Document_and_Entity_Informatio
Document and Entity Information Document | 9 Months Ended | |
Sep. 30, 2014 | Nov. 07, 2014 | |
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-14 | ' |
Document Fiscal Year Focus | '2014 | ' |
Document Fiscal Period Focus | 'Q3 | ' |
Amendment Flag | 'false | ' |
Entity Common Stock, Shares Outstanding | ' | 9,149,274 |
CONSOLIDATED_BALANCE_SHEET
CONSOLIDATED BALANCE SHEET (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
ASSETS | ' | ' | ||
Cash and cash equivalents | $51,063 | $50,112 | ||
Mortgage-backed securities, at fair value | 1,368,092 | 1,326,036 | ||
Due from brokers | 20,071 | 18,347 | ||
Financial derivatives–assets, at fair value | 8,439 | [1] | 34,963 | [1] |
Reverse repurchase agreements | 2,484 | [1] | 0 | |
Receivable for securities sold | 25,945 | 76,692 | ||
Interest receivable | 5,601 | 4,766 | ||
Other assets | 497 | 174 | ||
Total Assets | 1,482,192 | 1,511,090 | ||
LIABILITIES | ' | ' | ||
Repurchase agreements | 1,233,333 | [1] | 1,310,347 | [1] |
Payable for securities purchased | 63,143 | 2,776 | ||
Due to brokers | 3,889 | 22,788 | ||
Financial derivatives–liabilities, at fair value | 2,850 | [1] | 1,069 | [1] |
U.S. Treasury securities sold short, at fair value | 2,483 | 0 | ||
Dividend payable | 5,032 | 4,570 | ||
Accrued expenses | 754 | 996 | ||
Management fee payable | 574 | 600 | ||
Interest payable | 591 | 764 | ||
Total Liabilities | 1,312,649 | 1,343,910 | ||
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; (9,149,274 and 9,139,842 shares issued and outstanding, respectively) | 91 | 91 | ||
Additional paid-in-capital | 181,252 | 181,147 | ||
Accumulated deficit | -11,800 | -14,058 | ||
Total Shareholders' Equity | 169,543 | 167,180 | ||
Total Liabilities and Shareholders' Equity | $1,482,192 | $1,511,090 | ||
[1] | In 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, 2014 | Dec. 31, 2013 |
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 | 9,149,274 | 9,139,842 |
Common stock, shares outstanding | 9,149,274 | 9,139,842 |
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 $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, except Per Share data, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 |
INTEREST INCOME (EXPENSE) | ' | ' | ' | ' |
Interest income | $11,484 | $11,223 | $35,018 | $15,815 |
Interest expense | -1,121 | -1,248 | -3,346 | -1,773 |
Total net interest income | 10,363 | 9,975 | 31,672 | 14,042 |
EXPENSES | ' | ' | ' | ' |
Management fees | 574 | 644 | 1,733 | 1,466 |
Professional fees | 123 | 200 | 399 | 468 |
Other operating expenses | 597 | 513 | 1,873 | 980 |
Total expenses | 1,294 | 1,357 | 4,005 | 2,914 |
OTHER INCOME (LOSS) | ' | ' | ' | ' |
Net realized gains (losses) on mortgage-backed securities | 2,030 | -24,173 | -613 | -26,290 |
Net realized gains (losses) on financial derivatives | -4,391 | 4,273 | -18,955 | 12,650 |
Change in net unrealized gains (losses) on mortgage-backed securities | -5,455 | 30,239 | 37,550 | -15,391 |
Change in net unrealized gains (losses) on financial derivatives | 2,280 | -12,172 | -28,305 | 16,114 |
Total other income (loss) | -5,536 | -1,833 | -10,323 | -12,917 |
NET INCOME (LOSS) | $3,533 | $6,785 | $17,344 | ($1,789) |
NET INCOME (LOSS) PER COMMON SHARE: | ' | ' | ' | ' |
Basic and Diluted (in dollars per share) | $0.39 | $0.74 | $1.90 | ($0.31) |
CASH DIVIDENDS PER COMMON SHARE: | ' | ' | ' | ' |
Dividends declared (in dollars per share) | $0.55 | $0.50 | $1.65 | $0.64 |
CONSOLIDATED_STATEMENT_OF_SHAR
CONSOLIDATED STATEMENT OF SHAREHOLDERS' EQUITY (USD $) | Total | Common Shares [Member] | Preferred Stock [Member] | Additional Paid-in Capital [Member] | Accumulated (Deficit) Earnings [Member] |
Balance at Dec. 31, 2012 | $30,964,000 | $16,000 | $0 | $32,674,000 | ($1,726,000) |
Balance, in shares at Dec. 31, 2012 | ' | 1,633,378 | 0 | ' | ' |
Issuance of shares, shares | ' | 7,500,000 | 0 | ' | ' |
Issuance of 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 | -5,848,000 | ' | ' | ' | -5,848,000 |
Net income (loss) | -1,789,000 | ' | ' | ' | -1,789,000 |
Balance at Sep. 30, 2013 | 171,832,000 | 91,000 | 0 | 181,104,000 | -9,363,000 |
Balance, in shares at Sep. 30, 2013 | ' | 9,139,842 | 0 | ' | ' |
Balance at Dec. 31, 2013 | 167,180,000 | 91,000 | 0 | 181,147,000 | -14,058,000 |
Balance, in shares at Dec. 31, 2013 | ' | 9,139,842 | 0 | ' | ' |
Issuance of restricted shares, shares | ' | 9,432 | 0 | ' | ' |
Issuance of restricted shares, value | 0 | 0 | 0 | 0 | ' |
Share based compensation | 105,000 | ' | ' | 105,000 | ' |
Dividends declared | -15,086,000 | ' | ' | ' | -15,086,000 |
Net income (loss) | 17,344,000 | ' | ' | ' | 17,344,000 |
Balance at Sep. 30, 2014 | $169,543,000 | $91,000 | $0 | $181,252,000 | ($11,800,000) |
Balance, in shares at Sep. 30, 2014 | ' | 9,149,274 | 0 | ' | ' |
CONSOLIDATED_STATEMENT_OF_CASH
CONSOLIDATED STATEMENT OF CASH FLOWS (USD $) | 9 Months Ended | |
In Thousands, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 |
Cash flows provided by (used in) operating activities: | ' | ' |
Net income (loss) | $17,344 | ($1,789) |
Reconciliation of net income to net cash provided by (used in) operating activities: | ' | ' |
Net realized (gains) losses on mortgage-backed securities | 613 | 26,290 |
Change in net unrealized (gains) losses on mortgage-backed securities | -37,550 | 15,391 |
Net realized (gains) losses on financial derivatives | 18,955 | -12,650 |
Change in net unrealized (gains) losses on financial derivatives | 28,305 | -16,114 |
Amortization of premiums and accretion of discounts (net) | 5,254 | 2,498 |
Share based compensation | 105 | 3 |
(Increase) decrease in assets: | ' | ' |
Due from brokers | -1,724 | -13,724 |
Interest receivable | -835 | -4,331 |
Other assets | -258 | -261 |
Increase (decrease) in liabilities: | ' | ' |
Due to brokers | -18,899 | 22,160 |
Accrued expenses | -69 | 14 |
Interest payable | -173 | 597 |
Management fees payable | -26 | 528 |
Net cash provided by operating activities | 11,042 | 18,612 |
Cash flows provided by (used in) investing activities: | ' | ' |
Purchases of mortgage-backed securities | -1,478,619 | -2,365,561 |
Proceeds from sale of mortgage-backed securities | 1,506,513 | 891,017 |
Principal repayments of mortgage-backed securities | 72,761 | 29,276 |
Proceeds from investments sold short | 141,527 | 2,043 |
Repurchase of investments sold short | -138,957 | -2,036 |
Proceeds from disposition of financial derivatives | 7,592 | 24,849 |
Purchase of financial derivatives | -26,547 | -12,199 |
Payments made on reverse repurchase agreements | -712,899 | -4,098 |
Proceeds from reverse repurchase agreements | 710,415 | 4,098 |
Net cash provided by (used in) investing activities | 81,786 | -1,432,611 |
Cash flows provided by (used in) financing activities: | ' | ' |
Proceeds from issuance of common shares | 0 | 150,000 |
Offering costs paid | -239 | -1,498 |
Dividends paid | -14,624 | -1,279 |
Borrowings under repurchase agreements | 4,484,173 | 4,424,530 |
Repayments of repurchase agreements | -4,561,187 | -3,131,584 |
Cash provided by (used in) financing activities | -91,877 | 1,440,169 |
NET INCREASE IN CASH AND CASH EQUIVALENTS | 951 | 26,170 |
CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD | 50,112 | 18,161 |
CASH AND CASH EQUIVALENTS, END OF PERIOD | 51,063 | 44,331 |
Supplemental disclosure of cash flow information: | ' | ' |
Interest paid | $3,520 | $1,176 |
Organization_and_Investment_Ob
Organization and Investment Objective | 9 Months Ended |
Sep. 30, 2014 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | ' |
Organization and Investment Objective | ' |
Organization and Investment Objective | |
Ellington Residential Mortgage REIT, or "EARN," was formed as a Maryland real estate investment trust, or "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, or the "General Partner," and Ellington Residential Mortgage LP, or 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, the General Partner, the Operating Partnership, and their consolidated subsidiaries are hereafter defined as the "Company." | |
Ellington Residential Mortgage Management LLC, or the "Manager," serves as the Manager of the Company pursuant to the terms of the Second Amended and Restated Management Agreement effective as of March 13, 2014, or the "Management Agreement." The Manager is an affiliate of Ellington Management Group, L.L.C., or "EMG," an investment management firm that is registered as an investment adviser with a 19-year history of investing in a broad spectrum of mortgage-backed securities and related derivatives, with an emphasis on the residential mortgage-backed securities, or "RMBS," market. 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. | |
