Document_And_Entity_Informatio
Document And Entity Information (USD $) | 12 Months Ended | ||
Dec. 31, 2014 | Feb. 25, 2015 | Jun. 30, 2014 | |
Document and Entity Information [Abstract] | |||
Entity Registrant Name | JAVELIN MORTGAGE INVESTMENT CORP. | ||
Entity Central Index Key | 1552890 | ||
Current Fiscal Year End Date | -19 | ||
Entity Filer Category | Non-accelerated Filer | ||
Document Type | 10-K | ||
Document Period End Date | 31-Dec-14 | ||
Document Fiscal Year Focus | 2014 | ||
Document Fiscal Period Focus (Q1,Q2,Q3,FY) | FY | ||
Amendment Flag | FALSE | ||
Entity Common Stock, Shares Outstanding | 11,985,293 | ||
Entity Well-known Seasoned Issuer | No | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Public Float | $165,209,601 |
Balance_Sheet
Balance Sheet (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Assets | ||
Cash | $29,882 | $41,524 |
Cash collateral posted to counterparties | 3,209 | 648 |
Agency Securities, available for sale, at fair value (including pledged securities of $1,071,298 and $770,172) | 1,075,521 | 801,777 |
Non-Agency Securities, trading, at fair value (including pledged securities of $158,931 and $143,080) | 158,931 | 143,399 |
Linked Transactions, net, at fair value (including pledged securities of $8,940 and $140,945) | 2,532 | 16,322 |
Derivatives, at fair value | 7,321 | 59,703 |
Accrued interest receivable | 2,792 | 2,336 |
Prepaid and other assets | 713 | 623 |
Total Assets | 1,280,901 | 1,066,332 |
Liabilities: | ||
Repurchase agreements | 1,134,387 | 839,405 |
Cash collateral posted by counterparties | 2,876 | 53,314 |
Derivatives, at fair value | 2,603 | 0 |
Accrued interest payable | 696 | 611 |
Accounts payable and other accrued expenses | 731 | 1,722 |
Total Liabilities | 1,141,293 | 895,052 |
Commitments and Contingencies | ||
Stockholders’ Equity: | ||
Preferred stock, $0.001 par value, 25,000 shares authorized and none issued and outstanding at December 31, 2014 and December 31, 2013. | 0 | 0 |
Common stock, $0.001 par value, 250,000 shares authorized, 11,985 shares and 11,993 shares issued and outstanding at December 31, 2014 and December 31, 2013. | 12 | 12 |
Additional paid-in capital | 243,892 | 243,951 |
Accumulated deficit | -112,899 | -69,540 |
Accumulated other comprehensive income (loss) | 8,603 | -3,143 |
Total Stockholders’ Equity | 139,608 | 171,280 |
Total Liabilities and Stockholders’ Equity | $1,280,901 | $1,066,332 |
Balance_Sheet_Parentheticals
Balance Sheet (Parentheticals) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, except Share data, unless otherwise specified | ||
Preferred stock, par value (in dollars per share) | $0.00 | $0.00 |
Preferred stock, shares authorized (in shares) | 25,000,000 | 25,000,000 |
Preferred stock, shares issued (in Shares) | 0 | 0 |
Preferred stock, shares outstanding (in Shares) | 0 | 0 |
Common stock, par value (in Dollars per share) | $0.00 | $0.00 |
Common stock, shares authorized (in Shares) | 250,000,000 | 250,000,000 |
Common Shares of record end of period | 11,985,000 | 11,993,000 |
Common stock, shares outstanding (in Shares) | 11,985,000 | 11,993,000 |
Agency securities pledged | $1,071,298 | $770,172 |
Non-agency securities pledged | 158,931 | 143,080 |
Linked Transactions | ||
Linked transactions pledged assets | $8,940 | $140,945 |
Statement_of_Operations
Statement of Operations (USD $) | 6 Months Ended | 12 Months Ended | ||||
In Thousands, except Per Share data, unless otherwise specified | Dec. 31, 2012 | Dec. 31, 2014 | Dec. 31, 2013 | |||
Interest Income: | ||||||
Agency Securities, net of amortization of premium | $6,767 | $30,541 | $35,081 | |||
Non-Agency Securities, including discount accretion | 1,421 | 9,782 | 7,975 | |||
Total Interest Income | 8,188 | 40,323 | 43,056 | |||
Interest expense | -1,455 | -6,635 | -7,332 | |||
Net Interest Income | 6,733 | 33,688 | 35,724 | |||
Other Income (Loss): | ||||||
Realized gain (loss) on sale of Agency Securities (reclassified from Other comprehensive income (loss)) | 0 | 8,254 | -81,045 | |||
Other than temporary impairment of Agency Securities (reclassified from Other comprehensive income (loss); no amounts remaining in Accumulated other comprehensive income (loss)) | 0 | 0 | -44,278 | |||
Gain (loss) on Non-Agency Securities | 1,124 | 559 | -977 | |||
Gain on short sale of U.S. Treasury Securities | 0 | 0 | 633 | |||
Unrealized net gain (loss) and net interest income (loss) from Linked Transactions | 0 | 10,330 | -3,352 | |||
Subtotal | 1,124 | 19,143 | -129,019 | |||
Realized loss on derivatives | -583 | [1] | -12,586 | [1] | -2,795 | [1] |
Unrealized gain (loss) on derivatives | -302 | -54,871 | 57,748 | |||
Subtotal | -885 | -67,457 | 54,953 | |||
Total Other Income (Loss) | 239 | -48,314 | -74,066 | |||
Expenses: | ||||||
Management fee | 550 | 3,658 | 3,315 | |||
Professional fees | 118 | 1,624 | 1,025 | |||
Insurance | 56 | 434 | 280 | |||
Board compensation | 55 | 715 | 292 | |||
Other | 49 | 702 | 518 | |||
Total Expenses | 828 | 7,133 | 5,430 | |||
Net income (loss) before taxes | 6,144 | -21,759 | -43,772 | |||
Income tax expense | -46 | 0 | -2 | |||
Net Income (Loss) | $6,098 | ($21,759) | ($43,774) | |||
Net income (loss) per common share (in Dollars per share) | $1.88 | ($1.81) | ($3.89) | |||
Weighted average common shares outstanding (in Shares) | 3,247 | 12,000 | 11,257 | |||
[1] | Interest expense related to our interest rate swap contracts is recorded in realized losses on derivatives on the statements of operations. For additional information see Note 10 to the consolidated financial statements. |
Statements_of_Comprehensive_In
Statements of Comprehensive Income (Loss) (Unaudited) (USD $) | 6 Months Ended | 12 Months Ended | |
In Thousands, unless otherwise specified | Dec. 31, 2012 | Dec. 31, 2014 | Dec. 31, 2013 |
Statement of Comprehensive Income [Abstract] | |||
Net Income (Loss) | $6,098 | ($21,759) | ($43,774) |
Other comprehensive income (loss): | |||
Reclassification adjustment for realized (gain) loss on sale of available for sale Agency Securities | 0 | -8,254 | 81,045 |
Reclassification adjustment for other than temporary impairment of available for sale Agency Securities | 0 | 0 | 44,278 |
Net unrealized gain (loss) on available for sale Agency Securities | -4,602 | 20,000 | -123,864 |
Other comprehensive income (loss) | -4,602 | 11,746 | 1,459 |
Comprehensive Income (Loss) | $1,496 | ($10,013) | ($42,315) |
Statement_of_Stockholders_Equi
Statement of Stockholders' Equity (USD $) | Total | Common Stock | Additional Paid-In Capital | Retained Earnings (Accumulated Deficit) | Accumulated Other Comprehensive (Income) Loss |
In Thousands, unless otherwise specified | |||||
Beginning Balance at Jun. 20, 2012 | $0 | $0 | $0 | $0 | $0 |
Beginning Balance (in Shares) at Jun. 20, 2012 | 0 | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||
Common stock dividends declared | -3,450 | -3,450 | |||
Issuance of common stock, net (in Shares) | 7,500 | ||||
Issuance of common stock, net | 150,001 | 8 | 149,993 | ||
Net Income (Loss) | 6,098 | 6,098 | |||
Other comprehensive income | -4,602 | -4,602 | |||
Ending Balance at Dec. 31, 2012 | 148,047 | 8 | 149,993 | 2,648 | -4,602 |
Ending Balance (in Shares) at Dec. 31, 2012 | 7,500 | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||
Common stock dividends declared | -28,414 | -28,414 | |||
Issuance of common stock, net (in Shares) | 6,000 | ||||
Issuance of common stock, net | 113,163 | 6 | 113,157 | ||
Common stock repurchased (in Shares) | -1,507 | ||||
Common stock repurchased | -19,201 | -2 | -19,199 | ||
Net Income (Loss) | -43,774 | -43,774 | |||
Other comprehensive income | 1,459 | 1,459 | |||
Ending Balance at Dec. 31, 2013 | 171,280 | 12 | 243,951 | -69,540 | -3,143 |
Ending Balance (in Shares) at Dec. 31, 2013 | 11,993 | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||
Common stock dividends declared | -21,600 | -21,600 | |||
Issuance of common stock, net (in Shares) | 32 | ||||
Issuance of common stock, net | 358 | 358 | |||
Stock based compensation, net of withholding requirements (in Shares) | 14 | ||||
Stock based compensation, net of withholding requirements | 174 | 174 | |||
Common stock repurchased (in Shares) | -54 | ||||
Common stock repurchased | -591 | -591 | |||
Net Income (Loss) | -21,759 | -21,759 | |||
Other comprehensive income | 11,746 | 11,746 | |||
Ending Balance at Dec. 31, 2014 | $139,608 | $12 | $243,892 | ($112,899) | $8,603 |
Ending Balance (in Shares) at Dec. 31, 2014 | 11,985 |
Statements_of_Cash_Flows_Unaud
Statements of Cash Flows (Unaudited) (USD $) | 6 Months Ended | 12 Months Ended | |
In Thousands, unless otherwise specified | Dec. 31, 2012 | Dec. 31, 2014 | Dec. 31, 2013 |
Net Cash Provided by (Used in) Operating Activities, Continuing Operations [Abstract] | |||
Net Income (Loss) | $6,098 | ($21,759) | ($43,774) |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | |||
Net amortization of premium on Agency Securities | 368 | 4,255 | 5,701 |
Accretion of net discount on Non-Agency Securities | -225 | -546 | 762 |
Net (gain) loss on Non-Agency Securities | -1,124 | -559 | 977 |
(Gain) Loss on sale of Agency Securities | 0 | -8,254 | 81,045 |
Other than temporary impairment of Agency Securities | 0 | 0 | 44,278 |
Unrealized net (gain) loss and net interest income (loss) from Linked Transactions | 0 | -10,330 | 3,352 |
Gain on short sale of U.S. Treasury Securities | 0 | 0 | -633 |
Stock based compensation | 0 | 174 | 0 |
Changes in operating assets and liabilities: | |||
(Increase) decrease in accrued interest receivable | -2,759 | -456 | 423 |
Increase in prepaid and other assets | -171 | -90 | -452 |
Increase (decrease) in derivatives, at fair value | -4,575 | 54,985 | -55,128 |
Increase (decrease) in accrued interest payable | 844 | 85 | -233 |
Increase (decrease) in accounts payable and other accrued expenses | 251 | -1,208 | 379 |
Net cash provided by (used in) operating activities | -1,293 | 16,297 | 36,697 |
Cash Flows From Investing Activities: | |||
Purchases of Agency Securities | -1,123,594 | -1,391,296 | -899,127 |
Purchases of Non-Agency Securities | -131,077 | -32,397 | -38,332 |
Cash receipts (disbursements) on Linked Transactions | 0 | 16,839 | -19,674 |
Principal repayments of Agency Securities | 6,266 | 104,448 | 95,690 |
Principal repayments of Non-Agency Securities | 2,480 | 15,494 | 21,788 |
Proceeds from sales of Agency Securities | 0 | 1,028,849 | 984,453 |
Proceeds from sales of Non-Agency Securities | 0 | 9,757 | 1,352 |
Disbursements on reverse repurchase agreements | 0 | 0 | -1,265,400 |
Principal receipts on reverse repurchase agreements | 0 | 0 | 1,265,400 |
(Increase) decrease in cash collateral | 1,153 | -52,999 | 51,513 |
Net cash provided by (used in) investing activities | -1,244,772 | -301,305 | 197,663 |
Cash Flows From Financing Activities: | |||
Issuance of common stock, net of expenses | 150,001 | 358 | 113,163 |
Proceeds from repurchase agreements | 2,644,202 | 7,971,302 | 9,307,401 |
Principal repayments on repurchase agreements | -1,508,372 | -7,676,320 | -9,603,826 |
Proceeds from sales of U.S. Treasury Securities | 0 | 0 | 301,512 |
Purchases of U.S. Treasury Securities | 0 | 0 | -300,879 |
Common stock dividends paid | -3,450 | -21,600 | -28,414 |
Common stock repurchased | 0 | -374 | -18,109 |
Net cash provided by (used in) financing activities | 1,282,381 | 273,366 | -229,152 |
Net increase (decrease) in cash | 36,316 | -11,642 | 5,208 |
Cash - beginning of year and at June 21, 2012 | 0 | 41,524 | 36,316 |
Cash - end of year | 36,316 | 29,882 | 41,524 |
Supplemental Disclosure: | |||
Cash paid for income taxes | 0 | 0 | 48 |
Cash paid during the year for interest | 588 | 20,741 | 12,079 |
Non-Cash Investing and Financing Activities: | |||
Unrealized gain (loss) on investment in available for sale securities | -4,602 | 20,000 | -123,864 |
Linked Transaction Value of Purchased Non-Agency Securities | 0 | 7,281 | 0 |
Amounts payable for common stock repurchased | $0 | ($217) | ($1,092) |
Basis_of_Presentation
Basis of Presentation | 12 Months Ended |
Dec. 31, 2014 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Basis of Presentation | Basis of Presentation |
The accompanying consolidated financial statements have been prepared in accordance with generally accepted accounting principles in the U.S. (“GAAP”). The consolidated financial statements include the accounts of JAVELIN Mortgage Investment Corp. and its subsidiary. All intercompany accounts and transactions have been eliminated.The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. Significant estimates affecting the accompanying consolidated financial statements include the valuation of MBS (as defined below) and derivative instruments. |
Organization_and_Nature_of_Bus
Organization and Nature of Business Operations | 12 Months Ended |
Dec. 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 "ACM" are to ARMOUR Capital Management LP, a Delaware limited partnership, formerly known as ARMOUR Residential Management LLC. On December 19, 2014, ARMOUR Residential Management LLC, our external manager under the Management Agreement, changed its name to ARMOUR Capital Management LP and converted from a Delaware limited liability company to a Delaware limited partnership, and continued as the manager under the same Management Agreement (the "Conversion"). | |
We are an externally managed Maryland corporation managed by ACM, an investment advisor registered with the SEC (see Note 11, “Commitments and Contingencies” and Note 16, “Related Party Transactions” for additional discussion). We invest primarily in fixed rate and hybrid adjustable rate mortgage backed securities. Some of these securities may be 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, 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. | |
On June 21, 2012, a nominal initial capital contribution was made to us. The registration statement for our initial public offering 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 of our common stock on October 9, 2012. |
Summary_of_Significant_Account
Summary of Significant Accounting Policies | 12 Months Ended |
Dec. 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 To/By Counterparties | |
Cash collateral posted to/by counterparties represents cash posted by us to counterparties or posted by counterparties to us as collateral for our interest rate swap contracts (including swaptions) 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, Available For Sale | |
At December 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 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, Trading | |
At December 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. | |
Receivables and Payables for Unsettled Sales and Purchases | |
We account for purchases and sales of securities on the trade date, including purchases and sales for forward settlement. Receivables and payables for unsettled trades represent the agreed trade price times the outstanding balance of the securities at the balance sheet date. | |
Accrued Interest Receivable and Payable | |
Accrued interest receivable includes interest accrued between payment dates on MBS. Accrued interest payable includes interest payable on our repurchase agreements. | |
Repurchase Agreements | |
We finance the acquisition of our MBS through the use of repurchase agreements. Our repurchase agreements are secured by our MBS and bear interest rates that have historically moved in close relationship to the Federal Funds Rate and the London Interbank Offered Rate (“LIBOR”). Under these repurchase agreements, we sell MBS to a lender and agree to repurchase the same MBS in the future for a price that is higher than the original sales price. The difference between the sales price that we receive and the repurchase price that we pay represents interest paid to the lender. A repurchase agreement operates as a financing arrangement (with the exception of repurchase agreements accounted for as a component of a Linked Transaction described below) under which we pledge our MBS as collateral to secure a loan which is equal in value to a specified percentage of the estimated fair value of the pledged collateral. We retain beneficial ownership of the pledged collateral. At the maturity of a repurchase agreement, we are required to repay the loan and concurrently receive back our pledged collateral from the lender or, with the consent of the lender, we may renew such agreement at the then prevailing interest rate. The repurchase agreements may require us to pledge additional assets to the lender in the event the estimated fair value of the existing pledged collateral declines. | |
In addition to the repurchase agreement financing discussed above we have entered into reverse repurchase agreements with certain of our repurchase agreement counterparties. Under a typical reverse repurchase agreement, we purchase U.S. Treasury Securities from a borrower in exchange for cash and agree to sell the same securities in the future in exchange for a price that is higher than the original purchase price. The difference between the purchase price originally paid and the sale price represents interest received from the borrower. Reverse repurchase agreement receivables and repurchase agreement liabilities are presented net when they meet certain criteria, including being with the same counterparty, being governed by the same master repurchase agreement ("MRA"), settlement through the same brokerage or clearing account and maturing on the same day. We did not have any reverse repurchase agreements outstanding at December 31, 2014 or December 31, 2013. | |
Obligations to Return Securities Received as Collateral, at Fair Value | |
At certain times, we also sell to third parties the U.S. Treasury Securities received as collateral for reverse repurchase agreements and recognize the resulting obligation to return said U.S. Treasury Securities as a liability on our consolidated balance sheets. Interest is recorded on the repurchase agreements, reverse repurchase agreements and U.S. Treasury Securities sold short on an accrual basis and presented as net interest expense. Both parties to the transaction have the right to make daily margin calls based on changes in the fair value of the collateral received and/or pledged. We did not have any obligations to return securities received as collateral at December 31, 2014 or December 31, 2013. | |
Derivatives, at Fair Value | |
We recognize all derivatives as either assets or liabilities at fair value on our consolidated balance sheets. All changes in the fair values of our derivatives are reflected in our consolidated statements of operations. We 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/(losses) and net interest income (loss) from Linked Transactions” on our statements of operations and are not included in other comprehensive income (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. | |
Preferred Stock | |
At December 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 December 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 11,985 shares of common stock issued and outstanding at December 31, 2014 and 11,993 issued and outstanding at December 31, 2013. | |
Common Stock Repurchased | |
On March 5, 2014, our Board increased the authorization under the Repurchase Program to 3,000 shares of our common stock outstanding (the “Repurchase Program”). Under the Repurchase Program shares may be purchased in the open market, including block trades, through privately negotiated transactions, or pursuant to a trading plan separately adopted in the future. The timing, manner, price and amount of any repurchases will be at our discretion, subject to the requirements of the Securities Exchange Act of 1934, as amended, and related rules. We are not required to repurchase any shares under the Repurchase Program and it may be modified, suspended or terminated at any time for any reason. We do not intend to purchase shares from our Board or other affiliates. Under Maryland law, such repurchased shares are treated as authorized but unissued. During the year ended December 31, 2014, we repurchased 54 shares of our common stock under the Repurchase Program for an aggregate cost of $591. At December 31, 2014, there were 1,439 authorized shares remaining 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 Multi-Family MBS, which are generally not subject to prepayment, are amortized or accreted into interest income over the contractual lives of the securities using a level yield method. Premiums and discounts associated with the purchase of other Agency Securities are amortized or accreted into interest income over the actual lives of the securities, reflecting actual prepayments as they occur. | |
Interest income on Non-Agency Securities is recognized using the effective yield method over the life of the securities based on the future cash flows expected to be received. Future cash flow projections and related effective yields are determined for each security and updated quarterly. Other than temporary impairments, which establish a new cost basis in the security for purposes of calculating effective yields, are recognized when the fair value of a security is less than its cost basis and there has been an adverse change in the future cash flows expected to be received. Other changes in future cash flows expected to be received are recognized prospectively over the remaining life of the security. | |
Comprehensive Income (Loss) | |
Comprehensive income (loss) refers to changes in equity during a period from transactions and other events and circumstances from non-owner sources. It includes all changes in equity during a period, except those resulting from investments by owners and distributions to owners. |
