Document_and_Entity_Informatio
Document and Entity Information Document | 9 Months Ended | |
Sep. 30, 2013 | Nov. 08, 2013 | |
Document and Entity Information [Abstract] | ' | ' |
Entity Registrant Name | 'Ellington Residential Mortgage REIT | ' |
Entity Central Index Key | '0001560672 | ' |
Current Fiscal Year End Date | '--12-31 | ' |
Entity Filer Category | 'Non-accelerated Filer | ' |
Document Type | '10-Q | ' |
Document Period End Date | 30-Sep-13 | ' |
Document Fiscal Year Focus | '2013 | ' |
Document Fiscal Period Focus | 'Q3 | ' |
Amendment Flag | 'false | ' |
Entity Common Stock, Shares Outstanding | ' | 9,139,842 |
CONSOLIDATED_BALANCE_SHEET
CONSOLIDATED BALANCE SHEET (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | |
In Thousands, unless otherwise specified | |||
ASSETS | ' | ' | |
Cash and cash equivalents | $44,331 | $18,161 | |
Real estate securities, at fair value | 1,472,791 | 13,596 | |
Due from brokers | 13,724 | 0 | |
Financial derivatives-assets at fair value | 23,181 | [1] | 0 |
Receivable for securities sold | 55,060 | 0 | |
Interest receivable | 4,370 | 39 | |
Other assets | 261 | 360 | |
Total Assets | 1,613,718 | 32,156 | |
LIABILITIES | ' | ' | |
Repurchase agreements | 1,292,946 | [1] | 0 |
Payable for securities purchased | 113,173 | 0 | |
Due to brokers | 22,160 | 0 | |
Financial derivatives-liabilities at fair value | 7,067 | [1] | 0 |
Dividend payable | 4,569 | 0 | |
Accrued expenses | 730 | 1,076 | |
Management fee payable | 644 | 116 | |
Interest payable | 597 | 0 | |
Total Liabilities | 1,441,886 | 1,192 | |
SHAREHOLDERS' EQUITY | ' | ' | |
Preferred shares, par value $0.01 per share, 100,000,000 shares authorized; (0 shares issued and outstanding, respectively) | 0 | 0 | |
Common shares, par value $0.01 per share, 500,000,000 shares authorized; (9,139,842 and 1,633,378 shares issued and outstanding, respectively) | 91 | 16 | |
Additional paid-in-capital | 181,104 | 32,674 | |
Accumulated deficit | -9,363 | -1,726 | |
Total Shareholders' Equity | 171,832 | 30,964 | |
Total Liabilities and Shareholders' Equity | $1,613,718 | $32,156 | |
[1] | On the Company's Consolidated Balance Sheet, all balances associated with the repurchase agreements and financial derivatives are presented on a gross basis. |
CONSOLIDATED_BALANCE_SHEET_Par
CONSOLIDATED BALANCE SHEET (Parenthetical) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
Statement of Financial Position [Abstract] | ' | ' |
Common stock, par value | $0.01 | $0.01 |
Common stock, shares authorized | 500,000,000 | 500,000,000 |
Common stock, shares issued | 9,139,842 | 1,633,378 |
Common stock, shares outstanding | 9,139,842 | 1,633,378 |
Preferred stock, par value | $0.01 | $0.01 |
Preferred stock, shares authorized | 100,000,000 | 100,000,000 |
Preferred stock, shares issued | 0 | 0 |
Preferred stock, shares outstanding | 0 | 0 |
CONSOLIDATED_STATEMENT_OF_OPER
CONSOLIDATED STATEMENT OF OPERATIONS (USD $) | 0 Months Ended | 3 Months Ended | 9 Months Ended |
In Thousands, except Per Share data, unless otherwise specified | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2013 |
INTEREST INCOME (EXPENSE) | ' | ' | ' |
Interest income | $0 | $11,223 | $15,815 |
Interest expense | 0 | -1,248 | -1,773 |
Total net interest income | 0 | 9,975 | 14,042 |
EXPENSES | ' | ' | ' |
Management fees | 8 | 644 | 1,466 |
Professional fees | 0 | 200 | 468 |
Other operating expenses | 0 | 513 | 980 |
Total expenses | 8 | 1,357 | 2,914 |
OTHER INCOME (LOSS) | ' | ' | ' |
Net realized losses on real estate securities | 0 | -24,173 | -26,290 |
Net realized gains on financial derivatives | 0 | 4,273 | 12,650 |
Change in net unrealized gains (losses) on real estate securities | 0 | 30,239 | -15,391 |
Change in net unrealized gains (losses) on financial derivatives | 0 | -12,172 | 16,114 |
Total other loss | 0 | -1,833 | -12,917 |
NET INCOME (LOSS) | ($8) | $6,785 | ($1,789) |
NET INCOME (LOSS) PER COMMON SHARE: | ' | ' | ' |
Basic (in dollars per share) | ($0.01) | $0.74 | ($0.31) |
CONSOLIDATED_STATEMENT_OF_SHAR
CONSOLIDATED STATEMENT OF SHAREHOLDERS' EQUITY (USD $) | Total | Common Shares [Member] | Preferred Stock [Member] | Additional Paid-in Capital [Member] | Receivables from Stockholder [Member] | Accumulated (Deficit) Earnings [Member] | |
Balance at Sep. 24, 2012 | $0 | $0 | $0 | $1,000 | ($1,000) | $0 | |
Balance, in shares at Sep. 24, 2012 | ' | 100 | 0 | ' | ' | ' | |
Issuance of common shares, shares | ' | 1,575,000 | 0 | ' | ' | ' | |
Issuance of common shares, Value | 31,500,000 | 16,000 | 0 | 31,484,000 | ' | ' | |
Repurchase of shares, Shares | ' | -100 | 0 | ' | ' | ' | |
Repurchase of shares, Value | 0 | 0 | 0 | -1,000 | 1,000 | ' | |
Net loss | -8,000 | ' | ' | ' | ' | -8,000 | |
Balance at Sep. 30, 2012 | 31,492,000 | 16,000 | 0 | 31,484,000 | 0 | -8,000 | |
Balance, in shares at Sep. 30, 2012 | ' | 1,575,000 | 0 | ' | ' | ' | |
Balance at Dec. 31, 2012 | 30,964,000 | 16,000 | 0 | 32,674,000 | 0 | -1,726,000 | |
Balance, in shares at Dec. 31, 2012 | ' | 1,633,378 | 0 | ' | ' | ' | |
Issuance of common shares, shares | ' | 7,500,000 | 0 | ' | ' | ' | |
Issuance of common shares, Value | 150,000,000 | 75,000 | 0 | 149,925,000 | ' | ' | |
Issuance of restricted shares, shares | ' | 6,464 | 0 | ' | ' | ' | |
Issuance of restricted shares, value | 0 | 0 | 0 | 0 | ' | ' | |
Share-based Compensation | 3,000 | ' | ' | 3,000 | ' | ' | |
Offering costs | -1,498,000 | ' | ' | -1,498,000 | ' | ' | |
Dividends declared | [1] | -5,848,000 | ' | ' | ' | ' | -5,848,000 |
Net loss | -1,789,000 | ' | ' | ' | ' | -1,789,000 | |
Balance at Sep. 30, 2013 | $171,832,000 | $91,000 | $0 | $181,104,000 | $0 | ($9,363,000) | |
Balance, in shares at Sep. 30, 2013 | ' | 9,139,842 | 0 | ' | ' | ' | |
[1] | For the nine month period ended September 30, 2013 dividends totaling $0.64 per share were declared. |
CONSOLIDATED_STATEMENT_OF_SHAR1
CONSOLIDATED STATEMENT OF SHAREHOLDERS' EQUITY (Parenthetical) (USD $) | 9 Months Ended |
Sep. 30, 2013 | |
Statement of Stockholders' Equity [Abstract] | ' |
Common Stock, Dividends, Per Share, Declared | $0.64 |
CONSOLIDATED_STATEMENT_OF_CASH
CONSOLIDATED STATEMENT OF CASH FLOWS (USD $) | 0 Months Ended | 9 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2012 | Sep. 30, 2013 |
Cash flows provided by (used in) operating activities: | ' | ' |
Net loss | ($8) | ($1,789) |
Reconciliation of net loss to net cash provided by (used in) operating activities: | ' | ' |
Net realized losses on real estate securities | 0 | 26,290 |
Change in net unrealized (gains) losses on real estate securities | 0 | 15,391 |
Net realized gains on financial derivatives | 0 | -12,650 |
Change in net unrealized (gains) losses on financial derivatives | 0 | -16,114 |
Amortization of premiums and accretion of discounts (net) | 0 | 2,498 |
Share-based Compensation | 0 | 3 |
(Increase) decrease in assets: | ' | ' |
Due from brokers | 0 | -13,724 |
Interest receivable | -1 | -4,331 |
Other assets | 0 | -261 |
Increase (decrease) in liabilities: | ' | ' |
Due to brokers | 0 | 22,160 |
Accrued expenses | 0 | 14 |
Interest payable | 0 | 597 |
Management fees payable | 8 | 528 |
Net cash provided by (used in) operating activities | -1 | 18,612 |
Cash flows provided by (used in) investing activities: | ' | ' |
Purchases of real estate securities | -2,034 | -2,365,561 |
Proceeds from sale of real estate securities | 0 | 891,017 |
Principal repayments of real estate securities | 0 | 29,276 |
Proceeds from investments sold short | 0 | 2,043 |
Repurchase of investments sold short | 0 | -2,036 |
Proceeds from disposition of financial derivatives | 0 | 24,849 |
Purchase of financial derivatives | 0 | -12,199 |
Payments made on reverse repurchase agreements | 0 | -4,098 |
Proceeds from reverse repurchase agreements | 0 | 4,098 |
Net cash used in investing activities | -2,034 | -1,432,611 |
Cash flows provided by (used in) financing activities: | ' | ' |
Offering costs paid | 0 | -1,498 |
Proceeds from issuance of shares | 31,500 | 150,000 |
Dividends | 0 | -1,279 |
Borrowings under repurchase agreements | 0 | 4,424,530 |
Repayments of repurchase agreements | 0 | -3,131,584 |
Cash provided by financing activities | 31,500 | 1,440,169 |
NET INCREASE IN CASH AND CASH EQUIVALENTS | 29,465 | 26,170 |
CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD | 0 | 18,161 |
CASH AND CASH EQUIVALENTS, END OF PERIOD | 29,465 | 44,331 |
Supplemental disclosure of non-cash activity: | ' | ' |
Interest paid | $0 | $1,176 |
Organization_and_Investment_Ob
Organization and Investment Objective | 9 Months Ended |
Sep. 30, 2013 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | ' |
Organization and Investment Objective | ' |
Organization and Investment Objective | |
Ellington Residential Mortgage REIT ("EARN") was formed as a Maryland real estate investment trust ("REIT") on August 2, 2012, and commenced operations on September 25, 2012. EARN conducts its business through its wholly owned subsidiaries, EARN OP GP LLC (the "General Partner") and Ellington Residential Mortgage LP (the "Operating Partnership"), which were formed as a Delaware limited liability company and a Delaware limited partnership, respectively, on July 31, 2012 and commenced operations on September 25, 2012. | |
The Operating Partnership conducts its business of acquiring, investing in, and managing residential mortgage-related and real estate-related assets through its wholly owned subsidiaries, EARN Securities LLC, EARN TRS LLC, EARN Mortgage LLC, and EARN CMO LLC, a wholly owned subsidiary of EARN Mortgage LLC, which were each formed as Delaware limited liability companies on July 31, 2012 and commenced operations on September 25, 2012. | |
EARN, the General Partner, the Operating Partnership, and their consolidated subsidiaries are hereafter defined as the "Company." | |
On May 1, 2013, the Company priced an initial public offering of its common shares, pursuant to which it sold 6,450,000 shares to the public at a price of $20.00 per share. Concurrent with the initial public offering, the Company completed a private placement with its initial shareholders which resulted in gross proceeds to the Company of $21.0 million and the issuance of 1,050,000 shares at a price of $20.00 per share. No further capital commitments from the initial shareholders remain as a result of this private placement. Total gross proceeds from the initial public offering and concurrent private placement were $150.0 million. Proceeds, net of offering costs, were approximately $148.5 million. | |
The Company acquires and manages Agency and non-Agency, both investment grade and non-investment grade, residential mortgage-backed securities ("RMBS"), including Agency pools and Agency and non-Agency collateralized mortgage obligations ("CMOs"). Collectively, all of these asset types are referred to as real estate securities. The Company may also acquire and manage mortgage servicing rights, residential whole mortgage loans, and other mortgage- and real estate-related assets. The Company may also invest in other instruments including, but not limited to, forward-settling To-Be-Announced Agency pass-through certificates ("TBAs"), interest rate swaps and swaptions, U.S. Treasury securities, Eurodollar and U.S. Treasury futures, and cash equivalents. The Company's targeted investments may range from unrated (first loss) securities to AAA senior securities. | |
Ellington Residential Mortgage Management LLC (the "Manager") serves as the Manager to the Company pursuant to the terms of the Amended and Restated Management Agreement effective as of September 24, 2012 (the "Management Agreement"). The Manager is an affiliate of Ellington Management Group, L.L.C. ("EMG"), an investment management firm that is registered as an investment adviser. In accordance with the terms of the Management Agreement and the Services Agreement, as discussed in Note 10, the Manager is responsible for administering the Company's business activities and day-to-day operations, and performs certain services, subject to oversight by the Board of Trustees. | |
For the period September 25, 2012 (Commencement of Operations) through December 31, 2012, the Company filed its tax return as a partnership and it also intends to file its tax return for the short taxable period January 1, 2013 through April 30, 2013 as a partnership. On May 1, 2013, the Company made the election to be taxed as a corporation effective for the short taxable period beginning on that date through December 31, 2013. In addition, the Company intends to make the election to be taxed as a REIT under the Internal Revenue Code of 1986, as amended (the "Code") when it files its tax return for the short taxable period May 1, 2013 through December 31, 2013. | |
As a REIT, the Company will be required to distribute annually 90% of its taxable income. As long as the Company continues to qualify as a REIT, it will not be subject to U.S. federal or state corporate taxes on its taxable income to the extent that it distributes all of its annual taxable income to its shareholders. It is the intention of the Company to distribute at least 100% of its taxable income, after application of available tax attributes, within the limits prescribed by the Internal Revenue Code, which may extend into the subsequent taxable year. |
Significant_Accounting_Policie
Significant Accounting Policies | 9 Months Ended | |
Sep. 30, 2013 | ||
Accounting Policies [Abstract] | ' | |
Significant Accounting Policies | ' | |
Significant Accounting Policies | ||
(A) Basis of Presentation: The Company's unaudited interim consolidated financial statements have been prepared in conformity with generally accepted accounting principles ("GAAP") in the United States of America, for interim financial information. Entities in which the Company has a controlling financial interest, through ownership of the majority of the entities' voting equity interests, or through other contractual right that give the Company control, are consolidated by the Company. All inter-company balances and transactions have been eliminated. The preparation of consolidated financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be material. Interim results are not necessarily indicative of the results that may be expected for the entire fiscal year. | ||
(B) Valuation: The Company applies Accounting Standards Codification ("ASC") ASC 820-10, Fair Value Measurement and Disclosures ("ASCÂ 820-10"), to its holdings of financial instruments. ASC 820-10 establishes a three-level valuation hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of an asset or liability as of the measurement date. The three levels are defined as follows: | ||
• | Level 1—inputs to the valuation methodology are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets, | |
• | Level 2—inputs to the valuation methodology other than quoted prices included in Level 1 are observable for the asset or liability, either directly or indirectly, and | |
• | Level 3—inputs to the valuation methodology are unobservable and significant to the fair value measurement. | |
A financial instrument's categorization within the valuation hierarchy is based upon the lowest level of input that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in these securities. | ||
(C) Accounting for Real Estate Securities: Investments in real estate securities are recorded on trade date. The Company has chosen to make a fair value election pursuant to ASC 825-10, Financial Instruments, for its real estate securities portfolio. Electing the fair value option allows the Company to record changes in fair value in the Consolidated Statement of Operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. As such, the real estate securities are recorded at fair value on the Consolidated Balance Sheet and the period change in fair value is recorded in current period earnings on the Consolidated Statement of Operations as a component of Change in net unrealized gains (losses) on real estate securities. | ||
Realized gains or losses on sales of real estate securities are included in Net realized gains (losses) on real estate securities on the Consolidated Statement of Operations, and are recorded at the time of disposition. The cost of positions sold is calculated based on identified cost. Principal write-offs are generally treated as realized losses. | ||
(D) Interest Income: The Company accretes market discounts and amortizes market premiums on debt securities using the effective yield method. Accretion of market discount and amortization of market premiums requires the use of a significant amount of judgment and the application of several assumptions including, but not limited to, prepayment assumptions and default rate assumptions, which are evaluated quarterly. The Company's accretion of discounts and amortization of premiums for U.S. federal and other tax purposes is likely to differ from the financial accounting treatment of these items as described above. | ||
(E) Cash and Cash Equivalents: Cash and cash equivalents include cash and short term investments with original maturities of three months or less at the date of acquisition. Cash equivalents are recorded at cost plus accrued interest, which approximates fair value. Cash accounts are maintained with financial institutions and these balances generally exceed insured limits. | ||
(F) Due from brokers/Due to brokers: Due from brokers and Due to brokers accounts on the Consolidated Balance Sheet include collateral received or paid from counterparties, including clearinghouses, along with receivables and payables for open and or closed derivative positions. | ||
(G) Financial Derivatives: The Company may enter into various types of financial derivatives subject to its investment guidelines, which include restrictions associated with maintaining qualification as a REIT. The Company’s derivatives are predominantly subject to bilateral collateral arrangements or clearing in accordance with the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010. The Company may be required to deliver or receive cash or securities as collateral upon entering into derivative transactions. In addition, changes in the relative value of derivative transactions may require the Company or the counterparty to post or receive additional collateral. In the case of cleared derivatives, the clearinghouse becomes the Company's counterparty and the futures commission merchant or "FCM," acts as intermediary between the Company and the clearinghouse with respect to all facets of the related transaction, including the posting and receipt of required collateral. Collateral received by the Company is reflected on the Consolidated Balance Sheet as "Due to Brokers." Conversely, collateral posted by the Company is reflected as "Due from Brokers" on the Consolidated Balance Sheet. The types of derivatives that have been utilized by the Company to date are interest rate swaps, TBAs, and swaptions. | ||
Swaps: The Company has entered into interest rate swaps, which are contractual agreements whereby one party pays a floating rate of interest on a notional principal amount and receives a fixed rate on the same notional principal, or vice versa, for a fixed period of time. | ||
The Manager does not intend to operate its non-Agency RMBS investment strategy on a credit hedged basis; however, the Company may opportunistically enter into short positions using credit default swaps to protect against adverse credit events with respect to the Company's non-Agency RMBS. The Company may use credit default swaps to hedge non-Agency RMBS credit risk by buying protection on a single non-Agency RMBS or by buying protection on a basket or index of non-Agency RMBS assets. The Company may also enter into credit default swaps on various mortgage-backed securities, or "MBS" indices and derivative contracts for hedging purposes referencing the unsecured corporate credit, or the equity of, certain corporations. However, this strategy is subject to qualifying and maintaining EARN's qualification as a REIT and maintaining EARN's exclusion from regulation as an investment company under the Investment Company Act. | ||
Upfront payments paid/received by the Company on open swap contracts are initially recorded as an asset or liability and are recorded as a realized gain or loss on the termination date. During the term of swap contracts, changes in fair value are recognized as unrealized gains or losses on the Consolidated Statement of Operations. Periodic payments or receipts required by swap agreements are recorded as unrealized gains or losses when accrued and realized gains or losses when received or paid. The Company may be required to deliver or receive cash or securities as collateral upon entering into swap transactions. When a contract is terminated, the Company will realize a gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Company's basis in the contract, if any. | ||
TBA Securities: The Company has transacted in the TBA RMBS market. A TBA position is a forward contract for the purchase ("long position") or sale ("short position") of Agency RMBS at a predetermined price, face amount, issuer, coupon, and maturity on an agreed-upon future delivery date. For each TBA contract and delivery month, a uniform settlement date for all market participants is determined by the Securities Industry and Financial Markets Association. The specific Agency RMBS to be delivered into the contract at the settlement date are not known at the time of the transaction. The Company typically does not take delivery of TBAs, but rather enters into offsetting transactions and settles the associated receivable and payable balances with its counterparties. The Company primarily uses TBAs to hedge interest rate risk, but from time to time it also holds net long positions in certain TBA securities as a means of acquiring exposure to Agency RMBS. | ||