The Company was formed through an initial strategic venture among affiliates of EMG and the Blackstone Tactical Opportunity Funds, or the "Blackstone Funds." These initial investors made an aggregate investment of approximately $31.5 million on September 25, 2012. 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 of 1,050,000 common shares to its initial investors at a purchase price of $20.00 per share which generated gross proceeds of $21.0 million. Proceeds to the Company, net of offering costs, were approximately $148.5 million. | |
The Company acquires and manages Agency and non-Agency RMBS, including Agency pools and Agency collateralized mortgage obligations, or "CMOs," and non-Agency CMOs, both investment grade and non-investment grade. The Company may also acquire and manage mortgage servicing rights, residential 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, or "TBAs," interest rate swaps and swaptions, U.S. Treasury securities, Eurodollar and U.S. Treasury futures, other financial derivatives, and cash equivalents. The Company's targeted investments may range from unrated (first loss) securities to AAA senior securities. | |
The Company made the election to be taxed as a REIT under the Internal Revenue Code of 1986, as amended, or "the Code" commencing with the Company's short taxable year ended December 31, 2013. As a REIT, the Company is required to distribute annually at least 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 Code, which may extend into the subsequent taxable year. |
Significant_Accounting_Policie
Significant Accounting Policies | 9 Months Ended | |
Sep. 30, 2014 | ||
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 in the United States of America, or "U.S. GAAP." 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 U.S. GAAP 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. The information included in this Quarterly Report on Form 10-Q should be read in conjunction with the Company's Annual Report on Form 10-K for the year ended December 31, 2013. | ||
(B) Valuation: The Company applies Accounting Standards Codification, or "ASC," 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. 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 Mortgage-Backed Securities: Investments in mortgage-backed 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 mortgage-backed 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 mortgage-backed 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 mortgage-backed securities. | ||
Realized gains or losses on sales of mortgage-backed securities are included in Net realized gains (losses) on mortgage-backed 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. | ||
(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 application of several assumptions including, but not limited to, prepayment assumptions and default rate assumptions, which are re-evaluated not less than quarterly and require the use of a significant amount of judgment. Principal write-offs are generally treated as realized losses. 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 under U.S. GAAP 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 paid or received 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 financial 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 may receive cash or securities as collateral upon entering into derivative transactions. In addition, changes in the relative value of financial derivative transactions may require the Company or the counterparty to post or receive additional collateral. In the case of cleared financial derivatives, the clearinghouse becomes the Company's counterparty and a 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 financial derivatives that have been utilized by the Company to date are interest rate swaps, TBAs, swaptions, and futures. | ||
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. | ||
While the Company does not intend to operate its non-Agency RMBS investment strategy on a credit hedged basis, the Company may opportunistically enter into various credit hedging transactions, such as involving credit default swaps, total return swaps, or other derivative contracts. The Company may use credit default swaps to hedge non-Agency RMBS credit risk by buying protection on a basket or index of non-Agency RMBS assets or on a single non-Agency RMBS. For credit hedging purposes the Company may also enter into credit default swaps which reference other mortgage-backed securities, or "MBS," or the corporate credit of certain corporations, or indices on the foregoing. In addition, the Company may enter into various other financial derivative contracts, including total return swaps. Generally, a total return swap would reference either the corporate credit or equity of certain corporations. However, the Company's ability to use credit hedges is subject to the Company's qualifying and maintaining its qualification as a REIT and maintaining its exclusion from regulation as an investment company under the Investment Company Act. | ||
Swaps change in value with movements in interest rates or total return of the reference securities. During the term of swap contracts, changes in value are recognized as unrealized gains or losses on the Consolidated Statement of Operations. When a contract is terminated, the Company realizes 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. 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. Upfront payments paid and/or received by the Company to open swap contracts are recorded as an asset and/or liability on the Consolidated Balance Sheet and are recorded as a realized gain or loss on the termination date. | ||
TBA Securities: The Company has transacted in the forward settling To Be Announced RMBS ("TBA") 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 by the Company 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 mortgage-backed securities. Upon settlement of the TBA contract, the realized gain (loss) on the TBA contract is equal to the net cash amount received (paid). | ||
Options: The Company has entered into 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. In general, the Company's options 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. | ||
Futures Contracts: A futures contract is an exchange-traded agreement to buy or 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 in the form of 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. Variation margin payments are made or received periodically, depending upon whether unrealized losses or gains are incurred. 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. | ||
Financial derivative assets are included in Financial derivatives–assets, at fair value on the Consolidated Balance Sheet while financial derivative liabilities are included in Financial derivatives–liabilities, at fair value on the Consolidated Balance Sheet. | ||
(H) Repurchase Agreements and Reverse Repurchase Agreements: The Company enters 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. The Company accounts for repurchase agreements as collateralized borrowings, with the initial sale price representing the amount borrowed, and with the future repurchase price consisting of the amount borrowed plus interest, at the implied interest rate of the repurchase agreement, on the amount borrowed over the term of the repurchase agreement. The interest rate on a repurchase agreement or a reverse repurchase agreement is based on competitive market rates (or competitive market spreads, in the case of agreements with floating interest rates) at the time such agreement is entered into. When the Company enters into a repurchase agreement, the lender establishes and maintains an account containing cash 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 enable it to deliver U.S. Treasury securities that it has sold short. | ||
(J) 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. | ||
(K) 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. | ||
(L) Dividends: Dividends payable are recorded on the declaration date. | ||
(M) Earnings Per Share: 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. | ||
(N) Share Repurchases: Common shares that are repurchased by the Company subsequent to issuance decrease the total number of shares issued and outstanding. | ||
(O) 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 periods September 25, 2012 (commencement of operations) through December 31, 2012 and January 1, 2013 through April 30, 2013, the Company filed its tax return as a partnership. Effective May 1, 2013, the Company made the election to be taxed as a corporation. In addition, the Company elected 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. To qualify as a REIT, the Company must meet certain requirements, including the distribution of at least 90% of its annual taxable income to shareholders. | ||
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 December 31, 2013. 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, 2013, 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 of 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. | ||