Recent_Accounting_Pronouncemen
Recent Accounting Pronouncements | 12 Months Ended |
Dec. 31, 2014 | |
Accounting Changes and Error Corrections [Abstract] | |
Recent Accounting Pronouncements | Recent Accounting Pronouncements |
In June 2014, the Financial Accounting Standards Board released ASU No. 2014-11, Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures, Transfers and Servicing (Topic 860). The amendment changes the accounting for repurchase financing transactions, that is, a transfer of a financial asset financed by a repurchase agreement with the same counterparty. Currently, certain of these transactions are combined and accounted for as a forward contract and reported as "Linked Transactions" on our balance sheets. Under the amendment, these arrangements will no longer be presented as Linked Transactions on our consolidated balance sheets but will instead be accounted for as purchases of Non-Agency trading securities and repurchase agreement liabilities. | |
The amendment also changes the accounting for repurchase-to-maturity transactions to secured borrowing accounting. We do not currently have, and do not contemplate having, repurchase-to-maturity transactions. | |
The accounting changes are effective for the Company beginning on January 1, 2015 and early adoption is prohibited. We currently account for Linked Transactions and Non-Agency Securities all on a fair value basis. Accordingly, we expect the adoption of this amendment will have no effect on our results of operations or our accumulated deficit. | |
The amendment also requires certain additional disclosures about repurchase agreements beginning with our second quarter 2015 consolidated financial statements. |
Fair_Value_of_Financial_Instru
Fair Value of Financial Instruments | 12 Months Ended | |||||||||||||||||||
Dec. 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 posted by counterparties to us as collateral are classified as Level 2 because they are integrally related to the Company's repurchase financing and interest rate swap agreements, which 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. At December 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. At December 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. | ||||||||||||||||||||
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. | ||||||||||||||||||||
Receivables and Payables for Unsettled Sales and Purchases- The carrying amount is generally deemed to be fair value because of the relatively short time to settlement. Such receivables and payables are classified as Level 2 because they are effectively secured by the related securities and could potentially be subject to counterparty credit considerations. | ||||||||||||||||||||
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. | ||||||||||||||||||||
Obligations to Return Securities Received as Collateral - The fair value of the obligations to return securities received as collateral are based upon the prices of the related U.S. Treasury Securities obtained from a third party pricing service, which are indicative of market activity. Such obligations are classified as Level 1. | ||||||||||||||||||||
Derivative Transactions - The fair values of our interest rate swap contracts and interest rate swaptions are valued using information provided by 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 information received to dealer quotes to ensure that the current market conditions are properly reflected. The fair values of our interest rate swap contracts and our interest rate swaptions are classified as Level 2. | ||||||||||||||||||||
The following tables provide a summary of our assets and liabilities that are measured at fair value on a recurring basis at December 31, 2014 and December 31, 2013. | ||||||||||||||||||||
Quoted Prices | Significant | Significant | Balance at December 31, 2014 | |||||||||||||||||
in Active | Observable | Unobservable | ||||||||||||||||||
Markets for | Inputs | Inputs | ||||||||||||||||||
Identical Assets | (Level 2) | (Level 3) | ||||||||||||||||||
(Level 1) | ||||||||||||||||||||
Assets at Fair Value: | ||||||||||||||||||||
Agency Securities, available for sale | $ | — | $ | 1,075,521 | $ | — | $ | 1,075,521 | ||||||||||||
Non-Agency Securities, trading | $ | — | $ | — | $ | 158,931 | $ | 158,931 | ||||||||||||
Linked Transactions, net | $ | — | $ | — | $ | 2,532 | $ | 2,532 | ||||||||||||
Derivatives | $ | — | $ | 7,321 | $ | — | $ | 7,321 | ||||||||||||
Liabilities at Fair Value: | ||||||||||||||||||||
Derivatives | $ | — | $ | 2,603 | $ | — | $ | 2,603 | ||||||||||||
There were no transfers of assets or liabilities between Levels of the fair value hierarchy during the year ended December 31, 2014. | ||||||||||||||||||||
Quoted Prices | Significant | Significant | Balance at December 31, 2013 | |||||||||||||||||
in Active | Observable | Unobservable | ||||||||||||||||||
Markets for | Inputs | Inputs | ||||||||||||||||||
Identical Assets | (Level 2) | (Level 3) | ||||||||||||||||||
(Level 1) | ||||||||||||||||||||
Assets at Fair Value: | ||||||||||||||||||||
Agency Securities, available for sale | $ | — | $ | 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 at December 31, 2014 and December 31, 2013. | ||||||||||||||||||||
December 31, 2014 | Fair Value Measurements using: | |||||||||||||||||||
Carrying Value | Fair | Quoted Prices | Significant | Significant | ||||||||||||||||
Value | in Active | Observable | Unobservable | |||||||||||||||||
Markets for | Inputs | Inputs | ||||||||||||||||||
Identical Assets | (Level 2) | (Level 3) | ||||||||||||||||||
(Level 1) | ||||||||||||||||||||
Financial Assets: | ||||||||||||||||||||
Cash | $ | 29,882 | $ | 29,882 | $ | 29,882 | $ | — | $ | — | ||||||||||
Cash collateral posted to counterparties | $ | 3,209 | $ | 3,209 | $ | — | $ | 3,209 | $ | — | ||||||||||
Accrued interest receivable | $ | 2,792 | $ | 2,792 | $ | — | $ | 2,792 | $ | — | ||||||||||
Financial Liabilities: | ||||||||||||||||||||
Repurchase agreements | $ | 1,134,387 | $ | 1,134,387 | $ | — | $ | 1,134,387 | $ | — | ||||||||||
Cash collateral posted by counterparties | $ | 2,876 | $ | 2,876 | $ | — | $ | 2,876 | $ | — | ||||||||||
Accrued interest payable | $ | 696 | $ | 696 | $ | — | $ | 696 | $ | — | ||||||||||
December 31, 2013 | Fair Value Measurements using: | |||||||||||||||||||
Carrying Value | Fair | Quoted Prices | Significant | Significant | ||||||||||||||||
Value | in Active | Observable | Unobservable | |||||||||||||||||
Markets for | Inputs | Inputs | ||||||||||||||||||
Identical Assets | (Level 2) | (Level 3) | ||||||||||||||||||
(Level 1) | ||||||||||||||||||||
Financial Assets: | ||||||||||||||||||||
Cash | $ | 41,524 | $ | 41,524 | $ | 41,524 | $ | — | $ | — | ||||||||||
Cash collateral posted to counterparties | $ | 648 | $ | 648 | $ | — | $ | 648 | $ | — | ||||||||||
Accrued interest receivable | $ | 2,336 | $ | 2,336 | $ | — | $ | 2,336 | $ | — | ||||||||||
Financial Liabilities: | ||||||||||||||||||||
Repurchase agreements | $ | 839,405 | $ | 839,405 | $ | — | $ | 839,405 | $ | — | ||||||||||
Cash collateral posted by counterparties | $ | 53,314 | $ | 53,314 | $ | — | $ | 53,314 | $ | — | ||||||||||
Accrued interest payable | $ | 611 | $ | 611 | $ | — | $ | 611 | $ | — | ||||||||||
The following tables provide a summary of the changes in Level 3 assets measured at fair value on a recurring basis at December 31, 2014 and December 31, 2013 and for the period from June 21, 2012 through December 31, 2012. | ||||||||||||||||||||
Non-Agency Securities | For the Year Ended December 31, 2014 | For the Year Ended December 31, 2013 | For the Period From June 21, 2012 Through December 31, 2012 | |||||||||||||||||
Balance, beginning of period | $ | 143,399 | $ | 129,946 | $ | — | ||||||||||||||
Purchases of Non-Agency Securities, at cost | 32,397 | 38,332 | 131,077 | |||||||||||||||||
Principal repayments of Non-Agency Securities | (15,494 | ) | (21,788 | ) | (2,480 | ) | ||||||||||||||
Proceeds from the sale of Non-Agency Securities | (9,757 | ) | (1,352 | ) | — | |||||||||||||||
Gain (loss) on Non-Agency Securities | 559 | (977 | ) | 1,124 | ||||||||||||||||
Linked Transactions Value of Purchased Non-Agency Securities | 7,281 | — | — | |||||||||||||||||
Discount accretion | 546 | (762 | ) | 225 | ||||||||||||||||
Balance, end of period | $ | 158,931 | $ | 143,399 | $ | 129,946 | ||||||||||||||
Gain (loss) on Non-Agency Securities | $ | 559 | $ | (977 | ) | $ | 1,124 | |||||||||||||
Linked Transactions | For the Year Ended December 31, 2014 | For the Year Ended December 31, 2013 | For the Period From June 21, 2012 Through December 31, 2012 | |||||||||||||||||
Balance, beginning of period | $ | 16,322 | $ | — | $ | — | ||||||||||||||
Linked Transaction value of purchased Non-Agency Securities | (7,281 | ) | — | — | ||||||||||||||||
Cash (receipts) disbursements on Linked Transactions | (16,839 | ) | 19,674 | — | ||||||||||||||||
Unrealized net gain (loss) and net interest income (loss) from Linked Transactions | 10,330 | (3,352 | ) | — | ||||||||||||||||
Balance, end of period | $ | 2,532 | $ | 16,322 | $ | — | ||||||||||||||
Gain (loss) on Linked Transactions | $ | 10,330 | $ | (3,352 | ) | $ | — | |||||||||||||
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, cumulative 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) at December 31, 2014 and December 31, 2013, respectively. See Note 8, "Linked Transaction" for additional discussion of Non-Agency Securities that are accounted for as a component of Linked Transactions. | ||||||||||||||||||||
December 31, 2014 | ||||||||||||||||||||
Unobservable Level 3 Input | Minimum | Weighted | Maximum | |||||||||||||||||
Average | ||||||||||||||||||||
Cumulative default | 0 | % | 14.98 | % | 47.89 | % | ||||||||||||||
Loss severity (life) | 18.8 | % | 57.15 | % | 100 | % | ||||||||||||||
Discount rate | 4.6 | % | 5.44 | % | 6.5 | % | ||||||||||||||
Delinquency (life) | 0 | % | 13.51 | % | 46.3 | % | ||||||||||||||
Voluntary prepayments (life) | 5.2 | % | 9.02 | % | 15.5 | % | ||||||||||||||
December 31, 2013 | ||||||||||||||||||||
Unobservable Level 3 Input | Minimum | Weighted | Maximum | |||||||||||||||||
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 | % | ||||||||||||||
The tables above include the effects of the structural elements of our Non-Agency Securities (inclusive of Non-Agency Securities underlying Linked Transactions), such as subordination, over collateralization or insurance. 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 cumulative 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 voluntary prepayment rates for the life of the security. 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 | 12 Months Ended | ||||||||||||||||||||||||
Dec. 31, 2014 | |||||||||||||||||||||||||
Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||
Agency Securities, Available for Sale | Agency Securities, Available for Sale | ||||||||||||||||||||||||
All of our Agency Securities are classified as available for sale securities and, as such, are reported at their estimated fair value and changes in fair value reported as part of the statements of comprehensive income. At December 31, 2014, investments in Agency Securities accounted for 87.13% of our MBS portfolio and 86.50% of our total MBS portfolio inclusive of the Non-Agency Securities underlying our Linked Transactions. At December 31, 2013, investments in Agency Securities accounted for 84.80% of our MBS portfolio and 73.80% of our total MBS portfolio inclusive of the Non-Agency Securities underlying our Linked Transactions (see Note 8, “Linked Transactions” for additional discussion of Linked Transactions) | |||||||||||||||||||||||||
We evaluated our Agency Securities with unrealized losses at December 31, 2014 and December 31, 2013 and for the period from June 21, 2012 through December 31, 2012, 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+. At those dates, we also considered whether we intended to sell Agency Securities and whether it was more likely than not that we could meet our liquidity requirements and contractual obligations without selling Agency Securities. There was no other than temporary impairment recognized for the year ended December 31, 2014 and for the period from June 21, 2012 through December 31, 2012. 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 $(44,278) in our 2013 statements of operations, thereby establishing a new cost basis for Agency Securities with aggregate fair value of $744,600 at December 31, 2013. We also determined that at December 31, 2013, there was no other than temporary impairment of our other Agency Securities, which were primarily 20-year and 15-year fixed rate securities. We previously determined that at December 31, 2012, there was no other than temporary impairment. | |||||||||||||||||||||||||
At December 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 at December 31, 2014 are also presented below. All of our Agency Securities are fixed rate securities with a weighted average coupon of 3.25% at December 31, 2014. | |||||||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||||||
Amortized Cost | Gross Unrealized Loss | Gross Unrealized Gain | Fair Value | Percent of Total | |||||||||||||||||||||
Fannie Mae | |||||||||||||||||||||||||
Multi-Family MBS | $ | 230,799 | $ | — | $ | 2,903 | $ | 233,702 | 21.73 | % | |||||||||||||||
15 Year Fixed | 790,238 | (26 | ) | 6,031 | 796,243 | 74.03 | % | ||||||||||||||||||
20 Year Fixed | 45,881 | (652 | ) | 347 | 45,576 | 4.24 | % | ||||||||||||||||||
Total Fannie Mae | $ | 1,066,918 | $ | (678 | ) | $ | 9,281 | $ | 1,075,521 | 100 | % | ||||||||||||||
Total Agency Securities | $ | 1,066,918 | $ | (678 | ) | $ | 9,281 | $ | 1,075,521 | ||||||||||||||||
At December 31, 2013, we had the following securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities at December 31, 2013 are also presented below. All of our Agency Securities were fixed rate securities with a weighted average coupon of 3.14% at 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 at December 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
December 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||
Weighted Average Life of all Agency Securities | Fair Value | Amortized Cost | Fair Value | Amortized Cost | |||||||||||||||||||||
Less than one year | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||
Greater than or equal to one year and less than three years | — | — | — | — | |||||||||||||||||||||
Greater than or equal to three years and less than five years | 702,485 | 697,385 | 28,279 | 29,336 | |||||||||||||||||||||
Greater than or equal to five years | 373,036 | 369,533 | 773,498 | 775,584 | |||||||||||||||||||||
Total Agency Securities | $ | 1,075,521 | $ | 1,066,918 | $ | 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 at December 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 at December 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
Unrealized Loss Position For: | |||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||||
As of | Fair Value | Unrealized | Unrealized | Unrealized | |||||||||||||||||||||
Losses | Fair Value | Losses | Fair Value | Losses | |||||||||||||||||||||
December 31, 2014 | $ | 58,363 | $ | (26 | ) | $ | 27,640 | $ | (652 | ) | $ | 86,003 | $ | (678 | ) | ||||||||||
December 31, 2013 | $ | — | $ | — | $ | 57,167 | $ | (3,143 | ) | $ | 57,167 | $ | (3,143 | ) | |||||||||||
During the year ended December 31, 2014 we sold $1,028,849 of Agency Securities, resulting in a realized gain of $8,254. During the year ended December 31, 2013, we sold $984,453 of Agency Securities, resulting in a realized loss of $(81,045). For the period from June 21, 2012 through December 31, 2012, we did not sell any Agency Securities. Sales of Agency Securities are done to reposition our securities portfolio and to reach our target level of liquidity. | |||||||||||||||||||||||||
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 consolidated statements of operations in the period in which they occur. | |||||||||||||||||||||||||
During the year ended December 31, 2014, we completed the purchase of Non-Agency Securities with a fair value of $22,322 that were previously treated as Linked Transactions with repayment at maturity of related repurchase agreement borrowings of $15,042. | |||||||||||||||||||||||||
At December 31, 2014, investments in Non-Agency Securities accounted for 12.87% of our MBS portfolio and 13.50% of our total MBS portfolio inclusive of the Non-Agency Securities underlying our Linked Transactions (see Note 8,“Linked Transactions” for additional discussion of Linked Transactions). | |||||||||||||||||||||||||
The components of the carrying value of our Non-Agency Securities at December 31, 2014 are presented in the table below. | |||||||||||||||||||||||||
Non-Agency Securities | |||||||||||||||||||||||||
December 31, 2014 | Fair Value | Amortized | Principal | Weighted | |||||||||||||||||||||
Cost | Amount | Average | |||||||||||||||||||||||
Coupon | |||||||||||||||||||||||||
Prime Fixed | $ | 41,288 | $ | 40,894 | $ | 47,806 | 5.43 | % | |||||||||||||||||
Prime Hybrid | 15,592 | 13,982 | 18,565 | 2.29 | % | ||||||||||||||||||||
Prime Floater | 18,625 | 19,380 | 19,750 | 4.22 | % | ||||||||||||||||||||
Alt-A Fixed | 75,072 | 70,986 | 88,965 | 5.99 | % | ||||||||||||||||||||
Alt-A Hybrid | 8,354 | 7,972 | 9,998 | 2.5 | % | ||||||||||||||||||||
Total Non-Agency Securities | $ | 158,931 | $ | 153,214 | $ | 185,084 | 5.09 | % | |||||||||||||||||
At December 31, 2013, investments in Non-Agency Securities accounted for 15.20% of our MBS portfolio and 26.2% of our total MBS portfolio inclusive of the Non-Agency Securities underlying our Linked Transactions (see Note 8, "Linked Transactions" for additional discussion of Linked Transactions. | |||||||||||||||||||||||||
The components of the carrying value of our Non-Agency Securities at December 31, 2013 are presented in the table below. | |||||||||||||||||||||||||
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 at December 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 at December 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
The following table summarizes the weighted average lives of our Non-Agency Securities at December 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
December 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||
Weighted Average Life of all Non-Agency Securities | Fair Value | Amortized Cost | Fair Value | Amortized | |||||||||||||||||||||
Cost | |||||||||||||||||||||||||
Less than one year | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||
Greater than or equal to one year and less than three years | — | — | — | — | |||||||||||||||||||||
Greater than or equal to three years and less than five years | 20,045 | 19,866 | 36,581 | 35,254 | |||||||||||||||||||||
Greater than or equal to five years | 138,886 | 133,348 | 106,818 | 104,422 | |||||||||||||||||||||
Total Non-Agency Securities | $ | 158,931 | $ | 153,214 | $ | 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 at December 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 at December 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
Unrealized Loss Position For: | |||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||||
As of | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | |||||||||||||||||||
December 31, 2014 | $ | 19,166 | $ | (1,029 | ) | $ | 5,893 | $ | (296 | ) | $ | 25,059 | $ | (1,325 | ) | ||||||||||
December 31, 2013 | $ | 42,095 | $ | (1,089 | ) | $ | — | $ | — | $ | 42,095 | $ | (1,089 | ) | |||||||||||
Our Non-Agency Securities are subject to risk of loss with regard to principal and interest payments and at December 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. | |||||||||||||||||||||||||
During the year ended December 31, 2014 we sold $9,757 of Non-Agency Securities resulting in a realized gain of $396. During the year ended December 31, 2013 we sold $1,352 of Non-Agency Securities resulting in a realized loss of $(97) For the period from June 21, 2012 through December 31, 2012, we did not sell any Non-Agency Securities. Sales of Non-Agency Securities are done to reposition our securities portfolio and to reach our target level of liquidity. | |||||||||||||||||||||||||
In April 2014, we entered in to a long term collateral exchange agreement whereby we will receive approximately $50,000 of U.S. Treasury Securities or cash for two years (declining to $30,000 for a third year) in exchange for certain of our Non-Agency Securities. At December 31, 2014, our repurchase agreement balance on our consolidated balance sheet includes borrowing against these U.S. Treasury Securities pledged to us under this agreement. |
NonAgency_Securities_Trading
Non-Agency Securities, Trading | 12 Months Ended | ||||||||||||||||||||||||
Dec. 31, 2014 | |||||||||||||||||||||||||
Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||
Non-Agency Securities, Trading | Agency Securities, Available for Sale | ||||||||||||||||||||||||
All of our Agency Securities are classified as available for sale securities and, as such, are reported at their estimated fair value and changes in fair value reported as part of the statements of comprehensive income. At December 31, 2014, investments in Agency Securities accounted for 87.13% of our MBS portfolio and 86.50% of our total MBS portfolio inclusive of the Non-Agency Securities underlying our Linked Transactions. At December 31, 2013, investments in Agency Securities accounted for 84.80% of our MBS portfolio and 73.80% of our total MBS portfolio inclusive of the Non-Agency Securities underlying our Linked Transactions (see Note 8, “Linked Transactions” for additional discussion of Linked Transactions) | |||||||||||||||||||||||||