TBAs are accounted for as financial derivatives. The difference between the contract price and the fair value of the TBA position as of the reporting date is included in Change in net unrealized gains (losses) on financial derivatives, in the Consolidated Statement of Operations. The Company estimates the fair value of TBA positions based on similar methods used to value real estate securities. Upon settlement of the TBA contract, the realized gain (loss) on the TBA contract is equal to the net cash amount received (paid). | ||
Futures Contracts: The Company may enter into futures contracts. A futures contract is an agreement between two parties to buy and sell an asset for a set price on a future date. Initial margin deposits are made upon entering into futures contracts and can be either cash or securities. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by marking-to-market to reflect the current market value of the contract. When the contract is closed, the Company records a realized gain or loss equal to the difference between the proceeds of the closing transaction and the Company's basis in the contract. | ||
Options: The Company has purchased fixed payer swaption contracts. It may purchase or write put, call, straddle, or other similar options contracts. The Company enters into options primarily to help mitigate interest rate risk. When the Company purchases an option, the option asset is initially recorded at an amount equal to the premium paid, if any, and is subsequently marked-to-market. Premiums paid for purchasing options that expire unexercised are recognized on the expiration date as realized losses. If an option is exercised, the premium paid is subtracted from the proceeds of the sale or added to the cost of the purchase to determine whether the Company has realized a gain or loss on the related investment transaction. When the Company writes an option, the option liability is initially recorded at an amount equal to the premium received, if any, and is subsequently marked-to-market. Premiums received for writing options that expire unexercised are recognized on the expiration date as realized gains. If an option is exercised, the premium received is subtracted from the cost of the purchase or added to the proceeds of the sale to determine whether the Company has realized a gain or loss on the related investment transaction. When the Company enters into a closing transaction, the Company will realize a gain or loss depending upon whether the amount from the closing transaction is greater or less than the premiums paid or received. The Company may also enter into options that contain forward-settling premiums. In this case, no money is exchanged upfront. Instead the agreed-upon premium is paid by the buyer upon expiration of the option, regardless of whether or not the option is exercised. | ||
Financial derivative assets are included in Financial derivatives-assets at fair value on the Consolidated Balance Sheet while financial derivatives liabilities are included in Financial derivatives-liabilities at fair value on the Consolidated Balance Sheet. | ||
(H) Repurchase Agreements and Reverse Repurchase Agreements: The Company has entered into repurchase agreements with third-party broker-dealers, whereby it sells securities under agreements to repurchase at an agreed upon price and date. The Company also enters into reverse repurchase agreement transactions with third-party broker-dealers, whereby it purchases securities under agreements to resell at an agreed upon price and date. Interest on the value of repurchase and reverse repurchase agreements issued and outstanding is based upon market rates at the time of issuance. The Company accounts for repurchase agreements as collateralized borrowings. When the Company enters into a repurchase agreement, the lender establishes and maintains an account containing cash transferred and securities having a value not less than the repurchase price, including accrued interest, of the repurchase agreement. Repurchase and reverse repurchase agreements that are conducted with the same counterparty can be reported on a net basis if they meet the requirements under the authoritative guidance. Repurchase agreements and reverse repurchase agreements are carried at their contractual amounts, which approximate fair value. | ||
(I) U.S. Treasury Securities: The Company may purchase or sell short U.S. Treasury securities to help mitigate the potential impact of changes in interest rates on the performance of its portfolio. The Company may borrow securities under reverse repurchase agreements to cover short sales of U.S. Treasury securities. The Company accounts for these as securities borrowing transactions and recognizes an obligation to return the borrowed securities at fair value on the Consolidated Balance Sheet under the caption, "Investments sold short at fair value" based on the fair value of the underlying borrowed securities as of the reporting date. | ||
 (J) Organizational Expenses: Organizational expenses are expensed as incurred. Organizational expenses consisted mainly of legal fees. | ||
(K) Offering Costs/Deferred Offering Costs: Offering costs are charged against shareholders' equity and typically include legal, accounting, printing, and other fees associated with the cost of raising equity capital. As of December 31, 2012, cumulative costs associated with the Company's public offering of common shares were deferred. At the closing of the common share offering, in May 2013, offering costs, including those that had been deferred, were offset against the proceeds of the offering. | ||
(L) Manager Compensation: The Management Agreement provides for the payment of a management fee to the Manager. The management fee is accrued and expensed during the period that the management services are performed. For a more detailed discussion on the fees payable under the Management Agreement, see Note 8. | ||
(M) Share Based Compensation: The Company applies the provisions of ASC 718, Compensation—Shares Compensation ("ASC 718"), with regard to its equity incentive plans. ASC 718 covers a wide range of share-based compensation arrangements including share options, restricted share plans, performance-based awards, share appreciation rights, and employee share purchase plans. ASC 718 requires that compensation cost relating to share-based payment transactions be recognized in financial statements. The cost is measured based on the fair value of the equity or liability instruments issued. | ||
(N) Dividends: Dividends payable are recorded on the declaration date. | ||
(O) Earnings Per Share ("EPS"): In accordance with the provisions of ASC 260, Earnings per Share, the Company calculates basic income (loss) per share by dividing net income (loss) for the period by the weighted average of the Company's common shares outstanding for that period. Diluted income (loss) per share takes into account the effect of dilutive instruments, such as share options and warrants, and uses the average share price for the period in determining the number of incremental shares that are to be added to the weighted average number of shares outstanding. | ||
(P) Share Repurchases: Common shares that are repurchased by the Company subsequent to issuance decrease the total number of shares issued and outstanding. | ||
(Q) Income Taxes: Prior to May 1, 2013, the Company, as a business trust with more than one owner, was considered a partnership for U.S. federal income tax purposes. In general, partnerships are not subject to entity-level tax on their income, but the income of a partnership is taxable to its owners on a flow-through basis. Interest, dividend, and other income realized by the Company from non-U.S. sources and capital gains realized on the sale of securities of non-U.S. issuers may be subject to entity level tax such as withholding and other taxes levied by the jurisdiction in which the income is sourced. For the period September 25, 2012 (Commencement of Operations) through December 31, 2012, the Company filed its tax return as a partnership and it also intends to file its tax return for the short taxable period January 1, 2013 through April 30, 2013 as a partnership. | ||
The Company follows the authoritative guidance on accounting for and disclosure of uncertainty on tax positions, which requires management to determine whether a tax position of the company is more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals of the litigation process, based on the technical merits of the position. For uncertain tax positions, the tax benefit to be recognized is measured as the largest amount of benefit that is greater than fifty percent likely of being realized upon ultimate settlement. The Company did not have any unrecognized tax benefits at September 30, 2013 or December 31, 2012. The Company does not expect any change in unrecognized tax benefits within the next year. In the normal course of business, the Company may be subject to examination by federal, state, local, and foreign jurisdictions, where applicable, for the current period and 2012 (its open tax years). The Company may take positions with respect to certain tax issues which depend on legal interpretation of facts or applicable tax regulations. Should the relevant tax regulators successfully challenge any such positions, the Company might be found to have a tax liability that has not been recorded in the accompanying consolidated financial statements. Also, management's conclusions regarding the authoritative guidance may be subject to review and adjustment at a later date based on changing tax laws, regulations, and interpretations thereof. There were no amounts accrued for penalties or interest as of or during the periods presented in these consolidated financial statements. | ||
The Company made the election to be taxed as a corporation effective for the short taxable period May 1, 2013 through December 31, 2013. The Company intends to elect to be taxed as a REIT under Sections 856 to 860 of the Code commencing with the short taxable period May 1, 2013 through December 31, 2013. | ||
(R) Recent Accounting Pronouncements: Under the Jumpstart Our Business Startups Act, or the "JOBS Act," the Company meets the definition of an "emerging growth company." The Company has elected to follow the extended transition period for complying with new or revised U.S. accounting standards pursuant to Section 107(b) of the JOBS Act. As a result, the Company will comply with new or revised accounting standards on the relevant dates on which adoption of such standards is required for non-public entities. | ||
In December 2011, the FASB issued ASU No. 2011-11, Disclosures about Offsetting Assets and Liabilities ("ASU 2011-11"). This amends ASC 210-20, Balance Sheet Offsetting, to require new disclosures about balance sheet offsetting for derivative and financial instruments which are offset on the Consolidated Balance Sheet. The update requires disclosure of gross asset and liability amounts for financial instruments shown net on the Consolidated Balance Sheet. ASU 2011-11 is effective for interim and annual periods beginning on or after January 1, 2013 and is to be applied retrospectively. In January 2013, the FASB issued ASU No. 2013-01, Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities ("ASU 2013- 01"). The amendment clarifies that the scope of ASU 2011-11 applies to derivatives accounted for in accordance with ASU No. 815, Derivatives and Hedging, including bifurcated embedded derivatives, repurchase agreements, reverse repurchase agreements, and securities borrowing and securities lending transactions that are either offset in accordance with Section 210-20-45 or Section 815-10-45 or subject to an enforceable master netting agreement or similar agreement. The adoption of ASU 2011-11, as amended by ASU 2013-01, did not have a material impact on the Company's consolidated financial statements. | ||
In February 2013, the FASB issued ASU No. 2013-02, Other Comprehensive Income ("ASU 2013-02"), which amends ASC 220, Comprehensive Income. The amendments are intended to make the presentation of items within Other Comprehensive Income ("OCI") more prominent. ASU 2013-02 requires reclassification adjustments between OCI and net income to be presented separately on the face of the financial statements. The new guidance does not change the requirement to present items of net income and OCI, and totals for net income, OCI and comprehensive income in a single continuous statement or two consecutive statements. ASU 2013-02 is effective for the first interim or annual period beginning on or after December 15, 2013. Adopting this ASU is not expected to have any impact on the Company's condensed consolidated financial condition or results of operations, but may impact financial statement disclosures. | ||
In February 2013, the FASB issued ASU No. 2013-04 which amends ASC 405, Liabilities. The amendment is to provide guidance for the recognition, measurement, and disclosure of obligations resulting from joint and several liability arrangements for which the total amount of the obligation within the scope of this guidance is fixed at the reporting date, except for obligations addressed within existing guidance in GAAP. The amendment in this update is effective for fiscal years beginning after December 15, 2014 and interim and annual periods thereafter. The Company is evaluating the impact of this amendment. |
Real_Estate_Securities
Real Estate Securities | 9 Months Ended | |||||||||||||||||||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||||||||||||||||||
Investments, Debt and Equity Securities [Abstract] | ' | |||||||||||||||||||||||||||||||||
Real Estate Securities | ' | |||||||||||||||||||||||||||||||||
Real Estate Securities | ||||||||||||||||||||||||||||||||||
The following tables present details of the Company's real estate securities portfolio at September 30, 2013 and December 31, 2012, respectively. The Company's Agency RMBS include mortgage pass-through certificates and CMOs representing interests in or obligations backed by pools of residential mortgage loans issued or guaranteed by government-sponsored enterprises ("GSEs"), Fannie Mae or Freddie Mac. The non-Agency RMBS portfolio is not issued or guaranteed by Fannie Mae, Freddie Mac or any agency of the U.S. Government and is therefore subject to greater credit risk. | ||||||||||||||||||||||||||||||||||
By RMBS Type - | ||||||||||||||||||||||||||||||||||
September 30, 2013: | ||||||||||||||||||||||||||||||||||
($ in thousands) | Gross Unrealized | Weighted Average | ||||||||||||||||||||||||||||||||
Current Principal | Unamortized Premium (Discount) | Amortized | Gains | Losses | Fair Value | Coupon | Yield | Weighted Average Life(Years)(1) | ||||||||||||||||||||||||||
Cost | ||||||||||||||||||||||||||||||||||
Agency RMBS: | ||||||||||||||||||||||||||||||||||
15-year fixed rate mortgages | $ | 192,906 | $ | 7,325 | $ | 200,231 | $ | 794 | $ | (1,575 | ) | $ | 199,450 | 3.05% | 2.25% | 5.86 | ||||||||||||||||||
30-year fixed rate mortgages | 1,165,255 | 45,873 | 1,211,128 | 7,443 | (24,126 | ) | 1,194,445 | 3.66% | 3.09% | 9.99 | ||||||||||||||||||||||||
Adjustable rate mortgages | 29,840 | 1,698 | 31,538 | 169 | — | 31,707 | 4.47% | 2.38% | 3.98 | |||||||||||||||||||||||||
Interest only securities | 108,374 | (97,019 | ) | 11,355 | 1,490 | (123 | ) | 12,722 | 4.00% | 11.95% | 4.68 | |||||||||||||||||||||||
Total Agency RMBS | 1,496,375 | (42,123 | ) | 1,454,252 | 9,896 | (25,824 | ) | 1,438,324 | 3.62% | 3.03% | 8.95 | |||||||||||||||||||||||
Non-Agency RMBS | 55,798 | (21,975 | ) | 33,823 | 1,305 | (661 | ) | 34,467 | 2.88% | 7.85% | 5.44 | |||||||||||||||||||||||
Total Real Estate Securities | $ | 1,552,173 | $ | (64,098 | ) | $ | 1,488,075 | $ | 11,201 | $ | (26,485 | ) | $ | 1,472,791 | 3.60% | 3.14% | 8.82 | |||||||||||||||||
For the three month period ended September 30, 2013, the weighted average holdings of RMBS investments based on amortized cost was $1.453 billion. | ||||||||||||||||||||||||||||||||||
December 31, 2012: | ||||||||||||||||||||||||||||||||||
($ in thousands) | Gross Unrealized | Weighted Average | ||||||||||||||||||||||||||||||||
Current Principal | Unamortized Premium (Discount) | Amortized | Gains | Losses | Fair Value | Coupon | Yield | Weighted Average Life(Years)(1) | ||||||||||||||||||||||||||
Cost | ||||||||||||||||||||||||||||||||||
Non-Agency RMBS | $ | 26,890 | $ | (13,400 | ) | $ | 13,490 | $ | 117 | $ | (11 | ) | $ | 13,596 | 2.20% | 8.50% | 7.8 | |||||||||||||||||
-1 | Average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. | |||||||||||||||||||||||||||||||||
By Estimated Weighted Average Life - | ||||||||||||||||||||||||||||||||||
As of September 30, 2013: | ||||||||||||||||||||||||||||||||||
($ in thousands) | Agency RMBS | Agency Interest Only Securities | Non-Agency RMBS | |||||||||||||||||||||||||||||||
Estimated Weighted Average Life | Fair | Amortized Cost | Weighted Average Coupon | Fair Value | Amortized Cost | Weighted Average Coupon | Fair Value | Amortized Cost | Weighted Average Coupon | |||||||||||||||||||||||||
Value | ||||||||||||||||||||||||||||||||||
Less than three years | $ | 3,859 | $ | 3,859 | 6.01 | % | $ | 2,169 | $ | 1,601 | 5.12 | % | $ | 4,616 | $ | 4,291 | 1.97 | % | ||||||||||||||||
Greater than three years and less than seven years | 243,429 | 244,043 | 3.32 | % | 8,209 | 7,759 | 3.77 | % | 18,188 | 18,244 | 3.41 | % | ||||||||||||||||||||||
Greater than seven years and less than eleven years | 1,160,705 | 1,177,237 | 3.64 | % | 2,344 | 1,995 | 3.5 | % | 10,963 | 10,477 | 1.88 | % | ||||||||||||||||||||||
Greater than eleven years | 17,609 | 17,758 | 3.89 | % | — | — | 0 | % | 700 | 811 | 7.69 | % | ||||||||||||||||||||||
Total | $ | 1,425,602 | $ | 1,442,897 | 3.59 | % | $ | 12,722 | $ | 11,355 | 4 | % | $ | 34,467 | $ | 33,823 | 2.88 | % | ||||||||||||||||
As of December 31, 2012: | ||||||||||||||||||||||||||||||||||
($ in thousands) | Non-Agency RMBS | |||||||||||||||||||||||||||||||||
Estimated Weighted Average Life | Fair Value | Amortized Cost | Weighted Average Coupon | |||||||||||||||||||||||||||||||
Less than three years | $ | 3,036 | $ | 3,001 | 5.57 | % | ||||||||||||||||||||||||||||
Greater than three years and less than seven years | 3,994 | 3,978 | 0.61 | % | ||||||||||||||||||||||||||||||
Greater than seven years and less than eleven years | 3,601 | 3,608 | 1.1 | % | ||||||||||||||||||||||||||||||
Greater than eleven years | 2,965 | 2,903 | 2.49 | % | ||||||||||||||||||||||||||||||
Total | $ | 13,596 | $ | 13,490 | 2.2 | % | ||||||||||||||||||||||||||||
The following table illustrates components of interest income on the Company's RMBS for the three and nine months ended September 30, 2013: | ||||||||||||||||||||||||||||||||||
Three Month Period Ended | Nine Month Period Ended | |||||||||||||||||||||||||||||||||
30-Sep-13 | 30-Sep-13 | |||||||||||||||||||||||||||||||||
($ in thousands) | Coupon Interest | Net Amortization | Interest Income | Coupon Interest | Net Amortization | Interest Income | ||||||||||||||||||||||||||||
Agency RMBS | $ | 12,570 | $ | (2,089 | ) | $ | 10,481 | $ | 17,484 | $ | (3,129 | ) | $ | 14,355 | ||||||||||||||||||||
Non-Agency RMBS | 428 | 307 | 735 | 824 | 631 | 1,455 | ||||||||||||||||||||||||||||
Total | $ | 12,998 | $ | (1,782 | ) | $ | 11,216 | $ | 18,308 | $ | (2,498 | ) | $ | 15,810 | ||||||||||||||||||||
Valuation
Valuation | 9 Months Ended | ||||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||||
Fair Value Disclosures [Abstract] | ' | ||||||||||||||||||||
Valuation | ' | ||||||||||||||||||||
Valuation | |||||||||||||||||||||
The Company applies ASC 820-10, Fair Value Measurement and Disclosures ("ASC 820-10"), to its holdings of financial instruments. ASC 820-10 establishes a three-level valuation hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of an asset or liability as of the measurement date. Financial instruments include securities and derivatives. A financial instrument's categorization within the valuation hierarchy is based upon the lowest level of input that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in these securities. The following is a description of the valuation methodologies used for financial instruments: | |||||||||||||||||||||
Level 1—valuation methodologies include the observation of quoted prices (unadjusted) for identical assets or liabilities in active markets, often received from widely recognized data providers. | |||||||||||||||||||||
Level 2—valuation methodologies include the observation of (i) quoted prices for similar assets or liabilities in active markets, (ii) inputs other than quoted prices that are observable for the asset or liability (for example, interest rates and yield curves) in active markets and (iii) quoted prices for identical or similar assets or liabilities in markets that are not active. | |||||||||||||||||||||
The Company's Agency RMBS, exclusive of Agency interest only securities, or "Agency IOs," are classified as Level 2 assets. Fair value for Agency RMBS, excluding Agency IOs is determined using inputs considered to be observable including multiple indicative quotes from broker-dealers and recent trading activity for similar securities. | |||||||||||||||||||||