(P) 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 June 2014, the FASB issued ASU No. 2014-11, Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures ("ASU 2014-11"). This amends ASC 860, Transfers and Servicing ("ASC 860"), to require disclosure of repurchase-to maturity transactions to be accounted for as secured borrowings rather than sales of an asset, and transfers of financial assets with a contemporaneous repo will no longer be evaluated to determine whether they should be accounted for on a combined basis as forward contracts. The new guidance also prescribes additional disclosures particularly on the nature of collateral pledged under repurchase agreements accounted for as secured borrowings. ASU 2014-11 is effective for interim and annual periods beginning after December 15, 2014. The adoption of ASC 860, as amended by ASU 2014-11 is not expected to have a material impact on the Company's consolidated financial statements. |
MortgageBacked_Securities
Mortgage-Backed Securities | 9 Months Ended | |||||||||||||||||||||||||||||||||
Sep. 30, 2014 | ||||||||||||||||||||||||||||||||||
Investments, Debt and Equity Securities [Abstract] | ' | |||||||||||||||||||||||||||||||||
Mortgage-Backed Securities | ' | |||||||||||||||||||||||||||||||||
Mortgage-Backed Securities | ||||||||||||||||||||||||||||||||||
The following tables present details of the Company's mortgage-backed securities portfolio at September 30, 2014 and December 31, 2013, 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 a U.S. government agency or government-sponsored enterprises, or "GSEs." The non-Agency RMBS portfolio is not issued or guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, or any agency of the U.S. Government and is therefore subject to greater credit risk. | ||||||||||||||||||||||||||||||||||
By RMBS Type – | ||||||||||||||||||||||||||||||||||
September 30, 2014: | ||||||||||||||||||||||||||||||||||
($ 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 | $ | 136,558 | $ | 6,498 | $ | 143,056 | $ | 524 | $ | (223 | ) | $ | 143,357 | 3.40% | 2.51% | 5.55 | ||||||||||||||||||
20-year fixed rate mortgages | 9,974 | 596 | 10,570 | 93 | (1 | ) | 10,662 | 4.00% | 3.44% | 7.11 | ||||||||||||||||||||||||
30-year fixed rate mortgages | 1,036,799 | 55,491 | 1,092,290 | 11,061 | (4,590 | ) | 1,098,761 | 4.04% | 3.29% | 8.98 | ||||||||||||||||||||||||
Adjustable rate mortgages | 43,288 | 2,945 | 46,233 | 121 | (233 | ) | 46,121 | 4.63% | 3.16% | 6.03 | ||||||||||||||||||||||||
Reverse mortgages | 19,523 | 1,580 | 21,103 | 118 | (4 | ) | 21,217 | 4.73% | 2.77% | 4.86 | ||||||||||||||||||||||||
Interest only securities | n/a | n/a | 12,108 | 2,457 | (323 | ) | 14,242 | 4.19% | 10.58% | 3.55 | ||||||||||||||||||||||||
Total Agency RMBS | 1,246,142 | 67,110 | 1,325,360 | 14,374 | (5,374 | ) | 1,334,360 | 4.02% | 3.26% | 7.99 | ||||||||||||||||||||||||
Non-Agency RMBS | 52,785 | (21,568 | ) | 31,217 | 3,166 | (651 | ) | 33,732 | 2.30% | 9.71% | 5.22 | |||||||||||||||||||||||
Total RMBS | $ | 1,298,927 | $ | 45,542 | $ | 1,356,577 | $ | 17,540 | $ | (6,025 | ) | $ | 1,368,092 | 3.96% | 3.41% | 7.91 | ||||||||||||||||||
-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. | |||||||||||||||||||||||||||||||||
For the three month and nine month periods ended September 30, 2014, the weighted average holdings of RMBS investments based on amortized cost were $1.352 billion and $1.359 billion, respectively. | ||||||||||||||||||||||||||||||||||
December 31, 2013: | ||||||||||||||||||||||||||||||||||
($ 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 | $ | 179,906 | $ | 7,153 | $ | 187,059 | $ | 65 | $ | (3,252 | ) | $ | 183,872 | 3.09% | 2.52% | 5.76 | ||||||||||||||||||
30-year fixed rate mortgages | 1,029,629 | 41,565 | 1,071,194 | 490 | (28,111 | ) | 1,043,573 | 3.79% | 3.30% | 9.8 | ||||||||||||||||||||||||
Adjustable rate mortgages | 43,525 | 2,647 | 46,172 | 46 | (103 | ) | 46,115 | 4.72% | 3.24% | 3.79 | ||||||||||||||||||||||||
Reverse mortgages | 7,581 | 673 | 8,254 | 16 | (2 | ) | 8,268 | 4.85% | 2.90% | 3.41 | ||||||||||||||||||||||||
Interest only securities | n/a | n/a | 10,718 | 2,841 | (32 | ) | 13,527 | 3.97% | 11.79% | 5.02 | ||||||||||||||||||||||||
Total Agency RMBS | 1,260,641 | 52,038 | 1,323,397 | 3,458 | (31,500 | ) | 1,295,355 | 3.75% | 3.26% | 8.67 | ||||||||||||||||||||||||
Non-Agency RMBS | 50,006 | (21,327 | ) | 28,679 | 2,196 | (194 | ) | 30,681 | 2.84% | 9.12% | 5.54 | |||||||||||||||||||||||
Total RMBS | $ | 1,310,647 | $ | 30,711 | $ | 1,352,076 | $ | 5,654 | $ | (31,694 | ) | $ | 1,326,036 | 3.72% | 3.38% | 8.56 | ||||||||||||||||||
-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. | |||||||||||||||||||||||||||||||||
For the year ended December 31, 2013, the weighted average holdings of RMBS investments based on amortized cost was $879.9 million. | ||||||||||||||||||||||||||||||||||
By Estimated Weighted Average Life | ||||||||||||||||||||||||||||||||||
As of September 30, 2014: | ||||||||||||||||||||||||||||||||||
($ 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 | $ | 8,216 | $ | 8,160 | 4.85 | % | $ | 4,665 | $ | 4,930 | 3.34 | % | $ | 3,113 | $ | 1,945 | 3.02 | % | ||||||||||||||||
Greater than three years and less than seven years | 253,354 | 252,667 | 3.95 | % | 9,577 | 7,178 | 5.11 | % | 18,274 | 18,061 | 2.66 | % | ||||||||||||||||||||||
Greater than seven years and less than eleven years | 1,058,548 | 1,052,425 | 4.01 | % | — | — | — | % | 12,345 | 11,211 | 1.24 | % | ||||||||||||||||||||||
Total | $ | 1,320,118 | $ | 1,313,252 | 4 | % | $ | 14,242 | $ | 12,108 | 4.19 | % | $ | 33,732 | $ | 31,217 | 2.3 | % | ||||||||||||||||
As of December 31, 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 | $ | 5,554 | $ | 5,518 | 5.68 | % | $ | 955 | $ | 762 | 6.48 | % | $ | 1,715 | $ | 1,216 | 2.38 | % | ||||||||||||||||
Greater than three years and less than seven years | 243,120 | 246,342 | 3.48 | % | 7,643 | 6,198 | 3.31 | % | 16,488 | 15,950 | 3.42 | % | ||||||||||||||||||||||
Greater than seven years and less than eleven years | 1,031,552 | 1,059,223 | 3.79 | % | 4,929 | 3,758 | 4.91 | % | 11,656 | 10,708 | 1.43 | % | ||||||||||||||||||||||
Greater than eleven years | 1,602 | 1,596 | 4.5 | % | — | — | — | % | 822 | 805 | 7.69 | % | ||||||||||||||||||||||
Total | $ | 1,281,828 | $ | 1,312,679 | 3.73 | % | $ | 13,527 | $ | 10,718 | 3.97 | % | $ | 30,681 | $ | 28,679 | 2.84 | % | ||||||||||||||||
The following table illustrates components of interest income on the Company's RMBS for the three and nine month periods ended September 30, 2014: | ||||||||||||||||||||||||||||||||||
Three Month Period Ended | Nine Month Period Ended | |||||||||||||||||||||||||||||||||
30-Sep-14 | 30-Sep-14 | |||||||||||||||||||||||||||||||||
($ in thousands) | Coupon Interest | Net Amortization | Interest | Coupon Interest | Net Amortization | Interest | ||||||||||||||||||||||||||||
Income | Income | |||||||||||||||||||||||||||||||||
Agency RMBS | $ | 13,254 | $ | (2,575 | ) | $ | 10,679 | $ | 39,323 | $ | (6,618 | ) | $ | 32,705 | ||||||||||||||||||||
Non-Agency RMBS | 303 | 502 | 805 | 947 | 1,359 | 2,306 | ||||||||||||||||||||||||||||
Total | $ | 13,557 | $ | (2,073 | ) | $ | 11,484 | $ | 40,270 | $ | (5,259 | ) | $ | 35,011 | ||||||||||||||||||||
The following table illustrates components of interest income on the Company's RMBS for the three and nine month periods 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 | Coupon Interest | Net Amortization | Interest | ||||||||||||||||||||||||||||
Income | 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, 2014 | |||||||||||||||||||||
Fair Value Disclosures [Abstract] | ' | ||||||||||||||||||||
Valuation | ' | ||||||||||||||||||||
Valuation | |||||||||||||||||||||
The Company applies 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, pricing services and 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 of its assets in the future to the extent practical. 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. 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, 2014: | |||||||||||||||||||||
(In thousands) | |||||||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
Assets: | |||||||||||||||||||||
Mortgage-backed securities, at fair value: | |||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||
15-year fixed rate mortgages | $ | — | $ | 143,357 | $ | — | $ | 143,357 | |||||||||||||
20-year fixed rate mortgages | — | 10,662 | — | 10,662 | |||||||||||||||||
30-year fixed rate mortgages | — | 1,098,761 | — | 1,098,761 | |||||||||||||||||
Adjustable rate mortgages | — | 46,121 | — | 46,121 | |||||||||||||||||
Reverse mortgages | — | 21,217 | — | 21,217 | |||||||||||||||||
Interest only securities | — | — | 14,242 | 14,242 | |||||||||||||||||
Non-Agency RMBS | — | — | 33,732 | 33,732 | |||||||||||||||||
Mortgage-backed securities, at fair value | — | 1,320,118 | 47,974 | 1,368,092 | |||||||||||||||||
