | 0.36% | 0.42% | ||
Weighted Average Maturity in days | '31 days | '33 days | ||
Haircut for Repurchase Agreements | 4.80% | [1] | 4.90% | [1] |
Non-Agency Securities | ' | ' | ||
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' | ||
Repurchase Agreements | $107,748 | $107,623 | ||
Weighted Average Contractual Rate | 1.95% | 1.96% | ||
Weighted Average Maturity in days | '42 days | '46 days | ||
Haircut for Repurchase Agreements | 25.45% | [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. |
Repurchase_Agreements_Details_1
Repurchase Agreements (Details) - Repurchase Agreements Information - Additional (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Repurchase Agreements | $1,275,793 | $839,405 |
Weighted Average Contractual Rate | 0.49% | 0.61% |
Within 30 days | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Repurchase Agreements | 749,509 | 380,744 |
Weighted Average Contractual Rate | 0.47% | 0.67% |
31 days to 60 days | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Repurchase Agreements | 301,500 | 408,054 |
Weighted Average Contractual Rate | 0.48% | 0.49% |
61 days to 90 days | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Repurchase Agreements | 216,670 | 40,362 |
Weighted Average Contractual Rate | 0.52% | 1.00% |
Greater than 90 days | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Repurchase Agreements | $8,114 | $10,245 |
Weighted Average Contractual Rate | 2.06% | 2.10% |
Derivatives_Details_Interest_R
Derivatives (Details) - Interest Rate Swap Contracts and Interest Rate Swaptions (USD $) | 3 Months Ended | 12 Months Ended | ||
Mar. 31, 2014 | Dec. 31, 2013 | |||
Derivative [Line Items] | ' | ' | ||
Weighted Average Remaining Swap / Option Term (Months) | '55 months | '58 months | ||
Weighted Average Rate | 2.19% | 2.19% | ||
Notional Amount | $1,551,250,000 | $1,551,250,000 | ||
Assets at Fair Value | 38,511,000 | [1] | 59,703,000 | [1] |
Liabilities at Fair Value | 0 | [1] | 0 | [1] |
Interest Rate Swap 0-12 Months | Swap | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Weighted Average Remaining Swap / Option Term (Months) | '0 months | '0 months | ||
Weighted Average Rate | 0.00% | 0.00% | ||
Notional Amount | 0 | 0 | ||
Assets at Fair Value | 0 | [1] | 0 | [1] |
Liabilities at Fair Value | 0 | [1] | 0 | [1] |
Interest Rate Swap 13-24 Months | Swap | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Weighted Average Remaining Swap / Option Term (Months) | '0 months | '0 months | ||
Weighted Average Rate | 0.00% | 0.00% | ||
Notional Amount | 0 | 0 | ||
Assets at Fair Value | 0 | [1] | 0 | [1] |
Liabilities at Fair Value | 0 | [1] | 0 | [1] |
Interest Rate Swap 25-36 Months | Swap | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Weighted Average Remaining Swap / Option Term (Months) | '0 months | '0 months | ||
Weighted Average Rate | 0.00% | 0.00% | ||
Notional Amount | 0 | 0 | ||
Assets at Fair Value | 0 | [1] | 0 | [1] |
Liabilities at Fair Value | 0 | [1] | 0 | [1] |
Interest Rate Swap 37-48 Months | Swap | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Weighted Average Remaining Swap / Option Term (Months) | '43 months | '46 months | ||
Weighted Average Rate | 0.55% | 0.55% | ||
Notional Amount | 50,000,000 | 50,000,000 | ||
Assets at Fair Value | 749,000 | [1] | 801,000 | [1] |
Liabilities at Fair Value | 0 | [1] | 0 | [1] |
Interest Rate Swap 49-60 Months | Swap | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Weighted Average Remaining Swap / Option Term (Months) | '50 months | '53 months | ||
Weighted Average Rate | 0.92% | 0.92% | ||
Notional Amount | 50,000,000 | 50,000,000 | ||
Assets at Fair Value | 378,000 | [1] | 532,000 | [1] |
Liabilities at Fair Value | 0 | [1] | 0 | [1] |
Interest Rate Swap 61-72 Months | Swap | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Weighted Average Remaining Swap / Option Term (Months) | '0 months | '0 months | ||
Weighted Average Rate | 0.00% | 0.00% | ||
Notional Amount | 0 | 0 | ||
Assets at Fair Value | 0 | [1] | 0 | [1] |