Level 3—valuation methodologies include (i) the solicitation of valuations from third parties (typically, broker-dealers), (ii) the use of proprietary models that require the use of a significant amount of judgment and the application of various assumptions including, but not limited to, prepayment assumptions and default rate assumptions, and (iii) the assessment of observable or reported recent trading activity. The Company utilizes such information to assign a good faith fair value (the estimated price that would be received to sell an asset or paid to transfer a liability in an orderly transaction at the valuation date) to each such financial instrument. The Company's non-Agency RMBS and Agency IOs are classified as Level 3 assets. | |||||||||||||||||||||
The Company seeks to obtain at least one third-party indicative valuation for each instrument, and often obtains multiple indicative valuations when available. Third-party valuation providers often utilize proprietary models that are highly subjective and also require the use of a significant amount of judgment and the application of various assumptions including, but not limited to, prepayment assumptions and default rate assumptions. The Company has been able to obtain third-party valuations on the vast majority of its assets, and the Company expects to continue to solicit third-party valuations on substantially all assets in the future to the extent practical. Beginning January 1, 2013, the Company generally values each financial instrument at the average of third-party valuations received and not rejected as described below. Third-party valuations are not binding on the Company and while the Company generally does not adjust valuations it receives, it may challenge or reject a valuation when, based on validation criteria, the Company determines that such valuation is unreasonable or erroneous. Furthermore, the Company may determine, based on validation criteria, that for a given instrument the average of the third-party valuations received does not result in what the Company believes to be fair value, and in such circumstances the Company may override this average with its own good faith valuation. The validation criteria include the use of the Company's own models, recent trading activity in the same or similar instruments, and valuations received from third parties. Prior to 2013, the valuation process relied more heavily on the use of models and the observation of reported recent trading activity, which was substantiated by third-party valuations. The Company's valuation process, including the application of validation criteria, is overseen by a valuation committee. Because of the inherent uncertainty of valuation, these estimated values may differ significantly from the values that would have been used had a ready market for the financial instruments existed, and the differences could be material to the consolidated financial statements. | |||||||||||||||||||||
The following tables present the Company's financial instruments measured at fair value on: | |||||||||||||||||||||
September 30, 2013: | |||||||||||||||||||||
(In thousands) | |||||||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
Assets: | |||||||||||||||||||||
Real estate securities, at fair value: | |||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||
15-year fixed rate mortgages | $ | — | $ | 199,450 | $ | — | $ | 199,450 | |||||||||||||
30-year fixed rate mortgages | — | 1,194,445 | — | 1,194,445 | |||||||||||||||||
Adjustable rate mortgages | — | 31,707 | — | 31,707 | |||||||||||||||||
Interest only securities | — | — | 12,722 | 12,722 | |||||||||||||||||
Non-Agency RMBS | — | — | 34,467 | 34,467 | |||||||||||||||||
Real estate securities, at fair value | — | 1,425,602 | 47,189 | 1,472,791 | |||||||||||||||||
Financial derivatives-assets at fair value: | |||||||||||||||||||||
Fixed payer interest rate swaps | — | 23,077 | — | 23,077 | |||||||||||||||||
TBAs | — | 104 | — | 104 | |||||||||||||||||
Total financial derivatives-assets at fair value | — | 23,181 | — | 23,181 | |||||||||||||||||
Total real estate securities and financial derivatives-assets, at fair value | $ | — | $ | 1,448,783 | $ | 47,189 | $ | 1,495,972 | |||||||||||||
Liabilities: | |||||||||||||||||||||
Financial derivatives-liabilities at fair value: | |||||||||||||||||||||
Fixed payer interest rate swaps | $ | — | $ | (1,409 | ) | $ | — | $ | (1,409 | ) | |||||||||||
Fixed payer swaptions | — | (86 | ) | — | (86 | ) | |||||||||||||||
TBAs | — | (5,572 | ) | — | (5,572 | ) | |||||||||||||||
Total financial derivatives-liabilities at fair value | $ | — | $ | (7,067 | ) | $ | — | $ | (7,067 | ) | |||||||||||
There were no transfers of financial instruments between Levels 1, 2, or 3 of the fair value hierarchy during the nine month period ended September 30, 2013. | |||||||||||||||||||||
December 31, 2012: | |||||||||||||||||||||
(In thousands) | |||||||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
Assets: | |||||||||||||||||||||
Real estate securities, at fair value: | |||||||||||||||||||||
Non-Agency RMBS | $ | — | $ | — | $ | 13,596 | $ | 13,596 | |||||||||||||
Total real estate securities, at fair value | $ | — | $ | — | $ | 13,596 | $ | 13,596 | |||||||||||||
There were no transfers of financial instruments between Levels 1, 2, or 3 of the fair value hierarchy during the period September 25, 2012 (commencement of operations) through December 31, 2012. | |||||||||||||||||||||
The following tables present additional information about the Company's investments which are measured at fair value for which the Company has utilized Level 3 inputs to determine fair value: | |||||||||||||||||||||
Three month period ended September 30, 2013: | |||||||||||||||||||||
(In thousands) | Agency | Non-Agency RMBS | |||||||||||||||||||
RMBS | |||||||||||||||||||||
Beginning balance at 6/30/2013 | $ | 9,905 | $ | 38,810 | |||||||||||||||||
Transfers(1): | |||||||||||||||||||||
Transfers into level 3 | — | — | |||||||||||||||||||
Transfers out of level 3 | — | — | |||||||||||||||||||
Purchases | 3,094 | 6,402 | |||||||||||||||||||
Proceeds from sales | — | (9,247 | ) | ||||||||||||||||||
Principal repayments | — | (2,927 | ) | ||||||||||||||||||
(Amortization)/accretion, net | (626 | ) | 307 | ||||||||||||||||||
Net realized gains | — | 581 | |||||||||||||||||||
Change in net unrealized gains (losses) | 349 | 541 | |||||||||||||||||||
Ending balance at 9/30/2013 | $ | 12,722 | $ | 34,467 | |||||||||||||||||
Change in net unrealized gains (losses) for level 3 assets still held as of September 30, 2013 | $ | 349 | $ | 718 | |||||||||||||||||
-1 | Transfers are assumed to occur at the beginning of the period. | ||||||||||||||||||||
Nine month period ended September 30, 2013: | |||||||||||||||||||||
(In thousands) | Agency | Non-Agency RMBS | |||||||||||||||||||
RMBS | |||||||||||||||||||||
Beginning balance at 12/31/2012 | $ | — | $ | 13,596 | |||||||||||||||||
Transfers(1): | |||||||||||||||||||||
Transfers into level 3 | — | — | |||||||||||||||||||
Transfers out of level 3 | — | — | |||||||||||||||||||
Purchases | 12,116 | 37,180 | |||||||||||||||||||
Proceeds from sales | — | (14,556 | ) | ||||||||||||||||||
Principal repayments | — | (4,390 | ) | ||||||||||||||||||
(Amortization)/accretion, net | (761 | ) | 631 | ||||||||||||||||||
Net realized gains | — | 1,469 | |||||||||||||||||||
Change in net unrealized gains (losses) | 1,367 | 537 | |||||||||||||||||||
Ending balance at 9/30/2013 | $ | 12,722 | $ | 34,467 | |||||||||||||||||
Change in net unrealized gains (losses) for level 3 assets still held as of September 30, 2013 | $ | 1,367 | $ | 630 | |||||||||||||||||
-1 | Transfers are assumed to occur at the beginning of the period. | ||||||||||||||||||||
September 25, 2012 (commencement of operations) to September 30, 2012: | |||||||||||||||||||||
(In thousands) | Non-Agency RMBS | ||||||||||||||||||||
Beginning balance at 09/25/2012 | $ | — | |||||||||||||||||||
Transfers(1): | |||||||||||||||||||||
Transfers into level 3 | — | ||||||||||||||||||||
Transfers out of level 3 | — | ||||||||||||||||||||
Purchases | 5,134 | ||||||||||||||||||||
Proceeds from sales | — | ||||||||||||||||||||
Principal repayments | — | ||||||||||||||||||||
(Amortization)/accretion, net | — | ||||||||||||||||||||
Net realized gains | — | ||||||||||||||||||||
Change in net unrealized gains (losses) | — | ||||||||||||||||||||
Ending balance at 9/30/2012 | $ | 5,134 | |||||||||||||||||||
Change in net unrealized gains (losses) for level 3 assets still held as of September 30, 2013 | $ | — | |||||||||||||||||||
-1 | Transfers are assumed to occur at the beginning of the period. | ||||||||||||||||||||
The following tables identify the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of September 30, 2013 and December 31, 2012: | |||||||||||||||||||||
September 30, 2013: | |||||||||||||||||||||
Range | |||||||||||||||||||||
Description | Fair Value | Valuation Technique | Significant | Min | Max | Weighted Average(1) | |||||||||||||||
Unobservable Input | |||||||||||||||||||||
(In thousands) | |||||||||||||||||||||
Private Label Residential Mortgage-Backed Securities | $ | 30,962 | Market quotes | Non Binding Indicative Price | $ | 30.25 | $ | 102.97 | $ | 78.94 | |||||||||||
Private Label Residential Mortgage-Backed Securities | $ | 3,505 | Discounted Cash Flows | Yield | 12 | % | 19.1 | % | 15.9 | % | |||||||||||
Projected Collateral Prepayments | 30 | % | 43.3 | % | 37.3 | % | |||||||||||||||
Projected Collateral Losses | 4 | % | 6 | % | 4.9 | % | |||||||||||||||
Projected Collateral Recoveries | 6.5 | % | 12.6 | % | 9.2 | % | |||||||||||||||
Projected Collateral Scheduled Amortization | 46.3 | % | 51.4 | % | 48.6 | % | |||||||||||||||
100 | % | ||||||||||||||||||||
Agency RMBS–Interest Only Securities | $ | 2,351 | Option Adjusted Spread ("OAS") | LIBOR OAS (2) | 540 | 645 | 583 | ||||||||||||||
Projected Collateral Prepayments | 59.1 | % | 67.7 | % | 62.6 | % | |||||||||||||||
Projected Collateral Scheduled Amortization | 32.3 | % | 40.9 | % | 37.4 | % | |||||||||||||||
100 | % | ||||||||||||||||||||
Agency RMBS–Interest Only Securities | $ | 10,371 | Market quotes | Non Binding Indicative Price | $ | 4.89 | $ | 21.42 | $ | 13.8 | |||||||||||
-1 | Averages are weighted based on the fair value of the related instrument. | ||||||||||||||||||||
-2 | Shown in basis points. | ||||||||||||||||||||
December 31, 2012: | |||||||||||||||||||||
Range | |||||||||||||||||||||
Description | Fair Value | Valuation Technique | Significant | Min | Max | Weighted Average(1) | |||||||||||||||
Unobservable Input | |||||||||||||||||||||
(In thousands) | |||||||||||||||||||||
Private Label Residential Mortgage-Backed Securities | $ | 13,596 | Discounted Cash Flows | Yield | 6.2 | % | 20.4 | % | 8.5 | % | |||||||||||
Projected Collateral Prepayments | 12.6 | % | 52.2 | % | 29.4 | % | |||||||||||||||
Projected Collateral Losses | 11.3 | % | 41.4 | % | 26.9 | % | |||||||||||||||
Projected Collateral Recoveries | 6.8 | % | 33.2 | % | 23.8 | % | |||||||||||||||
Projected Collateral Scheduled Amortization | 3 | % | 52.7 | % | 19.9 | % | |||||||||||||||
100 | % | ||||||||||||||||||||
-1 | Averages are weighted based on the fair value of the related instrument. | ||||||||||||||||||||
Third-party non-binding indicative prices are validated by comparing such prices to internally generated prices based on the Company's models and to recent trading activity in the same or similar instruments. For those instruments valued using discounted cash flows, collateral prepayments, losses, recoveries, and scheduled amortization are projected over the remaining life of the collateral and expressed as a percentage of the collateral's current principal balance. For those assets valued using the LIBOR Option Adjusted Spread ("OAS") valuation methodology, cash flows are projected using the Company's models over multiple interest rate scenarios, and these projected cash flows are then discounted using the LIBOR rates implied by each interest rate scenario. The LIBOR OAS of an asset is then computed as the unique constant yield spread that, when added to all LIBOR rates in each interest rate scenario generated by the model, will equate (a) the expected present value of the projected asset cash flows over all model scenarios to (b) the actual current market price of the asset. LIBOR OAS is therefore model-dependent. Generally speaking, LIBOR OAS measures the additional yield spread over LIBOR that an asset provides at its current market price after taking into account any interest rate options embedded in the asset. | |||||||||||||||||||||
Material changes in any of the inputs above in isolation could result in a significant change to reported fair value measurements. Fair value measurements are impacted by the interrelationships of these inputs. For example, a higher expectation of collateral prepayments will generally result in a lower expectation of collateral losses. Conversely, higher losses will generally result in lower prepayments. |
Derivative_Instruments_Notes
Derivative Instruments (Notes) | 9 Months Ended | ||||||||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||||||||
Derivative Instruments [Abstract] | ' | ||||||||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Text Block] | ' | ||||||||||||||||||||||||
Financial Derivatives | |||||||||||||||||||||||||
The Company is exposed to certain risks arising from both its business operations and economic conditions. Specifically, the Company’s primary source of debt financing is repurchase agreements and the Company enters into financial derivative and other instruments to manage exposure to variable cash flows on portions of its borrowings under those repurchase agreements. Since the interest rates on repurchase agreements typically change with market interest rates such as LIBOR, the Company is exposed to constantly changing interest rates, which accordingly affects cash flows associated with these rates on its borrowings. To mitigate the effect of changes in these interest rates and their related cash flows, the Company may enter into a variety of derivative contracts, including interest rate swaps, Eurodollar and U.S. Treasury futures, interest rate swaptions, and TBAs. | |||||||||||||||||||||||||
The following table details fair value of the Company's holdings of financial derivatives as of September 30, 2013: | |||||||||||||||||||||||||
Fair Value | |||||||||||||||||||||||||
(In thousands) | |||||||||||||||||||||||||
Financial derivatives-assets at fair value: | |||||||||||||||||||||||||
TBA securities purchase contracts | $ | 104 | |||||||||||||||||||||||
Fixed payer interest rate swaps | 23,077 | ||||||||||||||||||||||||
Total financial derivatives-assets at fair value: | $ | 23,181 | |||||||||||||||||||||||
Financial derivatives-liabilities at fair value: | |||||||||||||||||||||||||
TBA securities sale contracts | $ | (5,572 | ) | ||||||||||||||||||||||
Fixed payer interest rate swaps | (1,409 | ) | |||||||||||||||||||||||
Fixed payer swaptions | (86 | ) | |||||||||||||||||||||||
Total financial derivatives-liabilities at fair value: | $ | (7,067 | ) | ||||||||||||||||||||||
Total | $ | 16,114 | |||||||||||||||||||||||
The Company did not have any financial derivatives outstanding as of December 31, 2012. | |||||||||||||||||||||||||
Interest Rate Swaps | |||||||||||||||||||||||||
An interest rate swap involves the receipt of variable rate payments from a counterparty in exchange for the Company making fixed rate payments over the life of the interest rate swap without exchange of the underlying notional amount. The following table details the Company's interest rate swaps as of September 30, 2013: | |||||||||||||||||||||||||
Weighted Average | |||||||||||||||||||||||||
Maturity | Notional Amount | Fair Value | Pay Rate | Receive Rate | Years to Maturity | ||||||||||||||||||||
(In thousands) | |||||||||||||||||||||||||
2016 | $ | 38,000 | $ | (204 | ) | 0.89 | % | 0.26 | % | 2.88 | |||||||||||||||
2017 | 109,000 | (696 | ) | 1.2 | 0.26 | 3.82 | |||||||||||||||||||
2018 | 90,000 | 1,773 | 0.88 | 0.27 | 4.6 | ||||||||||||||||||||
2020 | 235,900 | 6,054 | 1.57 | 0.26 | 6.65 | ||||||||||||||||||||
2023 | 213,000 | 9,279 | 2.14 | 0.26 | 9.65 | ||||||||||||||||||||
2043 | 70,000 | 5,462 | 3.2 | 0.26 | 29.68 | ||||||||||||||||||||
Total | $ | 755,900 | $ | 21,668 | 1.71 | % | 0.26 | % | 8.79 | ||||||||||||||||
Interest Rate Swaptions | |||||||||||||||||||||||||
As of September 30, 2013, the Company's outstanding fixed payer swaption contract had a notional value of $22 million and a remaining term to expiration of approximately 12 months. The underlying swap has a fixed pay rate of 3.31%, a receive rate of 3-month LIBOR and a term of 10 years. | |||||||||||||||||||||||||
TBAs | |||||||||||||||||||||||||
As of September 30, 2013, the Company had outstanding contracts to purchase ("long positions") and sell ("short positions") TBA securities as follows (shown in thousands): | |||||||||||||||||||||||||
TBA Securities | Notional Amount (1) | Cost Basis (2) | Market Value (3) | Net Carrying Value (4) | |||||||||||||||||||||
Purchase contracts: | |||||||||||||||||||||||||
Assets | $ | 3,350 | $ | 3,169 | $ | 3,273 | $ | 104 | |||||||||||||||||
Sale contracts: | |||||||||||||||||||||||||
Liabilities | (438,579 | ) | (449,060 | ) | (454,632 | ) | (5,572 | ) | |||||||||||||||||
Total TBA securities, net | $ | (435,229 | ) | $ | (445,891 | ) | $ | (451,359 | ) | $ | (5,468 | ) | |||||||||||||
-1 | Notional amount represents the principal balance of the underlying Agency RMBS. | ||||||||||||||||||||||||
-2 | Cost basis represents the forward price to be paid for the underlying Agency RMBS. | ||||||||||||||||||||||||
-3 | Market value represents the current market value of the underlying Agency RMBS (on a forward delivery basis) as of September 30, 2013. | ||||||||||||||||||||||||
-4 | Net carrying value represents the difference between the market value of the TBA contract as of September 30, 2013 and the cost basis and is reported in Financial derivatives-assets at fair value and Financial derivatives-liabilities at fair value on the Consolidated Balance Sheet. | ||||||||||||||||||||||||
The Company primarily uses TBAs to hedge interest rate risk, but from time to time it also holds net long positions in certain TBA securities as a means of acquiring exposure to Agency RMBS. | |||||||||||||||||||||||||
Gains and losses on the Company's financial derivatives for the three and nine month periods ended September 30, 2013 are summarized in the tables below (shown in thousands): | |||||||||||||||||||||||||
Three Month Period Ended September 30, 2013 | |||||||||||||||||||||||||
Derivative Type | Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps | Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | Net Realized Gains (Losses) on Financial Derivatives | Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps | Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | Change in Net Unrealized Gains (Losses) on Financial Derivatives | |||||||||||||||||||
Fixed payer interest rate swaps | $ | 49 | $ | 2,451 | $ | 2,500 | $ | (3,109 | ) | $ | (1,420 | ) | $ | (4,529 | ) | ||||||||||
Fixed payer swaptions | — | — | (86 | ) | (86 | ) | |||||||||||||||||||
TBAs | 1,773 | 1,773 | (7,557 | ) | (7,557 | ) | |||||||||||||||||||
Total | $ | 49 | $ | 4,224 | $ | 4,273 | $ | (3,109 | ) | $ | (9,063 | ) | $ | (12,172 | ) | ||||||||||
Nine Month Period Ended September 30, 2013 | |||||||||||||||||||||||||
Derivative Type | Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps | Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | Net Realized Gains (Losses) on Financial Derivatives | Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps | Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | Change in Net Unrealized Gains (Losses) on Financial Derivatives | |||||||||||||||||||
Fixed payer interest rate swaps | $ | (20 | ) | $ | 2,631 | $ | 2,611 | $ | (4,151 | ) | $ | 25,819 | $ | 21,668 | |||||||||||
Fixed payer swaptions | — | — | (86 | ) | (86 | ) | |||||||||||||||||||
TBAs | 10,039 | 10,039 | (5,468 | ) | (5,468 | ) | |||||||||||||||||||
Total | $ | (20 | ) | $ | 12,670 | $ | 12,650 | $ | (4,151 | ) | $ | 20,265 | $ | 16,114 | |||||||||||
Repurchase_Agreements_Notes
Repurchase Agreements (Notes) | 9 Months Ended | |||||||||
Sep. 30, 2013 | ||||||||||
Repurchase Agreements [Abstract] | ' | |||||||||
Repurchase Agreements Disclosure [Text Block] | ' | |||||||||
Borrowings under Repurchase Agreements | ||||||||||
The Company pledges certain real estate securities as collateral under repurchase agreements with financial institutions, the terms and conditions of which are negotiated on a transaction-by-transaction basis. Repurchase agreements involve the sale to a counterparty and a simultaneous agreement to repurchase the transferred assets or similar assets from such counterparty at a future date. Repurchase agreements entered into by the Company are accounted for as collateralized borrowings and require the repurchase of the transferred securities at the end of each agreement’s term, which is typically 30 to 180 days. The carrying amount of the Company’s repurchase agreements approximates fair value as the debt is short-term in nature. The Company maintains the beneficial interest in the specific securities pledged during the term of the repurchase agreement and receives the related principal and interest payments. Interest rates on these borrowings are generally fixed based on prevailing rates corresponding to the terms of the borrowings, and interest is paid at the termination of the repurchase agreement at which time the Company may enter into a new repurchase agreement at prevailing market rates with the same counterparty or repay that counterparty and possibly negotiate financing terms with a different counterparty. In response to declines in fair value of pledged securities due to changes in market conditions or the publishing of monthly security paydown factors, counterparties to repurchase agreements will typically make margin calls, whereby the Company will be required to post additional securities as collateral, pay down borrowings or establish cash margin accounts with the counterparties in order to re-establish the agreed-upon collateral requirements. Under the terms of the Company’s master repurchase agreements, or "MRAs," the counterparties may, in certain cases, sell or re-hypothecate the pledged collateral. | ||||||||||