Financial derivatives–assets, at fair value: | |||||||||||||||||||||
TBAs | — | 397 | — | 397 | |||||||||||||||||
Fixed payer interest rate swaps | — | 8,042 | — | 8,042 | |||||||||||||||||
Total financial derivatives–assets, at fair value | — | 8,439 | — | 8,439 | |||||||||||||||||
Reverse repurchase agreements | — | 2,484 | — | 2,484 | |||||||||||||||||
Total mortgage-backed securities, financial derivatives–assets, and reverse repurchase agreements, at fair value | $ | — | $ | 1,331,041 | $ | 47,974 | $ | 1,379,015 | |||||||||||||
Liabilities: | |||||||||||||||||||||
U.S. Treasury securities sold short, at fair value | $ | — | $ | (2,483 | ) | $ | — | $ | (2,483 | ) | |||||||||||
Financial derivatives–liabilities, at fair value: | |||||||||||||||||||||
TBAs | — | (492 | ) | — | (492 | ) | |||||||||||||||
Fixed payer interest rate swaps | — | (2,333 | ) | — | (2,333 | ) | |||||||||||||||
Fixed payer swaptions | — | (25 | ) | — | (25 | ) | |||||||||||||||
Total financial derivatives–liabilities, at fair value | $ | — | $ | (2,850 | ) | $ | — | $ | (2,850 | ) | |||||||||||
Total U.S. Treasury securities and financial derivatives–liabilities, at fair value | $ | — | $ | (5,333 | ) | $ | — | $ | (5,333 | ) | |||||||||||
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, 2014. | |||||||||||||||||||||
December 31, 2013: | |||||||||||||||||||||
(In thousands) | |||||||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
Assets: | |||||||||||||||||||||
Mortgage-backed securities, at fair value: | |||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||
15-year fixed rate mortgages | $ | — | $ | 183,872 | $ | — | $ | 183,872 | |||||||||||||
30-year fixed rate mortgages | — | 1,043,573 | — | 1,043,573 | |||||||||||||||||
Adjustable rate mortgages | — | 46,115 | — | 46,115 | |||||||||||||||||
Reverse mortgages | — | 8,268 | — | 8,268 | |||||||||||||||||
Interest only securities | — | — | 13,527 | 13,527 | |||||||||||||||||
Non-Agency RMBS | — | — | 30,681 | 30,681 | |||||||||||||||||
Mortgage-backed securities, at fair value | — | 1,281,828 | 44,208 | 1,326,036 | |||||||||||||||||
Financial derivatives–assets, at fair value: | |||||||||||||||||||||
TBAs | — | 2,263 | — | 2,263 | |||||||||||||||||
Fixed payer interest rate swaps | — | 32,700 | — | 32,700 | |||||||||||||||||
Total financial derivatives–assets, at fair value | — | 34,963 | — | 34,963 | |||||||||||||||||
Total mortgage-backed securities and financial derivatives–assets, at fair value | $ | — | $ | 1,316,791 | $ | 44,208 | $ | 1,360,999 | |||||||||||||
Liabilities: | |||||||||||||||||||||
Financial derivatives–liabilities, at fair value: | |||||||||||||||||||||
TBAs | $ | — | $ | (28 | ) | $ | — | $ | (28 | ) | |||||||||||
Fixed payer interest rate swaps | — | (956 | ) | — | (956 | ) | |||||||||||||||
Fixed payer swaptions | — | (85 | ) | — | (85 | ) | |||||||||||||||
Total financial derivatives–liabilities, at fair value | $ | — | $ | (1,069 | ) | $ | — | $ | (1,069 | ) | |||||||||||
There were no transfers of financial instruments between Levels 1, 2, or 3 of the fair value hierarchy during the year ended December 31, 2013. | |||||||||||||||||||||
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, 2014: | |||||||||||||||||||||
(In thousands) | Non-Agency | Agency RMBS | |||||||||||||||||||
RMBS | |||||||||||||||||||||
Beginning balance as of June 30, 2014 | $ | 35,668 | $ | 14,276 | |||||||||||||||||
Transfers: | |||||||||||||||||||||
Transfers into level 3 | — | — | |||||||||||||||||||
Transfers out of level 3 | — | — | |||||||||||||||||||
Purchases | 2,543 | 545 | |||||||||||||||||||
Proceeds from sales | (3,688 | ) | — | ||||||||||||||||||
Principal repayments | (1,373 | ) | — | ||||||||||||||||||
(Amortization)/accretion, net | 502 | (906 | ) | ||||||||||||||||||
Net realized gains | 1,145 | — | |||||||||||||||||||
Change in net unrealized gains (losses) | (1,065 | ) | 327 | ||||||||||||||||||
Ending balance as of September 30, 2014 | $ | 33,732 | $ | 14,242 | |||||||||||||||||
All amounts of net realized and changes in net unrealized gains (losses) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gains (losses) for both Level 3 financial instruments held by the Company at September 30, 2014, as well as Level 3 financial instruments disposed of by the Company during the three month period ended September 30, 2014. For Level 3 financial instruments held by the Company at September 30, 2014, change in net unrealized gains (losses) of $0.3 million and $(0.1) million, for the three month period ended September 30, 2014 relate to Agency RMBS and non-Agency RMBS, respectively. | |||||||||||||||||||||
Three month period ended September 30, 2013: | |||||||||||||||||||||
(In thousands) | Non-Agency | Agency RMBS | |||||||||||||||||||
RMBS | |||||||||||||||||||||
Beginning balance as of June 30, 2013 | $ | 38,810 | $ | 9,905 | |||||||||||||||||
Transfers: | |||||||||||||||||||||
Transfers into level 3 | — | — | |||||||||||||||||||
Transfers out of level 3 | — | — | |||||||||||||||||||
Purchases | 6,402 | 3,094 | |||||||||||||||||||
Proceeds from sales | (9,247 | ) | — | ||||||||||||||||||
Principal repayments | (2,927 | ) | — | ||||||||||||||||||
(Amortization)/accretion, net | 307 | (626 | ) | ||||||||||||||||||
Net realized gains | 581 | — | |||||||||||||||||||
Change in net unrealized gains (losses) | 541 | 349 | |||||||||||||||||||
Ending balance as of September 30, 2013 | $ | 34,467 | $ | 12,722 | |||||||||||||||||
All amounts of net realized and changes in net unrealized gains (losses) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gains (losses) for both Level 3 financial instruments held by the Company at September 30, 2013, as well as Level 3 financial instruments disposed of by the Company during the three month period ended September 30, 2013. For Level 3 financial instruments held by the Company at September 30, 2013, change in net unrealized gains (losses) of $0.3 million and $0.7 million, for the three month period ended September 30, 2013 relate to Agency RMBS and non-Agency RMBS. | |||||||||||||||||||||
Nine month period ended September 30, 2014: | |||||||||||||||||||||
(In thousands) | Non-Agency | Agency RMBS | |||||||||||||||||||
RMBS | |||||||||||||||||||||
Beginning balance as of December 31, 2013 | $ | 30,681 | $ | 13,527 | |||||||||||||||||
Transfers: | |||||||||||||||||||||
Transfers into level 3 | — | — | |||||||||||||||||||
Transfers out of level 3 | — | — | |||||||||||||||||||
Purchases | 14,711 | 4,640 | |||||||||||||||||||
Proceeds from sales | (11,104 | ) | (1,282 | ) | |||||||||||||||||
Principal repayments | (3,945 | ) | — | ||||||||||||||||||
(Amortization)/accretion, net | 1,359 | (2,326 | ) | ||||||||||||||||||
Net realized gains | 1,518 | 358 | |||||||||||||||||||
Change in net unrealized gains (losses) | 512 | (675 | ) | ||||||||||||||||||
Ending balance as of September 30, 2014 | $ | 33,732 | $ | 14,242 | |||||||||||||||||
All amounts of net realized and changes in net unrealized gains (losses) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gains (losses) for both Level 3 financial instruments held by the Company at September 30, 2014, as well as Level 3 financial instruments disposed of by the Company during the nine month period ended September 30, 2014. For Level 3 financial instruments held by the Company at September 30, 2014, change in net unrealized gains (losses) of $(0.5) million and $0.8 million, for the nine month period ended September 30, 2014 relate to Agency RMBS and non-Agency RMBS, respectively. | |||||||||||||||||||||
Nine month period ended September 30, 2013: | |||||||||||||||||||||
(In thousands) | Non-Agency | Agency RMBS | |||||||||||||||||||
RMBS | |||||||||||||||||||||
Beginning balance as of December 31, 2012 | $ | 13,596 | $ | — | |||||||||||||||||
Transfers: | |||||||||||||||||||||
Transfers into level 3 | — | — | |||||||||||||||||||
Transfers out of level 3 | — | — | |||||||||||||||||||
Purchases | 37,180 | 12,116 | |||||||||||||||||||
Proceeds from sales | (14,556 | ) | — | ||||||||||||||||||
Principal repayments | (4,390 | ) | — | ||||||||||||||||||
(Amortization)/accretion, net | 631 | (761 | ) | ||||||||||||||||||
Net realized gains | 1,469 | — | |||||||||||||||||||
Change in net unrealized gains (losses) | 537 | 1,367 | |||||||||||||||||||
Ending balance as of September 30, 2013 | $ | 34,467 | $ | 12,722 | |||||||||||||||||
All amounts of net realized and changes in net unrealized gains (losses) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gains (losses) for both Level 3 financial instruments held by the Company at September 30, 2013, as well as Level 3 financial instruments disposed of by the Company during the nine month period ended September 30, 2013. For Level 3 financial instruments held by the Company at September 30, 2013, change in net unrealized gains (losses) of $1.4 million and $0.6 million, for the nine month period ended September 30, 2013 relate to Agency RMBS and non-Agency RMBS, respectively. | |||||||||||||||||||||