We evaluated our Agency Securities with unrealized losses at December 31, 2014 and December 31, 2013 and for the period from June 21, 2012 through December 31, 2012, 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+. At those dates, we also considered whether we intended to sell Agency Securities and whether it was more likely than not that we could meet our liquidity requirements and contractual obligations without selling Agency Securities. There was no other than temporary impairment recognized for the year ended December 31, 2014 and for the period from June 21, 2012 through December 31, 2012. 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 $(44,278) in our 2013 statements of operations, thereby establishing a new cost basis for Agency Securities with aggregate fair value of $744,600 at December 31, 2013. We also determined that at December 31, 2013, there was no other than temporary impairment of our other Agency Securities, which were primarily 20-year and 15-year fixed rate securities. We previously determined that at December 31, 2012, there was no other than temporary impairment. | |||||||||||||||||||||||||
At December 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 at December 31, 2014 are also presented below. All of our Agency Securities are fixed rate securities with a weighted average coupon of 3.25% at December 31, 2014. | |||||||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||||||
Amortized Cost | Gross Unrealized Loss | Gross Unrealized Gain | Fair Value | Percent of Total | |||||||||||||||||||||
Fannie Mae | |||||||||||||||||||||||||
Multi-Family MBS | $ | 230,799 | $ | — | $ | 2,903 | $ | 233,702 | 21.73 | % | |||||||||||||||
15 Year Fixed | 790,238 | (26 | ) | 6,031 | 796,243 | 74.03 | % | ||||||||||||||||||
20 Year Fixed | 45,881 | (652 | ) | 347 | 45,576 | 4.24 | % | ||||||||||||||||||
Total Fannie Mae | $ | 1,066,918 | $ | (678 | ) | $ | 9,281 | $ | 1,075,521 | 100 | % | ||||||||||||||
Total Agency Securities | $ | 1,066,918 | $ | (678 | ) | $ | 9,281 | $ | 1,075,521 | ||||||||||||||||
At December 31, 2013, we had the following securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities at December 31, 2013 are also presented below. All of our Agency Securities were fixed rate securities with a weighted average coupon of 3.14% at 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 at December 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
December 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||
Weighted Average Life of all Agency Securities | Fair Value | Amortized Cost | Fair Value | Amortized Cost | |||||||||||||||||||||
Less than one year | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||
Greater than or equal to one year and less than three years | — | — | — | — | |||||||||||||||||||||
Greater than or equal to three years and less than five years | 702,485 | 697,385 | 28,279 | 29,336 | |||||||||||||||||||||
Greater than or equal to five years | 373,036 | 369,533 | 773,498 | 775,584 | |||||||||||||||||||||
Total Agency Securities | $ | 1,075,521 | $ | 1,066,918 | $ | 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 at December 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 at December 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
Unrealized Loss Position For: | |||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||||
As of | Fair Value | Unrealized | Unrealized | Unrealized | |||||||||||||||||||||
Losses | Fair Value | Losses | Fair Value | Losses | |||||||||||||||||||||
December 31, 2014 | $ | 58,363 | $ | (26 | ) | $ | 27,640 | $ | (652 | ) | $ | 86,003 | $ | (678 | ) | ||||||||||
December 31, 2013 | $ | — | $ | — | $ | 57,167 | $ | (3,143 | ) | $ | 57,167 | $ | (3,143 | ) | |||||||||||
During the year ended December 31, 2014 we sold $1,028,849 of Agency Securities, resulting in a realized gain of $8,254. During the year ended December 31, 2013, we sold $984,453 of Agency Securities, resulting in a realized loss of $(81,045). For the period from June 21, 2012 through December 31, 2012, we did not sell any Agency Securities. Sales of Agency Securities are done to reposition our securities portfolio and to reach our target level of liquidity. | |||||||||||||||||||||||||
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 consolidated statements of operations in the period in which they occur. | |||||||||||||||||||||||||
During the year ended December 31, 2014, we completed the purchase of Non-Agency Securities with a fair value of $22,322 that were previously treated as Linked Transactions with repayment at maturity of related repurchase agreement borrowings of $15,042. | |||||||||||||||||||||||||
At December 31, 2014, investments in Non-Agency Securities accounted for 12.87% of our MBS portfolio and 13.50% of our total MBS portfolio inclusive of the Non-Agency Securities underlying our Linked Transactions (see Note 8,“Linked Transactions” for additional discussion of Linked Transactions). | |||||||||||||||||||||||||
The components of the carrying value of our Non-Agency Securities at December 31, 2014 are presented in the table below. | |||||||||||||||||||||||||
Non-Agency Securities | |||||||||||||||||||||||||
December 31, 2014 | Fair Value | Amortized | Principal | Weighted | |||||||||||||||||||||
Cost | Amount | Average | |||||||||||||||||||||||
Coupon | |||||||||||||||||||||||||
Prime Fixed | $ | 41,288 | $ | 40,894 | $ | 47,806 | 5.43 | % | |||||||||||||||||
Prime Hybrid | 15,592 | 13,982 | 18,565 | 2.29 | % | ||||||||||||||||||||
Prime Floater | 18,625 | 19,380 | 19,750 | 4.22 | % | ||||||||||||||||||||
Alt-A Fixed | 75,072 | 70,986 | 88,965 | 5.99 | % | ||||||||||||||||||||
Alt-A Hybrid | 8,354 | 7,972 | 9,998 | 2.5 | % | ||||||||||||||||||||
Total Non-Agency Securities | $ | 158,931 | $ | 153,214 | $ | 185,084 | 5.09 | % | |||||||||||||||||
At December 31, 2013, investments in Non-Agency Securities accounted for 15.20% of our MBS portfolio and 26.2% of our total MBS portfolio inclusive of the Non-Agency Securities underlying our Linked Transactions (see Note 8, "Linked Transactions" for additional discussion of Linked Transactions. | |||||||||||||||||||||||||
The components of the carrying value of our Non-Agency Securities at December 31, 2013 are presented in the table below. | |||||||||||||||||||||||||
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 at December 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 at December 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
The following table summarizes the weighted average lives of our Non-Agency Securities at December 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
December 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||
Weighted Average Life of all Non-Agency Securities | Fair Value | Amortized Cost | Fair Value | Amortized | |||||||||||||||||||||
Cost | |||||||||||||||||||||||||
Less than one year | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||
Greater than or equal to one year and less than three years | — | — | — | — | |||||||||||||||||||||
Greater than or equal to three years and less than five years | 20,045 | 19,866 | 36,581 | 35,254 | |||||||||||||||||||||
Greater than or equal to five years | 138,886 | 133,348 | 106,818 | 104,422 | |||||||||||||||||||||
Total Non-Agency Securities | $ | 158,931 | $ | 153,214 | $ | 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 at December 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 at December 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
Unrealized Loss Position For: | |||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||||
As of | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | |||||||||||||||||||
December 31, 2014 | $ | 19,166 | $ | (1,029 | ) | $ | 5,893 | $ | (296 | ) | $ | 25,059 | $ | (1,325 | ) | ||||||||||
December 31, 2013 | $ | 42,095 | $ | (1,089 | ) | $ | — | $ | — | $ | 42,095 | $ | (1,089 | ) | |||||||||||
Our Non-Agency Securities are subject to risk of loss with regard to principal and interest payments and at December 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. | |||||||||||||||||||||||||
During the year ended December 31, 2014 we sold $9,757 of Non-Agency Securities resulting in a realized gain of $396. During the year ended December 31, 2013 we sold $1,352 of Non-Agency Securities resulting in a realized loss of $(97) For the period from June 21, 2012 through December 31, 2012, we did not sell any Non-Agency Securities. Sales of Non-Agency Securities are done to reposition our securities portfolio and to reach our target level of liquidity. | |||||||||||||||||||||||||
In April 2014, we entered in to a long term collateral exchange agreement whereby we will receive approximately $50,000 of U.S. Treasury Securities or cash for two years (declining to $30,000 for a third year) in exchange for certain of our Non-Agency Securities. At December 31, 2014, our repurchase agreement balance on our consolidated balance sheet includes borrowing against these U.S. Treasury Securities pledged to us under this agreement. |
Linked_Transactions
Linked Transactions | 12 Months Ended | ||||||||||||||||||||||||
Dec. 31, 2014 | |||||||||||||||||||||||||
Linked Transactions Disclosure [Abstract] | |||||||||||||||||||||||||
Linked Transactions Disclosure | Linked Transactions | ||||||||||||||||||||||||
Our Linked Transactions are evaluated on a combined basis, reported as forward (derivative) instruments and presented as assets on our balance sheets at fair value. The fair value of Linked Transactions reflect the value of the underlying Non-Agency MBS, linked repurchase agreement borrowings and accrued interest receivable and payable on such instruments. Our Linked Transactions are not designated as hedging instruments and, as a result, the change in the fair value and net interest income from Linked Transactions is reported in other income on our statements of operations. | |||||||||||||||||||||||||
The following tables present information about our Non-Agency Securities and repurchase agreements underlying our Linked Transactions at December 31, 2014 and December 31, 2013. We did not have any Linked Transactions at December 31, 2012. Our Non-Agency Securities underlying our Linked Transactions represented approximately 0.72% and 13.0% of our overall investment in MBS at December 31, 2014 and December 31, 2013, respectively. | |||||||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||||||
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 | $ | 676 | 1.51 | % | Prime | $ | — | $ | — | $ | — | 0 | % | ||||||||||||
31 days to 60 days | — | 0 | % | Alt-A | 8,940 | 8,854 | 12,199 | 6.22 | % | ||||||||||||||||
61 days to 90 days | 5,708 | 2.01 | % | Total | $ | 8,940 | $ | 8,854 | $ | 12,199 | 6.22 | % | |||||||||||||
Greater than 90 days | — | 0 | % | ||||||||||||||||||||||
Total | $ | 6,384 | 1.95 | % | |||||||||||||||||||||
Not included in the tables above is $24 of accrued interest payable from Linked Transactions included in our consolidated balance sheet for the year ended December 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 consolidated balance sheet for the year ended December 31, 2013. | |||||||||||||||||||||||||
The following table presents certain information about the components of the unrealized net gains and (losses) and net interest income (loss) from Linked Transactions included in our consolidated statements of operations for the year ended December 31, 2014 and December 31, 2013. We did not have any Linked Transactions for the period from June 21, 2012 through December 31, 2012. | |||||||||||||||||||||||||
Unrealized Net Gain (Loss) and Net Interest Income (Loss) from Linked Transactions | December 31, 2014 | December 31, 2013 | |||||||||||||||||||||||
Interest income attributable to MBS underlying Linked Transactions | $ | 4,671 | $ | 2,334 | |||||||||||||||||||||
Interest expense attributable to linked repurchase agreements underlying Linked Transactions | (768 | ) | (534 | ) | |||||||||||||||||||||
Gain on sale of Linked Transactions | 2,971 | — | |||||||||||||||||||||||
Change in fair value of Linked Transactions included in earnings | 3,456 | (5,152 | ) | ||||||||||||||||||||||
Unrealized net gain (loss) and net interest income (loss) from Linked Transactions | $ | 10,330 | $ | (3,352 | ) | ||||||||||||||||||||
Repurchase_Agreements
Repurchase Agreements | 12 Months Ended | ||||||||||||||
Dec. 31, 2014 | |||||||||||||||
Disclosure of Repurchase Agreements [Abstract] | |||||||||||||||
Repurchase Agreements | Repurchase Agreements | ||||||||||||||
At December 31, 2014 we had MRAs with 30 counterparties and had $1,134,387 in outstanding borrowings with 20 of those counterparties. At December 31, 2013 we had MRAs with 27 counterparties and had $839,405 in outstanding borrowings with 20 of those counterparties. See Note 8, “Linked Transactions” for additional discussion of Linked Transactions. | |||||||||||||||
The following tables represent the contractual repricing and other information regarding our repurchase agreements to finance our MBS purchases at December 31, 2014 and December 31, 2013. | |||||||||||||||
31-Dec-14 | Repurchase Agreements | Weighted Average Contractual Rate | Weighted Average Maturity in days | Haircut for Repurchase Agreements (1) | |||||||||||
Agency Securities | $ | 1,020,916 | 0.37 | % | 39 | 4.87 | % | ||||||||
Non-Agency Securities | 70,697 | 1.74 | % | 43 | 25.44 | % | |||||||||
U.S. Treasury Securities | 42,774 | 0.19 | % | 2 | 0 | % | |||||||||
Total or Weighted Average | $ | 1,134,387 | 0.45 | % | 38 | 7.56 | % | ||||||||
(1) The Haircut represents the weighted average margin requirement, or the percentage amount by which the collateral value must exceed the loan amount. | |||||||||||||||
31-Dec-13 | Repurchase Agreements | Weighted Average Contractual Rate | Weighted Average Maturity in days | Haircut for Repurchase Agreements (1) | |||||||||||
Agency Securities | $ | 731,782 | 0.42 | % | 33 | 4.9 | % | ||||||||
Non-Agency Securities | 107,623 | 1.96 | % | 46 | 25.39 | % | |||||||||
Total 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. | |||||||||||||||
Maturing or Repricing | December 31, 2014 | Weighted Average Contractual Rate | December 31, 2013 | Weighted Average Contractual Rate | |||||||||||
Within 30 days | $ | 522,855 | 0.44 | % | $ | 380,744 | 0.67 | % | |||||||
31 days to 60 days | 289,819 | 0.41 | % | 408,054 | 0.49 | % | |||||||||
61 days to 90 days | 321,713 | 0.49 | % | 40,362 | 1 | % | |||||||||
Greater than 90 days | — | 0 | % | 10,245 | 2.1 | % | |||||||||
Total or Weighted Average | $ | 1,134,387 | 0.45 | % | $ | 839,405 | 0.61 | % | |||||||
We have 9 repurchase agreement counterparties that individually account for 5% or greater of our aggregate borrowings. In total, these counterparties account for approximately 68.89% of our repurchase agreement borrowings outstanding at December 31, 2014. | |||||||||||||||
The table below represents information about repurchase agreement counterparties where the amount at risk individually accounts for 5% or greater of our stockholders' equity at December 31, 2014. | |||||||||||||||
Repurchase Agreement Counterparty | Amount at Risk | Weighted Average Maturity of Repurchase Agreements | |||||||||||||
Bank of America-Merrill Lynch | $ | 7,238 | 42 | ||||||||||||
BNP Paribas Securities Corp. | 7,289 | 14 | |||||||||||||
Royal Bank of Canada | 11,018 | 42 | |||||||||||||
UBS AG (1) | 19,194 | 615 | |||||||||||||
Total | $ | 44,739 | |||||||||||||
(1) Amount at risk exceeds 10% of stockholders' equity. | |||||||||||||||
For the year ended December 31, 2014 and during the period from June 21, 2012 through December 31, 2012, we did not have any sales or purchases of U.S. Treasury Securities. During the year ended December 31, 2013, we sold short $301,512 of U.S. Treasury Securities which were repurchased at a cost of $300,879, resulting in a gain of $633. |
Derivatives
Derivatives | 12 Months Ended | |||||||||||||||||||
Dec. 31, 2014 | ||||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||||||||||||||||||||
Derivatives | Derivatives | |||||||||||||||||||
In addition to the Linked Transactions described in Note 8, “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. | ||||||||||||||||||||
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 consolidated balance sheets at December 31, 2014 and December 31, 2013. | ||||||||||||||||||||
December 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 | 25-36 Months | 34 | 0.55 | % | 50,000 | 611 | — | |||||||||||||
Interest rate swap contract | 37-48 Months | 41 | 0.92 | % | 50,000 | 241 | — | |||||||||||||
Interest rate swap contracts | 49-60 Months | 58 | 1.59 | % | 60,000 | — | (306 | ) | ||||||||||||
Interest rate swap contracts | 85-96 Months | 93 | 1.5 | % | 175,000 | 4,178 | — | |||||||||||||
Interest rate swap contracts | 97-108 Months | 100 | 1.91 | % | 526,250 | 2,291 | (2,297 | ) | ||||||||||||
Total or Weighted Average | 89 | 1.67 | % | $ | 861,250 | $ | 7,321 | $ | (2,603 | ) | ||||||||||
(1) See Note 5, "Fair Value of Financial Instruments" for additional discussion. | ||||||||||||||||||||
December 31, 2013 | ||||||||||||||||||||
Derivative Type | Remaining / Underlying Term | Weighted Average Remaining Swap / Option Term (Months) | Weighted Average Rate | Notional Amount | Asset Fair Value (1) | Liability Fair Value (1) | ||||||||||||||
Interest rate swap contracts | 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 | 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 5, "Fair Value of Financial Instruments" for additional discussion. | ||||||||||||||||||||
We have netting arrangements in place with all derivative counterparties pursuant to standard documentation developed by the International Swap and Derivatives Association. We are also required to post cash collateral to counterparties or have cash collateral posted by counterparties to us 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 consolidated balance sheets. Currently we present these financial instruments at their gross amounts and they are included in derivatives at fair value on the accompanying consolidated balance sheets at December 31, 2014. | ||||||||||||||||||||
December 31, 2014 | Gross Amounts Not Offset in the Consolidated Balance Sheet | |||||||||||||||||||
Assets | Gross Amounts of Assets Presented in the Consolidated Balance Sheet | Financial Instruments | Cash Collateral Held | Net Amount | ||||||||||||||||
Interest rate swap contracts | $ | 7,321 | $ | (2,603 | ) | $ | 333 | $ | 5,051 | |||||||||||
Totals | $ | 7,321 | $ | (2,603 | ) | $ | 333 | $ | 5,051 | |||||||||||
December 31, 2014 | Gross Amounts Not Offset in the Consolidated Balance Sheet | |||||||||||||||||||
Liabilities | Gross Amounts of Liabilities Presented in the Consolidated Balance Sheet | Financial Instruments | Cash Collateral Posted | Net Amount | ||||||||||||||||
Interest rate swap contracts | $ | (2,603 | ) | $ | 2,603 | $ | — | $ | — | |||||||||||
Totals | $ | (2,603 | ) | $ | 2,603 | $ | — | $ | — | |||||||||||
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 consolidated balance sheets. Currently we present these financial instruments at their gross amounts and they are included in derivatives at fair value on the accompanying consolidated balance sheets at December 31, 2013. | ||||||||||||||||||||
December 31, 2013 | Gross Amounts Not Offset in the Consolidated Balance Sheet | |||||||||||||||||||
Assets | Gross Amounts of Assets Presented in the Consolidated 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 consolidated balance sheet at December 31, 2013. | ||||||||||||||||||||
We apply trade date accounting. We did not have unsettled purchases or sales of derivatives at December 31, 2014 or 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 consolidated statements of operations for the years ended December 31, 2014 and December 31, 2013 for the period from June 21, 2012 through December 31, 2012. | ||||||||||||||||||||
Income (Loss) Recognized | ||||||||||||||||||||
Derivatives | Location on consolidated statements of operations | For the Year Ended December 31, 2014 | For the Year Ended December 31, 2013 | For the Period From June 21, 2012 Through December 31, 2012 | ||||||||||||||||
Interest rate swap contracts: | ||||||||||||||||||||
Interest income | Realized loss on derivatives | $ | 1,060 | $ | 787 | $ | 83 | |||||||||||||
Interest expense | Realized loss on derivatives | (13,646 | ) | (9,457 | ) | (666 | ) | |||||||||||||
Changes in fair value | Unrealized gain (loss) on derivatives | (47,987 | ) | 57,738 | 614 | |||||||||||||||
$ | (60,573 | ) | $ | 49,068 | $ | 31 | ||||||||||||||
Interest rate swaptions: | ||||||||||||||||||||
Realized gain | Realized loss on derivatives | — | 5,875 | — | ||||||||||||||||
Changes in fair value | Unrealized gain (loss) on derivatives | (6,884 | ) | 10 | (916 | ) | ||||||||||||||
$ | (6,884 | ) | $ | 5,885 | $ | (916 | ) | |||||||||||||
Totals | $ | (67,457 | ) | $ | 54,953 | $ | (885 | ) | ||||||||||||
Commitments_and_Contingencies
Commitments and Contingencies | 12 Months Ended |
Dec. 31, 2014 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies |
Management Agreement with ACM | |
We are externally managed by ACM pursuant to a management agreement, (the “Management Agreement”) see also Note 14, "Related Party Transactions"). The Management Agreement entitles ACM 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 initial public offering and private placement equity) up to $1.0 billion plus (b) 1.0% of gross equity raised in excess of $1.0 billion. Gross equity raised was $243,101 at December 31, 2014. 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. ACM is entitled to receive a termination fee from us under certain circumstances. The ACM 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. | |