Liabilities at Fair Value | 0 | [1] | 0 | [1] |
Interest Rate Swap 73-84 Months | Swap | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Weighted Average Remaining Swap / Option Term (Months) | '0 months | '0 months | ||
Weighted Average Rate | 0.00% | 0.00% | ||
Notional Amount | 0 | 0 | ||
Assets at Fair Value | 0 | [1] | 0 | [1] |
Liabilities at Fair Value | 0 | [1] | 0 | [1] |
Interest Rate Swap 85-96 Months | Swap | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Weighted Average Remaining Swap / Option Term (Months) | '0 months | '0 months | ||
Weighted Average Rate | 0.00% | 0.00% | ||
Notional Amount | 0 | 0 | ||
Assets at Fair Value | 0 | [1] | 0 | [1] |
Liabilities at Fair Value | 0 | [1] | 0 | [1] |
Interest Rate Swap 97-108 Months | Swap | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Weighted Average Remaining Swap / Option Term (Months) | '104 months | '105 months | ||
Weighted Average Rate | 1.64% | 1.50% | ||
Notional Amount | 325,000,000 | 175,000,000 | ||
Assets at Fair Value | 19,162,000 | [1] | 15,023,000 | [1] |
Liabilities at Fair Value | 0 | [1] | 0 | [1] |
Interest Rate Swap 109-120 Months | Swap | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Weighted Average Remaining Swap / Option Term (Months) | '111 months | '112 months | ||
Weighted Average Rate | 1.95% | 1.91% | ||
Notional Amount | 376,250,000 | 526,250,000 | ||
Assets at Fair Value | 15,498,000 | [1] | 36,463,000 | [1] |
Liabilities at Fair Value | 0 | [1] | 0 | [1] |
Interest Rate Swaptions 60 Months | Swap | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Remaining / Underlying Term | '60 months | '60 months | ||
Weighted Average Remaining Swap / Option Term (Months) | '6 months | '9 months | ||
Weighted Average Rate | 2.73% | 2.73% | ||
Notional Amount | 750,000,000 | 750,000,000 | ||
Assets at Fair Value | 2,724,000 | [1] | 6,884,000 | [1] |
Liabilities at Fair Value | $0 | [1] | $0 | [1] |
Minimum | Interest Rate Swap 0-12 Months | Swap | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Remaining / Underlying Term | '0 months | '0 months | ||
Minimum | Interest Rate Swap 13-24 Months | Swap | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Remaining / Underlying Term | '13 months | '13 months | ||
Minimum | Interest Rate Swap 25-36 Months | Swap | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Remaining / Underlying Term | '25 months | '25 months | ||
Minimum | Interest Rate Swap 37-48 Months | Swap | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Remaining / Underlying Term | '37 months | '37 months | ||
Minimum | Interest Rate Swap 49-60 Months | Swap | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Remaining / Underlying Term | '49 months | '49 months | ||
Minimum | Interest Rate Swap 61-72 Months | Swap | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Remaining / Underlying Term | '61 months | '61 months | ||
Minimum | Interest Rate Swap 73-84 Months | Swap | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Remaining / Underlying Term | '73 months | '73 months | ||
Minimum | Interest Rate Swap 85-96 Months | Swap | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Remaining / Underlying Term | '85 months | '85 months | ||
Minimum | Interest Rate Swap 97-108 Months | Swap | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Remaining / Underlying Term | '97 months | '97 months | ||
Minimum | Interest Rate Swap 109-120 Months | Swap | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Remaining / Underlying Term | '109 months | '109 months | ||
Maximum | Interest Rate Swap 0-12 Months | Swap | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Remaining / Underlying Term | '12 months | '12 months | ||
Maximum | Interest Rate Swap 13-24 Months | Swap | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Remaining / Underlying Term | '24 months | '24 months | ||
Maximum | Interest Rate Swap 25-36 Months | Swap | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Remaining / Underlying Term | '36 months | '36 months | ||