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, 2014 and December 31, 2013: | |||||||||||||||||||||
September 30, 2014: | |||||||||||||||||||||
Range | |||||||||||||||||||||
Description | Fair Value | Valuation Technique | Significant | Min | Max | Weighted Average(1) | |||||||||||||||
Unobservable Input | |||||||||||||||||||||
(In thousands) | |||||||||||||||||||||
Non-Agency RMBS | $ | 28,493 | Market quotes | Non-Binding Indicative Price | $ | 46.05 | $ | 106.25 | $ | 76.25 | |||||||||||
Non-Agency RMBS | 5,239 | Discounted Cash Flows | Yield | 7.3 | % | 15.6 | % | 9.2 | % | ||||||||||||
Projected Collateral Prepayments | 30.8 | % | 41.7 | % | 37.1 | % | |||||||||||||||
Projected Collateral Losses | 3.9 | % | 7.2 | % | 5.5 | % | |||||||||||||||
Projected Collateral Recoveries | 5.2 | % | 10.9 | % | 8.4 | % | |||||||||||||||
Projected Collateral Scheduled Amortization | 46.2 | % | 53.8 | % | 49 | % | |||||||||||||||
100 | % | ||||||||||||||||||||
Agency RMBS–Interest Only Securities | 12,402 | Market quotes | Non-Binding Indicative Price | $ | 4.82 | $ | 21.42 | $ | 14.23 | ||||||||||||
Agency RMBS–Interest Only Securities | 1,840 | Option Adjusted Spread ("OAS") | LIBOR OAS (2) | 80 | 417 | 224 | |||||||||||||||
Projected Collateral Prepayments | 70.2 | % | 70.9 | % | 70.5 | % | |||||||||||||||
Projected Collateral Scheduled Amortization | 29.1 | % | 29.8 | % | 29.5 | % | |||||||||||||||
100 | % | ||||||||||||||||||||
-1 | Averages are weighted based on the fair value of the related instrument. | ||||||||||||||||||||
-2 | Shown in basis points. | ||||||||||||||||||||
December 31, 2013: | |||||||||||||||||||||
Range | |||||||||||||||||||||
Description | Fair Value | Valuation Technique | Significant | Min | Max | Weighted Average(1) | |||||||||||||||
Unobservable Input | |||||||||||||||||||||
(In thousands) | |||||||||||||||||||||
Non-Agency RMBS | $ | 27,422 | Market quotes | Non-Binding Indicative Price | $ | 20 | $ | 100.25 | $ | 75.39 | |||||||||||
Non-Agency RMBS | 3,259 | Discounted Cash Flows | Yield | 6 | % | 17 | % | 11.9 | % | ||||||||||||
Projected Collateral Prepayments | 12.2 | % | 58.1 | % | 33.9 | % | |||||||||||||||
Projected Collateral Losses | 6.4 | % | 26.5 | % | 11.8 | % | |||||||||||||||
Projected Collateral Recoveries | 4.6 | % | 12.8 | % | 8.8 | % | |||||||||||||||
Projected Collateral Scheduled Amortization | 29.9 | % | 54.9 | % | 45.5 | % | |||||||||||||||
100 | % | ||||||||||||||||||||
Agency RMBS–Interest Only Securities | 12,368 | Market quotes | Non-Binding Indicative Price | $ | 4.99 | $ | 22.47 | $ | 14.92 | ||||||||||||
Agency RMBS–Interest Only Securities | 1,159 | Option Adjusted Spread ("OAS") | LIBOR OAS(2) | 436 | 436 | 436 | |||||||||||||||
Projected Collateral Prepayments | 57.8 | % | 57.8 | % | 57.8 | % | |||||||||||||||
Projected Collateral Scheduled Amortization | 42.2 | % | 42.2 | % | 42.2 | % | |||||||||||||||
100 | % | ||||||||||||||||||||
-1 | Averages are weighted based on the fair value of the related instrument. | ||||||||||||||||||||
-2 | Shown in basis points. | ||||||||||||||||||||
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, or "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
Derivative Instruments | 9 Months Ended | ||||||||||||||||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||||||||||||||||
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, interest rate swaptions, and TBAs. Additionally, from time to time, the Company may use short positions in U.S. Treasury securities to hedge its interest rate risk. | |||||||||||||||||||||||||||||||||
The following table details fair value of the Company's holdings of financial derivatives as of September 30, 2014 and December 31, 2013: | |||||||||||||||||||||||||||||||||
30-Sep-14 | 31-Dec-13 | ||||||||||||||||||||||||||||||||
(In thousands) | |||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value: | |||||||||||||||||||||||||||||||||
TBA securities purchase contracts | $ | 28 | $ | 1 | |||||||||||||||||||||||||||||
TBA securities sale contracts | 369 | 2,262 | |||||||||||||||||||||||||||||||
Fixed payer interest rate swaps | 8,042 | 32,700 | |||||||||||||||||||||||||||||||
Total financial derivatives–assets, at fair value: | $ | 8,439 | $ | 34,963 | |||||||||||||||||||||||||||||
Financial derivatives–liabilities, at fair value: | |||||||||||||||||||||||||||||||||
TBA securities purchase contracts | $ | (81 | ) | $ | — | ||||||||||||||||||||||||||||
TBA securities sale contracts | (411 | ) | (28 | ) | |||||||||||||||||||||||||||||
Fixed payer interest rate swaps | (2,333 | ) | (956 | ) | |||||||||||||||||||||||||||||
Swaptions | (25 | ) | (85 | ) | |||||||||||||||||||||||||||||
Total financial derivatives–liabilities, at fair value: | $ | (2,850 | ) | $ | (1,069 | ) | |||||||||||||||||||||||||||
Total | $ | 5,589 | $ | 33,894 | |||||||||||||||||||||||||||||
Interest Rate Swaps | |||||||||||||||||||||||||||||||||
The following tables provide information about the Company's interest rate swaps as of September 30, 2014 and December 31, 2013: | |||||||||||||||||||||||||||||||||
September 30, 2014: | |||||||||||||||||||||||||||||||||
Weighted Average | |||||||||||||||||||||||||||||||||
Remaining Maturity | Notional Amount | Fair Value | Pay Rate | Receive Rate | Remaining Years to Maturity | ||||||||||||||||||||||||||||
(In thousands) | |||||||||||||||||||||||||||||||||
2016 | $ | 48,000 | $ | (37 | ) | 0.8 | % | 0.23 | % | 2.02 | |||||||||||||||||||||||
2017 | 74,750 | (96 | ) | 1.21 | 0.24 | 2.84 | |||||||||||||||||||||||||||
2018 | 33,500 | 695 | 0.88 | 0.24 | 3.63 | ||||||||||||||||||||||||||||
2020 | 43,200 | 1,313 | 1.42 | 0.23 | 5.62 | ||||||||||||||||||||||||||||
2021 | 27,000 | (150 | ) | 2.29 | 0.23 | 6.77 | |||||||||||||||||||||||||||
2023 | 210,600 | 5,034 | 2.13 | 0.23 | 8.65 | ||||||||||||||||||||||||||||
2024 | 27,700 | (340 | ) | 2.74 | 0.21 | 9.83 | |||||||||||||||||||||||||||
2043 | 54,500 | (119 | ) | 3.15 | 0.23 | 28.68 | |||||||||||||||||||||||||||
2044 | 9,820 | (591 | ) | 3.48 | 0.23 | 29.66 | |||||||||||||||||||||||||||
Total | $ | 529,070 | $ | 5,709 | 1.91 | % | 0.23 | % | 9.08 | ||||||||||||||||||||||||
December 31, 2013: | |||||||||||||||||||||||||||||||||
Weighted Average | |||||||||||||||||||||||||||||||||
Remaining Maturity | Notional Amount | Fair Value | Pay Rate | Receive Rate | Remaining Years to Maturity | ||||||||||||||||||||||||||||
(In thousands) | |||||||||||||||||||||||||||||||||
2016 | $ | 48,000 | $ | (171 | ) | 0.8 | % | 0.24 | % | 2.77 | |||||||||||||||||||||||
2017 | 124,000 | (517 | ) | 1.19 | 0.24 | 3.61 | |||||||||||||||||||||||||||
2018 | 156,500 | 2,784 | 1.19 | 0.24 | 4.63 | ||||||||||||||||||||||||||||
2020 | 137,100 | 6,444 | 1.49 | 0.24 | 6.06 | ||||||||||||||||||||||||||||
2023 | 218,000 | 14,599 | 2.16 | 0.24 | 9.41 | ||||||||||||||||||||||||||||
2043 | 64,750 | 8,605 | 3.18 | 0.24 | 29.44 | ||||||||||||||||||||||||||||
Total | $ | 748,350 | $ | 31,744 | 1.67 | % | 0.24 | % | 8.14 | ||||||||||||||||||||||||
The Company uses period end notional values as a percentage of average monthly notional values as an indicator of the volume of activity with respect to financial derivatives. For the nine month period ended September 30, 2014, period end aggregate notional value of interest rate swaps reflected above represents approximately 88% of average monthly notional values during the period. For the year ended December 31, 2013, period end aggregate notional value of interest rate swaps reflected above represents approximately 123% of average monthly notional values during the period. | |||||||||||||||||||||||||||||||||
Interest Rate Swaptions | |||||||||||||||||||||||||||||||||
The following tables provide information about the Company's swaptions as of September 30, 2014 and December 31, 2013. | |||||||||||||||||||||||||||||||||
September 30, 2014: | |||||||||||||||||||||||||||||||||
Option | Underlying Swap | ||||||||||||||||||||||||||||||||
Type | Fair Value | Months to Expiration | Notional | Term (Years) | |||||||||||||||||||||||||||||
Amount | Fixed Rate | ||||||||||||||||||||||||||||||||
($ in thousands) | |||||||||||||||||||||||||||||||||
Straddle | $ | (25 | ) | 9.5 | $ | 9,700 | 10 | 3.00% | |||||||||||||||||||||||||
December 31, 2013: | |||||||||||||||||||||||||||||||||
Option | Underlying Swap | ||||||||||||||||||||||||||||||||
Type | Fair Value | Months to Expiration | Notional | Term (Years) | Fixed Rate | ||||||||||||||||||||||||||||
Amount | |||||||||||||||||||||||||||||||||
($ in thousands) | |||||||||||||||||||||||||||||||||
Fixed Payer | $ | (59 | ) | 8.9 | $ | 22,000 | 10 | 3.31% | |||||||||||||||||||||||||
Straddle | $ | (26 | ) | 9.9 | $ | 8,000 | 10 | 3.08% | |||||||||||||||||||||||||