The Company seeks to have several different counterparties to its repurchase agreements at any given time in order to reduce the exposure to any single counterparty. As of September 30, 2013, the Company had outstanding borrowings under repurchase agreements with seven counterparties. | ||||||||||
The following table details the Company's outstanding borrowings under repurchase agreements as of September 30, 2013: | ||||||||||
Weighted Average | ||||||||||
Original Maturity | Borrowings Outstanding | Interest Rate | Remaining Days to Maturity | |||||||
(In thousands) | ||||||||||
30 days or less | $ | 513,660 | 0.36 | % | 11 | |||||
31-60 days | 412,485 | 0.38 | 45 | |||||||
61-90 days | 143,530 | 0.38 | 74 | |||||||
91-120 days | 28,897 | 0.39 | 105 | |||||||
121-150 days | 99,464 | 0.42 | 136 | |||||||
151-180 days | 94,910 | 0.41 | 164 | |||||||
Total | $ | 1,292,946 | 0.38 | % | 52 | |||||
Repurchase agreements involving underlying investments that we sold prior to September 30, 2013, for settlement following September 30, 2013, are shown using their original maturity dates even though such repurchase agreements may be expected to be terminated early upon settlement of the sale of the underlying investment. Not included are any repurchase agreements that we may have entered into prior to September 30, 2013 for which delivery of the borrowed funds is not scheduled until after September 30, 2013. | ||||||||||
As of September 30, 2013, the fair value of Agency RMBS pledged as collateral under outstanding borrowings under repurchase agreements was $1.4 billion. In addition, as of September 30, 2013, the Company held investments with an aggregate value of approximately $1.7 million which was received to satisfy collateral requirements for various repurchase agreements. Collateral pledged under outstanding borrowings include Agency RMBS in the amount of $55.0 million that were sold prior to period end but for which such sale had not yet settled as of September 30, 2013. |
Offsetting_of_Assets_and_Liabi
Offsetting of Assets and Liabilities (Notes) | 9 Months Ended | ||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||
Offsetting of Assets and Liabilities [Abstract] | ' | ||||||||||||||||
OffsettingOfAssetsAndLiabilities [Text Block] | ' | ||||||||||||||||
Offsetting of Assets and Liabilities | |||||||||||||||||
The Company records financial instruments at fair value as described in Note 4. All financial instruments are recorded on a gross basis on the Consolidated Balance Sheet. In connection with its financial derivatives, repurchase agreements, and related trading agreements, the Company and its counterparties are required to pledge collateral. Cash or other collateral is exchanged as required with each of the Company's counterparties in connection with open derivative positions and repurchase agreements. | |||||||||||||||||
The following table presents information about certain assets and liabilities representing financial instruments as of September 30, 2013. The Company has not previously entered into master netting agreements with any of its counterparties. | |||||||||||||||||
Description | Amount of Assets (Liabilities) Presented in the Consolidated Balance Sheet(1) | Financial Instruments(2)(3) | Cash Collateral (Received) Pledged(3) | Net Amount | |||||||||||||
(In thousands) | |||||||||||||||||
Assets: | |||||||||||||||||
Financial derivatives-assets at fair value- Gross | $ | 23,181 | |||||||||||||||
Financial derivatives-assets at fair value-Net | $ | 16,114 | $ | — | $ | (3,311 | ) | $ | 12,803 | ||||||||
Liabilities: | |||||||||||||||||
Financial derivatives-liabilities at fair value- Gross | $ | (7,067 | ) | ||||||||||||||
Financial derivatives-liabilities at fair value-Net | $ | — | $ | — | $ | — | $ | — | |||||||||
Repurchase Agreements | $ | (1,292,946 | ) | ||||||||||||||
Repurchase Agreements-Net | $ | (1,292,946 | ) | $ | 1,296,756 | $ | (3,810 | ) | $ | — | |||||||
-1 | On the Company's Consolidated Balance Sheet, all balances associated with the repurchase agreements and financial derivatives are presented on a gross basis. | ||||||||||||||||
-2 | Amounts disclosed in the Financial Instruments column of the table represent collateral that is available to be offset against balances associated with repurchase agreements. | ||||||||||||||||
-3 | As collateral is called or posted per counterparty it is generally called or posted across all positions with each respective counterparty. |
Management_Fees
Management Fees | 9 Months Ended |
Sep. 30, 2013 | |
Management Fees Disclosure [Abstract] | ' |
Management Fees | ' |
Management Fees | |
The Manager receives an annual management fee in an amount equal to 1.50%Â per annum of shareholders' equity (as defined in the Management Agreement) as of the end of each fiscal quarter (before deductions for management fee with respect to such fiscal period). The management fee is payable quarterly in arrears. For the three and nine month periods ended September 30, 2013, total management fee incurred was approximately $0.6 million and $1.5 million, respectively. For the period September 25, 2013 (commencement of operations) to September 30, 2012, total management fee incurred was approximately $8.0 thousand. | |
Shareholders' equity is defined in the Management Agreement, as of the end of any fiscal quarter, as (a) the sum of (1) the net proceeds from any issuances of common shares or other equity securities of EARN or the Operating Partnership (without double counting) since inception, plus (2) EARN's and the Operating Partnership's (without double counting) retained earnings or accumulated deficit calculated in accordance with GAAP at the end of the most recently completed fiscal quarter (without taking into account any non-cash equity compensation expense incurred in current or prior periods), less (b) any amount that the Company or the Operating Partnership has paid to repurchase common shares, limited partnership interests in the Operating Partnership or other equity securities since inception. Shareholders' equity excludes (1) any unrealized gains, losses or non-cash equity compensation expenses that have impacted shareholders' equity as reported in the financial statements prepared in accordance with GAAP, regardless of whether such items are included in net income, and (2) one-time events pursuant to changes in GAAP, and certain non-cash items not otherwise described above, in each case, after discussions between the Manager and EARN's independent trustees and approval by a majority of EARN's independent trustees. |
Earnings_per_Share
Earnings per Share | 9 Months Ended | ||||||||||||
Sep. 30, 2013 | |||||||||||||
Earnings Per Share [Abstract] | ' | ||||||||||||
Earnings per Share | ' | ||||||||||||
Earnings Per Share | |||||||||||||
Basic EPS is calculated by dividing net income (loss) for the period by the weighted average of the Company's common shares outstanding for the period. Diluted EPS takes into account the effect of dilutive instruments, such as share options and warrants, and uses the average share price for the period in determining the number of incremental shares that are to be added to the weighted average number of shares outstanding. As of September 30, 2013, the Company did not have any dilutive instruments outstanding. Common shares outstanding used in EPS have been adjusted to reflect the impact of the common share dividend discussed in Note 11. | |||||||||||||
The following table presents a reconciliation of the earnings/(losses) and shares used in calculating basic EPS for the three and nine month periods ended September 30, 2013: | |||||||||||||
(In thousands except share amounts) | Three Month | Nine Month | September 25, 2012 (commencement of operations) September 30, 2012 | ||||||||||
Period Ended September 30, 2013 | Period Ended September 30, 2013 | ||||||||||||
Numerator: | |||||||||||||
Net income (loss) | $ | 6,785 | $ | (1,789 | ) | $ | (8 | ) | |||||
Denominator: | |||||||||||||
Basic weighted average shares outstanding | 9,133,940 | 5,699,501 | 1,575,000 | ||||||||||
Basic Earnings Per Share | $ | 0.74 | $ | (0.31 | ) | $ | (0.01 | ) | |||||
Related_Party_Transactions
Related Party Transactions | 9 Months Ended |
Sep. 30, 2013 | |
Related Party Transactions [Abstract] | ' |
Related Party Transactions | ' |
Related Party Transactions | |
Management Agreement | |
The Company has entered into a management agreement with the Manager, which provides for an initial term through September 27, 2017, and which will be renewed automatically each year thereafter for an additional one-year period, subject to certain termination rights. The Company is externally managed and advised by the Manager. Pursuant to the terms of the Management Agreement, effective September 24, 2012, the Manager provides the Company with its management team, including its officers and appropriate support personnel. The Company does not have any employees. The Manager is responsible for the day-to-day operations of the Company. | |
Services Agreement | |
The Manager and EMG are parties to a services agreement, pursuant to which EMG is required to provide to the Manager personnel, services, and resources as needed to enable the Manager to carry out its obligations and responsibilities under the Management Agreement. The Company is a named third-party beneficiary to the services agreement and, as a result, has, as a non-exclusive remedy, a direct right of action against EMG in the event of any breach by the Manager of any of its duties, obligations, or agreements under the Management Agreement that arise out of or result from any breach by EMG of its obligations under the services agreement. The services agreement will terminate upon the termination of the Management Agreement. Pursuant to the services agreement, the Manager makes certain payments to EMG in connection with the services provided. The Manager and EMG are under common ownership and control. As a result, all management fee compensation earned by the Manager and all service agreement fees earned by EMG accrue to the common benefit of the owners of the Manager and EMG, other than in respect of certain special non-voting membership interests in Ellington Residential Mortgage Management LLC held by certain shareholders of EARN. | |
Expense Reimbursement | |
Under the terms of the Management Agreement the Company is required to reimburse the Manager for operating expenses related to the Company that are incurred by the Manager, including expenses relating to legal, accounting, due diligence, other services, and all other costs and expenses. The Company's reimbursement obligation is not subject to any dollar limitation. Expenses will be reimbursed in cash within 60 days following delivery of the expense statement by the Manager; provided, however, that such reimbursement may be offset by the Manager against amounts due to the Company from the Manager. The Company will not reimburse the Manager for the salaries and other compensation of its personnel except that the Company will be responsible for expenses incurred by the Manager in employing certain dedicated or partially dedicated personnel as further described below. | |
The Company reimburses the Manager for the allocable share of the compensation, including, without limitation, wages, salaries, and employee benefits paid or reimbursed, as approved by the Compensation Committee of the Board of Trustees, to certain dedicated or partially dedicated personnel who spend all or a portion of their time managing the Company's affairs, based upon the percentage of time devoted by such personnel to the Company's affairs. In their capacities as officers or personnel of the Manager or its affiliates, such personnel will devote such portion of their time to the Company's affairs as is necessary to enable the Company to operate its business. | |
Termination Fee | |
The Management Agreement requires the Company to pay a termination fee to the Manager in the event of (1) the Company's termination or non-renewal of the Management Agreement without cause or (2) the Manager's termination of the Management Agreement upon a default by the Company in the performance of any material term of the Management Agreement. Such termination fee will be equal to 5% of Shareholders' Equity, as defined in the Management Agreement (see Note 8 above) as of the month-end preceding termination. As of September 30, 2013, no event of termination of the Management Agreement has occurred. | |
Registration Rights Agreement | |
EARN is a party to a registration rights agreement with an affiliate of EMG and with the Blackstone Tactical Opportunities Funds (the "Blackstone Funds") pursuant to which the Company has granted its initial investors and each of their permitted transferees and other holders of the Company's "registrable common shares" (as such term is defined in the registration rights agreement) who become a party to the registration rights agreement with certain demand and/or piggy-back registration and shelf takedown rights. In no event shall any holder of the EARN's registrable common shares have any of the registration, offering, or sale rights set forth in the registration rights agreement prior to the one year anniversary of the closing of the initial public offering. |
Capital
Capital | 9 Months Ended |
Sep. 30, 2013 | |
Equity [Abstract] | ' |
Capital | ' |
Capital | |
The Company has authorized 500,000,000 common shares, $0.01 par value per share, and 100,000,000 preferred shares, $0.01 par value per share. The Board of Trustees may authorize the issuance of additional shares of either class. | |
As of September 30, 2013 and December 31, 2012, there were 9,139,842 and 1,633,378 common shares outstanding, respectively. No preferred shares have been issued. | |
On September 23, 2013, the Company's Board of Trustees authorized the issuance of 6,464 shares to its independent trustees pursuant to director share award agreements. These shares will vest and become non-forfeitable on April 30, 2014. | |
On September 17, 2013, the Company's Board of Trustees declared a third quarter dividend of $0.50 per share. The dividend was paid on October 25, 2013 to common shareholders of record as of September 27, 2013. | |
On August 13, 2013, the Company's Board of Trustees approved the adoption of a $10 million share repurchase program. The program, which is open-ended in duration, allows the Company to make repurchases from time to time on the open market or in negotiated transactions. Repurchases are at the Company's discretion, subject to applicable law, share availability, price and the Company's financial performance, among other considerations. No purchases have been made under the program to date. | |
On June 18, 2013, the Company's Board of Trustees declared a second quarter dividend of $0.14 per share. The dividend was paid on July 26, 2013 to shareholders of record as of June 28, 2013. | |
On May 1, 2013, the Company priced an initial public offering of its common shares, pursuant to which it sold 6,450,000 shares to the public at a price of $20.00 per share. Concurrent with the initial public offering, the Company completed a private placement with its initial shareholders which resulted in gross proceeds to the Company of $21.0 million and the issuance of 1,050,000 shares at a price of $20.00 per share. No further capital commitments from the initial shareholders remain as a result of this private placement. Total gross proceeds from the initial public offering and concurrent private placement were $150.0 million. Proceeds, net of offering costs, were approximately $148.5 million. | |
On April 18, 2013, the Company's Board of Trustees declared a 3.7066% stock dividend (58,378 shares) distributable to shareholders of record as of March 31, 2013, using a price of $20.38 per share. The stock dividend was retrospectively applied to the periods reflected in the consolidated financial statements. | |
Distribution Policy | |
The timing and frequency of distributions will be determined by the Board of Trustees based upon a variety of factors deemed relevant by the Company's trustees, including restrictions under applicable law, capital requirements of the Company, and the REIT requirements of the Code. Distributions to shareholders generally will be taxable as ordinary income, although a portion of such distributions may be designated as long-term capital gain or qualified dividend income, or may constitute a return of capital. The Company will furnish annually to each shareholder a statement setting forth distributions paid during the preceding year and their U.S. federal income tax treatment. | |
It is the intention of the Company to distribute at least 100% of its taxable income, after application of available tax attributes, within the limits prescribed by the Internal Revenue Code, which may extend into the subsequent taxable year. |
Commitments_and_Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2013 | |
Commitments and Contingencies Disclosure [Abstract] | ' |
Commitments and Contingencies | ' |
Commitments and Contingencies | |
From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. Management is not aware of any significant contingencies at September 30, 2013. |
Significant_Accounting_Policie1
Significant Accounting Policies Significant Accounting Policies (Policies) | 9 Months Ended | |
Sep. 30, 2013 | ||
Accounting Policies [Abstract] | ' | |
Basis of Presentation | ' | |
Basis of Presentation: The Company's unaudited interim consolidated financial statements have been prepared in conformity with generally accepted accounting principles ("GAAP") in the United States of America, for interim financial information. Entities in which the Company has a controlling financial interest, through ownership of the majority of the entities' voting equity interests, or through other contractual right that give the Company control, are consolidated by the Company. All inter-company balances and transactions have been eliminated. The preparation of consolidated financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be material. Interim results are not necessarily indicative of the results that may be expected for the entire fiscal year. | ||
Valuation | ' | |
Valuation: The Company applies Accounting Standards Codification ("ASC") ASC 820-10, Fair Value Measurement and Disclosures ("ASCÂ 820-10"), to its holdings of financial instruments. ASC 820-10 establishes a three-level valuation hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of an asset or liability as of the measurement date. The three levels are defined as follows: | ||
• | Level 1—inputs to the valuation methodology are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets, | |
• | Level 2—inputs to the valuation methodology other than quoted prices included in Level 1 are observable for the asset or liability, either directly or indirectly, and | |
• | Level 3—inputs to the valuation methodology are unobservable and significant to the fair value measurement. | |
A financial instrument's categorization within the valuation hierarchy is based upon the lowest level of input that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in these securities. | ||
Accounting for Real Estate Securities | ' | |
Accounting for Real Estate Securities: Investments in real estate securities are recorded on trade date. The Company has chosen to make a fair value election pursuant to ASC 825-10, Financial Instruments, for its real estate securities portfolio. Electing the fair value option allows the Company to record changes in fair value in the Consolidated Statement of Operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. As such, the real estate securities are recorded at fair value on the Consolidated Balance Sheet and the period change in fair value is recorded in current period earnings on the Consolidated Statement of Operations as a component of Change in net unrealized gains (losses) on real estate securities. | ||
Realized gains or losses on sales of real estate securities are included in Net realized gains (losses) on real estate securities on the Consolidated Statement of Operations, and are recorded at the time of disposition. The cost of positions sold is calculated based on identified cost. Principal write-offs are generally treated as realized losses. | ||
Interest Income | ' | |
Interest Income: The Company accretes market discounts and amortizes market premiums on debt securities using the effective yield method. Accretion of market discount and amortization of market premiums requires the use of a significant amount of judgment and the application of several assumptions including, but not limited to, prepayment assumptions and default rate assumptions, which are evaluated quarterly. The Company's accretion of discounts and amortization of premiums for U.S. federal and other tax purposes is likely to differ from the financial accounting treatment of these items as described above. | ||
Cash and Cash Equivalents | ' | |