Maximum | Interest Rate Swap 37-48 Months | Swap | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Remaining / Underlying Term | '48 months | '48 months | ||
Maximum | Interest Rate Swap 49-60 Months | Swap | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Remaining / Underlying Term | '60 months | '60 months | ||
Maximum | Interest Rate Swap 61-72 Months | Swap | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Remaining / Underlying Term | '72 months | '72 months | ||
Maximum | Interest Rate Swap 73-84 Months | Swap | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Remaining / Underlying Term | '84 months | '84 months | ||
Maximum | Interest Rate Swap 85-96 Months | Swap | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Remaining / Underlying Term | '96 months | '96 months | ||
Maximum | Interest Rate Swap 97-108 Months | Swap | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Remaining / Underlying Term | '108 months | '108 months | ||
Maximum | Interest Rate Swap 109-120 Months | Swap | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Remaining / Underlying Term | '120 months | '120 months | ||
[1] | See Note 4, “Fair Value of Financial Instruments†for additional discussion. |
Derivatives_Details_Potential_
Derivatives (Details) - Potential Effects of Netting Derivative Instruments On the Balance Sheets (USD $) | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Derivative [Line Items] | ' | ' |
Gross and Net Amounts of Assets Presented in the Condensed Balance Sheet | $38,511 | $59,703 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Financial Instruments - Assets | 0 | 0 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Cash Collateral Held - Assets | -34,356 | -52,315 |
Net Amount - Assets | 4,155 | 7,388 |
Interest rate swap contracts | ' | ' |
Derivative [Line Items] | ' | ' |
Gross and Net Amounts of Assets Presented in the Condensed Balance Sheet | 35,786 | 52,819 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Financial Instruments - Assets | 0 | 0 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Cash Collateral Held - Assets | -34,356 | -52,315 |
Net Amount - Assets | 1,430 | 504 |
Interest rate swaptions | ' | ' |
Derivative [Line Items] | ' | ' |
Gross and Net Amounts of Assets Presented in the Condensed Balance Sheet | 2,725 | 6,884 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Financial Instruments - Assets | 0 | 0 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Cash Collateral Held - Assets | 0 | 0 |
Net Amount - Assets | $2,725 | $6,884 |
Derivatives_Details_Location_a
Derivatives (Details) - Location and Information of Derivatives (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' |
Unrealized gain (loss) on derivatives | ($20,029) | $3,444 |
Totals | -23,135 | 2,494 |
Interest rate swap contracts | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' |
Totals | -18,976 | 2,165 |
Interest rate swap contracts | Realized Loss on Derivatives | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' |
Realized gain on derivative | 240 | 113 |
Realized loss on derivatives | -3,346 | -1,063 |
Interest rate swap contracts | Unrealized Gain (Loss) on Derivatives | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' |
Unrealized gain (loss) on derivatives | -15,870 | 3,115 |
Interest rate swaptions | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' |
Totals | -4,159 | 329 |
Interest rate swaptions | Unrealized Gain (Loss) on Derivatives | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' |
Unrealized gain (loss) on derivatives | ($4,159) | $329 |
Commitments_and_Contingencies_
Commitments and Contingencies (Details) (USD $) | 3 Months Ended | |
Mar. 31, 2014 | Mar. 31, 2013 | |
Other Commitments [Line Items] | ' | ' |
Gross Equity Raised Threshold Used in Calculation of Management Fee | $1,000,000,000 | ' |
Management fee | 912,000 | 563,000 |
ARRM | ' | ' |
Other Commitments [Line Items] | ' | ' |
Management fee | $84,000 | $11,000 |