For the nine month period ended September 30, 2014, period end aggregate notional value of swaptions reflected above represents approximately 41% of average monthly notional values during the period. For the year ended December 31, 2013, period end aggregate notional value of swaptions reflected above represents approximately 268% of average monthly notional values during the period. | |||||||||||||||||||||||||||||||||
TBAs | |||||||||||||||||||||||||||||||||
The Company uses TBAs primarily for hedging purposes, typically in the form of short positions. However, the Company may also invest in TBAs for speculative purposes, including holding long positions. Overall, the Company typically holds a net short position. | |||||||||||||||||||||||||||||||||
The Company transacts in the forward settling To Be Announced MBS ("TBA") market. Pursuant to these TBA transactions, the Company agrees to purchase or sell, for future delivery, Agency RMBS with certain principal and interest terms and certain types of underlying collateral, but the particular Agency RMBS to be delivered is not identified until shortly before the TBA settlement date. TBAs are liquid and have quoted market prices and represent the most actively traded class of MBS. The Company primarily uses TBAs to hedge interest rate risk, typically in the form of short positions. However, from time to time the Company also invests in TBAs as a means of acquiring additional exposure to Agency RMBS, or for speculative purposes, including holding long positions. Overall, the Company typically holds a net short position. | |||||||||||||||||||||||||||||||||
The Company does not generally take delivery of TBAs; rather, it settles the associated receivable and payable with its trading counterparties on a net basis. Transactions with the same counterparty for the same TBA that result in a reduction of the position are treated as extinguished. | |||||||||||||||||||||||||||||||||
As of September 30, 2014 and December 31, 2013, the Company had outstanding contracts to purchase ("long positions") and sell ("short positions") TBA securities as follows: | |||||||||||||||||||||||||||||||||
30-Sep-14 | 31-Dec-13 | ||||||||||||||||||||||||||||||||
TBA Securities | Notional Amount(1) | Cost | Market Value(3) | Net Carrying Value(4) | Notional Amount (1) | Cost | Market Value(3) | Net Carrying Value(4) | |||||||||||||||||||||||||
Basis(2) | Basis(2) | ||||||||||||||||||||||||||||||||
(In thousands) | |||||||||||||||||||||||||||||||||
Purchase contracts: | |||||||||||||||||||||||||||||||||
Assets | $ | 19,208 | $ | 19,072 | $ | 19,100 | $ | 28 | $ | 1,600 | $ | 1,725 | $ | 1,726 | $ | 1 | |||||||||||||||||
Liabilities | 32,181 | 32,567 | 32,486 | (81 | ) | — | — | — | — | ||||||||||||||||||||||||
Sale contracts: | |||||||||||||||||||||||||||||||||
Assets | (335,197 | ) | (353,155 | ) | (352,786 | ) | 369 | (363,078 | ) | (375,524 | ) | (373,262 | ) | 2,262 | |||||||||||||||||||
Liabilities | (195,429 | ) | (209,093 | ) | (209,504 | ) | (411 | ) | (16,400 | ) | (17,518 | ) | (17,546 | ) | (28 | ) | |||||||||||||||||
Total TBA securities, net | $ | (479,237 | ) | $ | (510,609 | ) | $ | (510,704 | ) | $ | (95 | ) | $ | (377,878 | ) | $ | (391,317 | ) | $ | (389,082 | ) | $ | 2,235 | ||||||||||
-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 period end. | ||||||||||||||||||||||||||||||||
-4 | Net carrying value represents the difference between the market value of the TBA contract as of period end 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. | ||||||||||||||||||||||||||||||||
For the nine month period ended September 30, 2014, period end aggregate notional value of TBAs reflected above represents approximately 111% of average monthly notional values during the period. For the year ended December 31, 2013, period end aggregate notional value of TBAs reflected above represents approximately 104% of average monthly notional values during the period. | |||||||||||||||||||||||||||||||||
Gains and losses on the Company's financial derivatives for the three and nine month periods ended September 30, 2014 are summarized in the tables below: | |||||||||||||||||||||||||||||||||
Three Month Period Ended September 30, 2014 | |||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||
(In thousands) | |||||||||||||||||||||||||||||||||
Fixed payer interest rate swaps | $ | (678 | ) | $ | 502 | $ | (176 | ) | $ | (1,475 | ) | $ | (10 | ) | $ | (1,485 | ) | ||||||||||||||||
Swaptions | (935 | ) | (935 | ) | 898 | 898 | |||||||||||||||||||||||||||
TBAs | (3,280 | ) | (3,280 | ) | 2,867 | 2,867 | |||||||||||||||||||||||||||
Total | $ | (678 | ) | $ | (3,713 | ) | $ | (4,391 | ) | $ | (1,475 | ) | $ | 3,755 | $ | 2,280 | |||||||||||||||||
Nine Month Period Ended September 30, 2014 | |||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||
(In thousands) | |||||||||||||||||||||||||||||||||
Fixed payer interest rate swaps | $ | (5,574 | ) | $ | 4,013 | $ | (1,561 | ) | $ | (1,315 | ) | $ | (24,720 | ) | $ | (26,035 | ) | ||||||||||||||||
Swaptions | (935 | ) | (935 | ) | 60 | 60 | |||||||||||||||||||||||||||
TBAs | (16,478 | ) | (16,478 | ) | (2,330 | ) | (2,330 | ) | |||||||||||||||||||||||||
Futures | 19 | 19 | — | — | |||||||||||||||||||||||||||||
Total | $ | (5,574 | ) | $ | (13,381 | ) | $ | (18,955 | ) | $ | (1,315 | ) | $ | (26,990 | ) | $ | (28,305 | ) | |||||||||||||||
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: | |||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||
(In thousands) | |||||||||||||||||||||||||||||||||
Fixed payer interest rate swaps | $ | 49 | $ | 2,451 | $ | 2,500 | $ | (3,109 | ) | $ | (1,420 | ) | $ | (4,529 | ) | ||||||||||||||||||
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 | |||||||||||||||||||||||||||
(In thousands) | |||||||||||||||||||||||||||||||||
Fixed payer interest rate swaps | $ | (20 | ) | $ | 2,631 | $ | 2,611 | $ | (4,151 | ) | $ | 25,819 | $ | 21,668 | |||||||||||||||||||
Swaptions | — | — | (86 | ) | (86 | ) | |||||||||||||||||||||||||||
TBAs | 10,039 | 10,039 | (5,468 | ) | (5,468 | ) | |||||||||||||||||||||||||||
Total | $ | (20 | ) | $ | 12,670 | $ | 12,650 | $ | (4,151 | ) | $ | 20,265 | $ | 16,114 | |||||||||||||||||||
As of September 30, 2014, the Company also held a short position in a five-year U.S. Treasury security, with a principal amount of $2.5 million and a fair value of $2.5 million. |
Borrowings_under_Repurchase_Ag
Borrowings under Repurchase Agreements | 9 Months Ended | ||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||
Repurchase Agreements [Abstract] | ' | ||||||||||||||||||
Repurchase Agreements Disclosure [Text Block] | ' | ||||||||||||||||||
Borrowings under Repurchase Agreements | |||||||||||||||||||
The Company enters into repurchase agreements. A repurchase agreement involves the sale of an asset to a counterparty together with a simultaneous agreement to repurchase the transferred asset or similar asset from such counterparty at a future date. The Company accounts for its repurchase agreements as collateralized borrowings, with the transferred assets effectively serving as collateral for the related borrowing. The Company's repurchase agreements typically range in term from 30 to 180 days. The principal economic terms of each repurchase agreement—such as loan amount, interest rate, and maturity date—are typically negotiated on a transaction-by-transaction basis. Other terms and conditions, such as relating to events of default, are typically governed under the Company's master repurchase agreements, or "MRAs." Absent an event of default, the Company maintains beneficial ownership of the transferred securities 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, repay that counterparty and possibly negotiate financing terms with a different counterparty, or choose to no longer finance the related asset. In response to a decline in the fair value of the transferred securities, whether as a result of changes in market conditions, security paydowns, or other factors, repurchase agreement counterparties will typically make a margin call, whereby the Company will be required to post additional securities and/or cash as collateral with the counterparty in order to re-establish the agreed-upon collateralization requirements. The contractual amount (loan amount) of the Company's repurchase agreements approximates fair value, as the debt is short-term in nature. | |||||||||||||||||||
At any given time, the Company seeks to have its outstanding borrowings under repurchase agreements with several different counterparties in order to reduce the exposure to any single counterparty. As of September 30, 2014 and December 31, 2013, the Company had outstanding borrowings under repurchase agreements with ten and nine counterparties, respectively. | |||||||||||||||||||
The following table details the Company's outstanding borrowings under repurchase agreements as of September 30, 2014 and December 31, 2013: | |||||||||||||||||||
September 30, 2014 | 31-Dec-13 | ||||||||||||||||||
Weighted Average | Weighted Average | ||||||||||||||||||