ACM 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 ACM 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 at December 31, 2014, December 31, 2013. | |
We are not party to any pending, threatened or contemplated litigation. |
StockBased_Compensation
Stock-Based Compensation | 12 Months Ended |
Dec. 31, 2014 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
Stock-Based Compensation | Stock-Based Compensation |
Stock Incentive Plan | |
Our 2012 Stock Incentive Plan (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”) to eligible individuals. The maximum number of shares of common stock reserved for the grant of awards under the Plan 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). 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. | |
At December 31, 2014 there were 360 shares reserved for award under the Plan. No awards have been made to date. | |
Directors Fees | |
In the first quarter of 2014, we began paying to our non-employee directors a fee payable in common stock, or a combination of stock and cash at the option of the director. The number of shares issued is determined by dividing the chosen U.S. dollar amount of these fees by the closing market price for our stock at the end of each quarter. |
Stockholders_Equity
Stockholders' Equity | 12 Months Ended | |||||||||||||
Dec. 31, 2014 | ||||||||||||||
Equity [Abstract] | ||||||||||||||
Stockholders' Equity | Stockholders’ Equity | |||||||||||||
Dividends | ||||||||||||||
The following table presents our common stock dividend transactions for the year ended December 31, 2014. | ||||||||||||||
Record Date | Payment Date | Rate per | Aggregate amount | |||||||||||
common share | 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 | |||||||||||
15-Apr-14 | 29-Apr-14 | $0.15 | 1,799 | |||||||||||
15-May-14 | 29-May-14 | $0.15 | 1,799 | |||||||||||
16-Jun-14 | 27-Jun-14 | $0.15 | 1,800 | |||||||||||
15-Jul-14 | 30-Jul-14 | $0.15 | 1,800 | |||||||||||
15-Aug-14 | 29-Aug-14 | $0.15 | 1,800 | |||||||||||
15-Sep-14 | 29-Sep-14 | $0.15 | 1,800 | |||||||||||
15-Oct-14 | 30-Oct-14 | $0.15 | 1,800 | |||||||||||
17-Nov-14 | 26-Nov-14 | $0.15 | 1,800 | |||||||||||
15-Dec-14 | 30-Dec-14 | $0.15 | 1,805 | |||||||||||
Total dividends paid | $ | 21,600 | ||||||||||||
The following table presents our common stock dividend transactions for the year ended December 31, 2013. | ||||||||||||||
Record Date | Payment Date | Rate per | Aggregate amount | |||||||||||
common share | paid to holders of | |||||||||||||
record | ||||||||||||||
January 15, 2013 | January 30, 2013 | $0.23 | $ | 1,725 | ||||||||||
February 15, 2013 | February 27, 2013 | $0.23 | 1,725 | |||||||||||
March 15, 2013 | March 27, 2013 | $0.23 | 1,725 | |||||||||||
April 15, 2013 | April 29, 2013 | $0.23 | 1,725 | |||||||||||
May 15, 2013 | May 30, 2013 | $0.23 | 3,105 | |||||||||||
June 14, 2013 | June 27, 2013 | $0.23 | 3,105 | |||||||||||
July 15, 2013 | July 30, 2013 | $0.23 | 3,105 | |||||||||||
August 15, 2013 | August 29, 2013 | $0.23 | 3,105 | |||||||||||
September 16, 2013 | September 27, 2013 | $0.23 | 3,105 | |||||||||||
October 15, 2013 | October 28, 2013 | $0.15 | 2,025 | |||||||||||
November 15, 2013 | November 27, 2013 | $0.15 | 2,025 | |||||||||||
December 16, 2013 | December 27, 2013 | $0.15 | 1,939 | |||||||||||
Total dividends paid | $ | 28,414 | ||||||||||||
The following table presents our common stock dividend transactions for the period from June 21, 2012 through December 31, 2012 | ||||||||||||||
Record Date | Payment Date | Rate per | Aggregate amount | |||||||||||
common share | paid to holders of | |||||||||||||
record | ||||||||||||||
November 19, 2012 | November 29, 2012 | $0.23 | $ | 1,725 | ||||||||||
December 14, 2012 | December 28, 2012 | $0.23 | 1,725 | |||||||||||
Total dividends paid | $ | 3,450 | ||||||||||||
Equity Capital Raising Activities | ||||||||||||||
The following table presents our equity transactions for the year ended December 31, 2014. | ||||||||||||||
Transaction Type | Completion Date | Number of | Per Share | Net Proceeds | ||||||||||
Shares | price (1) | |||||||||||||
Dividend Reinvestment Plan Shares | July 25, 2014 to December 30, 2014 | NM | $ | 12.48 | NM | |||||||||
Common equity distribution agreements | November 25, 2014 to December 5, 2014 | 32 | $ | 12.61 | 358 | |||||||||
(1) Weighted average price. | ||||||||||||||
NM - Not meaningful | ||||||||||||||
The following table presents our equity transactions for the year ended December 31, 2013. | ||||||||||||||
Transaction Type | Completion Date | Number of | Per Share | Net Proceeds | ||||||||||
Shares | price | |||||||||||||
Common stock follow-on public offering | May 13, 2013 | 6,000 | $ | 18.93 | $ | 113,163 | ||||||||
The following table presents our equity transactions for the period from June 21, 2012 through December 31, 2012. | ||||||||||||||
Transaction Type | Completion Date | Number of | Per Share | Net Proceeds | ||||||||||
Shares | price | |||||||||||||
Initial Capital Contribution | June 21, 2012 | NM | $ | 20 | $ | 1 | ||||||||
IPO | October 9, 2012 | 7,250 | $ | 20 | $ | 145,000 | ||||||||
Private Placement | October 9, 2012 | 250 | $ | 20 | $ | 5,000 | ||||||||
NM - Not Meaningful | ||||||||||||||
The underwriting discounts and commissions in connection with the IPO and our organizational costs and other costs related to the IPO were paid by Staton Bell Blank Check LLC ("SBBC") and we did not reimburse SBBC for these costs. As a result, we received net proceeds from the IPO of $145,000. | ||||||||||||||
Common Stock Repurchases | ||||||||||||||
The following table presents our common stock repurchases for the year ended December 31, 2014. | ||||||||||||||
Transaction Type | Completion Date | Number of | Per Share | Net Cost | ||||||||||
Shares | price (1) | |||||||||||||
Repurchased shares | December 23, 2014 to December 30, 2014 | 54 | $ | 10.95 | $ | (591 | ) | |||||||
(1) Weighted average price. | ||||||||||||||
The following table presents our common stock repurchases for the year ended December 31, 2013. We did not have any common stock repurchases for the period from June 21, 2012 through December 31, 2012. | ||||||||||||||
Transaction Type | Completion Date | Number of | Per Share | Net Cost | ||||||||||
Shares | price (1) | |||||||||||||
Repurchased shares | November 26, 2013 to December 30, 2013 | 1,507 | $ | 12.72 | $ | (19,201 | ) | |||||||
(1) Weighted average price. | ||||||||||||||
At December 31, 2014, there were 1,439 authorized shares remaining under our Repurchase Program. |
Net_Income_per_Common_Share
Net Income per Common Share | 12 Months Ended |
Dec. 31, 2014 | |
Earnings Per Share [Abstract] | |
Net Income per Common Share | Net Income (Loss) per Common Share |
GAAP requires earnings per share to be computed based on the weighted average number of shares outstanding during the period presented, calculated on a daily basis. Net loss per common share was $(1.81) and $(3.89) based on weighted average shares outstanding of 12,000 and 11,257, respectively, for the years ended December 31, 2014 and December 31, 2013, respectively. Because our income, expenses and capitalization were nominal during a majority of the period from June 21, 2012 through December 31, 2012, weighted average shares outstanding of 3,247, as computed on a daily basis in accordance with GAAP, is not representative of the actual number of shares outstanding for that period. As a result, net income per common share of $1.88 per share, calculated in accordance with GAAP, was not meaningful under the circumstances. Among other reasons, such calculation understated the actual shares outstanding during the relevant period of operations by including the pre-operating period. As a result, such per share amounts overstated the amount of dividends per share that stockholders were entitled to receive if our total net income for 2012 had been distributed as earned. During 2012, we paid dividends of $0.46 per common share, or $3,450 in aggregate, based on 7,500 shares of record. | |
To date, we have not issued any dilutive securities. |
Income_Taxes
Income Taxes | 12 Months Ended | |||||||||||
Dec. 31, 2014 | ||||||||||||
Income Tax Disclosure [Abstract] | ||||||||||||
Income Taxes | Income Taxes | |||||||||||
The following table reconciles our GAAP net income (loss) to estimated REIT taxable income for the years ended December 31, 2014 and December 31, 2013 and for the period from June 21, 2012 through December 31, 2012. | ||||||||||||
For the Year Ended December 31, 2014 | For the Year Ended December 31, 2013 | For the Period From June 21, 2012 Through December 31, 2012 | ||||||||||
GAAP Net income (loss) | $ | (21,759 | ) | $ | (43,774 | ) | $ | 6,098 | ||||
Book to tax differences: | ||||||||||||
Net book to tax differences on Non-Agency Securities and Linked Transactions | (6,143 | ) | 8,006 | (978 | ) | |||||||
Net capital losses carried forward | — | 80,509 | — | |||||||||
Gain on sale of Agency Securities | (8,254 | ) | — | — | ||||||||
Other than temporary impairment of Agency Securities | — | 44,278 | — | |||||||||
Amortization of deferred hedging gains (costs) | 229 | (57,879 | ) | — | ||||||||
Net premium amortization differences | (809 | ) | — | — | ||||||||
Changes in interest rate contracts | 54,871 | (5,875 | ) | 302 | ||||||||
Other | 3 | 3 | 46 | |||||||||
Estimated taxable income | $ | 18,138 | $ | 25,268 | $ | 5,468 | ||||||
Interest rate contracts are treated as hedging transactions for tax purposes. Unrealized gains and losses on open interest rate contracts are not included in the determination of taxable income. Realized gains and losses on interest rate contracts terminated before their maturity are deferred and amortized over the remainder of the original term of the contract. | ||||||||||||
Net capital losses realized in 2013 and 2014 totaling $(80,509) and $(33,335) will be available to offset future capital gains realized through 2018 and 2019, respectively. | ||||||||||||
The aggregate tax basis of our assets and liabilities is less than our Total Stockholders’ Equity at December 31, 2014 by approximately $14,136, or approximately $1.18 per share (based on the 11,985 shares then outstanding). | ||||||||||||
We are required and intend to timely distribute substantially all of our REIT taxable income in order to maintain our REIT status under the Code. Total dividend payments to stockholders were $21,600 and $28,414 for the year ended December 31, 2014 and December 31, 2013, respectively. We made dividend payments to stockholders of $3,450 for the period from June 21, 2012 through December 31, 2012. Our estimated REIT taxable income available to pay dividends was $18,138 and $25,268 for the year ended December 31, 2014 and December 31, 2013 and $5,468 for the period from June 21, 2012 through December 31, 2012, respectively. | ||||||||||||
In 2012, we did not distribute the required minimum amount of taxable income pursuant to federal excise tax requirements and consequently we accrued an excise tax of $46, which is included in income tax expense on our statement of operations. Distributions in 2013 exceeded the required minimum. | ||||||||||||
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 | 12 Months Ended | |
Dec. 31, 2014 | ||
Related Party Transactions [Abstract] | ||
Related Party Transactions | Related Party Transactions | |
We are externally managed by ACM pursuant to the Management Agreement. All of our executive officers are also employees of ACM. ACM manages our day-to-day operations, subject to the direction and oversight of the Board. The Management Agreement runs through 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, ACM is responsible for costs incident to the performance of its duties, such as compensation of its employees and various overhead expenses. ACM is responsible for the following primary roles: | ||
• | Advising us with respect to, arranging for and managing the acquisition, financing, management and disposition of, elements of our investment portfolio; | |
• | Evaluating the duration risk and prepayment risk within the investment portfolio and arranging borrowing and hedging strategies; | |
• | Coordinating capital raising activities; | |
• | Advising us on the formulation and implementation of operating strategies and policies, arranging for the acquisition of assets, monitoring the performance of those assets and providing administrative and managerial services in connection with our day-to-day operations; and | |
• | Providing executive and administrative personnel, office space and other appropriate services required in rendering management services to us. | |
In accordance with the Management Agreement, we incurred $3,658 and $3,315 and in management fees for the year ended December 31, 2014 and December 31, 2013, respectively and $550 in management fees for the period from June 21, 2012 through December 31, 2012. | ||
We are required to take actions as may be reasonably required to enable ACM to carry out its duties and obligations. We are also responsible for any costs and expenses that ACM incurred solely on behalf of us other than the various overhead expenses specified in the terms of the Management Agreement. For the years ended December 31, 2014 and December 31, 2013 and for the period from June 21, 2012 through December 31, 2012, we reimbursed ACM $353, $147 and $3, respectively, for expenses incurred on our behalf. | ||
Pursuant to the sub-management agreement, SBBC provides the following services to support ACM's performance of services to us under the Management Agreement, in each case upon reasonable request by ACM: (i) serving as a consultant to ACM with respect to the periodic review of our investment guidelines; (ii) identifying for ACM potential new lines of business and investment opportunities for us; (iii) identifying for and advising ACM with respect to selection of independent contractors that provide investment banking, securities brokerage, mortgage brokerage and other financial services, due diligence services, underwriting review services, legal and accounting services, and all other services as may be required relating to our investments; (iv) advising ACM with respect to our stockholder and public relations matters; (v) advising and assisting ACM with respect to our capital structure and capital raising; and (vi) advising ACM on negotiating agreements relating to programs established by the U.S. Government. In exchange for such services, ACM pays SBBC a monthly retainer of $115 and a sub-management fee of 25% of the net management fee earned by ACM under the Management Agreement. The sub-management agreement continues in effect until it is terminated in accordance with its terms. SBBC is also the sub-manager of ARMOUR and provides ACM the services described above in connection with ACM's management of ARMOUR. In connection with the Conversion, SBBC became substantially wholly owned by ACM, effective January 1, 2015. |
Interest_Rate_Risk
Interest Rate Risk | 12 Months Ended |
Dec. 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 | 12 Months Ended |
Dec. 31, 2014 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events |
On January 27, 2015, a cash dividend of $0.12 per outstanding common share, or $1,438 in the aggregate, was paid to holders of record on January 15, 2015. We have also declared cash dividends of $0.12 per outstanding common share payable February 27, 2015 to holders of record on February 13, 2015 and payable March 27, 2015 to holders of record on March 13, 2015. |
Quarterly_Financial_Data_unaud
Quarterly Financial Data (unaudited) | 12 Months Ended | |||||||||||||||
Dec. 31, 2014 | ||||||||||||||||
Quarterly Financial Information Disclosure [Abstract] | ||||||||||||||||
Quarterly Financial Data (unaudited) | Quarterly Financial Data (unaudited) | |||||||||||||||
The following tables are a comparative breakdown of our unaudited quarterly financial results for the immediately preceding eight quarters. | ||||||||||||||||
Quarters Ended | ||||||||||||||||
March 31, | June 30, | September 30, | December 31, | |||||||||||||
2014 | 2014 | 2014 | 2014 | |||||||||||||
Interest income: | ||||||||||||||||
Agency Securities, net of amortization of premium | $ | 8,445 | $ | 8,031 | $ | 7,246 | $ | 6,819 | ||||||||
Non-Agency Securities, including discount accretion | 2,308 | 2,410 | 2,478 | 2,592 | ||||||||||||
Total Interest Income | $ | 10,753 | $ | 10,441 | $ | 9,724 | $ | 9,411 | ||||||||
Interest expense | (1,448 | ) | (1,769 | ) | (1,698 | ) | (1,638 | ) | ||||||||
Net Interest Income | $ | 9,305 | $ | 8,672 | $ | 8,026 | $ | 7,773 | ||||||||
Realized gain (loss) on sale of Agency Securities (reclassified from Other comprehensive income (loss) | 8,810 | (34 | ) | (845 | ) | 323 | ||||||||||
Gain (loss) on Non-Agency Securities | 833 | 288 | 1,571 | (2,133 | ) | |||||||||||
Unrealized net gain and net interest income from Linked Transactions | 4,427 | 2,950 | 1,145 | 1,726 | ||||||||||||
Realized loss on derivatives (1) | (3,106 | ) | (3,097 | ) | (3,131 | ) | (3,252 | ) | ||||||||
Unrealized gain (loss) on derivatives | (20,029 | ) | (15,703 | ) | 1,293 | (20,432 | ) | |||||||||
Expenses | (2,103 | ) | (1,852 | ) | (1,487 | ) | (1,697 | ) | ||||||||
Net Income (Loss) | $ | (1,863 | ) | $ | (8,776 | ) | $ | 6,572 | $ | (17,692 | ) | |||||
Net income (loss) per common share | $ | (0.16 | ) | $ | (0.73 | ) | $ | 0.55 | $ | (1.47 | ) | |||||
Weighted average common shares outstanding | 11,993 | 11,996 | 11,999 | 12,010 | ||||||||||||
Common stock dividends declared | $ | 5,397 | $ | 5,398 | $ | 5,400 | $ | 5,406 | ||||||||
Common stock dividends declared per share | $ | 0.45 | $ | 0.45 | $ | 0.45 | $ | 0.45 | ||||||||
Common Shares of record end of period | 11,996 | 11,999 | 12,003 | 11,985 | ||||||||||||
(1) Interest expense related to our interest rate swap contracts is recorded in realized loss on derivatives on the consolidated statements of operations. | ||||||||||||||||
Quarters Ended | ||||||||||||||||
March 31, | June 30, | September 30, | December 31, | |||||||||||||
2013 | 2013 | 2013 | 2013 | |||||||||||||
Interest income: | ||||||||||||||||
Agency Securities, net of amortization of premium | $ | 7,144 | $ | 9,336 | $ | 9,834 | $ | 8,767 | ||||||||
Non-Agency Securities, including discount accretion | 1,860 | 1,832 | 2,105 | 2,178 | ||||||||||||
Total Interest Income | $ | 9,004 | $ | 11,168 | $ | 11,939 | $ | 10,945 | ||||||||
Interest expense | (1,727 | ) | (1,924 | ) | (2,001 | ) | (1,690 | ) | ||||||||
Net Interest Income | $ | 7,277 | $ | 9,244 | $ | 9,938 | $ | 9,255 | ||||||||
Realized loss on sale of Agency Securities (reclassified from Other comprehensive income (loss) | — | — | (48,554 | ) | (32,491 | ) | ||||||||||
Other than temporary impairment of Agency Securities (reclassified from Other comprehensive income (loss)) | — | — | — | (44,278 | ) | |||||||||||
Gain (loss) on Non-Agency Securities | 2,210 | (5,635 | ) | 734 | 1,714 | |||||||||||
Gain (loss) on short sale of U.S. Treasury Securities | — | (3,106 | ) | 3,739 | — | |||||||||||
Unrealized net gain (loss) and net interest income from Linked Transactions | — | (2,288 | ) | 724 | (1,778 | ) | ||||||||||
Realized gain (loss) on derivatives (1) | (950 | ) | (1,989 | ) | (2,673 | ) | 2,817 | |||||||||
Unrealized gain on derivatives | 3,444 | 43,181 | 269 | 10,854 | ||||||||||||
Expenses | (1,003 | ) | (1,170 | ) | (1,394 | ) | (1,863 | ) | ||||||||
Income tax expense | (2 | ) | — | — | — | |||||||||||
Net Income (Loss) | $ | 10,976 | $ | 38,237 | $ | (37,217 | ) | $ | (55,770 | ) | ||||||
Net income (loss) per common share | $ | 1.46 | $ | 3.56 | $ | (2.76 | ) | $ | (4.22 | ) | ||||||
Weighted average common shares outstanding | 7,500 | 10,731 | 13,500 | 13,209 | ||||||||||||
Common stock dividends declared | $ | 5,175 | $ | 7,935 | $ | 9,315 | $ | 5,989 | ||||||||
Common stock dividends declared per share | $ | 0.69 | $ | 0.69 | $ | 0.69 | $ | 0.45 | ||||||||
Common Shares of record end of period | 7,500 | 13,500 | 13,500 | 11,993 | ||||||||||||
(1) Interest expense related to our interest rate swap contracts is recorded in realized loss on derivatives on the consolidated statements of operations. |
Summary_of_Significant_Account1
Summary of Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2014 | |
Accounting Policies [Abstract] | |
Basis of Presentation | The accompanying consolidated financial statements have been prepared in accordance with generally accepted accounting principles in the U.S. (“GAAP”). The consolidated financial statements include the accounts of JAVELIN Mortgage Investment Corp. and its subsidiary. All intercompany accounts and transactions have been eliminated.The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. Significant estimates affecting the accompanying consolidated financial statements include the valuation of MBS (as defined below) and derivative instruments. |
Cash | Cash |
Cash includes cash on deposit with financial institutions. We may maintain deposits in federally insured financial institutions in excess of federally insured limits. However, management believes we are not exposed to significant credit risk due to the financial position and creditworthiness of the depository institutions in which those deposits are held. | |
Cash Collateral Posted To/By Counterparties | Cash Collateral Posted To/By Counterparties |
Cash collateral posted to/by counterparties represents cash posted by us to counterparties or posted by counterparties to us as collateral for our interest rate swap contracts (including swaptions) 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, at Fair Value | Agency Securities, Available For Sale |