Cash and Cash Equivalents: Cash and cash equivalents include cash and short term investments with original maturities of three months or less at the date of acquisition. Cash equivalents are recorded at cost plus accrued interest, which approximates fair value. Cash accounts are maintained with financial institutions and these balances generally exceed insured limits. | ||
Deposits with Dealers Held as Collateral/Due to Brokers | ' | |
Due from brokers/Due to brokers: Due from brokers and Due to brokers accounts on the Consolidated Balance Sheet include collateral received or paid from counterparties, including clearinghouses, along with receivables and payables for open and or closed derivative positions. | ||
Financial Derivatives | ' | |
Financial Derivatives: The Company may enter into various types of financial derivatives subject to its investment guidelines, which include restrictions associated with maintaining qualification as a REIT. The Company’s derivatives are predominantly subject to bilateral collateral arrangements or clearing in accordance with the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010. The Company may be required to deliver or receive cash or securities as collateral upon entering into derivative transactions. In addition, changes in the relative value of derivative transactions may require the Company or the counterparty to post or receive additional collateral. In the case of cleared derivatives, the clearinghouse becomes the Company's counterparty and the futures commission merchant or "FCM," acts as intermediary between the Company and the clearinghouse with respect to all facets of the related transaction, including the posting and receipt of required collateral. Collateral received by the Company is reflected on the Consolidated Balance Sheet as "Due to Brokers." Conversely, collateral posted by the Company is reflected as "Due from Brokers" on the Consolidated Balance Sheet. The types of derivatives that have been utilized by the Company to date are interest rate swaps, TBAs, and swaptions. | ||
Swaps: The Company has entered into interest rate swaps, which are contractual agreements whereby one party pays a floating rate of interest on a notional principal amount and receives a fixed rate on the same notional principal, or vice versa, for a fixed period of time. | ||
The Manager does not intend to operate its non-Agency RMBS investment strategy on a credit hedged basis; however, the Company may opportunistically enter into short positions using credit default swaps to protect against adverse credit events with respect to the Company's non-Agency RMBS. The Company may use credit default swaps to hedge non-Agency RMBS credit risk by buying protection on a single non-Agency RMBS or by buying protection on a basket or index of non-Agency RMBS assets. The Company may also enter into credit default swaps on various mortgage-backed securities, or "MBS" indices and derivative contracts for hedging purposes referencing the unsecured corporate credit, or the equity of, certain corporations. However, this strategy is subject to qualifying and maintaining EARN's qualification as a REIT and maintaining EARN's exclusion from regulation as an investment company under the Investment Company Act. | ||
Upfront payments paid/received by the Company on open swap contracts are initially recorded as an asset or liability and are recorded as a realized gain or loss on the termination date. During the term of swap contracts, changes in fair value are recognized as unrealized gains or losses on the Consolidated Statement of Operations. Periodic payments or receipts required by swap agreements are recorded as unrealized gains or losses when accrued and realized gains or losses when received or paid. The Company may be required to deliver or receive cash or securities as collateral upon entering into swap transactions. When a contract is terminated, the Company will realize a gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Company's basis in the contract, if any. | ||
TBA Securities: The Company has transacted in the TBA RMBS market. A TBA position is a forward contract for the purchase ("long position") or sale ("short position") of Agency RMBS at a predetermined price, face amount, issuer, coupon, and maturity on an agreed-upon future delivery date. For each TBA contract and delivery month, a uniform settlement date for all market participants is determined by the Securities Industry and Financial Markets Association. The specific Agency RMBS to be delivered into the contract at the settlement date are not known at the time of the transaction. The Company typically does not take delivery of TBAs, but rather enters into offsetting transactions and settles the associated receivable and payable balances with its counterparties. The Company primarily uses TBAs to hedge interest rate risk, but from time to time it also holds net long positions in certain TBA securities as a means of acquiring exposure to Agency RMBS. | ||
TBAs are accounted for as financial derivatives. The difference between the contract price and the fair value of the TBA position as of the reporting date is included in Change in net unrealized gains (losses) on financial derivatives, in the Consolidated Statement of Operations. The Company estimates the fair value of TBA positions based on similar methods used to value real estate securities. Upon settlement of the TBA contract, the realized gain (loss) on the TBA contract is equal to the net cash amount received (paid). | ||
Futures Contracts: The Company may enter into futures contracts. A futures contract is an agreement between two parties to buy and sell an asset for a set price on a future date. Initial margin deposits are made upon entering into futures contracts and can be either cash or securities. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by marking-to-market to reflect the current market value of the contract. When the contract is closed, the Company records a realized gain or loss equal to the difference between the proceeds of the closing transaction and the Company's basis in the contract. | ||
Options: The Company has purchased fixed payer swaption contracts. It may purchase or write put, call, straddle, or other similar options contracts. The Company enters into options primarily to help mitigate interest rate risk. When the Company purchases an option, the option asset is initially recorded at an amount equal to the premium paid, if any, and is subsequently marked-to-market. Premiums paid for purchasing options that expire unexercised are recognized on the expiration date as realized losses. If an option is exercised, the premium paid is subtracted from the proceeds of the sale or added to the cost of the purchase to determine whether the Company has realized a gain or loss on the related investment transaction. When the Company writes an option, the option liability is initially recorded at an amount equal to the premium received, if any, and is subsequently marked-to-market. Premiums received for writing options that expire unexercised are recognized on the expiration date as realized gains. If an option is exercised, the premium received is subtracted from the cost of the purchase or added to the proceeds of the sale to determine whether the Company has realized a gain or loss on the related investment transaction. When the Company enters into a closing transaction, the Company will realize a gain or loss depending upon whether the amount from the closing transaction is greater or less than the premiums paid or received. The Company may also enter into options that contain forward-settling premiums. In this case, no money is exchanged upfront. Instead the agreed-upon premium is paid by the buyer upon expiration of the option, regardless of whether or not the option is exercised. | ||
Financial derivative assets are included in Financial derivatives-assets at fair value on the Consolidated Balance Sheet while financial derivatives liabilities are included in Financial derivatives-liabilities at fair value on the Consolidated Balance Sheet. | ||
Repurchase Agreements and Reverse Repurchase Agreements | ' | |
Repurchase Agreements and Reverse Repurchase Agreements: The Company has entered into repurchase agreements with third-party broker-dealers, whereby it sells securities under agreements to repurchase at an agreed upon price and date. The Company also enters into reverse repurchase agreement transactions with third-party broker-dealers, whereby it purchases securities under agreements to resell at an agreed upon price and date. Interest on the value of repurchase and reverse repurchase agreements issued and outstanding is based upon market rates at the time of issuance. The Company accounts for repurchase agreements as collateralized borrowings. When the Company enters into a repurchase agreement, the lender establishes and maintains an account containing cash transferred and securities having a value not less than the repurchase price, including accrued interest, of the repurchase agreement. Repurchase and reverse repurchase agreements that are conducted with the same counterparty can be reported on a net basis if they meet the requirements under the authoritative guidance. Repurchase agreements and reverse repurchase agreements are carried at their contractual amounts, which approximate fair value. | ||
U.S. Treasury securities | ' | |
U.S. Treasury Securities: The Company may purchase or sell short U.S. Treasury securities to help mitigate the potential impact of changes in interest rates on the performance of its portfolio. The Company may borrow securities under reverse repurchase agreements to cover short sales of U.S. Treasury securities. The Company accounts for these as securities borrowing transactions and recognizes an obligation to return the borrowed securities at fair value on the Consolidated Balance Sheet under the caption, "Investments sold short at fair value" based on the fair value of the underlying borrowed securities as of the reporting date. | ||
Organizational Expenses | ' | |
Organizational Expenses: Organizational expenses are expensed as incurred. Organizational expenses consisted mainly of legal fees. | ||
Offering Costs/Placement Fees/Deferred Offering Costs | ' | |
Offering Costs/Deferred Offering Costs: Offering costs are charged against shareholders' equity and typically include legal, accounting, printing, and other fees associated with the cost of raising equity capital. As of December 31, 2012, cumulative costs associated with the Company's public offering of common shares were deferred. At the closing of the common share offering, in May 2013, offering costs, including those that had been deferred, were offset against the proceeds of the offering. | ||
Manager Compensation | ' | |
Manager Compensation: The Management Agreement provides for the payment of a management fee to the Manager. The management fee is accrued and expensed during the period that the management services are performed. For a more detailed discussion on the fees payable under the Management Agreement, see Note 8. | ||
Share Based Compensation | ' | |
Share Based Compensation: The Company applies the provisions of ASC 718, Compensation—Shares Compensation ("ASC 718"), with regard to its equity incentive plans. ASC 718 covers a wide range of share-based compensation arrangements including share options, restricted share plans, performance-based awards, share appreciation rights, and employee share purchase plans. ASC 718 requires that compensation cost relating to share-based payment transactions be recognized in financial statements. The cost is measured based on the fair value of the equity or liability instruments issued. | ||
Dividends | ' | |
Dividends: Dividends payable are recorded on the declaration date. | ||
Earnings Per Share | ' | |
Earnings Per Share ("EPS"): In accordance with the provisions of ASC 260, Earnings per Share, the Company calculates basic income (loss) per share by dividing net income (loss) for the period by the weighted average of the Company's common shares outstanding for that period. Diluted income (loss) per share takes into account the effect of dilutive instruments, such as share options and warrants, and uses the average share price for the period in determining the number of incremental shares that are to be added to the weighted average number of shares outstanding. | ||
Income Taxes | ' | |
Income Taxes: Prior to May 1, 2013, the Company, as a business trust with more than one owner, was considered a partnership for U.S. federal income tax purposes. In general, partnerships are not subject to entity-level tax on their income, but the income of a partnership is taxable to its owners on a flow-through basis. Interest, dividend, and other income realized by the Company from non-U.S. sources and capital gains realized on the sale of securities of non-U.S. issuers may be subject to entity level tax such as withholding and other taxes levied by the jurisdiction in which the income is sourced. For the period September 25, 2012 (Commencement of Operations) through December 31, 2012, the Company filed its tax return as a partnership and it also intends to file its tax return for the short taxable period January 1, 2013 through April 30, 2013 as a partnership. | ||
The Company follows the authoritative guidance on accounting for and disclosure of uncertainty on tax positions, which requires management to determine whether a tax position of the company is more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals of the litigation process, based on the technical merits of the position. For uncertain tax positions, the tax benefit to be recognized is measured as the largest amount of benefit that is greater than fifty percent likely of being realized upon ultimate settlement. The Company did not have any unrecognized tax benefits at September 30, 2013 or December 31, 2012. The Company does not expect any change in unrecognized tax benefits within the next year. In the normal course of business, the Company may be subject to examination by federal, state, local, and foreign jurisdictions, where applicable, for the current period and 2012 (its open tax years). The Company may take positions with respect to certain tax issues which depend on legal interpretation of facts or applicable tax regulations. Should the relevant tax regulators successfully challenge any such positions, the Company might be found to have a tax liability that has not been recorded in the accompanying consolidated financial statements. Also, management's conclusions regarding the authoritative guidance may be subject to review and adjustment at a later date based on changing tax laws, regulations, and interpretations thereof. There were no amounts accrued for penalties or interest as of or during the periods presented in these consolidated financial statements. | ||
The Company made the election to be taxed as a corporation effective for the short taxable period May 1, 2013 through December 31, 2013. The Company intends to elect to be taxed as a REIT under Sections 856 to 860 of the Code commencing with the short taxable period May 1, 2013 through December 31, 2013. | ||
Recent Accounting Pronouncements | ' | |
Recent Accounting Pronouncements: Under the Jumpstart Our Business Startups Act, or the "JOBS Act," the Company meets the definition of an "emerging growth company." The Company has elected to follow the extended transition period for complying with new or revised U.S. accounting standards pursuant to Section 107(b) of the JOBS Act. As a result, the Company will comply with new or revised accounting standards on the relevant dates on which adoption of such standards is required for non-public entities. | ||
In December 2011, the FASB issued ASU No. 2011-11, Disclosures about Offsetting Assets and Liabilities ("ASU 2011-11"). This amends ASC 210-20, Balance Sheet Offsetting, to require new disclosures about balance sheet offsetting for derivative and financial instruments which are offset on the Consolidated Balance Sheet. The update requires disclosure of gross asset and liability amounts for financial instruments shown net on the Consolidated Balance Sheet. ASU 2011-11 is effective for interim and annual periods beginning on or after January 1, 2013 and is to be applied retrospectively. In January 2013, the FASB issued ASU No. 2013-01, Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities ("ASU 2013- 01"). The amendment clarifies that the scope of ASU 2011-11 applies to derivatives accounted for in accordance with ASU No. 815, Derivatives and Hedging, including bifurcated embedded derivatives, repurchase agreements, reverse repurchase agreements, and securities borrowing and securities lending transactions that are either offset in accordance with Section 210-20-45 or Section 815-10-45 or subject to an enforceable master netting agreement or similar agreement. The adoption of ASU 2011-11, as amended by ASU 2013-01, did not have a material impact on the Company's consolidated financial statements. | ||
In February 2013, the FASB issued ASU No. 2013-02, Other Comprehensive Income ("ASU 2013-02"), which amends ASC 220, Comprehensive Income. The amendments are intended to make the presentation of items within Other Comprehensive Income ("OCI") more prominent. ASU 2013-02 requires reclassification adjustments between OCI and net income to be presented separately on the face of the financial statements. The new guidance does not change the requirement to present items of net income and OCI, and totals for net income, OCI and comprehensive income in a single continuous statement or two consecutive statements. ASU 2013-02 is effective for the first interim or annual period beginning on or after December 15, 2013. Adopting this ASU is not expected to have any impact on the Company's condensed consolidated financial condition or results of operations, but may impact financial statement disclosures. | ||
In February 2013, the FASB issued ASU No. 2013-04 which amends ASC 405, Liabilities. The amendment is to provide guidance for the recognition, measurement, and disclosure of obligations resulting from joint and several liability arrangements for which the total amount of the obligation within the scope of this guidance is fixed at the reporting date, except for obligations addressed within existing guidance in GAAP. The amendment in this update is effective for fiscal years beginning after December 15, 2014 and interim and annual periods thereafter. The Company is evaluating the impact of this amendment. |
Real_Estate_Securities_Tables
Real Estate Securities (Tables) | 9 Months Ended | |||||||||||||||||||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||||||||||||||||||
Investments, Debt and Equity Securities [Abstract] | ' | |||||||||||||||||||||||||||||||||
Schedule of Real Estate Securities | ' | |||||||||||||||||||||||||||||||||
The following tables present details of the Company's real estate securities portfolio at September 30, 2013 and December 31, 2012, respectively. The Company's Agency RMBS include mortgage pass-through certificates and CMOs representing interests in or obligations backed by pools of residential mortgage loans issued or guaranteed by government-sponsored enterprises ("GSEs"), Fannie Mae or Freddie Mac. The non-Agency RMBS portfolio is not issued or guaranteed by Fannie Mae, Freddie Mac or any agency of the U.S. Government and is therefore subject to greater credit risk. | ||||||||||||||||||||||||||||||||||
By RMBS Type - | ||||||||||||||||||||||||||||||||||
September 30, 2013: | ||||||||||||||||||||||||||||||||||
($ in thousands) | Gross Unrealized | Weighted Average | ||||||||||||||||||||||||||||||||
Current Principal | Unamortized Premium (Discount) | Amortized | Gains | Losses | Fair Value | Coupon | Yield | Weighted Average Life(Years)(1) | ||||||||||||||||||||||||||
Cost | ||||||||||||||||||||||||||||||||||
Agency RMBS: | ||||||||||||||||||||||||||||||||||
15-year fixed rate mortgages | $ | 192,906 | $ | 7,325 | $ | 200,231 | $ | 794 | $ | (1,575 | ) | $ | 199,450 | 3.05% | 2.25% | 5.86 | ||||||||||||||||||
30-year fixed rate mortgages | 1,165,255 | 45,873 | 1,211,128 | 7,443 | (24,126 | ) | 1,194,445 | 3.66% | 3.09% | 9.99 | ||||||||||||||||||||||||
Adjustable rate mortgages | 29,840 | 1,698 | 31,538 | 169 | — | 31,707 | 4.47% | 2.38% | 3.98 | |||||||||||||||||||||||||
Interest only securities | 108,374 | (97,019 | ) | 11,355 | 1,490 | (123 | ) | 12,722 | 4.00% | 11.95% | 4.68 | |||||||||||||||||||||||
Total Agency RMBS | 1,496,375 | (42,123 | ) | 1,454,252 | 9,896 | (25,824 | ) | 1,438,324 | 3.62% | 3.03% | 8.95 | |||||||||||||||||||||||
Non-Agency RMBS | 55,798 | (21,975 | ) | 33,823 | 1,305 | (661 | ) | 34,467 | 2.88% | 7.85% | 5.44 | |||||||||||||||||||||||
Total Real Estate Securities | $ | 1,552,173 | $ | (64,098 | ) | $ | 1,488,075 | $ | 11,201 | $ | (26,485 | ) | $ | 1,472,791 | 3.60% | 3.14% | 8.82 | |||||||||||||||||
For the three month period ended September 30, 2013, the weighted average holdings of RMBS investments based on amortized cost was $1.453 billion. | ||||||||||||||||||||||||||||||||||
December 31, 2012: | ||||||||||||||||||||||||||||||||||
($ in thousands) | Gross Unrealized | Weighted Average | ||||||||||||||||||||||||||||||||
Current Principal | Unamortized Premium (Discount) | Amortized | Gains | Losses | Fair Value | Coupon | Yield | Weighted Average Life(Years)(1) | ||||||||||||||||||||||||||
Cost | ||||||||||||||||||||||||||||||||||
Non-Agency RMBS | $ | 26,890 | $ | (13,400 | ) | $ | 13,490 | $ | 117 | $ | (11 | ) | $ | 13,596 | 2.20% | 8.50% | 7.8 | |||||||||||||||||
-1 | Average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. | |||||||||||||||||||||||||||||||||
Weighted Average Life Classifications [Table Text Block] | ' | |||||||||||||||||||||||||||||||||