Remaining Days to Maturity | Borrowings Outstanding | Interest Rate | Remaining Days to Maturity | Borrowings Outstanding | Interest Rate | Remaining Days to Maturity | |||||||||||||
(In thousands) | |||||||||||||||||||
30 days or less | $ | 325,079 | 0.34 | % | 16 | $ | 338,700 | 0.35 | % | 14 | |||||||||
31-60 days | 519,999 | 0.33 | 45 | 531,799 | 0.39 | 46 | |||||||||||||
61-90 days | 338,669 | 0.33 | 73 | 326,386 | 0.38 | 72 | |||||||||||||
91-120 days | 22,192 | 0.38 | 106 | 109,476 | 0.45 | 100 | |||||||||||||
121-150 days | 27,394 | 0.38 | 135 | 3,986 | 0.56 | 136 | |||||||||||||
Total | $ | 1,233,333 | 0.33 | % | 48 | $ | 1,310,347 | 0.38 | % | 49 | |||||||||
Repurchase agreements involving underlying investments that we sold prior to period end, for settlement following period end, 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 period end for which delivery of the borrowed funds is not scheduled until after period end. | |||||||||||||||||||
As of September 30, 2014 and December 31, 2013, the fair value of Agency RMBS transferred as collateral under outstanding borrowings under repurchase agreements was $1.3 billion and $1.4 billion, respectively. Collateral transferred under outstanding borrowings as of September 30, 2014 include Agency RMBS in the amount of $10.0 million that were sold prior to period end but for which such sale had not yet settled. Collateral transferred under outstanding borrowings as of December 31, 2013 include Agency RMBS in the amount of $76.1 million that were sold prior to period end but for which such sale had not yet settled. In addition the Company posted net cash collateral of $11.5 million and additional securities with a fair value of $1.8 million as of September 30, 2014 as a result of margin calls with various counterparties. The Company posted additional net cash collateral of $14.8 million and additional securities with a fair value of $3.5 million as of December 31, 2013 as a result of margin calls with various counterparties. The Company also held investments with an aggregate value of approximately $0.5 million which were received to satisfy collateral requirements for various repurchase agreements. |
Offsetting_of_Assets_and_Liabi
Offsetting of Assets and Liabilities | 9 Months Ended | ||||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||||
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 tables present information about certain assets and liabilities representing financial instruments as of September 30, 2014 and December 31, 2013. The Company has not previously entered into master netting agreements with any of its counterparties. Certain of the Company's repurchase and reverse repurchase agreements and financial derivative transactions are governed by underlying agreements that generally provide a right of offset in the event of default or in the event of a bankruptcy of either party to the transaction. | |||||||||||||||||||||
September 30, 2014: | |||||||||||||||||||||
Description | Amount of Assets (Liabilities) Presented in the Consolidated Balance Sheet(1) | Financial Instruments Available for Offset | Financial Instruments Transferred or Pledged as Collateral(2)(3) | Cash Collateral (Received) Pledged(2)(3) | Net Amount | ||||||||||||||||
(In thousands) | |||||||||||||||||||||
Assets: | |||||||||||||||||||||
Financial derivatives–assets | $ | 8,439 | $ | (628 | ) | $ | — | $ | (2,411 | ) | $ | 5,400 | |||||||||
Reverse repurchase agreements | 2,484 | (2,484 | ) | — | — | — | |||||||||||||||
Liabilities: | |||||||||||||||||||||
Financial derivatives–liabilities | (2,850 | ) | 628 | — | 2,054 | (168 | ) | ||||||||||||||
Repurchase agreements | (1,233,333 | ) | 2,484 | 1,219,354 | 11,495 | — | |||||||||||||||
-1 | In the Company's Consolidated Balance Sheet, all balances associated with the repurchase agreements and financial derivatives are presented on a gross basis. | ||||||||||||||||||||
-2 | For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, we have reduced the amount of financial instruments transferred or pledged as collateral related to our repurchase agreements and cash collateral pledged on our financial derivative assets and liabilities. Total financial instruments transferred or pledged as collateral on our repurchase agreements as of September 30, 2014 were $1.28 billion. As of September 30, 2014 total cash collateral on financial derivative assets and financial derivative liabilities excludes $20.5 thousand and $5.1 million of net excess cash collateral. | ||||||||||||||||||||
-3 | When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a specific asset or liability. As a result, in preparing the above table, the Company has made assumptions in allocating pledged or posted collateral among the various rows. | ||||||||||||||||||||
December 31, 2013: | |||||||||||||||||||||
Description | Amount of Assets (Liabilities) Presented in the Consolidated Balance Sheet(1) | Financial Instruments Available for Offset | Financial Instruments Transferred or Pledged as Collateral(2)(3) | Cash Collateral (Received) Pledged(2)(3) | Net Amount | ||||||||||||||||
(In thousands) | |||||||||||||||||||||
Assets: | |||||||||||||||||||||
Financial derivatives–assets | $ | 34,963 | $ | (1,042 | ) | $ | — | $ | (22,360 | ) | $ | 11,561 | |||||||||
Liabilities: | |||||||||||||||||||||
Financial derivatives–liabilities | (1,069 | ) | 1,042 | — | 26 | (1 | ) | ||||||||||||||
Repurchase agreements | (1,310,347 | ) | — | 1,295,567 | 14,780 | — | |||||||||||||||
-1 | In the Company's Consolidated Balance Sheet, all balances associated with the repurchase agreements and financial derivatives are presented on a gross basis. | ||||||||||||||||||||
-2 | For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore we have reduced the amount of financial instruments transferred or pledged as collateral related to our repurchase agreements and cash collateral pledged on our financial derivative assets and liabilities. Total financial instruments transferred or pledged as collateral on our repurchase agreements as of December 31, 2013 were $1.36 billion. As of December 31, 2013 total cash collateral on financial derivative assets and liabilities excludes $0.3 million and $3.1 million, respectively of net excess cash collateral. | ||||||||||||||||||||
-3 | When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a specific asset or liability. As a result, in preparing the above table, the Company has made assumptions in allocating pledged or posted collateral among the various rows. |
Management_Fees
Management Fees | 9 Months Ended |
Sep. 30, 2014 | |
Management Fees Disclosure [Abstract] | ' |
Management Fees | ' |
Management Fees | |
The Manager receives an annual management fee in an amount equal to 1.50% per annum of shareholders' equity (as defined in the Management Agreement) as of the end of each fiscal quarter (before deductions for any management fee with respect to such fiscal period). The management fee is payable quarterly in arrears. For both of the three month periods ended September 30, 2014 and 2013, the total management fee incurred was approximately $0.6 million. For the nine month periods ended September 30, 2014 and 2013, the total management fee incurred was approximately $1.7 million and $1.5 million, respectively. | |
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 the Company or the Operating Partnership (without double counting) since inception, plus (2) the Company's and the Operating Partnership's (without double counting) retained earnings or accumulated deficit calculated in accordance with U.S. 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 U.S. GAAP, regardless of whether such items are included in net income, and (2) one-time events pursuant to changes in U.S. GAAP, and certain non-cash items not otherwise described above, in each case, after discussions between the Manager and the Company's independent trustees and approval by a majority of the Company's independent trustees. |
Earnings_per_Share
Earnings per Share | 9 Months Ended | ||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||
Earnings Per Share [Abstract] | ' | ||||||||||||||||
Earnings per Share | ' | ||||||||||||||||
Earnings Per Share | |||||||||||||||||
Basic earnings per share, or "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 outstanding dilutive instruments, such as share options and warrants, if any, 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, 2014 and 2013, the Company did not have any dilutive instruments outstanding. | |||||||||||||||||
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, 2014 and 2013: | |||||||||||||||||
(In thousands except share amounts) | Three Month | Three Month | Nine Month | Nine Month | |||||||||||||
Period Ended | Period Ended | Period Ended | Period Ended | ||||||||||||||
30-Sep-14 | 30-Sep-13 | 30-Sep-14 | 30-Sep-13 | ||||||||||||||
Numerator: | |||||||||||||||||