At December 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 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 | Non-Agency Securities, Trading |
At December 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. | |
Receivables and Payable for Unsettled Sales and Purchases | Receivables and Payables for Unsettled Sales and Purchases |
We account for purchases and sales of securities on the trade date, including purchases and sales for forward settlement. Receivables and payables for unsettled trades represent the agreed trade price times the outstanding balance of the securities at the balance sheet date. | |
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 and Obligations to Return Securities Received as Collateral, at Fair Value | Obligations to Return Securities Received as Collateral, at Fair Value |
At certain times, we also sell to third parties the U.S. Treasury Securities received as collateral for reverse repurchase agreements and recognize the resulting obligation to return said U.S. Treasury Securities as a liability on our consolidated balance sheets. Interest is recorded on the repurchase agreements, reverse repurchase agreements and U.S. Treasury Securities sold short on an accrual basis and presented as 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. | |
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. | |
Derivatives, at Fair Value | Derivatives, at Fair Value |
We recognize all derivatives as either assets or liabilities at fair value on our consolidated balance sheets. All changes in the fair values of our derivatives are reflected in our consolidated statements of operations. We 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/(losses) and net interest income (loss) from Linked Transactions” on our statements of operations and are not included in other comprehensive income (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. | |
Preferred Stock and Common Stock | Preferred Stock |
At December 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 December 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 11,985 shares of common stock issued and outstanding at December 31, 2014 and 11,993 issued and outstanding at December 31, 2013. | |
Common Stock Repurchased | |
On March 5, 2014, our Board increased the authorization under the Repurchase Program to 3,000 shares of our common stock outstanding (the “Repurchase Program”). Under the Repurchase Program shares may be purchased in the open market, including block trades, through privately negotiated transactions, or pursuant to a trading plan separately adopted in the future. The timing, manner, price and amount of any repurchases will be at our discretion, subject to the requirements of the Securities Exchange Act of 1934, as amended, and related rules. We are not required to repurchase any shares under the Repurchase Program and it may be modified, suspended or terminated at any time for any reason. We do not intend to purchase shares from our Board or other affiliates. Under Maryland law, such repurchased shares are treated as authorized but unissued. During the year ended December 31, 2014, we repurchased 54 shares of our common stock under the Repurchase Program for an aggregate cost of $591. At December 31, 2014, there were 1,439 authorized shares remaining under our Repurchase Program. | |
Revenue Recognition | Revenue Recognition |
Interest income is earned and recognized on Agency Securities based on their unpaid principal balance and their contractual terms. Premiums and discounts associated with the purchase of Multi-Family MBS, which are generally not subject to prepayment, are amortized or accreted into interest income over the contractual lives of the securities using a level yield method. Premiums and discounts associated with the purchase of other 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 | Comprehensive Income (Loss) |
Comprehensive income (loss) refers to changes in equity during a period from transactions and other events and circumstances from non-owner sources. It includes all changes in equity during a period, except those resulting from investments by owners and distributions to owners. |
Fair_Value_of_Financial_Instru1
Fair Value of Financial Instruments (Tables) | 12 Months Ended | |||||||||||||||||||
Dec. 31, 2014 | ||||||||||||||||||||
Fair Value Disclosures [Abstract] | ||||||||||||||||||||
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis | ||||||||||||||||||||
Quoted Prices | Significant | Significant | Balance at December 31, 2013 | |||||||||||||||||
in Active | Observable | Unobservable | ||||||||||||||||||
Markets for | Inputs | Inputs | ||||||||||||||||||
Identical Assets | (Level 2) | (Level 3) | ||||||||||||||||||
(Level 1) | ||||||||||||||||||||
Assets at Fair Value: | ||||||||||||||||||||
Agency Securities, available for sale | $ | — | $ | 801,777 | $ | — | $ | 801,777 | ||||||||||||
Non-Agency Securities, trading | $ | — | $ | — | $ | 143,399 | $ | 143,399 | ||||||||||||
Linked Transactions, net | $ | — | $ | — | $ | 16,322 | $ | 16,322 | ||||||||||||
Derivatives | $ | — | $ | 59,703 | $ | — | $ | 59,703 | ||||||||||||
The following tables provide a summary of our assets and liabilities that are measured at fair value on a recurring basis at December 31, 2014 and December 31, 2013. | ||||||||||||||||||||
Quoted Prices | Significant | Significant | Balance at December 31, 2014 | |||||||||||||||||
in Active | Observable | Unobservable | ||||||||||||||||||
Markets for | Inputs | Inputs | ||||||||||||||||||
Identical Assets | (Level 2) | (Level 3) | ||||||||||||||||||
(Level 1) | ||||||||||||||||||||
Assets at Fair Value: | ||||||||||||||||||||
Agency Securities, available for sale | $ | — | $ | 1,075,521 | $ | — | $ | 1,075,521 | ||||||||||||
Non-Agency Securities, trading | $ | — | $ | — | $ | 158,931 | $ | 158,931 | ||||||||||||
Linked Transactions, net | $ | — | $ | — | $ | 2,532 | $ | 2,532 | ||||||||||||
Derivatives | $ | — | $ | 7,321 | $ | — | $ | 7,321 | ||||||||||||
Liabilities at Fair Value: | ||||||||||||||||||||
Derivatives | $ | — | $ | 2,603 | $ | — | $ | 2,603 | ||||||||||||
Carrying Values and Fair Values of Financial Assets and Liabilities | The following tables provide a summary of the carrying values and fair values of our financial assets and liabilities not carried at fair value but for which fair value is required to be disclosed at December 31, 2014 and December 31, 2013. | |||||||||||||||||||
December 31, 2014 | Fair Value Measurements using: | |||||||||||||||||||
Carrying Value | Fair | Quoted Prices | Significant | Significant | ||||||||||||||||
Value | in Active | Observable | Unobservable | |||||||||||||||||
Markets for | Inputs | Inputs | ||||||||||||||||||
Identical Assets | (Level 2) | (Level 3) | ||||||||||||||||||
(Level 1) | ||||||||||||||||||||
Financial Assets: | ||||||||||||||||||||
Cash | $ | 29,882 | $ | 29,882 | $ | 29,882 | $ | — | $ | — | ||||||||||
Cash collateral posted to counterparties | $ | 3,209 | $ | 3,209 | $ | — | $ | 3,209 | $ | — | ||||||||||
Accrued interest receivable | $ | 2,792 | $ | 2,792 | $ | — | $ | 2,792 | $ | — | ||||||||||
Financial Liabilities: | ||||||||||||||||||||
Repurchase agreements | $ | 1,134,387 | $ | 1,134,387 | $ | — | $ | 1,134,387 | $ | — | ||||||||||
Cash collateral posted by counterparties | $ | 2,876 | $ | 2,876 | $ | — | $ | 2,876 | $ | — | ||||||||||
Accrued interest payable | $ | 696 | $ | 696 | $ | — | $ | 696 | $ | — | ||||||||||
December 31, 2013 | Fair Value Measurements using: | |||||||||||||||||||
Carrying Value | Fair | Quoted Prices | Significant | Significant | ||||||||||||||||
Value | in Active | Observable | Unobservable | |||||||||||||||||
Markets for | Inputs | Inputs | ||||||||||||||||||
Identical Assets | (Level 2) | (Level 3) | ||||||||||||||||||
(Level 1) | ||||||||||||||||||||
Financial Assets: | ||||||||||||||||||||
Cash | $ | 41,524 | $ | 41,524 | $ | 41,524 | $ | — | $ | — | ||||||||||
Cash collateral posted to counterparties | $ | 648 | $ | 648 | $ | — | $ | 648 | $ | — | ||||||||||
Accrued interest receivable | $ | 2,336 | $ | 2,336 | $ | — | $ | 2,336 | $ | — | ||||||||||
Financial Liabilities: | ||||||||||||||||||||
Repurchase agreements | $ | 839,405 | $ | 839,405 | $ | — | $ | 839,405 | $ | — | ||||||||||
Cash collateral posted by counterparties | $ | 53,314 | $ | 53,314 | $ | — | $ | 53,314 | $ | — | ||||||||||
Accrued interest payable | $ | 611 | $ | 611 | $ | — | $ | 611 | $ | — | ||||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation | The following tables provide a summary of the changes in Level 3 assets measured at fair value on a recurring basis at December 31, 2014 and December 31, 2013 and for the period from June 21, 2012 through December 31, 2012. | |||||||||||||||||||
Non-Agency Securities | For the Year Ended December 31, 2014 | For the Year Ended December 31, 2013 | For the Period From June 21, 2012 Through December 31, 2012 | |||||||||||||||||
Balance, beginning of period | $ | 143,399 | $ | 129,946 | $ | — | ||||||||||||||
Purchases of Non-Agency Securities, at cost | 32,397 | 38,332 | 131,077 | |||||||||||||||||
Principal repayments of Non-Agency Securities | (15,494 | ) | (21,788 | ) | (2,480 | ) | ||||||||||||||
Proceeds from the sale of Non-Agency Securities | (9,757 | ) | (1,352 | ) | — | |||||||||||||||
Gain (loss) on Non-Agency Securities | 559 | (977 | ) | 1,124 | ||||||||||||||||
Linked Transactions Value of Purchased Non-Agency Securities | 7,281 | — | — | |||||||||||||||||
Discount accretion | 546 | (762 | ) | 225 | ||||||||||||||||
Balance, end of period | $ | 158,931 | $ | 143,399 | $ | 129,946 | ||||||||||||||
Gain (loss) on Non-Agency Securities | $ | 559 | $ | (977 | ) | $ | 1,124 | |||||||||||||
Linked Transactions | For the Year Ended December 31, 2014 | For the Year Ended December 31, 2013 | For the Period From June 21, 2012 Through December 31, 2012 | |||||||||||||||||
Balance, beginning of period | $ | 16,322 | $ | — | $ | — | ||||||||||||||
Linked Transaction value of purchased Non-Agency Securities | (7,281 | ) | — | — | ||||||||||||||||
Cash (receipts) disbursements on Linked Transactions | (16,839 | ) | 19,674 | — | ||||||||||||||||
Unrealized net gain (loss) and net interest income (loss) from Linked Transactions | 10,330 | (3,352 | ) | — | ||||||||||||||||
Balance, end of period | $ | 2,532 | $ | 16,322 | $ | — | ||||||||||||||
Gain (loss) on Linked Transactions | $ | 10,330 | $ | (3,352 | ) | $ | — | |||||||||||||
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) at December 31, 2014 and December 31, 2013, respectively. See Note 8, "Linked Transaction" for additional discussion of Non-Agency Securities that are accounted for as a component of Linked Transactions. | |||||||||||||||||||
December 31, 2014 | ||||||||||||||||||||
Unobservable Level 3 Input | Minimum | Weighted | Maximum | |||||||||||||||||
Average | ||||||||||||||||||||
Cumulative default | 0 | % | 14.98 | % | 47.89 | % | ||||||||||||||
Loss severity (life) | 18.8 | % | 57.15 | % | 100 | % | ||||||||||||||
Discount rate | 4.6 | % | 5.44 | % | 6.5 | % | ||||||||||||||
Delinquency (life) | 0 | % | 13.51 | % | 46.3 | % | ||||||||||||||
Voluntary prepayments (life) | 5.2 | % | 9.02 | % | 15.5 | % | ||||||||||||||
December 31, 2013 | ||||||||||||||||||||
Unobservable Level 3 Input | Minimum | Weighted | Maximum | |||||||||||||||||
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) | 12 Months Ended | ||||||||||||||||||||||||
Dec. 31, 2014 | |||||||||||||||||||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||||||||||||||||||
Available-for-sale Securities | At December 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 at December 31, 2014 are also presented below. All of our Agency Securities are fixed rate securities with a weighted average coupon of 3.25% at December 31, 2014. | ||||||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||||||
Amortized Cost | Gross Unrealized Loss | Gross Unrealized Gain | Fair Value | Percent of Total | |||||||||||||||||||||
Fannie Mae | |||||||||||||||||||||||||
Multi-Family MBS | $ | 230,799 | $ | — | $ | 2,903 | $ | 233,702 | 21.73 | % | |||||||||||||||
15 Year Fixed | 790,238 | (26 | ) | 6,031 | 796,243 | 74.03 | % | ||||||||||||||||||
20 Year Fixed | 45,881 | (652 | ) | 347 | 45,576 | 4.24 | % | ||||||||||||||||||
Total Fannie Mae | $ | 1,066,918 | $ | (678 | ) | $ | 9,281 | $ | 1,075,521 | 100 | % | ||||||||||||||
Total Agency Securities | $ | 1,066,918 | $ | (678 | ) | $ | 9,281 | $ | 1,075,521 | ||||||||||||||||
At December 31, 2013, we had the following securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities at December 31, 2013 are also presented below. All of our Agency Securities were fixed rate securities with a weighted average coupon of 3.14% at 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 | ||||||||||||||||
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | The following table presents the unrealized losses and estimated fair value of our Agency Securities by length of time that such securities have been in a continuous unrealized loss position at December 31, 2014 and December 31, 2013. | ||||||||||||||||||||||||
Unrealized Loss Position For: | |||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||||
As of | Fair Value | Unrealized | Unrealized | Unrealized | |||||||||||||||||||||
Losses | Fair Value | Losses | Fair Value | Losses | |||||||||||||||||||||
December 31, 2014 | $ | 58,363 | $ | (26 | ) | $ | 27,640 | $ | (652 | ) | $ | 86,003 | $ | (678 | ) | ||||||||||
December 31, 2013 | $ | — | $ | — | $ | 57,167 | $ | (3,143 | ) | $ | 57,167 | $ | (3,143 | ) | |||||||||||
Agency Securities | |||||||||||||||||||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||||||||||||||||||
Investments Classified by Contractual Maturity Date | The following table summarizes the weighted average lives of our Agency Securities at December 31, 2014 and December 31, 2013. | ||||||||||||||||||||||||
December 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||
Weighted Average Life of all Agency Securities | Fair Value | Amortized Cost | Fair Value | Amortized Cost | |||||||||||||||||||||
Less than one year | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||
Greater than or equal to one year and less than three years | — | — | — | — | |||||||||||||||||||||
Greater than or equal to three years and less than five years | 702,485 | 697,385 | 28,279 | 29,336 | |||||||||||||||||||||
Greater than or equal to five years | 373,036 | 369,533 | 773,498 | 775,584 | |||||||||||||||||||||
Total Agency Securities | $ | 1,075,521 | $ | 1,066,918 | $ | 801,777 | $ | 804,920 | |||||||||||||||||
NonAgency_Securities_Trading_T
Non-Agency Securities, Trading (Tables) | 12 Months Ended | ||||||||||||||||||||||||
Dec. 31, 2014 | |||||||||||||||||||||||||
Schedule of Trading Securities and Other Trading Assets [Line Items] | |||||||||||||||||||||||||
Trading Securities | The components of the carrying value of our Non-Agency Securities at December 31, 2013 are presented in the table below. | ||||||||||||||||||||||||
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 | % | |||||||||||||||||
The components of the carrying value of our Non-Agency Securities at December 31, 2014 are presented in the table below. | |||||||||||||||||||||||||
Non-Agency Securities | |||||||||||||||||||||||||
December 31, 2014 | Fair Value | Amortized | Principal | Weighted | |||||||||||||||||||||
Cost | Amount | Average | |||||||||||||||||||||||
Coupon | |||||||||||||||||||||||||
Prime Fixed | $ | 41,288 | $ | 40,894 | $ | 47,806 | 5.43 | % | |||||||||||||||||
Prime Hybrid | 15,592 | 13,982 | 18,565 | 2.29 | % | ||||||||||||||||||||
Prime Floater | 18,625 | 19,380 | 19,750 | 4.22 | % | ||||||||||||||||||||
Alt-A Fixed | 75,072 | 70,986 | 88,965 | 5.99 | % | ||||||||||||||||||||
Alt-A Hybrid | 8,354 | 7,972 | 9,998 | 2.5 | % | ||||||||||||||||||||
Total Non-Agency Securities | $ | 158,931 | $ | 153,214 | $ | 185,084 | 5.09 | % | |||||||||||||||||
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 at December 31, 2014 and December 31, 2013. | ||||||||||||||||||||||||
Unrealized Loss Position For: | |||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||||
As of | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | |||||||||||||||||||
December 31, 2014 | $ | 19,166 | $ | (1,029 | ) | $ | 5,893 | $ | (296 | ) | $ | 25,059 | $ | (1,325 | ) | ||||||||||
December 31, 2013 | $ | 42,095 | $ | (1,089 | ) | $ | — | $ | — | $ | 42,095 | $ | (1,089 | ) | |||||||||||
Non-Agency Securities | |||||||||||||||||||||||||
Schedule of Trading Securities and Other Trading Assets [Line Items] | |||||||||||||||||||||||||
Investments Classified by Contractual Maturity Date | The following table summarizes the weighted average lives of our Non-Agency Securities at December 31, 2014 and December 31, 2013. | ||||||||||||||||||||||||
December 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||
Weighted Average Life of all Non-Agency Securities | Fair Value | Amortized Cost | Fair Value | Amortized | |||||||||||||||||||||
Cost | |||||||||||||||||||||||||
Less than one year | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||
Greater than or equal to one year and less than three years | — | — | — | — | |||||||||||||||||||||
Greater than or equal to three years and less than five years | 20,045 | 19,866 | 36,581 | 35,254 | |||||||||||||||||||||
Greater than or equal to five years | 138,886 | 133,348 | 106,818 | 104,422 | |||||||||||||||||||||
Total Non-Agency Securities | $ | 158,931 | $ | 153,214 | $ | 143,399 | $ | 139,676 | |||||||||||||||||
Linked_Transactions_Tables
Linked Transactions (Tables) | 12 Months Ended | ||||||||||||||||||||||||
Dec. 31, 2014 | |||||||||||||||||||||||||
Linked Transactions Disclosure [Abstract] | |||||||||||||||||||||||||
Non-Agency Securities and Repurchase Agreements Underlying Linked Transactions | The following tables present information about our Non-Agency Securities and repurchase agreements underlying our Linked Transactions at December 31, 2014 and December 31, 2013. We did not have any Linked Transactions at December 31, 2012. Our Non-Agency Securities underlying our Linked Transactions represented approximately 0.72% and 13.0% of our overall investment in MBS at December 31, 2014 and December 31, 2013, respectively. | ||||||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||||||
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 | $ | 676 | 1.51 | % | Prime | $ | — | $ | — | $ | — | 0 | % | ||||||||||||
31 days to 60 days | — | 0 | % | Alt-A | 8,940 | 8,854 | 12,199 | 6.22 | % | ||||||||||||||||
61 days to 90 days | 5,708 | 2.01 | % | Total | $ | 8,940 | $ | 8,854 | $ | 12,199 | 6.22 | % | |||||||||||||
Greater than 90 days | — | 0 | % | ||||||||||||||||||||||
Total | $ | 6,384 | 1.95 | % | |||||||||||||||||||||
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 | % | |||||||||||||||||||||
Schedule of Other Nonoperating Income (Expense) | The following table presents certain information about the components of the unrealized net gains and (losses) and net interest income (loss) from Linked Transactions included in our consolidated statements of operations for the year ended December 31, 2014 and December 31, 2013. We did not have any Linked Transactions for the period from June 21, 2012 through December 31, 2012. | ||||||||||||||||||||||||
Unrealized Net Gain (Loss) and Net Interest Income (Loss) from Linked Transactions | December 31, 2014 | December 31, 2013 | |||||||||||||||||||||||
Interest income attributable to MBS underlying Linked Transactions | $ | 4,671 | $ | 2,334 | |||||||||||||||||||||
Interest expense attributable to linked repurchase agreements underlying Linked Transactions | (768 | ) | (534 | ) | |||||||||||||||||||||
Gain on sale of Linked Transactions | 2,971 | — | |||||||||||||||||||||||
Change in fair value of Linked Transactions included in earnings | 3,456 | (5,152 | ) | ||||||||||||||||||||||
Unrealized net gain (loss) and net interest income (loss) from Linked Transactions | $ | 10,330 | $ | (3,352 | ) | ||||||||||||||||||||
Repurchase_Agreements_Tables
Repurchase Agreements (Tables) | 12 Months Ended | ||||||||||||||
Dec. 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 at December 31, 2014 and December 31, 2013. | ||||||||||||||
31-Dec-14 | Repurchase Agreements | Weighted Average Contractual Rate | Weighted Average Maturity in days | Haircut for Repurchase Agreements (1) | |||||||||||
Agency Securities | $ | 1,020,916 | 0.37 | % | 39 | 4.87 | % | ||||||||
Non-Agency Securities | 70,697 | 1.74 | % | 43 | 25.44 | % | |||||||||
U.S. Treasury Securities | 42,774 | 0.19 | % | 2 | 0 | % | |||||||||
Total or Weighted Average | $ | 1,134,387 | 0.45 | % | 38 | 7.56 | % | ||||||||
(1) The Haircut represents the weighted average margin requirement, or the percentage amount by which the collateral value must exceed the loan amount. | |||||||||||||||
31-Dec-13 | Repurchase Agreements | Weighted Average Contractual Rate | Weighted Average Maturity in days | Haircut for Repurchase Agreements (1) | |||||||||||
Agency Securities | $ | 731,782 | 0.42 | % | 33 | 4.9 | % | ||||||||
Non-Agency Securities | 107,623 | 1.96 | % | 46 | 25.39 | % | |||||||||
Total 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. | |||||||||||||||
Maturing or Repricing | December 31, 2014 | Weighted Average Contractual Rate | December 31, 2013 | Weighted Average Contractual Rate | |||||||||||
Within 30 days | $ | 522,855 | 0.44 | % | $ | 380,744 | 0.67 | % | |||||||
31 days to 60 days | 289,819 | 0.41 | % | 408,054 | 0.49 | % | |||||||||
61 days to 90 days | 321,713 | 0.49 | % | 40,362 | 1 | % | |||||||||
Greater than 90 days | — | 0 | % | 10,245 | 2.1 | % | |||||||||
Total or Weighted Average | $ | 1,134,387 | 0.45 | % | $ | 839,405 | 0.61 | % | |||||||