As of September 30, 2013: | ||||||||||||||||||||||||||||||||||
($ in thousands) | Agency RMBS | Agency Interest Only Securities | Non-Agency RMBS | |||||||||||||||||||||||||||||||
Estimated Weighted Average Life | Fair | Amortized Cost | Weighted Average Coupon | Fair Value | Amortized Cost | Weighted Average Coupon | Fair Value | Amortized Cost | Weighted Average Coupon | |||||||||||||||||||||||||
Value | ||||||||||||||||||||||||||||||||||
Less than three years | $ | 3,859 | $ | 3,859 | 6.01 | % | $ | 2,169 | $ | 1,601 | 5.12 | % | $ | 4,616 | $ | 4,291 | 1.97 | % | ||||||||||||||||
Greater than three years and less than seven years | 243,429 | 244,043 | 3.32 | % | 8,209 | 7,759 | 3.77 | % | 18,188 | 18,244 | 3.41 | % | ||||||||||||||||||||||
Greater than seven years and less than eleven years | 1,160,705 | 1,177,237 | 3.64 | % | 2,344 | 1,995 | 3.5 | % | 10,963 | 10,477 | 1.88 | % | ||||||||||||||||||||||
Greater than eleven years | 17,609 | 17,758 | 3.89 | % | — | — | 0 | % | 700 | 811 | 7.69 | % | ||||||||||||||||||||||
Total | $ | 1,425,602 | $ | 1,442,897 | 3.59 | % | $ | 12,722 | $ | 11,355 | 4 | % | $ | 34,467 | $ | 33,823 | 2.88 | % | ||||||||||||||||
As of December 31, 2012: | ||||||||||||||||||||||||||||||||||
($ in thousands) | Non-Agency RMBS | |||||||||||||||||||||||||||||||||
Estimated Weighted Average Life | Fair Value | Amortized Cost | Weighted Average Coupon | |||||||||||||||||||||||||||||||
Less than three years | $ | 3,036 | $ | 3,001 | 5.57 | % | ||||||||||||||||||||||||||||
Greater than three years and less than seven years | 3,994 | 3,978 | 0.61 | % | ||||||||||||||||||||||||||||||
Greater than seven years and less than eleven years | 3,601 | 3,608 | 1.1 | % | ||||||||||||||||||||||||||||||
Greater than eleven years | 2,965 | 2,903 | 2.49 | % | ||||||||||||||||||||||||||||||
Total | $ | 13,596 | $ | 13,490 | 2.2 | % | ||||||||||||||||||||||||||||
Interest Income Components - Investments [Table Text Block] | ' | |||||||||||||||||||||||||||||||||
The following table illustrates components of interest income on the Company's RMBS for the three and nine months ended September 30, 2013: | ||||||||||||||||||||||||||||||||||
Three Month Period Ended | Nine Month Period Ended | |||||||||||||||||||||||||||||||||
30-Sep-13 | 30-Sep-13 | |||||||||||||||||||||||||||||||||
($ in thousands) | Coupon Interest | Net Amortization | Interest Income | Coupon Interest | Net Amortization | Interest Income | ||||||||||||||||||||||||||||
Agency RMBS | $ | 12,570 | $ | (2,089 | ) | $ | 10,481 | $ | 17,484 | $ | (3,129 | ) | $ | 14,355 | ||||||||||||||||||||
Non-Agency RMBS | 428 | 307 | 735 | 824 | 631 | 1,455 | ||||||||||||||||||||||||||||
Total | $ | 12,998 | $ | (1,782 | ) | $ | 11,216 | $ | 18,308 | $ | (2,498 | ) | $ | 15,810 | ||||||||||||||||||||
Valuation_Tables
Valuation (Tables) | 9 Months Ended | ||||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||||
Fair Value Disclosures [Abstract] | ' | ||||||||||||||||||||
Schedule of Fair Value Measurements | ' | ||||||||||||||||||||
The following tables present the Company's financial instruments measured at fair value on: | |||||||||||||||||||||
September 30, 2013: | |||||||||||||||||||||
(In thousands) | |||||||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
Assets: | |||||||||||||||||||||
Real estate securities, at fair value: | |||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||
15-year fixed rate mortgages | $ | — | $ | 199,450 | $ | — | $ | 199,450 | |||||||||||||
30-year fixed rate mortgages | — | 1,194,445 | — | 1,194,445 | |||||||||||||||||
Adjustable rate mortgages | — | 31,707 | — | 31,707 | |||||||||||||||||
Interest only securities | — | — | 12,722 | 12,722 | |||||||||||||||||
Non-Agency RMBS | — | — | 34,467 | 34,467 | |||||||||||||||||
Real estate securities, at fair value | — | 1,425,602 | 47,189 | 1,472,791 | |||||||||||||||||
Financial derivatives-assets at fair value: | |||||||||||||||||||||
Fixed payer interest rate swaps | — | 23,077 | — | 23,077 | |||||||||||||||||
TBAs | — | 104 | — | 104 | |||||||||||||||||
Total financial derivatives-assets at fair value | — | 23,181 | — | 23,181 | |||||||||||||||||
Total real estate securities and financial derivatives-assets, at fair value | $ | — | $ | 1,448,783 | $ | 47,189 | $ | 1,495,972 | |||||||||||||
Liabilities: | |||||||||||||||||||||
Financial derivatives-liabilities at fair value: | |||||||||||||||||||||
Fixed payer interest rate swaps | $ | — | $ | (1,409 | ) | $ | — | $ | (1,409 | ) | |||||||||||
Fixed payer swaptions | — | (86 | ) | — | (86 | ) | |||||||||||||||
TBAs | — | (5,572 | ) | — | (5,572 | ) | |||||||||||||||
Total financial derivatives-liabilities at fair value | $ | — | $ | (7,067 | ) | $ | — | $ | (7,067 | ) | |||||||||||
There were no transfers of financial instruments between Levels 1, 2, or 3 of the fair value hierarchy during the nine month period ended September 30, 2013. | |||||||||||||||||||||
December 31, 2012: | |||||||||||||||||||||
(In thousands) | |||||||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
Assets: | |||||||||||||||||||||
Real estate securities, at fair value: | |||||||||||||||||||||
Non-Agency RMBS | $ | — | $ | — | $ | 13,596 | $ | 13,596 | |||||||||||||
Total real estate securities, at fair value | $ | — | $ | — | $ | 13,596 | $ | 13,596 | |||||||||||||
There were no transfers of financial instruments between Levels 1, 2, or 3 of the fair value hierarchy during the period September 25, 2012 (commencement of operations) through December 31, 2012. | |||||||||||||||||||||
Unobservable Input Reconciliation | ' | ||||||||||||||||||||
The following tables present additional information about the Company's investments which are measured at fair value for which the Company has utilized Level 3 inputs to determine fair value: | |||||||||||||||||||||
Three month period ended September 30, 2013: | |||||||||||||||||||||
(In thousands) | Agency | Non-Agency RMBS | |||||||||||||||||||
RMBS | |||||||||||||||||||||
Beginning balance at 6/30/2013 | $ | 9,905 | $ | 38,810 | |||||||||||||||||
Transfers(1): | |||||||||||||||||||||
Transfers into level 3 | — | — | |||||||||||||||||||
Transfers out of level 3 | — | — | |||||||||||||||||||
Purchases | 3,094 | 6,402 | |||||||||||||||||||
Proceeds from sales | — | (9,247 | ) | ||||||||||||||||||
Principal repayments | — | (2,927 | ) | ||||||||||||||||||
(Amortization)/accretion, net | (626 | ) | 307 | ||||||||||||||||||
Net realized gains | — | 581 | |||||||||||||||||||
Change in net unrealized gains (losses) | 349 | 541 | |||||||||||||||||||
Ending balance at 9/30/2013 | $ | 12,722 | $ | 34,467 | |||||||||||||||||
Change in net unrealized gains (losses) for level 3 assets still held as of September 30, 2013 | $ | 349 | $ | 718 | |||||||||||||||||
-1 | Transfers are assumed to occur at the beginning of the period. | ||||||||||||||||||||
Nine month period ended September 30, 2013: | |||||||||||||||||||||
(In thousands) | Agency | Non-Agency RMBS | |||||||||||||||||||
RMBS | |||||||||||||||||||||
Beginning balance at 12/31/2012 | $ | — | $ | 13,596 | |||||||||||||||||
Transfers(1): | |||||||||||||||||||||
Transfers into level 3 | — | — | |||||||||||||||||||
Transfers out of level 3 | — | — | |||||||||||||||||||
Purchases | 12,116 | 37,180 | |||||||||||||||||||
Proceeds from sales | — | (14,556 | ) | ||||||||||||||||||
Principal repayments | — | (4,390 | ) | ||||||||||||||||||
(Amortization)/accretion, net | (761 | ) | 631 | ||||||||||||||||||
Net realized gains | — | 1,469 | |||||||||||||||||||
Change in net unrealized gains (losses) | 1,367 | 537 | |||||||||||||||||||
Ending balance at 9/30/2013 | $ | 12,722 | $ | 34,467 | |||||||||||||||||
Change in net unrealized gains (losses) for level 3 assets still held as of September 30, 2013 | $ | 1,367 | $ | 630 | |||||||||||||||||
-1 | Transfers are assumed to occur at the beginning of the period. | ||||||||||||||||||||
September 25, 2012 (commencement of operations) to September 30, 2012: | |||||||||||||||||||||
(In thousands) | Non-Agency RMBS | ||||||||||||||||||||
Beginning balance at 09/25/2012 | $ | — | |||||||||||||||||||
Transfers(1): | |||||||||||||||||||||
Transfers into level 3 | — | ||||||||||||||||||||
Transfers out of level 3 | — | ||||||||||||||||||||
Purchases | 5,134 | ||||||||||||||||||||
Proceeds from sales | — | ||||||||||||||||||||
Principal repayments | — | ||||||||||||||||||||
(Amortization)/accretion, net | — | ||||||||||||||||||||
Net realized gains | — | ||||||||||||||||||||
Change in net unrealized gains (losses) | — | ||||||||||||||||||||
Ending balance at 9/30/2012 | $ | 5,134 | |||||||||||||||||||
Change in net unrealized gains (losses) for level 3 assets still held as of September 30, 2013 | $ | — | |||||||||||||||||||
-1 | Transfers are assumed to occur at the beginning of the period. | ||||||||||||||||||||
Quantitative Information | ' | ||||||||||||||||||||
The following tables identify the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of September 30, 2013 and December 31, 2012: | |||||||||||||||||||||
September 30, 2013: | |||||||||||||||||||||
Range | |||||||||||||||||||||
Description | Fair Value | Valuation Technique | Significant | Min | Max | Weighted Average(1) | |||||||||||||||
Unobservable Input | |||||||||||||||||||||
(In thousands) | |||||||||||||||||||||
Private Label Residential Mortgage-Backed Securities | $ | 30,962 | Market quotes | Non Binding Indicative Price | $ | 30.25 | $ | 102.97 | $ | 78.94 | |||||||||||
Private Label Residential Mortgage-Backed Securities | $ | 3,505 | Discounted Cash Flows | Yield | 12 | % | 19.1 | % | 15.9 | % | |||||||||||
Projected Collateral Prepayments | 30 | % | 43.3 | % | 37.3 | % | |||||||||||||||
Projected Collateral Losses | 4 | % | 6 | % | 4.9 | % | |||||||||||||||
Projected Collateral Recoveries | 6.5 | % | 12.6 | % | 9.2 | % | |||||||||||||||
Projected Collateral Scheduled Amortization | 46.3 | % | 51.4 | % | 48.6 | % | |||||||||||||||
100 | % | ||||||||||||||||||||
Agency RMBS–Interest Only Securities | $ | 2,351 | Option Adjusted Spread ("OAS") | LIBOR OAS (2) | 540 | 645 | 583 | ||||||||||||||
Projected Collateral Prepayments | 59.1 | % | 67.7 | % | 62.6 | % | |||||||||||||||
Projected Collateral Scheduled Amortization | 32.3 | % | 40.9 | % | 37.4 | % | |||||||||||||||
100 | % | ||||||||||||||||||||
Agency RMBS–Interest Only Securities | $ | 10,371 | Market quotes | Non Binding Indicative Price | $ | 4.89 | $ | 21.42 | $ | 13.8 | |||||||||||
-1 | Averages are weighted based on the fair value of the related instrument. | ||||||||||||||||||||
-2 | Shown in basis points. | ||||||||||||||||||||
December 31, 2012: | |||||||||||||||||||||
Range | |||||||||||||||||||||
Description | Fair Value | Valuation Technique | Significant | Min | Max | Weighted Average(1) | |||||||||||||||
Unobservable Input | |||||||||||||||||||||
(In thousands) | |||||||||||||||||||||
Private Label Residential Mortgage-Backed Securities | $ | 13,596 | Discounted Cash Flows | Yield | 6.2 | % | 20.4 | % | 8.5 | % | |||||||||||
Projected Collateral Prepayments | 12.6 | % | 52.2 | % | 29.4 | % | |||||||||||||||
Projected Collateral Losses | 11.3 | % | 41.4 | % | 26.9 | % | |||||||||||||||
Projected Collateral Recoveries | 6.8 | % | 33.2 | % | 23.8 | % | |||||||||||||||
Projected Collateral Scheduled Amortization | 3 | % | 52.7 | % | 19.9 | % | |||||||||||||||
100 | % | ||||||||||||||||||||
-1 | Averages are weighted based on the fair value of the related instrument. |
Derivative_Instruments_Tables
Derivative Instruments (Tables) | 9 Months Ended | ||||||||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||||||||
Derivative Instruments [Abstract] | ' | ||||||||||||||||||||||||
Schedule of Derivative Instruments [Table Text Block] | ' | ||||||||||||||||||||||||
The following table details fair value of the Company's holdings of financial derivatives as of September 30, 2013: | |||||||||||||||||||||||||
Fair Value | |||||||||||||||||||||||||
(In thousands) | |||||||||||||||||||||||||
Financial derivatives-assets at fair value: | |||||||||||||||||||||||||
TBA securities purchase contracts | $ | 104 | |||||||||||||||||||||||
Fixed payer interest rate swaps | 23,077 | ||||||||||||||||||||||||
Total financial derivatives-assets at fair value: | $ | 23,181 | |||||||||||||||||||||||
Financial derivatives-liabilities at fair value: | |||||||||||||||||||||||||
TBA securities sale contracts | $ | (5,572 | ) | ||||||||||||||||||||||
Fixed payer interest rate swaps | (1,409 | ) | |||||||||||||||||||||||
Fixed payer swaptions | (86 | ) | |||||||||||||||||||||||
Total financial derivatives-liabilities at fair value: | $ | (7,067 | ) | ||||||||||||||||||||||
Total | $ | 16,114 | |||||||||||||||||||||||
The Company did not have any financial derivatives outstanding as of December 31, 2012. | |||||||||||||||||||||||||
InterestRateSwapsByRemainingMaturity [Table Text Block] | ' | ||||||||||||||||||||||||
The following table details the Company's interest rate swaps as of September 30, 2013: | |||||||||||||||||||||||||
Weighted Average | |||||||||||||||||||||||||
Maturity | Notional Amount | Fair Value | Pay Rate | Receive Rate | Years to Maturity | ||||||||||||||||||||
(In thousands) | |||||||||||||||||||||||||
2016 | $ | 38,000 | $ | (204 | ) | 0.89 | % | 0.26 | % | 2.88 | |||||||||||||||
2017 | 109,000 | (696 | ) | 1.2 | 0.26 | 3.82 | |||||||||||||||||||
2018 | 90,000 | 1,773 | 0.88 | 0.27 | 4.6 | ||||||||||||||||||||
2020 | 235,900 | 6,054 | 1.57 | 0.26 | 6.65 | ||||||||||||||||||||
2023 | 213,000 | 9,279 | 2.14 | 0.26 | 9.65 | ||||||||||||||||||||
2043 | 70,000 | 5,462 | 3.2 | 0.26 | 29.68 | ||||||||||||||||||||
Total | $ | 755,900 | $ | 21,668 | 1.71 | % | 0.26 | % | 8.79 | ||||||||||||||||
Schedule of To-be-announced securities (TBAs) [Table Text Block] | ' | ||||||||||||||||||||||||
As of September 30, 2013, the Company had outstanding contracts to purchase ("long positions") and sell ("short positions") TBA securities as follows (shown in thousands): | |||||||||||||||||||||||||
TBA Securities | Notional Amount (1) | Cost Basis (2) | Market Value (3) | Net Carrying Value (4) | |||||||||||||||||||||
Purchase contracts: | |||||||||||||||||||||||||
Assets | $ | 3,350 | $ | 3,169 | $ | 3,273 | $ | 104 | |||||||||||||||||
Sale contracts: | |||||||||||||||||||||||||
Liabilities | (438,579 | ) | (449,060 | ) | (454,632 | ) | (5,572 | ) | |||||||||||||||||
Total TBA securities, net | $ | (435,229 | ) | $ | (445,891 | ) | $ | (451,359 | ) | $ | (5,468 | ) | |||||||||||||
-1 | Notional amount represents the principal balance of the underlying Agency RMBS. | ||||||||||||||||||||||||
-2 | Cost basis represents the forward price to be paid for the underlying Agency RMBS. | ||||||||||||||||||||||||
-3 | Market value represents the current market value of the underlying Agency RMBS (on a forward delivery basis) as of September 30, 2013. | ||||||||||||||||||||||||
-4 | Net carrying value represents the difference between the market value of the TBA contract as of September 30, 2013 and the cost basis and is reported in Financial derivatives-assets at fair value and Financial derivatives-liabilities at fair value on the Consolidated Balance Sheet. | ||||||||||||||||||||||||
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance [Table Text Block] | ' | ||||||||||||||||||||||||
Gains and losses on the Company's financial derivatives for the three and nine month periods ended September 30, 2013 are summarized in the tables below (shown in thousands): | |||||||||||||||||||||||||
Three Month Period Ended September 30, 2013 | |||||||||||||||||||||||||
Derivative Type | Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps | Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | Net Realized Gains (Losses) on Financial Derivatives | Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps | Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | Change in Net Unrealized Gains (Losses) on Financial Derivatives | |||||||||||||||||||
Fixed payer interest rate swaps | $ | 49 | $ | 2,451 | $ | 2,500 | $ | (3,109 | ) | $ | (1,420 | ) | $ | (4,529 | ) | ||||||||||
Fixed payer swaptions | — | — | (86 | ) | (86 | ) | |||||||||||||||||||
TBAs | 1,773 | 1,773 | (7,557 | ) | (7,557 | ) | |||||||||||||||||||
Total | $ | 49 | $ | 4,224 | $ | 4,273 | $ | (3,109 | ) | $ | (9,063 | ) | $ | (12,172 | ) | ||||||||||
Nine Month Period Ended September 30, 2013 | |||||||||||||||||||||||||
Derivative Type | Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps | Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | Net Realized Gains (Losses) on Financial Derivatives | Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps | Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | Change in Net Unrealized Gains (Losses) on Financial Derivatives | |||||||||||||||||||
Fixed payer interest rate swaps | $ | (20 | ) | $ | 2,631 | $ | 2,611 | $ | (4,151 | ) | $ | 25,819 | $ | 21,668 | |||||||||||
Fixed payer swaptions | — | — | (86 | ) | (86 | ) | |||||||||||||||||||
TBAs | 10,039 | 10,039 | (5,468 | ) | (5,468 | ) | |||||||||||||||||||
Total | $ | (20 | ) | $ | 12,670 | $ | 12,650 | $ | (4,151 | ) | $ | 20,265 | $ | 16,114 | |||||||||||
Repurchase_Agreements_Tables
Repurchase Agreements (Tables) | 9 Months Ended | |||||||||
Sep. 30, 2013 | ||||||||||
Repurchase Agreements [Abstract] | ' | |||||||||
Schedule of Repurchase Agreements [Table Text Block] | ' | |||||||||
The following table details the Company's outstanding borrowings under repurchase agreements as of September 30, 2013: | ||||||||||
Weighted Average | ||||||||||
Original Maturity | Borrowings Outstanding | Interest Rate | Remaining Days to Maturity | |||||||
(In thousands) | ||||||||||
30 days or less | $ | 513,660 | 0.36 | % | 11 | |||||
31-60 days | 412,485 | 0.38 | 45 | |||||||
61-90 days | 143,530 | 0.38 | 74 | |||||||
91-120 days | 28,897 | 0.39 | 105 | |||||||
121-150 days | 99,464 | 0.42 | 136 | |||||||
151-180 days | 94,910 | 0.41 | 164 | |||||||
Total | $ | 1,292,946 | 0.38 | % | 52 | |||||
Offsetting_of_Assets_and_Liabi1
Offsetting of Assets and Liabilities (Tables) | 9 Months Ended | ||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||
Offsetting of Assets and Liabilities [Abstract] | ' | ||||||||||||||||
Offsetting of Assets and Liabilities [Table Text Block] | ' | ||||||||||||||||
The following table presents information about certain assets and liabilities representing financial instruments as of September 30, 2013. The Company has not previously entered into master netting agreements with any of its counterparties. | |||||||||||||||||
Description | Amount of Assets (Liabilities) Presented in the Consolidated Balance Sheet(1) | Financial Instruments(2)(3) | Cash Collateral (Received) Pledged(3) | Net Amount | |||||||||||||
(In thousands) | |||||||||||||||||
Assets: | |||||||||||||||||
Financial derivatives-assets at fair value- Gross | $ | 23,181 | |||||||||||||||
Financial derivatives-assets at fair value-Net | $ | 16,114 | $ | — | $ | (3,311 | ) | $ | 12,803 | ||||||||
Liabilities: | |||||||||||||||||
Financial derivatives-liabilities at fair value- Gross | $ | (7,067 | ) | ||||||||||||||
Financial derivatives-liabilities at fair value-Net | $ | — | $ | — | $ | — | $ | — | |||||||||
Repurchase Agreements | $ | (1,292,946 | ) | ||||||||||||||
Repurchase Agreements-Net | $ | (1,292,946 | ) | $ | 1,296,756 | $ | (3,810 | ) | $ | — | |||||||
-1 | On the Company's Consolidated Balance Sheet, all balances associated with the repurchase agreements and financial derivatives are presented on a gross basis. | ||||||||||||||||
-2 | Amounts disclosed in the Financial Instruments column of the table represent collateral that is available to be offset against balances associated with repurchase agreements. | ||||||||||||||||
-3 | As collateral is called or posted per counterparty it is generally called or posted across all positions with each respective counterparty. |
Earnings_per_Share_Tables
Earnings per Share (Tables) | 9 Months Ended | ||||||||||||
Sep. 30, 2013 | |||||||||||||
Earnings Per Share [Abstract] | ' | ||||||||||||
Schedule of Earnings Per Share Reconciliation | ' | ||||||||||||
The following table presents a reconciliation of the earnings/(losses) and shares used in calculating basic EPS for the three and nine month periods ended September 30, 2013: | |||||||||||||
(In thousands except share amounts) | Three Month | Nine Month | September 25, 2012 (commencement of operations) September 30, 2012 | ||||||||||
Period Ended September 30, 2013 | Period Ended September 30, 2013 | ||||||||||||
Numerator: | |||||||||||||
Net income (loss) | $ | 6,785 | $ | (1,789 | ) | $ | (8 | ) | |||||
Denominator: | |||||||||||||
Basic weighted average shares outstanding | 9,133,940 | 5,699,501 | 1,575,000 | ||||||||||
Basic Earnings Per Share | $ | 0.74 | $ | (0.31 | ) | $ | (0.01 | ) | |||||
Organization_and_Investment_Ob1
Organization and Investment Objective Organization and Investment Objective (Details) (USD $) | 0 Months Ended | 9 Months Ended | 0 Months Ended | |||
Sep. 30, 2012 | Sep. 30, 2013 | 1-May-13 | 1-May-13 | 1-May-13 | 1-May-13 | |
Common Stock [Member] | Private Placement [Member] | IPO [Member] | ||||
Common Stock [Member] | Common Stock [Member] | |||||
Private Placement and Initial Public Offering [Line Items] | ' | ' | ' | ' | ' | ' |
Stock Issued During Period, Shares, New Issues | ' | ' | ' | ' | 1,050,000 | 6,450,000 |
Share price | ' | ' | ' | ' | $20 | $20 |
Stock Issued During Period, Value, New Issues | $31,500,000 | $150,000,000 | ' | $150,000,000 | $21,000,000 | ' |
Remaining Capital Commitment | ' | ' | 0 | ' | ' | ' |
Proceeds from issuance of common shares | ' | ' | ' | $148,500,000 | ' | ' |
Required Distribution of Taxable Net Income, Percentage on Annual Basis | ' | 90.00% | ' | ' | ' | ' |