Gross Equity Raised up to One Billion U.S. Dollars | ' | ' |
Other Commitments [Line Items] | ' | ' |
Percentage of Gross Equity Raised Used in Calculation of Management Fee | 1.50% | ' |
Gross Equity Raised in Excess of One Billion U.S. Dollars | ' | ' |
Other Commitments [Line Items] | ' | ' |
Percentage of Gross Equity Raised Used in Calculation of Management Fee | 1.00% | ' |
StockBased_Compensation_Detail
Stock-Based Compensation (Details) | Mar. 31, 2014 |
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) | 360,000 |
Stockholders_Equity_Details_Co
Stockholders' Equity (Details) - Common Stock Dividend Transactions (USD $) | 0 Months Ended | 3 Months Ended | ||||||
In Thousands, except Per Share data, unless otherwise specified | Mar. 28, 2014 | Mar. 17, 2014 | Feb. 27, 2014 | Feb. 14, 2014 | Jan. 30, 2014 | Jan. 15, 2014 | Mar. 31, 2014 | Mar. 31, 2013 |
Equity [Abstract] | ' | ' | ' | ' | ' | ' | ' | ' |
Dividends declared per share (in usd per share) | ' | $0.15 | ' | $0.15 | ' | $0.15 | ' | ' |
Rate per common share (in usd per share) | $0.15 | ' | $0.15 | ' | $0.15 | ' | $0.45 | $0.69 |
Aggregate amount paid to holders of record (in Dollars) | $1,799 | ' | $1,799 | ' | $1,799 | ' | $5,397 | $5,175 |
Income_Taxes_Details
Income Taxes (Details) (USD $) | 0 Months Ended | 3 Months Ended | ||||
In Thousands, except Per Share data, unless otherwise specified | Mar. 28, 2014 | Feb. 27, 2014 | Jan. 30, 2014 | Mar. 31, 2014 | Mar. 31, 2013 | Dec. 31, 2013 |
Income Tax Disclosure [Abstract] | ' | ' | ' | ' | ' | ' |
Amount of aggregate tax basis of assets and liabilities in excess of stockholders' equity | ' | ' | ' | ($33,239) | ' | ' |
Amount of aggregate tax basis of assets and liabilities in excess of stockholders equity (in dollars per share) | ' | ' | ' | ($2.77) | ' | ' |
Common Stock, shares outstanding (in Shares) | ' | ' | ' | 11,996 | ' | 11,993 |
Aggregate amount paid to holders of record (in Dollars) | 1,799 | 1,799 | 1,799 | 5,397 | 5,175 | ' |
Estimated taxable income available for dividends | ' | ' | ' | $5,178 | ' | ' |
Income_Taxes_Details_Reconcili
Income Taxes (Details) - Reconciliation of GAAP Net Income to Estimated REIT Taxable Income (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Income Tax Disclosure [Abstract] | ' | ' |
GAAP net income (loss) | ($1,863) | $10,976 |
Book to tax differences: | ' | ' |
Net book to tax differences on Non-Agency Securities and Linked Transactions | -3,696 | -1,726 |
Gain on sale of Agency Securities | -8,810 | 0 |
Amortization of deferred hedging gains | 145 | 0 |
Net premium amortization differences | -628 | 0 |
Unrealized (gain) loss on derivatives | 20,029 | -3,444 |
Other | 1 | 2 |
Estimated taxable income | $5,178 | $5,808 |
Related_Party_Transactions_Det
Related Party Transactions (Details) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2014 | Mar. 31, 2013 |
Related Party Transaction [Line Items] | ' | ' |
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 | $912 | $563 |
Sub-manager agreement monthly retainer fee | 115 | ' |
Percentage of monthly management fee | 25.00% | ' |
ARRM | ' | ' |
Related Party Transaction [Line Items] | ' | ' |
Management fee | $84 | $11 |
Subsequent_events_Details
Subsequent events (Details) (USD $) | 0 Months Ended | 3 Months Ended | 0 Months Ended | ||||
Mar. 28, 2014 | Feb. 27, 2014 | Jan. 30, 2014 | Mar. 31, 2014 | Mar. 31, 2013 | Apr. 29, 2014 | Apr. 30, 2014 | |
Subsequent Event | Subsequent Event | ||||||
Subsequent Event [Line Items] | ' | ' | ' | ' | ' | ' | ' |
Securities for reverse repurchase agreements in year one and two | ' | ' | ' | ' | ' | ' | $50,000,000 |
Securities For reverse repurchase agreements in year three | ' | ' | ' | ' | ' | ' | 30,000,000 |
Dividends paid per common share (in usd per share) | $0.15 | $0.15 | $0.15 | $0.45 | $0.69 | $0.15 | ' |
Payments of Ordinary Dividends, Common Stock (in Dollars) | $1,799,000 | $1,799,000 | $1,799,000 | $5,397,000 | $5,175,000 | $1,799,000 | ' |