Schedule of Repurchase Agreement Counterparties with Whom Repurchase Agreements Exceed 5 Percent of Stockholders' Equity | The table below represents information about repurchase agreement counterparties where the amount at risk individually accounts for 5% or greater of our stockholders' equity at December 31, 2014. | ||||||||||||||
Repurchase Agreement Counterparty | Amount at Risk | Weighted Average Maturity of Repurchase Agreements | |||||||||||||
Bank of America-Merrill Lynch | $ | 7,238 | 42 | ||||||||||||
BNP Paribas Securities Corp. | 7,289 | 14 | |||||||||||||
Royal Bank of Canada | 11,018 | 42 | |||||||||||||
UBS AG (1) | 19,194 | 615 | |||||||||||||
Total | $ | 44,739 | |||||||||||||
(1) Amount at risk exceeds 10% of stockholders' equity. |
Derivatives_Tables
Derivatives (Tables) | 12 Months Ended | |||||||||||||||||||
Dec. 31, 2014 | ||||||||||||||||||||
Derivative [Line Items] | ||||||||||||||||||||
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 consolidated balance sheets at December 31, 2014 and December 31, 2013. | |||||||||||||||||||
December 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 | 25-36 Months | 34 | 0.55 | % | 50,000 | 611 | — | |||||||||||||
Interest rate swap contract | 37-48 Months | 41 | 0.92 | % | 50,000 | 241 | — | |||||||||||||
Interest rate swap contracts | 49-60 Months | 58 | 1.59 | % | 60,000 | — | (306 | ) | ||||||||||||
Interest rate swap contracts | 85-96 Months | 93 | 1.5 | % | 175,000 | 4,178 | — | |||||||||||||
Interest rate swap contracts | 97-108 Months | 100 | 1.91 | % | 526,250 | 2,291 | (2,297 | ) | ||||||||||||
Total or Weighted Average | 89 | 1.67 | % | $ | 861,250 | $ | 7,321 | $ | (2,603 | ) | ||||||||||
(1) See Note 5, "Fair Value of Financial Instruments" for additional discussion. | ||||||||||||||||||||
December 31, 2013 | ||||||||||||||||||||
Derivative Type | Remaining / Underlying Term | Weighted Average Remaining Swap / Option Term (Months) | Weighted Average Rate | Notional Amount | Asset Fair Value (1) | Liability Fair Value (1) | ||||||||||||||
Interest rate swap contracts | 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 | 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 5, "Fair Value of Financial Instruments" for additional discussion. | ||||||||||||||||||||
Derivative Instruments, Gain (Loss) | The following table represents the location and information regarding our derivatives which are included in total Other Income (Loss) in the accompanying consolidated statements of operations for the years ended December 31, 2014 and December 31, 2013 for the period from June 21, 2012 through December 31, 2012. | |||||||||||||||||||
Income (Loss) Recognized | ||||||||||||||||||||
Derivatives | Location on consolidated statements of operations | For the Year Ended December 31, 2014 | For the Year Ended December 31, 2013 | For the Period From June 21, 2012 Through December 31, 2012 | ||||||||||||||||
Interest rate swap contracts: | ||||||||||||||||||||
Interest income | Realized loss on derivatives | $ | 1,060 | $ | 787 | $ | 83 | |||||||||||||
Interest expense | Realized loss on derivatives | (13,646 | ) | (9,457 | ) | (666 | ) | |||||||||||||
Changes in fair value | Unrealized gain (loss) on derivatives | (47,987 | ) | 57,738 | 614 | |||||||||||||||
$ | (60,573 | ) | $ | 49,068 | $ | 31 | ||||||||||||||
Interest rate swaptions: | ||||||||||||||||||||
Realized gain | Realized loss on derivatives | — | 5,875 | — | ||||||||||||||||
Changes in fair value | Unrealized gain (loss) on derivatives | (6,884 | ) | 10 | (916 | ) | ||||||||||||||
$ | (6,884 | ) | $ | 5,885 | $ | (916 | ) | |||||||||||||
Totals | $ | (67,457 | ) | $ | 54,953 | $ | (885 | ) | ||||||||||||
Derivative | ||||||||||||||||||||
Derivative [Line Items] | ||||||||||||||||||||
Offsetting Assets | 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 consolidated balance sheets. Currently we present these financial instruments at their gross amounts and they are included in derivatives at fair value on the accompanying consolidated balance sheets at December 31, 2013. | |||||||||||||||||||
December 31, 2013 | Gross Amounts Not Offset in the Consolidated Balance Sheet | |||||||||||||||||||
Assets | Gross Amounts of Assets Presented in the Consolidated 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 | |||||||||||
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 consolidated balance sheets. Currently we present these financial instruments at their gross amounts and they are included in derivatives at fair value on the accompanying consolidated balance sheets at December 31, 2014. | ||||||||||||||||||||
December 31, 2014 | Gross Amounts Not Offset in the Consolidated Balance Sheet | |||||||||||||||||||
Assets | Gross Amounts of Assets Presented in the Consolidated Balance Sheet | Financial Instruments | Cash Collateral Held | Net Amount | ||||||||||||||||
Interest rate swap contracts | $ | 7,321 | $ | (2,603 | ) | $ | 333 | $ | 5,051 | |||||||||||
Totals | $ | 7,321 | $ | (2,603 | ) | $ | 333 | $ | 5,051 | |||||||||||
Offsetting Liabilities | ||||||||||||||||||||
December 31, 2014 | Gross Amounts Not Offset in the Consolidated Balance Sheet | |||||||||||||||||||
Liabilities | Gross Amounts of Liabilities Presented in the Consolidated Balance Sheet | Financial Instruments | Cash Collateral Posted | Net Amount | ||||||||||||||||
Interest rate swap contracts | $ | (2,603 | ) | $ | 2,603 | $ | — | $ | — | |||||||||||
Totals | $ | (2,603 | ) | $ | 2,603 | $ | — | $ | — | |||||||||||
Stockholders_Equity_Tables
Stockholders' Equity (Tables) | 12 Months Ended | |||||||||||||
Dec. 31, 2014 | ||||||||||||||
Equity [Abstract] | ||||||||||||||
Dividends Transactions | The following table presents our common stock dividend transactions for the year ended December 31, 2014. | |||||||||||||
Record Date | Payment Date | Rate per | Aggregate amount | |||||||||||
common share | 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 | |||||||||||
15-Apr-14 | 29-Apr-14 | $0.15 | 1,799 | |||||||||||
15-May-14 | 29-May-14 | $0.15 | 1,799 | |||||||||||
16-Jun-14 | 27-Jun-14 | $0.15 | 1,800 | |||||||||||
15-Jul-14 | 30-Jul-14 | $0.15 | 1,800 | |||||||||||
15-Aug-14 | 29-Aug-14 | $0.15 | 1,800 | |||||||||||
15-Sep-14 | 29-Sep-14 | $0.15 | 1,800 | |||||||||||
15-Oct-14 | 30-Oct-14 | $0.15 | 1,800 | |||||||||||
17-Nov-14 | 26-Nov-14 | $0.15 | 1,800 | |||||||||||
15-Dec-14 | 30-Dec-14 | $0.15 | 1,805 | |||||||||||
Total dividends paid | $ | 21,600 | ||||||||||||
The following table presents our common stock dividend transactions for the year ended December 31, 2013. | ||||||||||||||
Record Date | Payment Date | Rate per | Aggregate amount | |||||||||||
common share | paid to holders of | |||||||||||||
record | ||||||||||||||
January 15, 2013 | January 30, 2013 | $0.23 | $ | 1,725 | ||||||||||
February 15, 2013 | February 27, 2013 | $0.23 | 1,725 | |||||||||||
March 15, 2013 | March 27, 2013 | $0.23 | 1,725 | |||||||||||
April 15, 2013 | April 29, 2013 | $0.23 | 1,725 | |||||||||||
May 15, 2013 | May 30, 2013 | $0.23 | 3,105 | |||||||||||
June 14, 2013 | June 27, 2013 | $0.23 | 3,105 | |||||||||||
July 15, 2013 | July 30, 2013 | $0.23 | 3,105 | |||||||||||
August 15, 2013 | August 29, 2013 | $0.23 | 3,105 | |||||||||||
September 16, 2013 | September 27, 2013 | $0.23 | 3,105 | |||||||||||
October 15, 2013 | October 28, 2013 | $0.15 | 2,025 | |||||||||||
November 15, 2013 | November 27, 2013 | $0.15 | 2,025 | |||||||||||
December 16, 2013 | December 27, 2013 | $0.15 | 1,939 | |||||||||||
Total dividends paid | $ | 28,414 | ||||||||||||
The following table presents our common stock dividend transactions for the period from June 21, 2012 through December 31, 2012 | ||||||||||||||
Record Date | Payment Date | Rate per | Aggregate amount | |||||||||||
common share | paid to holders of | |||||||||||||
record | ||||||||||||||
November 19, 2012 | November 29, 2012 | $0.23 | $ | 1,725 | ||||||||||
December 14, 2012 | December 28, 2012 | $0.23 | 1,725 | |||||||||||
Total dividends paid | $ | 3,450 | ||||||||||||
Schedule of Stockholders Equity | The following table presents our common stock repurchases for the year ended December 31, 2014. | |||||||||||||
Transaction Type | Completion Date | Number of | Per Share | Net Cost | ||||||||||
Shares | price (1) | |||||||||||||
Repurchased shares | December 23, 2014 to December 30, 2014 | 54 | $ | 10.95 | $ | (591 | ) | |||||||
(1) Weighted average price. | ||||||||||||||
The following table presents our common stock repurchases for the year ended December 31, 2013. We did not have any common stock repurchases for the period from June 21, 2012 through December 31, 2012. | ||||||||||||||
Transaction Type | Completion Date | Number of | Per Share | Net Cost | ||||||||||
Shares | price (1) | |||||||||||||
Repurchased shares | November 26, 2013 to December 30, 2013 | 1,507 | $ | 12.72 | $ | (19,201 | ) | |||||||
(1) Weighted average price. | ||||||||||||||
The following table presents our equity transactions for the year ended December 31, 2014. | ||||||||||||||
Transaction Type | Completion Date | Number of | Per Share | Net Proceeds | ||||||||||
Shares | price (1) | |||||||||||||
Dividend Reinvestment Plan Shares | July 25, 2014 to December 30, 2014 | NM | $ | 12.48 | NM | |||||||||
Common equity distribution agreements | November 25, 2014 to December 5, 2014 | 32 | $ | 12.61 | 358 | |||||||||
(1) Weighted average price. | ||||||||||||||
NM - Not meaningful | ||||||||||||||
The following table presents our equity transactions for the year ended December 31, 2013. | ||||||||||||||
Transaction Type | Completion Date | Number of | Per Share | Net Proceeds | ||||||||||
Shares | price | |||||||||||||
Common stock follow-on public offering | May 13, 2013 | 6,000 | $ | 18.93 | $ | 113,163 | ||||||||
The following table presents our equity transactions for the period from June 21, 2012 through December 31, 2012. | ||||||||||||||
Transaction Type | Completion Date | Number of | Per Share | Net Proceeds | ||||||||||
Shares | price | |||||||||||||
Initial Capital Contribution | June 21, 2012 | NM | $ | 20 | $ | 1 | ||||||||
IPO | October 9, 2012 | 7,250 | $ | 20 | $ | 145,000 | ||||||||
Private Placement | October 9, 2012 | 250 | $ | 20 | $ | 5,000 | ||||||||
NM - Not Meaningful |
Income_Taxes_Tables
Income Taxes (Tables) | 12 Months Ended | |||||||||||
Dec. 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 years ended December 31, 2014 and December 31, 2013 and for the period from June 21, 2012 through December 31, 2012. | |||||||||||
For the Year Ended December 31, 2014 | For the Year Ended December 31, 2013 | For the Period From June 21, 2012 Through December 31, 2012 | ||||||||||
GAAP Net income (loss) | $ | (21,759 | ) | $ | (43,774 | ) | $ | 6,098 | ||||
Book to tax differences: | ||||||||||||
Net book to tax differences on Non-Agency Securities and Linked Transactions | (6,143 | ) | 8,006 | (978 | ) | |||||||
Net capital losses carried forward | — | 80,509 | — | |||||||||
Gain on sale of Agency Securities | (8,254 | ) | — | — | ||||||||
Other than temporary impairment of Agency Securities | — | 44,278 | — | |||||||||
Amortization of deferred hedging gains (costs) | 229 | (57,879 | ) | — | ||||||||
Net premium amortization differences | (809 | ) | — | — | ||||||||
Changes in interest rate contracts | 54,871 | (5,875 | ) | 302 | ||||||||
Other | 3 | 3 | 46 | |||||||||
Estimated taxable income | $ | 18,138 | $ | 25,268 | $ | 5,468 | ||||||
Quarterly_Financial_Data_unaud1
Quarterly Financial Data (unaudited) (Tables) | 12 Months Ended | |||||||||||||||
Dec. 31, 2014 | ||||||||||||||||
Quarterly Financial Information Disclosure [Abstract] | ||||||||||||||||
Schedule of Quarterly Financial Information | The following tables are a comparative breakdown of our unaudited quarterly financial results for the immediately preceding eight quarters. | |||||||||||||||
Quarters Ended | ||||||||||||||||
March 31, | June 30, | September 30, | December 31, | |||||||||||||
2014 | 2014 | 2014 | 2014 | |||||||||||||
Interest income: | ||||||||||||||||
Agency Securities, net of amortization of premium | $ | 8,445 | $ | 8,031 | $ | 7,246 | $ | 6,819 | ||||||||
Non-Agency Securities, including discount accretion | 2,308 | 2,410 | 2,478 | 2,592 | ||||||||||||
Total Interest Income | $ | 10,753 | $ | 10,441 | $ | 9,724 | $ | 9,411 | ||||||||
Interest expense | (1,448 | ) | (1,769 | ) | (1,698 | ) | (1,638 | ) | ||||||||
Net Interest Income | $ | 9,305 | $ | 8,672 | $ | 8,026 | $ | 7,773 | ||||||||
Realized gain (loss) on sale of Agency Securities (reclassified from Other comprehensive income (loss) | 8,810 | (34 | ) | (845 | ) | 323 | ||||||||||
Gain (loss) on Non-Agency Securities | 833 | 288 | 1,571 | (2,133 | ) | |||||||||||
Unrealized net gain and net interest income from Linked Transactions | 4,427 | 2,950 | 1,145 | 1,726 | ||||||||||||
Realized loss on derivatives (1) | (3,106 | ) | (3,097 | ) | (3,131 | ) | (3,252 | ) | ||||||||
Unrealized gain (loss) on derivatives | (20,029 | ) | (15,703 | ) | 1,293 | (20,432 | ) | |||||||||
Expenses | (2,103 | ) | (1,852 | ) | (1,487 | ) | (1,697 | ) | ||||||||
Net Income (Loss) | $ | (1,863 | ) | $ | (8,776 | ) | $ | 6,572 | $ | (17,692 | ) | |||||
Net income (loss) per common share | $ | (0.16 | ) | $ | (0.73 | ) | $ | 0.55 | $ | (1.47 | ) | |||||
Weighted average common shares outstanding | 11,993 | 11,996 | 11,999 | 12,010 | ||||||||||||
Common stock dividends declared | $ | 5,397 | $ | 5,398 | $ | 5,400 | $ | 5,406 | ||||||||
Common stock dividends declared per share | $ | 0.45 | $ | 0.45 | $ | 0.45 | $ | 0.45 | ||||||||
Common Shares of record end of period | 11,996 | 11,999 | 12,003 | 11,985 | ||||||||||||
(1) Interest expense related to our interest rate swap contracts is recorded in realized loss on derivatives on the consolidated statements of operations. | ||||||||||||||||
Quarters Ended | ||||||||||||||||
March 31, | June 30, | September 30, | December 31, | |||||||||||||
2013 | 2013 | 2013 | 2013 | |||||||||||||
Interest income: | ||||||||||||||||
Agency Securities, net of amortization of premium | $ | 7,144 | $ | 9,336 | $ | 9,834 | $ | 8,767 | ||||||||
Non-Agency Securities, including discount accretion | 1,860 | 1,832 | 2,105 | 2,178 | ||||||||||||
Total Interest Income | $ | 9,004 | $ | 11,168 | $ | 11,939 | $ | 10,945 | ||||||||
Interest expense | (1,727 | ) | (1,924 | ) | (2,001 | ) | (1,690 | ) | ||||||||
Net Interest Income | $ | 7,277 | $ | 9,244 | $ | 9,938 | $ | 9,255 | ||||||||
Realized loss on sale of Agency Securities (reclassified from Other comprehensive income (loss) | — | — | (48,554 | ) | (32,491 | ) | ||||||||||
Other than temporary impairment of Agency Securities (reclassified from Other comprehensive income (loss)) | — | — | — | (44,278 | ) | |||||||||||
Gain (loss) on Non-Agency Securities | 2,210 | (5,635 | ) | 734 | 1,714 | |||||||||||
Gain (loss) on short sale of U.S. Treasury Securities | — | (3,106 | ) | 3,739 | — | |||||||||||
Unrealized net gain (loss) and net interest income from Linked Transactions | — | (2,288 | ) | 724 | (1,778 | ) | ||||||||||
Realized gain (loss) on derivatives (1) | (950 | ) | (1,989 | ) | (2,673 | ) | 2,817 | |||||||||
Unrealized gain on derivatives | 3,444 | 43,181 | 269 | 10,854 | ||||||||||||
Expenses | (1,003 | ) | (1,170 | ) | (1,394 | ) | (1,863 | ) | ||||||||
Income tax expense | (2 | ) | — | — | — | |||||||||||
Net Income (Loss) | $ | 10,976 | $ | 38,237 | $ | (37,217 | ) | $ | (55,770 | ) | ||||||
Net income (loss) per common share | $ | 1.46 | $ | 3.56 | $ | (2.76 | ) | $ | (4.22 | ) | ||||||
Weighted average common shares outstanding | 7,500 | 10,731 | 13,500 | 13,209 | ||||||||||||
Common stock dividends declared | $ | 5,175 | $ | 7,935 | $ | 9,315 | $ | 5,989 | ||||||||
Common stock dividends declared per share | $ | 0.69 | $ | 0.69 | $ | 0.69 | $ | 0.45 | ||||||||
Common Shares of record end of period | 7,500 | 13,500 | 13,500 | 11,993 | ||||||||||||
(1) Interest expense related to our interest rate swap contracts is recorded in realized loss on derivatives on the consolidated statements of operations. |
Summary_of_Significant_Account2
Summary of Significant Accounting Policies (Details) (USD $) | 0 Months Ended | 1 Months Ended | 12 Months Ended | |||||||||
In Thousands, except Share data, unless otherwise specified | Dec. 30, 2014 | Dec. 30, 2013 | Dec. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Mar. 05, 2014 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 |
Class of Stock [Line Items] | ||||||||||||
Preferred stock, shares authorized (in shares) | 25,000,000 | 25,000,000 | ||||||||||
Preferred 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, par value (in Dollars per share) | $0.00 | $0.00 | ||||||||||
Common stock, shares issued (in Shares) | 11,985,000 | 11,993,000 | 12,003,000 | 11,999,000 | 11,996,000 | 13,500,000 | 13,500,000 | 7,500,000 | ||||
Common stock, shares outstanding (in Shares) | 11,985,000 | 11,993,000 | 7,500,000 | |||||||||
Stock repurchase program, shares authorized (in Shares) | 3,000,000 | |||||||||||
Common stock repurchased | $591 | $19,201 | $591 | $19,201 | ||||||||
Stock repurchase program, remaining authorized (in Shares) | 1,439,000 | |||||||||||
Common Stock | ||||||||||||
Class of Stock [Line Items] | ||||||||||||
Common stock repurchased (in Shares) | 54,000 | 1,507,000 | 54,000 | 1,507,000 | ||||||||
Common stock repurchased | $2 |
Fair_Value_of_Financial_Instru2
Fair Value of Financial Instruments (Details) - Additional Information | 12 Months Ended |
Dec. 31, 2014 | |
dealer | |
Fair Value Disclosures [Abstract] | |
Number of dealers received quotes from | 3 |
Fair_Value_of_Financial_Instru3
Fair Value of Financial Instruments (Details) - Summary of Assets and Liabilities Measured at Fair Value on a Recurring Basis (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Assets at Fair Value: | ||
Agency Securities, available for sale | $1,075,521 | $801,777 |
Non-Agency Securities, trading | 158,931 | 143,399 |
Linked Transactions, net | 2,532 | 16,322 |
Derivatives | 7,321 | 59,703 |
Liabilities at Fair Value: | ||
Derivatives | 2,603 | 0 |
Fair Value, Measurements, Recurring | ||
Assets at Fair Value: | ||
Agency Securities, available for sale | 1,075,521 | 801,777 |
Non-Agency Securities, trading | 158,931 | 143,399 |
Linked Transactions, net | 2,532 | 16,322 |
Derivatives | 7,321 | 59,703 |
Liabilities at Fair Value: | ||
Derivatives | 2,603 | |
Fair Value, Measurements, Recurring | Significant Observable Inputs (Level 2) | ||
Assets at Fair Value: | ||
Agency Securities, available for sale | 1,075,521 | 801,777 |
Derivatives | 7,321 | 59,703 |
Liabilities at Fair Value: | ||
Derivatives | 2,603 | |
Fair Value, Measurements, Recurring | Significant Unobservable Inputs (Level 3) | ||
Assets at Fair Value: | ||
Non-Agency Securities, trading | 158,931 | 143,399 |
Linked Transactions, net | $2,532 | $16,322 |
Fair_Value_of_Financial_Instru4
Fair Value of Financial Instruments (Details) - Carrying Values and Fair Values of Financial Assets and Liabilities (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Carrying Value | ||
Financial Assets: | ||
Cash | $29,882 | $41,524 |
Cash collateral posted to counterparties | 3,209 | 648 |
Accrued interest receivable | 2,792 | 2,336 |
Financial Liabilities: | ||
Repurchase agreements | 1,134,387 | 839,405 |
Cash collateral posted by counterparties | 2,876 | 53,314 |
Accrued interest payable | 696 | 611 |
Fair Value | ||
Financial Assets: | ||
Cash | 29,882 | 41,524 |
Cash collateral posted to counterparties | 3,209 | 648 |
Accrued interest receivable | 2,792 | 2,336 |
Financial Liabilities: | ||
Repurchase agreements | 1,134,387 | 839,405 |
Cash collateral posted by counterparties | 2,876 | 53,314 |
Accrued interest payable | 696 | 611 |
Quoted Prices in Active Markets for Identical Assets (Level 1) | ||
Financial Assets: | ||
Cash | 29,882 | 41,524 |
Significant Observable Inputs (Level 2) | ||
Financial Assets: | ||
Cash collateral posted to counterparties | 3,209 | 648 |
Accrued interest receivable | 2,792 | 2,336 |
Financial Liabilities: | ||
Repurchase agreements | 1,134,387 | 839,405 |
Cash collateral posted by counterparties | 2,876 | 53,314 |
Accrued interest payable | $696 | $611 |
Fair_Value_of_Financial_Instru5
Fair Value of Financial Instruments (Details) - Changes in Level 3 Assets Measured at Fair Value on a Recurring Basis, Trading Securities (USD $) | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||||||||
In Thousands, unless otherwise specified | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2014 | Dec. 31, 2013 |
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Roll Forward] | |||||||||||
Gain (loss) on Non-Agency Securities | ($2,133) | $1,571 | $288 | $833 | $1,714 | $734 | ($5,635) | $2,210 | $1,124 | $559 | ($977) |
Non-Agency Securities | Significant Unobservable Inputs (Level 3) | |||||||||||
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Roll Forward] | |||||||||||
Balance, beginning of period | 143,399 | 129,946 | 0 | 143,399 | 129,946 | ||||||
Purchases of Non-Agency Securities, at cost | 131,077 | 32,397 | 38,332 | ||||||||
Principal repayments of Non-Agency Securities | -2,480 | -15,494 | -21,788 | ||||||||
Proceeds from the sale of Non-Agency Securities | 0 | -9,757 | -1,352 | ||||||||
Gain (loss) on Non-Agency Securities | 1,124 | 559 | -977 | ||||||||
Linked Transactions Value of Purchased Non-Agency Securities | 0 | 7,281 | 0 | ||||||||
Discount accretion | 225 | 546 | -762 | ||||||||
Balance, end of period | 158,931 | 143,399 | 129,946 | 158,931 | 143,399 | ||||||
Gain (loss) on Non-Agency Securities | $1,124 | $559 | ($977) |
Fair_Value_of_Financial_Instru6
Fair Value of Financial Instruments (Details) - Changes in Level 3 Assets Measured at Fair Value on a Recurring Basis, Linked Transactions (USD $) | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||||||||