Intended Distribution of Taxable Net Income, Percentage on Annual Basis | ' | 100.00% | ' | ' | ' | ' |
Real_Estate_Securities_Schedul
Real Estate Securities Schedule of Real Estate Securities (Details) (USD $) | 3 Months Ended | 3 Months Ended | 9 Months Ended | |||||||||||||||
Sep. 30, 2013 | Dec. 31, 2012 | Dec. 31, 2012 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | |||||||||
Non-Agency RMBS [Member] | Non-Agency RMBS [Member] | Residential Mortgage Backed Securities [Member] | 15-year fixed rate mortgages [Member] | 30-year fixed rate mortgages [Member] | Adjustable Rate Residential Mortgage [Member] | Interest-Only [Member] | Agency Securities [Member] | |||||||||||
Agency RMBS [Member] | Agency RMBS [Member] | Agency RMBS [Member] | Agency RMBS [Member] | Agency RMBS [Member] | ||||||||||||||
Real Estate-Related Securities [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||
Weighted Average Holdings | $1,453,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||||
Current Principal | ' | ' | 26,890,000 | 55,798,000 | 1,552,173,000 | 192,906,000 | 1,165,255,000 | 29,840,000 | 108,374,000 | 1,496,375,000 | ||||||||
Unamortized Premium (Discount) | ' | ' | -13,400,000 | -21,975,000 | -64,098,000 | 7,325,000 | 45,873,000 | 1,698,000 | -97,019,000 | -42,123,000 | ||||||||
Amortized Cost | ' | ' | 13,490,000 | 33,823,000 | 1,488,075,000 | 200,231,000 | 1,211,128,000 | 31,538,000 | 11,355,000 | 1,454,252,000 | ||||||||
Gross Unrealized Gain | ' | ' | 117,000 | 1,305,000 | 11,201,000 | 794,000 | 7,443,000 | 169,000 | 1,490,000 | 9,896,000 | ||||||||
Gross Unrealized Losses | ' | ' | -11,000 | -661,000 | -26,485,000 | -1,575,000 | -24,126,000 | 0 | -123,000 | -25,824,000 | ||||||||
Fair Value | $1,472,791,000 | $13,596,000 | $13,596,000 | $34,467,000 | $1,472,791,000 | $199,450,000 | $1,194,445,000 | $31,707,000 | $12,722,000 | $1,438,324,000 | ||||||||
Weighted Average Coupon | ' | ' | 2.20% | 2.88% | 3.60% | 3.05% | 3.66% | 4.47% | 4.00% | 3.62% | ||||||||
Weighted Average Yield | ' | ' | 8.50% | 7.85% | 3.14% | 2.25% | 3.09% | 2.38% | 11.95% | 3.03% | ||||||||
Weighted Average Life (Years) | ' | ' | '7 years 292 days | [1] | '5 years 161 days | [1] | '8 years 300 days | [1] | '5 years 314 days | [1] | '9 years 362 days | [1] | '3 years 358 days | [1] | '4 years 249 days | [1] | '8 years 347 days | [1] |
[1] | Average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. |
Real_Estate_Securities_Schedul1
Real Estate Securities Schedule of Real Estate Securities by Weighted Average Life (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Real Estate-Related Securities [Line Items] | ' | ' |
Real estate securities, at fair value | $1,472,791 | $13,596 |
Non-Agency RMBS [Member] | ' | ' |
Real Estate-Related Securities [Line Items] | ' | ' |
Real estate securities, at fair value | 34,467 | 13,596 |
Investment Owned, at Cost | 33,823 | 13,490 |
Weighted Average Coupon Rate, Percent | 2.88% | 2.20% |
Less than three years [Member] | Non-Agency RMBS [Member] | ' | ' |
Real Estate-Related Securities [Line Items] | ' | ' |
Real estate securities, at fair value | 4,616 | 3,036 |
Investment Owned, at Cost | 4,291 | 3,001 |
Weighted Average Coupon Rate, Percent | 1.97% | 5.57% |
Greater than three years and less than seven years [Member] | Non-Agency RMBS [Member] | ' | ' |
Real Estate-Related Securities [Line Items] | ' | ' |
Real estate securities, at fair value | 18,188 | 3,994 |
Investment Owned, at Cost | 18,244 | 3,978 |
Weighted Average Coupon Rate, Percent | 3.41% | 0.61% |
Greater than seven years and less than eleven years [Member] | Non-Agency RMBS [Member] | ' | ' |
Real Estate-Related Securities [Line Items] | ' | ' |
Real estate securities, at fair value | 10,963 | 3,601 |
Investment Owned, at Cost | 10,477 | 3,608 |
Weighted Average Coupon Rate, Percent | 1.88% | 1.10% |
Greater than eleven years [Member] | Non-Agency RMBS [Member] | ' | ' |
Real Estate-Related Securities [Line Items] | ' | ' |
Real estate securities, at fair value | 700 | 2,965 |
Investment Owned, at Cost | 811 | 2,903 |
Weighted Average Coupon Rate, Percent | 7.69% | 2.49% |
Fixed Rate [Member] | Agency RMBS [Member] | ' | ' |
Real Estate-Related Securities [Line Items] | ' | ' |
Real estate securities, at fair value | 1,425,602 | ' |
Investment Owned, at Cost | 1,442,897 | ' |
Weighted Average Coupon Rate, Percent | 3.59% | ' |
Fixed Rate [Member] | Less than three years [Member] | Agency RMBS [Member] | ' | ' |
Real Estate-Related Securities [Line Items] | ' | ' |
Real estate securities, at fair value | 3,859 | ' |
Investment Owned, at Cost | 3,859 | ' |
Weighted Average Coupon Rate, Percent | 6.01% | ' |
Fixed Rate [Member] | Greater than three years and less than seven years [Member] | Agency RMBS [Member] | ' | ' |
Real Estate-Related Securities [Line Items] | ' | ' |
Real estate securities, at fair value | 243,429 | ' |
Investment Owned, at Cost | 244,043 | ' |
Weighted Average Coupon Rate, Percent | 3.32% | ' |
Fixed Rate [Member] | Greater than seven years and less than eleven years [Member] | Agency RMBS [Member] | ' | ' |
Real Estate-Related Securities [Line Items] | ' | ' |
Real estate securities, at fair value | 1,160,705 | ' |
Investment Owned, at Cost | 1,177,237 | ' |
Weighted Average Coupon Rate, Percent | 3.64% | ' |
Fixed Rate [Member] | Greater than eleven years [Member] | Agency RMBS [Member] | ' | ' |
Real Estate-Related Securities [Line Items] | ' | ' |
Real estate securities, at fair value | 17,609 | ' |
Investment Owned, at Cost | 17,758 | ' |
Weighted Average Coupon Rate, Percent | 3.89% | ' |
Interest-Only [Member] | Agency RMBS [Member] | ' | ' |
Real Estate-Related Securities [Line Items] | ' | ' |
Real estate securities, at fair value | 12,722 | ' |
Investment Owned, at Cost | 11,355 | ' |
Weighted Average Coupon Rate, Percent | 4.00% | ' |
Interest-Only [Member] | Less than three years [Member] | Agency RMBS [Member] | ' | ' |
Real Estate-Related Securities [Line Items] | ' | ' |
Real estate securities, at fair value | 2,169 | ' |
Investment Owned, at Cost | 1,601 | ' |
Weighted Average Coupon Rate, Percent | 5.12% | ' |
Interest-Only [Member] | Greater than three years and less than seven years [Member] | Agency RMBS [Member] | ' | ' |
Real Estate-Related Securities [Line Items] | ' | ' |
Real estate securities, at fair value | 8,209 | ' |
Investment Owned, at Cost | 7,759 | ' |
Weighted Average Coupon Rate, Percent | 3.77% | ' |
Interest-Only [Member] | Greater than seven years and less than eleven years [Member] | Agency RMBS [Member] | ' | ' |
Real Estate-Related Securities [Line Items] | ' | ' |
Real estate securities, at fair value | 2,344 | ' |
Investment Owned, at Cost | 1,995 | ' |
Weighted Average Coupon Rate, Percent | 3.50% | ' |
Interest-Only [Member] | Greater than eleven years [Member] | Agency RMBS [Member] | ' | ' |
Real Estate-Related Securities [Line Items] | ' | ' |
Real estate securities, at fair value | 0 | ' |
Investment Owned, at Cost | $0 | ' |
Weighted Average Coupon Rate, Percent | 0.00% | ' |
Real_Estate_Securities_Interes
Real Estate Securities Interest Income Components (Details) (USD $) | 0 Months Ended | 3 Months Ended | 9 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2013 |
Interest Income Components [Line Items] | ' | ' | ' |
Coupon Income | ' | $12,998 | $18,308 |
Amortization of premiums and accretion of discounts (net) | 0 | -1,782 | -2,498 |
Interest Income | ' | 11,216 | 15,810 |
Non-Agency RMBS [Member] | ' | ' | ' |
Interest Income Components [Line Items] | ' | ' | ' |
Coupon Income | ' | 428 | 824 |
Amortization of premiums and accretion of discounts (net) | ' | 307 | 631 |
Interest Income | ' | 735 | 1,455 |
Agency RMBS [Member] | ' | ' | ' |
Interest Income Components [Line Items] | ' | ' | ' |
Coupon Income | ' | 12,570 | 17,484 |
Amortization of premiums and accretion of discounts (net) | ' | -2,089 | -3,129 |
Interest Income | ' | $10,481 | $14,355 |
Valuation_Schedule_of_Fair_Val
Valuation Schedule of Fair Value Measurements (Details) (USD $) | 3 Months Ended | 9 Months Ended | |
In Thousands, unless otherwise specified | Dec. 31, 2012 | Sep. 30, 2013 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Financial derivatives-assets at fair value | $0 | $23,181 | [1] |
Financial derivatives-liabilities at fair value | 0 | 7,067 | [1] |
Fair Value Level 1 To Level 2 To Level 3 Transfers Amount | 0 | 0 | |
Level 1 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Fair Value | ' | 0 | |
Level 2 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Fair Value | ' | 1,448,783 | |
Level 3 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Fair Value | ' | 47,189 | |
Estimate of Fair Value, Fair Value Disclosure [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Fair Value | ' | 1,495,972 | |
Non-Agency RMBS [Member] | Level 1 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Real estate securities, fair value | 0 | 0 | |
Non-Agency RMBS [Member] | Level 2 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Real estate securities, fair value | 0 | 0 | |
Non-Agency RMBS [Member] | Level 3 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Real estate securities, fair value | 13,596 | 34,467 | |
Non-Agency RMBS [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Real estate securities, fair value | 13,596 | 34,467 | |
Residential Mortgage Backed Securities [Member] | Level 1 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Real estate securities, fair value | 0 | 0 | |
Residential Mortgage Backed Securities [Member] | Level 2 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Real estate securities, fair value | 0 | 1,425,602 | |
Residential Mortgage Backed Securities [Member] | Level 3 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Real estate securities, fair value | 13,596 | 47,189 | |
Residential Mortgage Backed Securities [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Real estate securities, fair value | 13,596 | 1,472,791 | |
15-year fixed rate mortgages [Member] | Agency RMBS [Member] | Level 1 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Real estate securities, fair value | ' | 0 | |
15-year fixed rate mortgages [Member] | Agency RMBS [Member] | Level 2 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Real estate securities, fair value | ' | 199,450 | |
15-year fixed rate mortgages [Member] | Agency RMBS [Member] | Level 3 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Real estate securities, fair value | ' | 0 | |
15-year fixed rate mortgages [Member] | Agency RMBS [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Real estate securities, fair value | ' | 199,450 | |
30-year fixed rate mortgages [Member] | Agency RMBS [Member] | Level 1 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Real estate securities, fair value | ' | 0 | |
30-year fixed rate mortgages [Member] | Agency RMBS [Member] | Level 2 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Real estate securities, fair value | ' | 1,194,445 | |
30-year fixed rate mortgages [Member] | Agency RMBS [Member] | Level 3 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Real estate securities, fair value | ' | 0 | |
30-year fixed rate mortgages [Member] | Agency RMBS [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Real estate securities, fair value | ' | 1,194,445 | |
Adjustable Rate Residential Mortgage [Member] | Agency RMBS [Member] | Level 1 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Real estate securities, fair value | ' | 0 | |
Adjustable Rate Residential Mortgage [Member] | Agency RMBS [Member] | Level 2 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Real estate securities, fair value | ' | 31,707 | |
Adjustable Rate Residential Mortgage [Member] | Agency RMBS [Member] | Level 3 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Real estate securities, fair value | ' | 0 | |
Adjustable Rate Residential Mortgage [Member] | Agency RMBS [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Real estate securities, fair value | ' | 31,707 | |
Interest-Only [Member] | Agency RMBS [Member] | Level 1 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Real estate securities, fair value | ' | 0 | |
Interest-Only [Member] | Agency RMBS [Member] | Level 2 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Real estate securities, fair value | ' | 0 | |
Interest-Only [Member] | Agency RMBS [Member] | Level 3 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Real estate securities, fair value | ' | 12,722 | |
Interest-Only [Member] | Agency RMBS [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Real estate securities, fair value | ' | 12,722 | |
Derivative Financial Instruments, Assets [Member] | Level 1 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Financial derivatives-assets at fair value | ' | 0 | |
Derivative Financial Instruments, Assets [Member] | Level 2 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Financial derivatives-assets at fair value | ' | 23,181 | |
Derivative Financial Instruments, Assets [Member] | Level 3 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Financial derivatives-assets at fair value | ' | 0 | |
Derivative Financial Instruments, Assets [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Financial derivatives-assets at fair value | ' | 23,181 | |
Derivative Financial Instruments, Liabilities [Member] | Level 1 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Financial derivatives-liabilities at fair value | ' | 0 | |
Derivative Financial Instruments, Liabilities [Member] | Level 2 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Financial derivatives-liabilities at fair value | ' | -7,067 | |
Derivative Financial Instruments, Liabilities [Member] | Level 3 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Financial derivatives-liabilities at fair value | ' | 0 | |
Derivative Financial Instruments, Liabilities [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Financial derivatives-liabilities at fair value | ' | -7,067 | |
Interest Rate Swap [Member] | Derivative Financial Instruments, Assets [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Financial derivatives-assets at fair value | ' | 23,077 | |
Interest Rate Swap [Member] | Derivative Financial Instruments, Assets [Member] | Level 1 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Financial derivatives-assets at fair value | ' | 0 | |
Interest Rate Swap [Member] | Derivative Financial Instruments, Assets [Member] | Level 2 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Financial derivatives-assets at fair value | ' | 23,077 | |
Interest Rate Swap [Member] | Derivative Financial Instruments, Assets [Member] | Level 3 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Financial derivatives-assets at fair value | ' | 0 | |
Interest Rate Swap [Member] | Derivative Financial Instruments, Assets [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Financial derivatives-assets at fair value | ' | 23,077 | |
Interest Rate Swap [Member] | Derivative Financial Instruments, Liabilities [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Financial derivatives-liabilities at fair value | ' | 1,409 | |
Interest Rate Swap [Member] | Derivative Financial Instruments, Liabilities [Member] | Level 1 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Financial derivatives-liabilities at fair value | ' | 0 | |
Interest Rate Swap [Member] | Derivative Financial Instruments, Liabilities [Member] | Level 2 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Financial derivatives-liabilities at fair value | ' | -1,409 | |
Interest Rate Swap [Member] | Derivative Financial Instruments, Liabilities [Member] | Level 3 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Financial derivatives-liabilities at fair value | ' | 0 | |
Interest Rate Swap [Member] | Derivative Financial Instruments, Liabilities [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Financial derivatives-liabilities at fair value | ' | -1,409 | |
Interest Rate Swaption [Member] | Derivative Financial Instruments, Liabilities [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Financial derivatives-liabilities at fair value | ' | 86 | |
Interest Rate Swaption [Member] | Derivative Financial Instruments, Liabilities [Member] | Level 1 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Financial derivatives-liabilities at fair value | ' | 0 | |
Interest Rate Swaption [Member] | Derivative Financial Instruments, Liabilities [Member] | Level 2 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Financial derivatives-liabilities at fair value | ' | -86 | |
Interest Rate Swaption [Member] | Derivative Financial Instruments, Liabilities [Member] | Level 3 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Financial derivatives-liabilities at fair value | ' | 0 | |
Interest Rate Swaption [Member] | Derivative Financial Instruments, Liabilities [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Financial derivatives-liabilities at fair value | ' | -86 | |
TBA securities [Member] | Derivative Financial Instruments, Assets [Member] | Level 1 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Financial derivatives-assets at fair value | ' | 0 | |
TBA securities [Member] | Derivative Financial Instruments, Assets [Member] | Level 2 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Financial derivatives-assets at fair value | ' | 104 | |
TBA securities [Member] | Derivative Financial Instruments, Assets [Member] | Level 3 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Financial derivatives-assets at fair value | ' | 0 | |
TBA securities [Member] | Derivative Financial Instruments, Assets [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Financial derivatives-assets at fair value | ' | 104 | |
TBA securities [Member] | Derivative Financial Instruments, Liabilities [Member] | Level 1 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Financial derivatives-liabilities at fair value | ' | 0 | |
TBA securities [Member] | Derivative Financial Instruments, Liabilities [Member] | Level 2 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Financial derivatives-liabilities at fair value | ' | -5,572 | |
TBA securities [Member] | Derivative Financial Instruments, Liabilities [Member] | Level 3 [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Financial derivatives-liabilities at fair value | ' | 0 | |
TBA securities [Member] | Derivative Financial Instruments, Liabilities [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | ' | ' | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | |
Financial derivatives-liabilities at fair value | ' | ($5,572) | |
[1] | On the Company's Consolidated Balance Sheet, all balances associated with the repurchase agreements and financial derivatives are presented on a gross basis. |
Valuation_Unobservable_Input_R
Valuation Unobservable Input Reconciliation (Details) (Level 3 [Member], USD $) | 0 Months Ended | 3 Months Ended | 9 Months Ended | |||
In Thousands, unless otherwise specified | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2013 | |||
Agency RMBS [Member] | ' | ' | ' | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' | ' | ' | |||
Beginning balance | ' | $9,905 | $0 | |||
Transfers | ' | ' | ' | |||
Transfers into level 3 | ' | 0 | [1] | 0 | [1] | |
Transfers out of level 3 | ' | 0 | [1] | 0 | [1] | |
Purchases | ' | 3,094 | 12,116 | |||
Proceeds from sales | ' | 0 | 0 | |||
Principal repayments | ' | 0 | 0 | |||
(Amortization)/accretion, net | ' | -626 | -761 | |||
Net realized gains | ' | 0 | 0 | |||
Change in net unrealized gains (losses) | ' | 349 | 1,367 | |||
Ending balance | ' | 12,722 | 12,722 | |||
Change in net unrealized gains (losses) for level 3 assets still held as of September 30, 2013 | ' | 349 | 1,367 | |||
Non-Agency RMBS [Member] | ' | ' | ' | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' | ' | ' | |||
Beginning balance | 0 | 38,810 | 13,596 | |||
Transfers | ' | ' | ' | |||
Transfers into level 3 | 0 | [1] | 0 | [1] | 0 | [1] |
Transfers out of level 3 | 0 | [1] | 0 | [1] | 0 | [1] |
Purchases | 5,134 | 6,402 | 37,180 | |||
Proceeds from sales | 0 | -9,247 | -14,556 | |||
Principal repayments | 0 | -2,927 | -4,390 | |||
(Amortization)/accretion, net | 0 | 307 | 631 | |||
Net realized gains | 0 | 581 | 1,469 | |||
Change in net unrealized gains (losses) | 0 | 541 | 537 | |||
Ending balance | 5,134 | 34,467 | 34,467 | |||
Change in net unrealized gains (losses) for level 3 assets still held as of September 30, 2013 | $0 | $718 | $630 | |||
[1] | Transfers are assumed to occur at the beginning of the period. |
Valuation_Qualtitative_Informa
Valuation Qualtitative Information (Details) (Level 3 [Member], USD $) | Sep. 30, 2013 | Dec. 31, 2012 | ||
In Thousands, except Per Share data, unless otherwise specified | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Fair Value | $47,189 | ' | ||
Non-Agency RMBS [Member] | Market Quotes [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Fair Value | 30,962 | ' | ||
Non-Agency RMBS [Member] | Discounted Cash Flows [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Fair Value | 3,505 | 13,596 | ||
Non-Agency RMBS [Member] | Minimum [Member] | Market Quotes [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Non Binding Indicative Price | $30.25 | ' | ||
Non-Agency RMBS [Member] | Minimum [Member] | Discounted Cash Flows [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield | 12.00% | 6.20% | ||
Projected Collateral Prepayments | 30.00% | 12.60% | ||
Projected Collateral Losses | 4.00% | 11.30% | ||
Projected Collateral Recoveries | 6.50% | 6.80% | ||
Projected Collateral Scheduled Amortization | 46.30% | 3.00% | ||