In Thousands, unless otherwise specified | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2014 | Dec. 31, 2013 |
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Roll Forward] | |||||||||||
Gain (loss) on Linked Transactions | $1,726 | $1,145 | $2,950 | $4,427 | ($1,778) | $724 | ($2,288) | $0 | $0 | $10,330 | ($3,352) |
Linked Transactions | Significant Unobservable Inputs (Level 3) | |||||||||||
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Roll Forward] | |||||||||||
Balance, beginning of period | 16,322 | 0 | 0 | 16,322 | 0 | ||||||
Linked Transaction value of purchased Non-Agency Securities | 0 | -7,281 | 0 | ||||||||
Principal repayments of Non-Agency Securities | 0 | -16,839 | 19,674 | ||||||||
Unrealized net gain (loss) and net interest income (loss) from Linked Transactions | 0 | 10,330 | -3,352 | ||||||||
Balance, end of period | 2,532 | 16,322 | 0 | 2,532 | 16,322 | ||||||
Gain (loss) on Linked Transactions | $0 | $10,330 | ($3,352) |
Fair_Value_of_Financial_Instru7
Fair Value of Financial Instruments - Range of Estimates of Cumulative Default and Loss Severities and Discount Rates (Detail) (Significant Unobservable Inputs (Level 3)) | 12 Months Ended | |
Dec. 31, 2014 | Dec. 31, 2013 | |
Minimum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Cumulative default | 0.00% | 0.00% |
Loss severity (life) | 18.80% | 0.00% |
Discount rate | 4.60% | 4.01% |
Delinquency (life) | 0.00% | 0.00% |
Voluntary prepayments (life) | 5.20% | 6.70% |
Weighted Average | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Cumulative default | 14.98% | 6.99% |
Loss severity (life) | 57.15% | 31.20% |
Discount rate | 5.44% | 5.32% |
Delinquency (life) | 13.51% | 9.74% |
Voluntary prepayments (life) | 9.02% | 9.74% |
Maximum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Cumulative default | 47.89% | 33.27% |
Loss severity (life) | 100.00% | 62.60% |
Discount rate | 6.50% | 6.50% |
Delinquency (life) | 46.30% | 29.50% |
Voluntary prepayments (life) | 15.50% | 14.80% |
Agency_Securities_Available_fo2
Agency Securities, Available for Sale (Details) (USD $) | 0 Months Ended | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||||
In Thousands, unless otherwise specified | Jun. 21, 2012 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Schedule of Available-for-sale Securities [Line Items] | |||||||||
Proceeds from sales of Non-Agency Securities | $0 | $9,757 | $1,352 | $0 | |||||
Other than temporary impairment of Agency Securities | 0 | -44,278 | 0 | 0 | 0 | 0 | 0 | -44,278 | 0 |
Agency Securities, available for sale | 801,777 | 1,075,521 | 801,777 | ||||||
Weighted average coupon rate | 3.14% | 3.25% | 3.14% | ||||||
Gross realized gains (losses) from sale proceeds | 1,028,849 | 984,453 | |||||||
Gross realized gain (loss) | 8,254 | -81,045 | |||||||
25-Year and 30-Year Fixed Rate Agency Securities | |||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||
Agency Securities, available for sale | $744,600 | $744,600 | |||||||
Market Based Securities Including Trading Securities Underlying Linked Transactions | Portfolio Concentration Risk | |||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||
Percentage of portfolio invested | 86.50% | 73.80% | |||||||
Agency Securities | Market Based Securities | Portfolio Concentration Risk | |||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||
Percentage of portfolio invested | 87.13% | 84.80% |
Agency_Securities_Available_fo3
Agency Securities, Available for Sale (Details) - Unrealized Gain or Loss Position and Components of Carrying Value of Available for Sale Agency Securities (June 30, 2013) (USD $) | 12 Months Ended | |
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 |
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | 1,066,918 | 804,920 |
Gross Unrealized Loss | -678 | -3,143 |
Gross Unrealized Gain | 9,281 | 0 |
Fair Value | 1,075,521 | 801,777 |
Fannie Mae | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | 1,066,918 | 804,920 |
Gross Unrealized Loss | -678 | -3,143 |
Gross Unrealized Gain | 9,281 | 0 |
Fair Value | 1,075,521 | 801,777 |
Fannie Mae | Portfolio Concentration Risk | Agency Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Percentage of concentration risk | 100.00% | 100.00% |
Fannie Mae | Multi-Family MBS | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | 230,799 | |
Gross Unrealized Loss | 0 | |
Gross Unrealized Gain | 2,903 | |
Fair Value | 233,702 | |
Fannie Mae | Multi-Family MBS | Portfolio Concentration Risk | Agency Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Percentage of concentration risk | 21.73% | |
Fannie Mae | 15 Year Fixed | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | 790,238 | 29,336 |
Gross Unrealized Loss | -26 | -1,057 |
Gross Unrealized Gain | 6,031 | 0 |
Fair Value | 796,243 | 28,279 |
Fannie Mae | 15 Year Fixed | Portfolio Concentration Risk | Agency Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Percentage of concentration risk | 74.03% | 3.53% |
Fannie Mae | 20 Year Fixed | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | 45,881 | 30,974 |
Gross Unrealized Loss | -652 | -2,086 |
Gross Unrealized Gain | 347 | 0 |
Fair Value | 45,576 | 28,888 |
Fannie Mae | 20 Year Fixed | Portfolio Concentration Risk | Agency Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Percentage of concentration risk | 4.24% | 3.60% |
Fannie Mae | 25 Year Fixed | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | 52,944 | |
Gross Unrealized Loss | 0 | |
Gross Unrealized Gain | 0 | |
Fair Value | 52,944 | |
Fannie Mae | 25 Year Fixed | Portfolio Concentration Risk | Agency Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Percentage of concentration risk | 6.60% | |
Fannie Mae | 30 Year Fixed | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Amortized Cost | 691,666 | |
Gross Unrealized Loss | 0 | |
Gross Unrealized Gain | 0 | |
Fair Value | 691,666 | |
Fannie Mae | 30 Year Fixed | Portfolio Concentration Risk | Agency Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Percentage of concentration risk | 86.27% |
Agency_Securities_Available_fo4
Agency Securities, Available for Sale (Details) - Summary of Weighted Average Lives of Agency Securities (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Fair Value | ||
Less than one year | $0 | $0 |
Greater than or equal to one year and less than three years | 0 | 0 |
Greater than or equal to three years and less than five years | 702,485 | 28,279 |
Greater than or equal to five years | 373,036 | 773,498 |
Total Agency Securities | 1,075,521 | 801,777 |
Amortized Cost | ||
Less than one year | 0 | 0 |
Greater than or equal to one year and less than three years | 0 | 0 |
Greater than or equal to three years and less than five years | 697,385 | 29,336 |
Greater than or equal to five years | 369,533 | 775,584 |
Amortized Cost | $1,066,918 | $804,920 |
Agency_Securities_Available_fo5
Agency Securities, Available for Sale (Details) - Gross Unrealized Losses and Estimated Fair Value of Agency Securities (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Fair Value | ||
Less than 12 Months | $58,363 | $0 |
12 Months or More | 27,640 | 57,167 |
Total | 86,003 | 57,167 |
Unrealized Losses | ||
Less than 12 Months | -26 | 0 |
Unrealized Losses | -652 | -3,143 |
Unrealized Losses | ($678) | ($3,143) |
NonAgency_Securities_Trading_D
Non-Agency Securities, Trading (Detail) (USD $) | 1 Months Ended | 6 Months Ended | 12 Months Ended | ||
In Thousands, unless otherwise specified | Apr. 30, 2014 | Dec. 31, 2012 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Investments, Debt and Equity Securities [Abstract] | |||||
Trading securities purchased previously treated as linked transactions | $22,322 | ||||
Repayment at maturity of linked transactions transferred to trading securities | 15,042 | ||||
Concentration Risk [Line Items] | |||||
Proceeds from sales of Non-Agency Securities | 0 | 9,757 | 1,352 | 0 | |
Gain on sale of non-agency securities | 396 | ||||
Loss on sale of non-agency securities | -97 | ||||
US treasury securities received in year one and two | 50,000 | ||||
US treasury securities received in year three | $30,000 | ||||
Non-Agency Securities | Market Based Securities | Portfolio Concentration Risk | |||||
Concentration Risk [Line Items] | |||||
Percentage of concentration risk | 12.87% | 15.20% | |||
Non-Agency Securities | Market Based Securities Inclusive of Linked Transactions, Forward Contracts | Portfolio Concentration Risk | |||||
Concentration Risk [Line Items] | |||||
Percentage of concentration risk | 13.50% | 26.20% |
NonAgency_Securities_Trading_S
Non-Agency Securities, Trading - Summary of Non-Agency Securities (Details) (USD $) | 12 Months Ended | |
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | $158,931 | $143,399 |
Amortized Cost | 153,214 | 139,676 |
Principal Amount | 185,084 | 170,261 |
Weighted Average Coupon | 5.09% | 5.02% |
Prime Fixed | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | 41,288 | 51,515 |
Amortized Cost | 40,894 | 51,922 |
Principal Amount | 47,806 | 57,995 |
Weighted Average Coupon | 5.43% | 4.96% |
Prime Hybrid | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | 15,592 | 17,067 |
Amortized Cost | 13,982 | 15,705 |
Principal Amount | 18,565 | 21,253 |
Weighted Average Coupon | 2.29% | 3.36% |
Prime Floater | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | 18,625 | 2,117 |
Amortized Cost | 19,380 | 2,001 |
Principal Amount | 19,750 | 2,000 |
Weighted Average Coupon | 4.22% | 5.41% |
Alt-A Fixed | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | 75,072 | 63,582 |
Amortized Cost | 70,986 | 61,554 |
Principal Amount | 88,965 | 77,922 |
Weighted Average Coupon | 5.99% | 5.85% |
Alt-A Hybrid | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | 8,354 | 9,118 |
Amortized Cost | 7,972 | 8,494 |
Principal Amount | $9,998 | $11,091 |
Weighted Average Coupon | 2.50% | 2.59% |
NonAgency_Securities_Trading_S1
Non-Agency Securities, Trading - Summary of Weighted Average Lives of Agency Securities (Detail) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Fair Value | ||
Greater than or equal to three years and less than five years | $20,045 | $36,581 |
Greater than or equal to five years | 138,886 | 106,818 |
Total Non-Agency Securities | 158,931 | 143,399 |
Amortized Cost | ||
Greater than or equal to three years and less than five years | 19,866 | 35,254 |
Greater than or equal to five years | 133,348 | 104,422 |
Total Non-Agency Securities | $153,214 | $139,676 |
NonAgency_Securities_Trading_U
Non-Agency Securities, Trading - Unrealized Losses and Estimated Fair Value of Non-Agency Securities (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Fair Value | ||
Less than 12 Months | $19,166 | $42,095 |
12 Months or More | 5,893 | 0 |
Total | 25,059 | 42,095 |
Unrealized Losses | ||
Less than 12 Months | -1,029 | -1,089 |
12 Months or More | -296 | 0 |
Total | ($1,325) | ($1,089) |
Linked_Transactions_Details
Linked Transactions (Details) (USD $) | 12 Months Ended | |
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 |
Concentration Risk [Line Items] | ||
Accrued interest payable | 696 | 611 |
Linked Transactions, Forward Contracts | ||
Concentration Risk [Line Items] | ||
Accrued interest payable | 24 | 83 |
Linked Transactions, Forward Contracts | Market Based Securities | Portfolio Concentration Risk | ||
Concentration Risk [Line Items] | ||
Percentage of concentration risk | 0.72% | 13.00% |
Linked_Transactions_NonAgency_
Linked Transactions - Non-Agency Securities and Repurchase Agreements Underlying Linked Transactions (Details) (USD $) | 12 Months Ended | |
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $1,134,387 | $839,405 |
Weighted Average Interest Rate | 0.45% | 0.61% |
Fair Value | 158,931 | 143,399 |
Amortized Cost | 153,214 | 139,676 |
Par/Current Face | 185,084 | 170,261 |
Weighted Average Coupon Rate | 5.09% | 5.02% |
Within 30 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Weighted Average Interest Rate | 0.44% | 0.67% |
31 days to 60 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Weighted Average Interest Rate | 0.41% | 0.49% |
61 days to 90 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Weighted Average Interest Rate | 0.49% | 1.00% |
Greater than 90 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Weighted Average Interest Rate | 0.00% | 2.10% |
Not Designated as Hedging Instrument | Linked Transactions, Forward Contracts | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | 6,384 | 124,540 |
Weighted Average Interest Rate | 1.95% | 1.19% |
Not Designated as Hedging Instrument | Linked Transactions, Forward Contracts | Within 30 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | 676 | 8,177 |
Weighted Average Interest Rate | 1.51% | 1.88% |
Fair Value | 0 | 112,956 |
Amortized Cost | 0 | 116,631 |
Par/Current Face | 0 | 121,571 |
Weighted Average Coupon Rate | 0.00% | 3.00% |
Not Designated as Hedging Instrument | Linked Transactions, Forward Contracts | 31 days to 60 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | 0 | 44,974 |
Weighted Average Interest Rate | 0.00% | 1.23% |
Fair Value | 8,940 | 27,989 |
Amortized Cost | 8,854 | 27,788 |
Par/Current Face | 12,199 | 35,822 |
Weighted Average Coupon Rate | 6.22% | 4.71% |
Not Designated as Hedging Instrument | Linked Transactions, Forward Contracts | 61 days to 90 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | 5,708 | 71,389 |
Weighted Average Interest Rate | 2.01% | 1.09% |
Fair Value | 8,940 | 140,945 |
Amortized Cost | 8,854 | 144,419 |
Par/Current Face | 12,199 | 157,393 |
Weighted Average Coupon Rate | 6.22% | 3.34% |
Not Designated as Hedging Instrument | Linked Transactions, Forward Contracts | Greater than 90 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $0 | $0 |
Weighted Average Interest Rate | 0.00% | 0.00% |
Linked_Transactions_Unrealized
Linked Transactions - Unrealized Net Gain (Loss) and Net Interest Income from Linked Transactions (Details) (USD $) | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||||||||
In Thousands, unless otherwise specified | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2014 | Dec. 31, 2013 |
Linked Transactions Disclosure [Abstract] | |||||||||||
Interest income attributable to MBS underlying Linked Transactions | $4,671 | $2,334 | |||||||||
Interest expense attributable to linked repurchase agreements underlying Linked Transactions | -768 | -534 | |||||||||
Gain on sale of Linked Transactions | 2,971 | 0 | |||||||||
Change in fair value of Linked Transactions included in earnings | 3,456 | -5,152 | |||||||||
Unrealized net gain (loss) and net interest income (loss) from Linked Transactions | $1,726 | $1,145 | $2,950 | $4,427 | ($1,778) | $724 | ($2,288) | $0 | $0 | $10,330 | ($3,352) |
Repurchase_Agreements_Details
Repurchase Agreements (Details) (USD $) | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||||
In Thousands, unless otherwise specified | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2014 | Dec. 31, 2013 |
counterparty | counterparty | counterparty | |||||
Concentration Risk [Line Items] | |||||||
Repurchase Agreements, Number of Counterparties with Master Repurchase Agreements | 27 | 30 | 27 | ||||
Repurchase agreements | $839,405 | $1,134,387 | $839,405 | ||||
Repurchase Agreements, Number Of Counterparties with Outstanding Borrowings | 20 | 20 | 20 | ||||
Proceeds from sales of U.S. Treasury Securities | 0 | 0 | 301,512 | ||||
Purchases of U.S. Treasury Securities | 0 | 0 | 300,879 | ||||
Gain on short sale of U.S. Treasury Securities | $0 | $3,739 | ($3,106) | $0 | $0 | $0 | $633 |
Counterparty Concentration Risk | Borrowings | |||||||
Concentration Risk [Line Items] | |||||||
Number of counterparties with repurchase agreements outstanding | 9 | ||||||
Percentage of concentration risk | 68.89% | ||||||
Minimum | Counterparty Concentration Risk | Borrowings | |||||||
Concentration Risk [Line Items] | |||||||
Percentage of concentration risk | 5.00% |
Repurchase_Agreements_Details_
Repurchase Agreements (Details) - Summary of Repurchase Agreements (Details) (USD $) | 12 Months Ended | |
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase Agreements | $1,134,387 | $839,405 |
Weighted Average Contractual Rate | 0.45% | 0.61% |
Weighted Average Maturity in days | 38 days | 35 days |
Haircut on Repurchase Agreements | 7.56% | 7.53% |
Agency Securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase Agreements | 1,020,916 | 731,782 |
Weighted Average Contractual Rate | 0.37% | 0.42% |
Weighted Average Maturity in days | 39 days | 33 days |
Haircut on Repurchase Agreements | 4.87% | 4.90% |
Non-Agency Securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase Agreements | 70,697 | 107,623 |
Weighted Average Contractual Rate | 1.74% | 1.96% |
Weighted Average Maturity in days | 43 days | 46 days |
Haircut on Repurchase Agreements | 25.44% | 25.39% |
U.S. Treasury Securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase Agreements | $42,774 | |
Weighted Average Contractual Rate | 0.19% | |
Weighted Average Maturity in days | 2 days | |
Haircut on Repurchase Agreements | 0.00% |
Repurchase_Agreements_Details_1
Repurchase Agreements (Details) - Contractual Repricing, Master Repurchase Agreement and Other Information Regarding Repurchase Agreements (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase Agreements | $1,134,387 | $839,405 |
Weighted Average Contractual Rate | 0.45% | 0.61% |
Within 30 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase Agreements | 522,855 | 380,744 |
Weighted Average Contractual Rate | 0.44% | 0.67% |
31 days to 60 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase Agreements | 289,819 | 408,054 |
Weighted Average Contractual Rate | 0.41% | 0.49% |
61 days to 90 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase Agreements | 321,713 | 40,362 |
Weighted Average Contractual Rate | 0.49% | 1.00% |
Greater than 90 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase Agreements | $0 | $10,245 |
Weighted Average Contractual Rate | 0.00% | 2.10% |
Repurchase_Agreements_Details_2
Repurchase Agreements (Details) - Agreements Exceed 5 Percent of Stockholders Equity (Details) (USD $) | 12 Months Ended | |
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 |
Repurchase Agreement Counterparty [Line Items] | ||
Amount at Risk | $44,739 | |
Weighted Average Maturity in days | 38 days | 35 days |
Bank of America-Merrill Lynch | ||
Repurchase Agreement Counterparty [Line Items] | ||
Amount at Risk | 7,238 | |
Weighted Average Maturity in days | 42 days | |
BNP Paribas Securities Corp. | ||
Repurchase Agreement Counterparty [Line Items] | ||
Amount at Risk | 7,289 | |
Weighted Average Maturity in days | 14 days | |
Royal Bank of Canada | ||
Repurchase Agreement Counterparty [Line Items] | ||
Amount at Risk | 11,018 | |
Weighted Average Maturity in days | 42 days | |
UBS AG | ||
Repurchase Agreement Counterparty [Line Items] | ||
Amount at Risk | $19,194 | |
Weighted Average Maturity in days | 615 days |
Derivatives_Details_Interest_R
Derivatives (Details) - Interest Rate Swap Contracts, Swaptions and Futures Contracts (USD $) | 12 Months Ended | |
Dec. 31, 2014 | Dec. 31, 2013 | |
Derivative [Line Items] | ||
Weighted Average Remaining Swap / Option Term (Months) | 89 months | 58 months |
Weighted Average Rate | 1.67% | 2.19% |
Notional Amount | $861,250,000 | $1,551,250,000 |
Derivatives, at fair value | 7,321,000 | 59,703,000 |
Liability Fair Value | -2,603,000 | 0 |
Swap | Interest Rate Swap 25-36 Months | ||
Derivative [Line Items] | ||
Remaining / Underlying Term-Minimum | 25 months | |
Remaining / Underlying Term-Maximum | 36 months | |
Weighted Average Remaining Swap / Option Term (Months) | 34 months | |
Weighted Average Rate | 0.55% | |
Notional Amount | 50,000,000 | |
Derivatives, at fair value | 611,000 | |
Liability Fair Value | 0 | |
Swap | Interest Rate Swap 37-48 Months | ||
Derivative [Line Items] | ||
Remaining / Underlying Term-Minimum | 37 months | 37 months |
Remaining / Underlying Term-Maximum | 48 months | 48 months |
Weighted Average Remaining Swap / Option Term (Months) | 41 months | 46 months |
Weighted Average Rate | 0.92% | 0.55% |
Notional Amount | 50,000,000 | 50,000,000 |
Derivatives, at fair value | 241,000 | 801,000 |
Liability Fair Value | 0 | 0 |
Swap | Interest Rate Swap 49-60 Months | ||
Derivative [Line Items] | ||
Remaining / Underlying Term-Minimum | 49 months | 49 months |
Remaining / Underlying Term-Maximum | 60 months | 60 months |
Weighted Average Remaining Swap / Option Term (Months) | 58 months | 53 months |
Weighted Average Rate | 1.59% | 0.92% |
Notional Amount | 60,000,000 | 50,000,000 |
Derivatives, at fair value | 0 | 532,000 |
Liability Fair Value | -306,000 | 0 |
Swap | Interest Rate Swap 85-96 Months | ||
Derivative [Line Items] | ||
Remaining / Underlying Term-Minimum | 85 months | |
Remaining / Underlying Term-Maximum | 96 months | |
Weighted Average Remaining Swap / Option Term (Months) | 93 months | |
Weighted Average Rate | 1.50% | |
Notional Amount | 175,000,000 | |
Derivatives, at fair value | 4,178,000 | |
Liability Fair Value | 0 | |
Swap | Interest Rate Swap 97-108 Months | ||
Derivative [Line Items] | ||
Remaining / Underlying Term-Minimum | 97 months | 97 months |
Remaining / Underlying Term-Maximum | 108 months | 108 months |
Weighted Average Remaining Swap / Option Term (Months) | 100 months | 105 months |
Weighted Average Rate | 1.91% | 1.50% |
Notional Amount | 526,250,000 | 175,000,000 |
Derivatives, at fair value | 2,291,000 | 15,023,000 |
Liability Fair Value | -2,297,000 | 0 |
Swap | Interest Rate Swap 109-120 Months | ||
Derivative [Line Items] | ||
Remaining / Underlying Term-Minimum | 109 months | |