Non-Agency RMBS [Member] | Maximum [Member] | Market Quotes [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Non Binding Indicative Price | $102.97 | ' | ||
Non-Agency RMBS [Member] | Maximum [Member] | Discounted Cash Flows [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield | 19.10% | 20.40% | ||
Projected Collateral Prepayments | 43.30% | 52.20% | ||
Projected Collateral Losses | 6.00% | 41.40% | ||
Projected Collateral Recoveries | 12.60% | 33.20% | ||
Projected Collateral Scheduled Amortization | 51.40% | 52.70% | ||
Non-Agency RMBS [Member] | Weighted Average [Member] | Market Quotes [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Non Binding Indicative Price | $78.94 | [1] | ' | |
Non-Agency RMBS [Member] | Weighted Average [Member] | Discounted Cash Flows [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield | 15.90% | [1] | 8.50% | [1] |
Projected Collateral Prepayments | 37.30% | [1] | 29.40% | [1] |
Projected Collateral Losses | 4.90% | [1] | 26.90% | [1] |
Projected Collateral Recoveries | 9.20% | [1] | 23.80% | [1] |
Projected Collateral Scheduled Amortization | 48.60% | [1] | 19.90% | [1] |
Projected Total | 100.00% | [1] | 100.00% | [1] |
Interest-Only [Member] | Agency RMBS [Member] | Market Quotes [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Fair Value | 10,371 | ' | ||
Interest-Only [Member] | Agency RMBS [Member] | Income Approach Valuation Technique [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Fair Value | $2,351 | ' | ||
Interest-Only [Member] | Agency RMBS [Member] | Minimum [Member] | Market Quotes [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Non Binding Indicative Price | $4.89 | ' | ||
Interest-Only [Member] | Agency RMBS [Member] | Minimum [Member] | Income Approach Valuation Technique [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
FairValueInputsLiborOas | 5.40% | [2] | ' | |
Projected Collateral Prepayments | 59.10% | ' | ||
Projected Collateral Scheduled Amortization | 32.30% | ' | ||
Interest-Only [Member] | Agency RMBS [Member] | Maximum [Member] | Market Quotes [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Non Binding Indicative Price | $21.42 | ' | ||
Interest-Only [Member] | Agency RMBS [Member] | Maximum [Member] | Income Approach Valuation Technique [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
FairValueInputsLiborOas | 6.45% | [2] | ' | |
Projected Collateral Prepayments | 67.70% | ' | ||
Projected Collateral Scheduled Amortization | 40.90% | ' | ||
Interest-Only [Member] | Agency RMBS [Member] | Weighted Average [Member] | Market Quotes [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Non Binding Indicative Price | $13.80 | [1] | ' | |
Interest-Only [Member] | Agency RMBS [Member] | Weighted Average [Member] | Income Approach Valuation Technique [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
FairValueInputsLiborOas | 5.83% | [1],[2] | ' | |
Projected Collateral Prepayments | 62.60% | [1] | ' | |
Projected Collateral Scheduled Amortization | 37.40% | [1] | ' | |
Projected Total | 100.00% | [1] | ' | |
[1] | Averages are weighted based on the fair value of the related instrument. | |||
[2] | Shown in basis points. |
Derivative_Instruments_Schedul
Derivative Instruments Schedule of Derivatves (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | |
In Thousands, unless otherwise specified | |||
Derivative [Line Items] | ' | ' | |
Financial derivatives-assets at fair value | $23,181 | [1] | $0 |
Financial derivatives-liabilities at fair value | -7,067 | [1] | 0 |
Derivative, Fair Value, Net | 16,114 | ' | |
Interest Rate Swap [Member] | ' | ' | |
Derivative [Line Items] | ' | ' | |
Derivative, Fair Value, Net | 21,668 | ' | |
Derivative Financial Instruments, Assets [Member] | ' | ' | |
Derivative [Line Items] | ' | ' | |
Derivative, Fair Value, Net | 16,114 | [1] | ' |
Derivative Financial Instruments, Assets [Member] | Interest Rate Swap [Member] | ' | ' | |
Derivative [Line Items] | ' | ' | |
Financial derivatives-assets at fair value | 23,077 | ' | |
Derivative Financial Instruments, Assets [Member] | TBA securities- purchase contracts [Member] | ' | ' | |
Derivative [Line Items] | ' | ' | |
Financial derivatives-assets at fair value | 104 | [2] | ' |
Derivative Financial Instruments, Liabilities [Member] | ' | ' | |
Derivative [Line Items] | ' | ' | |
Derivative, Fair Value, Net | 0 | [1] | ' |
Derivative Financial Instruments, Liabilities [Member] | Interest Rate Swap [Member] | ' | ' | |
Derivative [Line Items] | ' | ' | |
Financial derivatives-liabilities at fair value | -1,409 | ' | |
Derivative Financial Instruments, Liabilities [Member] | TBA securities- sale contracts [Member] | ' | ' | |
Derivative [Line Items] | ' | ' | |
Financial derivatives-liabilities at fair value | -5,572 | [2] | ' |
Derivative Financial Instruments, Liabilities [Member] | Interest Rate Swaption [Member] | ' | ' | |
Derivative [Line Items] | ' | ' | |
Financial derivatives-liabilities at fair value | ($86) | ' | |
[1] | On the Company's Consolidated Balance Sheet, all balances associated with the repurchase agreements and financial derivatives are presented on a gross basis. | ||
[2] | Net carrying value represents the difference between the market value of the TBA contract as of September 30, 2013 and the cost basis and is reported in Financial derivatives-assets at fair value and Financial derivatives-liabilities at fair value on the Consolidated Balance Sheet. |
Derivative_Instruments_Schedul1
Derivative Instruments Schedule of Interest Rate Swaps by Maturity (Details) (USD $) | Sep. 30, 2013 |
In Thousands, unless otherwise specified | |
Derivative [Line Items] | ' |
Derivative, Fair Value, Net | $16,114 |
Interest Rate Swap [Member] | ' |
Derivative [Line Items] | ' |
Derivative notional | 755,900 |
Derivative, Fair Value, Net | 21,668 |
Weighted Average Pay Rate | 1.71% |
Weighted Average Receive Rate | 0.26% |
Weighted Average Years to Maturity | '8 years 289 days |
Year 2016 [Member] | Interest Rate Swap [Member] | ' |
Derivative [Line Items] | ' |
Derivative notional | 38,000 |
Derivative, Fair Value, Net | -204 |
Weighted Average Pay Rate | 0.89% |
Weighted Average Receive Rate | 0.26% |
Weighted Average Years to Maturity | '2 years 322 days |
Year 2017 [Member] | Interest Rate Swap [Member] | ' |
Derivative [Line Items] | ' |
Derivative notional | 109,000 |
Derivative, Fair Value, Net | -696 |
Weighted Average Pay Rate | 1.20% |
Weighted Average Receive Rate | 0.26% |
Weighted Average Years to Maturity | '3 years 300 days |
Year 2018 [Member] | Interest Rate Swap [Member] | ' |
Derivative [Line Items] | ' |
Derivative notional | 90,000 |
Derivative, Fair Value, Net | 1,773 |
Weighted Average Pay Rate | 0.88% |
Weighted Average Receive Rate | 0.27% |
Weighted Average Years to Maturity | '4 years 219 days |
Year 2020 [Member] | Interest Rate Swap [Member] | ' |
Derivative [Line Items] | ' |
Derivative notional | 235,900 |
Derivative, Fair Value, Net | 6,054 |
Weighted Average Pay Rate | 1.57% |
Weighted Average Receive Rate | 0.26% |
Weighted Average Years to Maturity | '6 years 238 days |
Year 2023 [Member] | Interest Rate Swap [Member] | ' |
Derivative [Line Items] | ' |
Derivative notional | 213,000 |
Derivative, Fair Value, Net | 9,279 |
Weighted Average Pay Rate | 2.14% |
Weighted Average Receive Rate | 0.26% |
Weighted Average Years to Maturity | '9 years 238 days |
Year 2043 [Member] | Interest Rate Swap [Member] | ' |
Derivative [Line Items] | ' |
Derivative notional | 70,000 |
Derivative, Fair Value, Net | $5,462 |
Weighted Average Pay Rate | 3.20% |
Weighted Average Receive Rate | 0.26% |
Weighted Average Years to Maturity | '29 years 249 days |
Derivative_Instruments_Schedul2
Derivative Instruments Schedule of Swaptions (Details) (Interest Rate Swaption [Member], USD $) | 9 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2013 |
Interest Rate Swaption [Member] | ' |
Derivative [Line Items] | ' |
Fixed Pay Rate on Derivatives | 3.31% |
Maturity term of asset underlying derivative contract | '10 years |
Derivative notional | $22,000 |
Derivative, Remaining Maturity | '12 months |
Derivative_Instruments_Schedul3
Derivative Instruments Schedule of TBA Securities (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | |
In Thousands, unless otherwise specified | |||
Derivative [Line Items] | ' | ' | |
Financial derivatives-assets at fair value | $23,181 | [1] | $0 |
Financial derivatives-liabilities at fair value | -7,067 | [1] | 0 |
Derivative, Fair Value, Net | 16,114 | ' | |
TBA securities [Member] | ' | ' | |
Derivative [Line Items] | ' | ' | |
Derivative notional, net | -435,229 | [2] | ' |
Derivative cost basis | -445,891 | [3] | ' |
Market Value, Underyling | -451,359 | [4] | ' |
Derivative, Fair Value, Net | -5,468 | [5] | ' |
Derivative Financial Instruments, Assets [Member] | ' | ' | |
Derivative [Line Items] | ' | ' | |
Derivative, Fair Value, Net | 16,114 | [1] | ' |
Derivative Financial Instruments, Assets [Member] | TBA securities- purchase contracts [Member] | ' | ' | |
Derivative [Line Items] | ' | ' | |
Derivative notional | 3,350 | [2] | ' |
Derivative cost basis | 3,169 | [3] | ' |
Market Value, Underyling | 3,273 | [4] | ' |
Financial derivatives-assets at fair value | 104 | [5] | ' |
Derivative Financial Instruments, Liabilities [Member] | ' | ' | |
Derivative [Line Items] | ' | ' | |
Derivative, Fair Value, Net | 0 | [1] | ' |
Derivative Financial Instruments, Liabilities [Member] | TBA securities- sale contracts [Member] | ' | ' | |
Derivative [Line Items] | ' | ' | |
Derivative notional | -438,579 | [2] | ' |
Derivative cost basis | -449,060 | [3] | ' |
Market Value, Underyling | -454,632 | [4] | ' |
Financial derivatives-liabilities at fair value | ($5,572) | [5] | ' |
[1] | On the Company's Consolidated Balance Sheet, all balances associated with the repurchase agreements and financial derivatives are presented on a gross basis. | ||
[2] | Notional amount represents the principal balance of the underlying Agency RMBS. | ||
[3] | Cost basis represents the forward price to be paid for the underlying Agency RMBS. | ||
[4] | Market value represents the current market value of the underlying Agency RMBS (on a forward delivery basis) as of September 30, 2013. | ||
[5] | Net carrying value represents the difference between the market value of the TBA contract as of September 30, 2013 and the cost basis and is reported in Financial derivatives-assets at fair value and Financial derivatives-liabilities at fair value on the Consolidated Balance Sheet. |
Derivative_Instruments_Schedul4
Derivative Instruments Schedule of Gains and Losses on Derivative Instruments (Details) (USD $) | 0 Months Ended | 3 Months Ended | 9 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2013 |
Derivative [Line Items] | ' | ' | ' |
Net realized gains losses on periodic settements of interest rate swaps | ' | $49 | ($20) |
Net realized gains losses other than on periodic settements of interest rate swaps | ' | 4,224 | 12,670 |
Net realized gains on financial derivatives | 0 | 4,273 | 12,650 |
Unrealized gain loss on accrued periodic settlements on interest rate swaps | ' | -3,109 | -4,151 |
Unrealized gain loss on other than accured periodic settlements on interest rate swaps | ' | -9,063 | 20,265 |
Change in net unrealized gains (losses) on financial derivatives | 0 | -12,172 | 16,114 |
Interest Rate Swap [Member] | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' |
Net realized gains losses on periodic settements of interest rate swaps | ' | 49 | -20 |
Net realized gains losses other than on periodic settements of interest rate swaps | ' | 2,451 | 2,631 |
Net realized gains on financial derivatives | ' | 2,500 | 2,611 |
Unrealized gain loss on accrued periodic settlements on interest rate swaps | ' | -3,109 | -4,151 |
Unrealized gain loss on other than accured periodic settlements on interest rate swaps | ' | -1,420 | 25,819 |
Change in net unrealized gains (losses) on financial derivatives | ' | -4,529 | 21,668 |
Interest Rate Swaption [Member] | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' |
Net realized gains losses other than on periodic settements of interest rate swaps | ' | 0 | 0 |
Net realized gains on financial derivatives | ' | 0 | 0 |
Unrealized gain loss on other than accured periodic settlements on interest rate swaps | ' | -86 | -86 |
Change in net unrealized gains (losses) on financial derivatives | ' | -86 | -86 |
TBA securities [Member] | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' |
Net realized gains losses other than on periodic settements of interest rate swaps | ' | 1,773 | 10,039 |
Net realized gains on financial derivatives | ' | 1,773 | 10,039 |
Unrealized gain loss on other than accured periodic settlements on interest rate swaps | ' | -7,557 | -5,468 |
Change in net unrealized gains (losses) on financial derivatives | ' | ($7,557) | ($5,468) |
Repurchase_Agreements_Schedule
Repurchase Agreements Schedule of Repurchase Agreements by Maturity (Details) (USD $) | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Dec. 31, 2012 | |
Repurchase Agreements [Line Items] | ' | ' | |
Repurchase agreements | $1,292,946 | [1] | $0 |
Debt, Weighted Average Interest Rate | 0.38% | ' | |
Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | '52 days | ' | |
Maturity up to 30 days [Member] | ' | ' | |
Repurchase Agreements [Line Items] | ' | ' | |
Repurchase agreements | 513,660 | ' | |
Debt, Weighted Average Interest Rate | 0.36% | ' | |
Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | '11 days | ' | |
Maturity 31 to 60 days [Member] | ' | ' | |
Repurchase Agreements [Line Items] | ' | ' | |
Repurchase agreements | 412,485 | ' | |
Debt, Weighted Average Interest Rate | 0.38% | ' | |
Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | '45 days | ' | |
Maturity 61 to 90 days [Member] | ' | ' | |
Repurchase Agreements [Line Items] | ' | ' | |
Repurchase agreements | 143,530 | ' | |
Debt, Weighted Average Interest Rate | 0.38% | ' | |
Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | '74 days | ' | |
Maturity 91 to 120 days [Member] | ' | ' | |
Repurchase Agreements [Line Items] | ' | ' | |
Repurchase agreements | 28,897 | ' | |
Debt, Weighted Average Interest Rate | 0.39% | ' | |
Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | '105 days | ' | |
Maturity 121 to 150 days [Member] | ' | ' | |
Repurchase Agreements [Line Items] | ' | ' | |
Repurchase agreements | 99,464 | ' | |
Debt, Weighted Average Interest Rate | 0.42% | ' | |
Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | '136 days | ' | |
Maturity 151 to 180 days [Member] | ' | ' | |
Repurchase Agreements [Line Items] | ' | ' | |
Repurchase agreements | $94,910 | ' | |
Debt, Weighted Average Interest Rate | 0.41% | ' | |
Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | '164 days | ' | |
[1] | On the Company's Consolidated Balance Sheet, all balances associated with the repurchase agreements and financial derivatives are presented on a gross basis. |
Repurchase_Agreements_Details
Repurchase Agreements (Details) (USD $) | 9 Months Ended |
Sep. 30, 2013 | |
Repurchase Agreements [Line Items] | ' |
Number of Counterparties with Outstanding Repurchase Agreements | 7 |
Repurchase Agreements, collateral amount | 1,400,000,000 |
Securities Held as Collateral, at Fair Value | 1,700,000 |
Pledged Assets, Unsettled | 55,000,000 |
Minimum [Member] | ' |
Repurchase Agreements [Line Items] | ' |
Repurchase Agreements Maturity | '30 days |
Maximum [Member] | ' |
Repurchase Agreements [Line Items] | ' |
Repurchase Agreements Maturity | '180 days |
Offsetting_of_Assets_and_Liabi2
Offsetting of Assets and Liabilities (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | |
In Thousands, unless otherwise specified | |||
Offsetting Assets and Liabilities [Line Items] | ' | ' | |
Financial derivatives-assets at fair value | $23,181 | [1] | $0 |
Derivative, Fair Value, Net | 16,114 | ' | |
Financial derivatives-liabilities at fair value | -7,067 | [1] | 0 |
Repurchase agreements | -1,292,946 | [1] | 0 |
Repurchase agreements, net | -1,292,946 | [1] | ' |
Repurchase Agreements, collateral amount | 1,296,756 | [2],[3] | ' |
Cash Collateral Received Pledged for Repurchase Agreements | -3,810 | [2] | ' |
Repurchse agreements and related collateral, net | 0 | ' | |
Derivative Financial Instruments, Liabilities [Member] | ' | ' | |
Offsetting Assets and Liabilities [Line Items] | ' | ' | |
Derivative, Fair Value, Net | 0 | [1] | ' |
Securities collateral on derivatives | 0 | [2],[3] | ' |
Cash collateral received or pledged for derivatives | 0 | [2] | ' |
Derivatives and related collateral, net | 0 | ' | |
Derivative Financial Instruments, Assets [Member] | ' | ' | |
Offsetting Assets and Liabilities [Line Items] | ' | ' | |
Derivative, Fair Value, Net | 16,114 | [1] | ' |
Securities collateral on derivatives | 0 | [2],[3] | ' |
Cash collateral received or pledged for derivatives | -3,311 | [2] | ' |
Derivatives and related collateral, net | $12,803 | ' | |
[1] | On the Company's Consolidated Balance Sheet, all balances associated with the repurchase agreements and financial derivatives are presented on a gross basis. | ||
[2] | As collateral is called or posted per counterparty it is generally called or posted across all positions with each respective counterparty. | ||
[3] | Amounts disclosed in the Financial Instruments column of the table represent collateral that is available to be offset against balances associated with repurchase agreements. |
Management_Fees_Details
Management Fees (Details) (USD $) | 0 Months Ended | 3 Months Ended | 9 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2013 |
Management Fees Disclosure [Abstract] | ' | ' | ' |
Annual base management fee percentage | ' | 1.50% | 1.50% |
Management fees | $8 | $644 | $1,466 |
Earnings_per_Share_Details
Earnings per Share (Details) (USD $) | 0 Months Ended | 3 Months Ended | 9 Months Ended |
In Thousands, except Share data, unless otherwise specified | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2013 |
Earnings Per Share [Abstract] | ' | ' | ' |
Net income (loss) | ($8) | $6,785 | ($1,789) |
Basic weighted average shares outstanding | 1,575,000 | 9,133,940 | 5,699,501 |
Basic Earnings Per Share (in dollars per share) | ($0.01) | $0.74 | ($0.31) |
Related_Party_Transactions_Det
Related Party Transactions (Details) | 9 Months Ended |
Sep. 30, 2013 | |
Related Party Transactions [Abstract] | ' |
Management agreement renewal period | '1 year |
Expense reimbursement period | '60 days |
Termination fee percentage | 5.00% |
Capital_Details
Capital (Details) (USD $) | 0 Months Ended | 2 Months Ended | 9 Months Ended | 0 Months Ended | 9 Months Ended | |||||||||||
Sep. 18, 2013 | Aug. 13, 2013 | Jun. 19, 2013 | Apr. 18, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2013 | 1-May-13 | Dec. 31, 2012 | Sep. 18, 2013 | Jun. 19, 2013 | 1-May-13 | 1-May-13 | 1-May-13 | Sep. 30, 2012 | Sep. 30, 2013 | |
Dividend Declared [Member] | Dividend Declared [Member] | Common Shares [Member] | Common Shares [Member] | Common Shares [Member] | Common Shares [Member] | Common Shares [Member] | ||||||||||
IPO [Member] | Private Placement [Member] | |||||||||||||||
Equity [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Proceeds from issuance of common shares | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $148,500,000 | ' | ' | ' | ' |
Stock Issued During Period, Value, New Issues | ' | ' | ' | ' | 31,500,000 | ' | 150,000,000 | ' | ' | ' | ' | 150,000,000 | ' | 21,000,000 | 16,000 | 75,000 |
Share price | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $20 | $20 | ' | ' |
Stock Issued During Period, Shares, New Issues | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 6,450,000 | 1,050,000 | 1,575,000 | 7,500,000 |
Common stock authorized | ' | ' | ' | ' | ' | 500,000,000 | 500,000,000 | ' | 500,000,000 | ' | ' | ' | ' | ' | ' | ' |
Common stock par value | ' | ' | ' | ' | ' | $0.01 | $0.01 | ' | $0.01 | ' | ' | ' | ' | ' | ' | ' |
Preferred stock authorized | ' | ' | ' | ' | ' | 100,000,000 | 100,000,000 | ' | 100,000,000 | ' | ' | ' | ' | ' | ' | ' |
Preferred stock par value | ' | ' | ' | ' | ' | $0.01 | $0.01 | ' | $0.01 | ' | ' | ' | ' | ' | ' | ' |
Common stock outstanding | ' | ' | ' | ' | ' | 9,139,842 | 9,139,842 | ' | 1,633,378 | ' | ' | ' | ' | ' | ' | ' |
Preferred shares issued | ' | ' | ' | ' | ' | 0 | 0 | ' | 0 | ' | ' | ' | ' | ' | ' | ' |
Issuance of restricted shares, shares | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 6,464 |
Dividends Payable, Date Declared | 17-Sep-13 | ' | 18-Jun-13 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Stock Dividend, Percent | ' | ' | ' | 3.71% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Stock Dividends, Shares | ' | ' | ' | 58,378 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Remaining Capital Commitment | ' | ' | ' | ' | ' | ' | ' | 0 | ' | ' | ' | ' | ' | ' | ' | ' |
Dividend per share | ' | ' | ' | $20.38 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Dividend per share (in dollars per share) | ' | ' | ' | ' | ' | ' | $0.64 | ' | ' | $0.50 | $0.14 | ' | ' | ' | ' | ' |
Dividends Payable, Date to be Paid | 25-Oct-13 | ' | 26-Jul-13 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Dividends Payable, Date of Record | 27-Sep-13 | ' | 28-Jun-13 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Stock Repurchase Program, Authorized Amount | ' | $10,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Repurchase of shares, Shares | ' | ' | ' | ' | ' | 0 | ' | ' | ' | ' | ' | ' | ' | ' | -100 | ' |
Intended Distribution of Taxable Net Income, Percentage on Annual Basis | ' | ' | ' | ' | ' | ' | 100.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' |