Remaining / Underlying Term-Maximum | 120 months | |
Weighted Average Remaining Swap / Option Term (Months) | 112 months | |
Weighted Average Rate | 1.91% | |
Notional Amount | 526,250,000 | |
Derivatives, at fair value | 36,463,000 | |
Liability Fair Value | 0 | |
Interest rate swaptions | Interest Rate Swaptions 60 Months | ||
Derivative [Line Items] | ||
Remaining / Underlying Term-Minimum | 60 months | |
Weighted Average Remaining Swap / Option Term (Months) | 9 months | |
Weighted Average Rate | 2.73% | |
Notional Amount | 750,000,000 | |
Derivatives, at fair value | 6,884,000 | |
Liability Fair Value | $0 |
Derivatives_Details_Offsetting
Derivatives (Details) - Offsetting Assets (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Offsetting Assets [Line Items] | ||
Gross Amounts of Assets Presented in the Condensed Consolidated Balance Sheets | $7,321 | $59,703 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Financial Instruments | -2,603 | 0 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Net Cash Collateral Held | 333 | -52,315 |
Net Amount | 5,051 | 7,388 |
Interest rate swap contracts | ||
Offsetting Assets [Line Items] | ||
Gross Amounts of Assets Presented in the Condensed Consolidated Balance Sheets | 7,321 | 52,819 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Financial Instruments | -2,603 | 0 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Net Cash Collateral Held | 333 | -52,315 |
Net Amount | 5,051 | 504 |
Interest rate swaptions | ||
Offsetting Assets [Line Items] | ||
Gross Amounts of Assets Presented in the Condensed Consolidated Balance Sheets | 6,884 | |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Net Cash Collateral Held | 0 | |
Net Amount | $6,884 |
Derivatives_Details_Offsetting1
Derivatives (Details) - Offsetting Liabilities (USD $) | Dec. 31, 2014 |
In Thousands, unless otherwise specified | |
Offsetting Liabilities [Line Items] | |
Gross Amounts of Liabilities Presented in the Condensed Consolidated Balance Sheet | ($2,603) |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Financial Instruments | 2,603 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Cash Collateral Posted | 0 |
Net Amount | 0 |
Interest rate swap contracts | |
Offsetting Liabilities [Line Items] | |
Gross Amounts of Liabilities Presented in the Condensed Consolidated Balance Sheet | -2,603 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Financial Instruments | 2,603 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Cash Collateral Posted | 0 |
Net Amount | $0 |
Derivatives_Details_Location_a
Derivatives (Details) - Location and Information of Derivatives (USD $) | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||||||||||
In Thousands, unless otherwise specified | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2014 | Dec. 31, 2013 | |||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||||||
Realized loss on derivatives | ($3,252) | ($3,131) | ($3,097) | ($3,106) | $2,817 | ($2,673) | ($1,989) | ($950) | ($583) | [1] | ($12,586) | [1] | ($2,795) | [1] |
Unrealized gain (loss) on derivatives | -20,432 | 1,293 | -15,703 | -20,029 | 10,854 | 269 | 43,181 | 3,444 | -302 | -54,871 | 57,748 | |||
Total | -885 | -67,457 | 54,953 | |||||||||||
Interest rate swap contracts | ||||||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||||||
Total | 31 | -60,573 | 49,068 | |||||||||||
Interest rate swap contracts | Realized loss on derivatives | ||||||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||||||
Interest income | 83 | 1,060 | 787 | |||||||||||
Interest expense | -666 | -13,646 | -9,457 | |||||||||||
Interest rate swap contracts | Unrealized gain (loss) on derivatives | ||||||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||||||
Unrealized gain (loss) on derivatives | 614 | -47,987 | 57,738 | |||||||||||
Interest rate swaptions | ||||||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||||||
Total | -916 | -6,884 | 5,885 | |||||||||||
Interest rate swaptions | Realized loss on derivatives | ||||||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||||||
Realized loss on derivatives | 0 | 0 | 5,875 | |||||||||||
Interest rate swaptions | Unrealized gain (loss) on derivatives | ||||||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||||||
Unrealized gain (loss) on derivatives | ($916) | ($6,884) | $10 | |||||||||||
[1] | Interest expense related to our interest rate swap contracts is recorded in realized losses on derivatives on the statements of operations. For additional information see Note 10 to the consolidated financial statements. |
Commitments_and_Contingencies_
Commitments and Contingencies (Details) (USD $) | Dec. 31, 2014 |
In Thousands, unless otherwise specified | |
Other Commitments [Line Items] | |
Monthly percentage of effective management fee percentage | 8.33% |
ACM | |
Other Commitments [Line Items] | |
Percentage of gross equity raised used in calculation of management fee up to 1 Billion | 1.50% |
Percentage of gross equity raised used in calculation of management fee in excess of 1 Billion | 1.00% |
Gross equity raised | 243,101 |
StockBased_Compensation_Detail
Stock-Based Compensation (Detail) (2012 Stock Incentive Plan) | 12 Months Ended |
In Thousands, unless otherwise specified | Dec. 31, 2014 |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of shares available for grant (in Shares) | 360 |
Common Stock | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Maximum number of common shares reserved for grant of awards as percentage of total common shares issued and outstanding | 3.00% |
Stockholders_Equity_Details_Di
Stockholders' Equity (Details) - Dividend Transactions (USD $) | 0 Months Ended | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
In Thousands, except Per Share data, unless otherwise specified | Dec. 30, 2014 | Dec. 15, 2014 | Nov. 26, 2014 | Nov. 17, 2014 | Oct. 30, 2014 | Oct. 15, 2014 | Sep. 29, 2014 | Sep. 15, 2014 | Aug. 29, 2014 | Aug. 15, 2014 | Jul. 30, 2014 | Jul. 15, 2014 | Jun. 27, 2014 | Jun. 16, 2014 | 29-May-14 | 15-May-14 | Apr. 29, 2014 | Apr. 15, 2014 | Mar. 28, 2014 | Mar. 17, 2014 | Feb. 27, 2014 | Feb. 14, 2014 | Jan. 30, 2014 | Jan. 15, 2014 | Dec. 27, 2013 | Dec. 16, 2013 | Nov. 27, 2013 | Nov. 15, 2013 | Oct. 28, 2013 | Oct. 15, 2013 | Sep. 27, 2013 | Sep. 16, 2013 | Aug. 29, 2013 | Aug. 15, 2013 | Jul. 30, 2013 | Jul. 15, 2013 | Jun. 27, 2013 | Jun. 14, 2013 | 30-May-13 | 15-May-13 | Apr. 29, 2013 | Apr. 15, 2013 | Mar. 27, 2013 | Mar. 15, 2013 | Feb. 27, 2013 | Feb. 15, 2013 | Jan. 30, 2013 | Jan. 15, 2013 | Dec. 28, 2012 | Dec. 14, 2012 | Nov. 29, 2012 | Nov. 19, 2012 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2014 | Dec. 31, 2013 |
Equity [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Dividends declared per common share (in usd per share) | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.45 | $0.45 | $0.45 | $0.45 | $0.45 | $0.69 | $0.69 | $0.69 | |||||||||||||||||||||||||||||
Rate Per Common Share | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.46 | ||||||||||||||||||||||||||||||||||||
Aggregate amount paid to holders of record (in Dollars) | $1,805 | $1,800 | $1,800 | $1,800 | $1,800 | $1,800 | $1,800 | $1,799 | $1,799 | $1,799 | $1,799 | $1,799 | $1,939 | $2,025 | $2,025 | $3,105 | $3,105 | $3,105 | $3,105 | $3,105 | $1,725 | $1,725 | $1,725 | $1,725 | $1,725 | $1,725 | $3,450 | $21,600 | $28,414 |
Stockholders_Equity_Details_Eq
Stockholders' Equity (Details) - Equity Transactions (USD $) | 0 Months Ended | ||||
In Thousands, except Per Share data, unless otherwise specified | Oct. 09, 2012 | 13-May-13 | Jun. 21, 2012 | Dec. 05, 2014 | Dec. 31, 2014 |
Sale of Stock [Line Items] | |||||
Proceeds from Issuance Initial Public Offering | $145,000 | ||||
Common stock follow-on public offering | |||||
Sale of Stock [Line Items] | |||||
Number of Shares | 6,000 | ||||
Price per share (in usd per share) | $18.93 | ||||
Net Proceeds | 113,163 | ||||
Initial Capital Contribution | |||||
Sale of Stock [Line Items] | |||||
Price per share (in usd per share) | $20 | ||||
Net Proceeds | 1 | ||||
IPO | |||||
Sale of Stock [Line Items] | |||||
Number of Shares | 7,250 | ||||
Price per share (in usd per share) | $20 | ||||
Net Proceeds | 145,000 | ||||
Private Placement | |||||
Sale of Stock [Line Items] | |||||
Number of Shares | 250 | ||||
Price per share (in usd per share) | $20 | ||||
Net Proceeds | 5,000 | ||||
Common Stock | Equity Distribution Agreement | |||||
Sale of Stock [Line Items] | |||||
Number of Shares | 32 | ||||
Net Proceeds | $358 | ||||
Weighted Average | |||||
Sale of Stock [Line Items] | |||||
Per share price for dividend reinvestment plan (in usd per share) | $12.48 | ||||
Weighted Average | Common Stock | Equity Distribution Agreement | |||||
Sale of Stock [Line Items] | |||||
Price per share (in usd per share) | $12.61 |
Stockholders_Equity_Details_Co
Stockholders' Equity (Details) - Common Stock Repurchased (Details) (USD $) | 0 Months Ended | 1 Months Ended | 12 Months Ended | |
In Thousands, except Per Share data, unless otherwise specified | Dec. 30, 2014 | Dec. 30, 2013 | Dec. 31, 2014 | Dec. 31, 2013 |
Class of Stock [Line Items] | ||||
Per Share price (1) | $10.95 | $12.72 | ||
Net Cost | ($591) | ($19,201) | ($591) | ($19,201) |
Stock repurchase program, remaining authorized (in Shares) | 1,439 | |||
Common Stock | ||||
Class of Stock [Line Items] | ||||
Number of Shares | 54 | 1,507 | 54 | 1,507 |
Net Cost | ($2) |
Net_Income_per_Common_Share_De
Net Income per Common Share (Detail) (USD $) | 0 Months Ended | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||||||||||||||||||||||||||||||||
In Thousands, except Per Share data, unless otherwise specified | Dec. 30, 2014 | Nov. 26, 2014 | Oct. 30, 2014 | Sep. 29, 2014 | Aug. 29, 2014 | Jul. 30, 2014 | Jun. 27, 2014 | 29-May-14 | Apr. 29, 2014 | Mar. 28, 2014 | Feb. 27, 2014 | Jan. 30, 2014 | Dec. 27, 2013 | Nov. 27, 2013 | Oct. 28, 2013 | Sep. 27, 2013 | Aug. 29, 2013 | Jul. 30, 2013 | Jun. 27, 2013 | 30-May-13 | Apr. 29, 2013 | Mar. 27, 2013 | Feb. 27, 2013 | Jan. 30, 2013 | Dec. 28, 2012 | Nov. 29, 2012 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2014 | Dec. 31, 2013 |
Earnings Per Share [Abstract] | |||||||||||||||||||||||||||||||||||||
Net income (loss) per common share (in Dollars per share) | ($1.47) | $0.55 | ($0.73) | ($0.16) | ($4.22) | ($2.76) | $3.56 | $1.46 | $1.88 | ($1.81) | ($3.89) | ||||||||||||||||||||||||||
Weighted average common shares outstanding (in Shares) | 12,010 | 11,999 | 11,996 | 11,993 | 13,209 | 13,500 | 10,731 | 7,500 | 3,247 | 12,000 | 11,257 | ||||||||||||||||||||||||||
Rate per common share (in Dollars per share) | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.46 | ||||||||||
Aggregate amount paid to holders of record (in Dollars) | $1,805 | $1,800 | $1,800 | $1,800 | $1,800 | $1,800 | $1,800 | $1,799 | $1,799 | $1,799 | $1,799 | $1,799 | $1,939 | $2,025 | $2,025 | $3,105 | $3,105 | $3,105 | $3,105 | $3,105 | $1,725 | $1,725 | $1,725 | $1,725 | $1,725 | $1,725 | $3,450 | $21,600 | $28,414 | ||||||||
Common stock, shares outstanding (in Shares) | 11,985 | 11,993 | 7,500 | 11,985 | 11,993 |
Income_Taxes_Details_Reconcili
Income Taxes (Details) - Reconciliation of GAAP Net Income to Estimated REIT Taxable Income (USD $) | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||||||||
In Thousands, unless otherwise specified | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2014 | Dec. 31, 2013 |
Income Tax Disclosure [Abstract] | |||||||||||
GAAP Net income (loss) | ($17,692) | $6,572 | ($8,776) | ($1,863) | ($55,770) | ($37,217) | $38,237 | $10,976 | $6,098 | ($21,759) | ($43,774) |
Book to tax differences: | |||||||||||
Net book to tax differences on Non-Agency Securities and Linked Transactions | -978 | -6,143 | 8,006 | ||||||||
Net capital losses carried forward | 0 | 0 | 80,509 | ||||||||
Gain on sale of Agency Securities | 0 | -8,254 | 0 | ||||||||
Other than temporary impairment of Agency Securities | 0 | 0 | 44,278 | ||||||||
Amortization of deferred hedging gains (costs) | 0 | 229 | -57,879 | ||||||||
Net premium amortization differences | 0 | -809 | 0 | ||||||||
Changes in interest rate contracts | 302 | 54,871 | -5,875 | ||||||||
Other | 46 | 3 | 3 | ||||||||
Estimated taxable income | $5,468 | $18,138 | $25,268 |
Income_Taxes_Details
Income Taxes (Details) (USD $) | 0 Months Ended | 6 Months Ended | 12 Months Ended | ||||||||||||||||||||||||||
In Thousands, except Per Share data, unless otherwise specified | Dec. 30, 2014 | Nov. 26, 2014 | Oct. 30, 2014 | Sep. 29, 2014 | Aug. 29, 2014 | Jul. 30, 2014 | Jun. 27, 2014 | 29-May-14 | Apr. 29, 2014 | Mar. 28, 2014 | Feb. 27, 2014 | Jan. 30, 2014 | Dec. 27, 2013 | Nov. 27, 2013 | Oct. 28, 2013 | Sep. 27, 2013 | Aug. 29, 2013 | Jul. 30, 2013 | Jun. 27, 2013 | 30-May-13 | Apr. 29, 2013 | Mar. 27, 2013 | Feb. 27, 2013 | Jan. 30, 2013 | Dec. 28, 2012 | Nov. 29, 2012 | Dec. 31, 2012 | Dec. 31, 2014 | Dec. 31, 2013 |
Tax Credit Carryforward [Line Items] | |||||||||||||||||||||||||||||
Aggregate tax basis of stockholders' equity in excess of assets and liabilities | $14,136 | ||||||||||||||||||||||||||||
Aggregate tax basis of stockholders' equity in excess of assets and liabilities (dollars per share) | $1.18 | ||||||||||||||||||||||||||||
Common stock, shares outstanding (in Shares) | 7,500 | 11,985 | 11,993 | ||||||||||||||||||||||||||
Common stock dividends paid | 1,805 | 1,800 | 1,800 | 1,800 | 1,800 | 1,800 | 1,800 | 1,799 | 1,799 | 1,799 | 1,799 | 1,799 | 1,939 | 2,025 | 2,025 | 3,105 | 3,105 | 3,105 | 3,105 | 3,105 | 1,725 | 1,725 | 1,725 | 1,725 | 1,725 | 1,725 | 3,450 | 21,600 | 28,414 |
Estimated REIT Taxable Income | 5,468 | 18,138 | 25,268 | ||||||||||||||||||||||||||
Income Tax Expense (Benefit) | |||||||||||||||||||||||||||||
Tax Credit Carryforward [Line Items] | |||||||||||||||||||||||||||||
Excise tax accrued | 46 | ||||||||||||||||||||||||||||
Capital Loss Carryforward | |||||||||||||||||||||||||||||
Tax Credit Carryforward [Line Items] | |||||||||||||||||||||||||||||
Tax credit carryforward | $33,335 | $80,509 |
Related_Party_Transactions_Det
Related Party Transactions (Details) (USD $) | 6 Months Ended | 12 Months Ended | |
Dec. 31, 2012 | Dec. 31, 2014 | Dec. 31, 2013 | |
Related Party Transaction [Line Items] | |||
Management fee | $550,000 | $3,658,000 | $3,315,000 |
ACM | |||
Related Party Transaction [Line Items] | |||
Automatic renewal period of management agreement | 1 year | ||
Period of written notice of termination | 180 days | ||
ACM | Management Fee [Member] | |||
Related Party Transaction [Line Items] | |||
Management fee | 550,000 | 3,658,000 | 3,315,000 |
ACM | Reimbursement | |||
Related Party Transaction [Line Items] | |||
Management fee | 3,000 | 353,000 | 147,000 |
Sub-Manager | Armour Capital Management LP | Sub-Management Agreement | |||
Related Party Transaction [Line Items] | |||
Monthly retainer fee | $115,000 | ||
Fee payable percent of monthly management fee earned | 25.00% |
Subsequent_Events_Detail
Subsequent Events (Detail) (USD $) | 0 Months Ended | 3 Months Ended | 6 Months Ended | 12 Months Ended | 0 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
In Thousands, except Per Share data, unless otherwise specified | Dec. 30, 2014 | Dec. 15, 2014 | Nov. 26, 2014 | Nov. 17, 2014 | Oct. 30, 2014 | Oct. 15, 2014 | Sep. 29, 2014 | Sep. 15, 2014 | Aug. 29, 2014 | Aug. 15, 2014 | Jul. 30, 2014 | Jul. 15, 2014 | Jun. 27, 2014 | Jun. 16, 2014 | 29-May-14 | 15-May-14 | Apr. 29, 2014 | Apr. 15, 2014 | Mar. 28, 2014 | Mar. 17, 2014 | Feb. 27, 2014 | Feb. 14, 2014 | Jan. 30, 2014 | Jan. 15, 2014 | Dec. 27, 2013 | Dec. 16, 2013 | Nov. 27, 2013 | Nov. 15, 2013 | Oct. 28, 2013 | Oct. 15, 2013 | Sep. 27, 2013 | Sep. 16, 2013 | Aug. 29, 2013 | Aug. 15, 2013 | Jul. 30, 2013 | Jul. 15, 2013 | Jun. 27, 2013 | Jun. 14, 2013 | 30-May-13 | 15-May-13 | Apr. 29, 2013 | Apr. 15, 2013 | Mar. 27, 2013 | Mar. 15, 2013 | Feb. 27, 2013 | Feb. 15, 2013 | Jan. 30, 2013 | Jan. 15, 2013 | Dec. 28, 2012 | Dec. 14, 2012 | Nov. 29, 2012 | Nov. 19, 2012 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2014 | Dec. 31, 2013 | Feb. 23, 2015 | Jan. 27, 2015 |
Subsequent Event [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate per common share (in Dollars per share) | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.46 | ||||||||||||||||||||||||||||||||||||||
Aggregate amount paid to holders of record (in Dollars) | $1,805 | $1,800 | $1,800 | $1,800 | $1,800 | $1,800 | $1,800 | $1,799 | $1,799 | $1,799 | $1,799 | $1,799 | $1,939 | $2,025 | $2,025 | $3,105 | $3,105 | $3,105 | $3,105 | $3,105 | $1,725 | $1,725 | $1,725 | $1,725 | $1,725 | $1,725 | $3,450 | $21,600 | $28,414 | ||||||||||||||||||||||||||||||||||||
Dividends declared per common share (in usd per share) | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.45 | $0.45 | $0.45 | $0.45 | $0.45 | $0.69 | $0.69 | $0.69 | |||||||||||||||||||||||||||||||
Subsequent Event | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Subsequent Event [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rate per common share (in Dollars per share) | $0.12 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Aggregate amount paid to holders of record (in Dollars) | $1,438 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Dividends declared per common share (in usd per share) | $0.12 |
Quarterly_Financial_Data_unaud2
Quarterly Financial Data (unaudited) - Unaudited Quarterly Financial Results (Detail) (USD $) | 0 Months Ended | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||||||||||||||||||||||||||||||||||||||
In Thousands, except Per Share data, unless otherwise specified | Dec. 15, 2014 | Nov. 17, 2014 | Oct. 15, 2014 | Sep. 15, 2014 | Aug. 15, 2014 | Jul. 15, 2014 | Jun. 16, 2014 | 15-May-14 | Apr. 15, 2014 | Mar. 17, 2014 | Feb. 14, 2014 | Jan. 15, 2014 | Dec. 16, 2013 | Nov. 15, 2013 | Oct. 15, 2013 | Sep. 16, 2013 | Aug. 15, 2013 | Jul. 15, 2013 | Jun. 14, 2013 | 15-May-13 | Apr. 15, 2013 | Mar. 15, 2013 | Feb. 15, 2013 | Jan. 15, 2013 | Dec. 14, 2012 | Nov. 19, 2012 | Jun. 21, 2012 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | |||
Interest Income: | ||||||||||||||||||||||||||||||||||||||||||
Agency Securities, net of amortization of premium | $6,819 | $7,246 | $8,031 | $8,445 | $8,767 | $9,834 | $9,336 | $7,144 | $6,767 | $30,541 | $35,081 | |||||||||||||||||||||||||||||||
Non-Agency Securities, including discount accretion | 2,592 | 2,478 | 2,410 | 2,308 | 2,178 | 2,105 | 1,832 | 1,860 | 1,421 | 9,782 | 7,975 | |||||||||||||||||||||||||||||||
Total Interest Income | 9,411 | 9,724 | 10,441 | 10,753 | 10,945 | 11,939 | 11,168 | 9,004 | 8,188 | 40,323 | 43,056 | |||||||||||||||||||||||||||||||
Interest expense | -1,638 | -1,698 | -1,769 | -1,448 | -1,690 | -2,001 | -1,924 | -1,727 | -1,455 | -6,635 | -7,332 | |||||||||||||||||||||||||||||||
Net Interest Income | 7,773 | 8,026 | 8,672 | 9,305 | 9,255 | 9,938 | 9,244 | 7,277 | 6,733 | 33,688 | 35,724 | |||||||||||||||||||||||||||||||
Realized gain (loss) on sale of Agency Securities (reclassified from Other comprehensive income (loss)) | 323 | -845 | -34 | 8,810 | -32,491 | -48,554 | 0 | 0 | 0 | 8,254 | -81,045 | |||||||||||||||||||||||||||||||
Other than temporary impairment of Agency Securities (reclassified from Other comprehensive income (loss); no amounts remaining in Accumulated other comprehensive income (loss)) | 0 | -44,278 | 0 | 0 | 0 | 0 | 0 | -44,278 | 0 | |||||||||||||||||||||||||||||||||
Gain (loss) on Non-Agency Securities | -2,133 | 1,571 | 288 | 833 | 1,714 | 734 | -5,635 | 2,210 | 1,124 | 559 | -977 | |||||||||||||||||||||||||||||||
Gain on short sale of U.S. Treasury Securities | 0 | 3,739 | -3,106 | 0 | 0 | 0 | 633 | |||||||||||||||||||||||||||||||||||
Unrealized net gain (loss) and net interest income (loss) from Linked Transactions | 1,726 | 1,145 | 2,950 | 4,427 | -1,778 | 724 | -2,288 | 0 | 0 | 10,330 | -3,352 | |||||||||||||||||||||||||||||||
Realized gain (loss) on derivatives | -3,252 | -3,131 | -3,097 | -3,106 | 2,817 | -2,673 | -1,989 | -950 | -583 | [1] | -12,586 | [1] | -2,795 | [1] | ||||||||||||||||||||||||||||
Unrealized loss on derivatives | -20,432 | 1,293 | -15,703 | -20,029 | 10,854 | 269 | 43,181 | 3,444 | -302 | -54,871 | 57,748 | |||||||||||||||||||||||||||||||
Expenses | -1,697 | -1,487 | -1,852 | -2,103 | -1,863 | -1,394 | -1,170 | -1,003 | -828 | -7,133 | -5,430 | |||||||||||||||||||||||||||||||
Income tax expense | 0 | 0 | 0 | -2 | -46 | 0 | -2 | |||||||||||||||||||||||||||||||||||
Net Income (Loss) | -17,692 | 6,572 | -8,776 | -1,863 | -55,770 | -37,217 | 38,237 | 10,976 | 6,098 | -21,759 | -43,774 | |||||||||||||||||||||||||||||||
Net income (loss) per common share (in Dollars per share) | ($1.47) | $0.55 | ($0.73) | ($0.16) | ($4.22) | ($2.76) | $3.56 | $1.46 | $1.88 | ($1.81) | ($3.89) | |||||||||||||||||||||||||||||||
Weighted average common shares outstanding (in Shares) | 12,010 | 11,999 | 11,996 | 11,993 | 13,209 | 13,500 | 10,731 | 7,500 | 3,247 | 12,000 | 11,257 | |||||||||||||||||||||||||||||||
Common stock dividends declared | $5,406 | $5,400 | $5,398 | $5,397 | $5,989 | $9,315 | $7,935 | $5,175 | ||||||||||||||||||||||||||||||||||
Dividends per common share (in Dollars per share) | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.15 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.23 | $0.45 | $0.45 | $0.45 | $0.45 | $0.45 | $0.69 | $0.69 | $0.69 | ||||||||
Common Shares of record end of period | 11,985 | 12,003 | 11,999 | 11,996 | 11,993 | 13,500 | 13,500 | 7,500 | 11,985 | 11,993 | ||||||||||||||||||||||||||||||||
[1] | Interest expense related to our interest rate swap contracts is recorded in realized losses on derivatives on the statements of operations. For additional information see Note 10 to the consolidated financial statements. |