Net income (loss) | $ | 3,533 | $ | 6,785 | $ | 17,344 | $ | (1,789 | ) | ||||||||
Denominator: | |||||||||||||||||
Basic and diluted weighted average shares outstanding | 9,141,892 | 9,133,940 | 9,140,533 | 5,699,501 | |||||||||||||
Basic and Diluted Earnings Per Share | $ | 0.39 | $ | 0.74 | $ | 1.9 | $ | (0.31 | ) | ||||||||
Related_Party_Transactions
Related Party Transactions | 9 Months Ended |
Sep. 30, 2014 | |
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 24, 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 March 13, 2014, 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 sufficient personnel, services, and resources 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 the Company. | |
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 the Manager's 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. | |
For both of the nine month periods ended September 30, 2014 and 2013, the Company reimbursed the Manager $1.9 million for previously incurred operating and compensation expenses. | |
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. | |
Registration Rights Agreement | |
The Company 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 parties to the registration rights agreement with certain demand and/or piggy-back registration and shelf takedown rights. |
Capital
Capital | 9 Months Ended | |||||||||
Sep. 30, 2014 | ||||||||||
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, 2014 and December 31, 2013, there were 9,149,274 and 9,139,842 common shares outstanding, respectively. No preferred shares have been issued. | ||||||||||
On September 11, 2014, the Company's Board of Trustees authorized the issuance of 9,432 shares to its independent trustees pursuant to director share award agreements. Of these shares 6,912 will vest and become non-forfeitable on September 10, 2015; the remaining 2,520 shares vested on the date of grant. | ||||||||||
The below table details cash dividends declared by the Board of Trustees during the nine month period ended September 30, 2014: | ||||||||||
Dividend | Dividend Amount | Declaration Date | Record Date | Payment Date | ||||||
Per Share | ||||||||||
(In thousands) | ||||||||||
First Quarter | $0.55 | $5,027 | 12-Mar-14 | 31-Mar-14 | 28-Apr-14 | |||||
Second Quarter | $0.55 | $5,027 | 17-Jun-14 | 30-Jun-14 | 25-Jul-14 | |||||
Third Quarter | $0.55 | $5,032 | 11-Sep-14 | 30-Sep-14 | 27-Oct-14 | |||||
The below table details cash dividends declared by the Board of Trustees during the nine month period ended September 30, 2013: | ||||||||||
Dividend | Dividend Amount | Declaration Date | Record Date | Payment Date | ||||||
Per Share | ||||||||||
(In thousands) | ||||||||||
Second Quarter | $0.14 | $1,279 | 18-Jun-13 | 28-Jun-13 | 26-Jul-13 | |||||
Third Quarter | $0.50 | $4,569 | 17-Sep-13 | 27-Sep-13 | 25-Oct-13 | |||||
The Board of Trustees did not declare any cash dividends prior to the second quarter of 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. | ||||||||||
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, 2014 | |
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, 2014. |
Significant_Accounting_Policie1
Significant Accounting Policies Significant Accounting Policies (Policies) | 9 Months Ended | |
Sep. 30, 2014 | ||
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 in the United States of America, or "U.S. GAAP." 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 U.S. GAAP 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. The information included in this Quarterly Report on Form 10-Q should be read in conjunction with the Company's Annual Report on Form 10-K for the year ended December 31, 2013. | ||
Valuation | ' | |
Valuation: The Company applies Accounting Standards Codification, or "ASC," 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. 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 Mortgage-Backed Securities | ' | |
Accounting for Mortgage-Backed Securities: Investments in mortgage-backed 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 mortgage-backed 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 mortgage-backed 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 mortgage-backed securities. | ||
Realized gains or losses on sales of mortgage-backed securities are included in Net realized gains (losses) on mortgage-backed 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. | ||
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 application of several assumptions including, but not limited to, prepayment assumptions and default rate assumptions, which are re-evaluated not less than quarterly and require the use of a significant amount of judgment. Principal write-offs are generally treated as realized losses. 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 under U.S. GAAP 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 paid or received 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 financial 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 may receive cash or securities as collateral upon entering into derivative transactions. In addition, changes in the relative value of financial derivative transactions may require the Company or the counterparty to post or receive additional collateral. In the case of cleared financial derivatives, the clearinghouse becomes the Company's counterparty and a 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 financial derivatives that have been utilized by the Company to date are interest rate swaps, TBAs, swaptions, and futures. | ||
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. | ||
While the Company does not intend to operate its non-Agency RMBS investment strategy on a credit hedged basis, the Company may opportunistically enter into various credit hedging transactions, such as involving credit default swaps, total return swaps, or other derivative contracts. The Company may use credit default swaps to hedge non-Agency RMBS credit risk by buying protection on a basket or index of non-Agency RMBS assets or on a single non-Agency RMBS. For credit hedging purposes the Company may also enter into credit default swaps which reference other mortgage-backed securities, or "MBS," or the corporate credit of certain corporations, or indices on the foregoing. In addition, the Company may enter into various other financial derivative contracts, including total return swaps. Generally, a total return swap would reference either the corporate credit or equity of certain corporations. However, the Company's ability to use credit hedges is subject to the Company's qualifying and maintaining its qualification as a REIT and maintaining its exclusion from regulation as an investment company under the Investment Company Act. | ||
Swaps change in value with movements in interest rates or total return of the reference securities. During the term of swap contracts, changes in value are recognized as unrealized gains or losses on the Consolidated Statement of Operations. When a contract is terminated, the Company realizes 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. 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. Upfront payments paid and/or received by the Company to open swap contracts are recorded as an asset and/or liability on the Consolidated Balance Sheet and are recorded as a realized gain or loss on the termination date. | ||
TBA Securities: The Company has transacted in the forward settling To Be Announced RMBS ("TBA") 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 by the Company 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 mortgage-backed securities. Upon settlement of the TBA contract, the realized gain (loss) on the TBA contract is equal to the net cash amount received (paid). | ||
Options: The Company has entered into 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. In general, the Company's options 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. | ||
Futures Contracts: A futures contract is an exchange-traded agreement to buy or 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 in the form of 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. Variation margin payments are made or received periodically, depending upon whether unrealized losses or gains are incurred. 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. | ||
Financial derivative assets are included in Financial derivatives–assets, at fair value on the Consolidated Balance Sheet while financial derivative 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 enters 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. The Company accounts for repurchase agreements as collateralized borrowings, with the initial sale price representing the amount borrowed, and with the future repurchase price consisting of the amount borrowed plus interest, at the implied interest rate of the repurchase agreement, on the amount borrowed over the term of the repurchase agreement. The interest rate on a repurchase agreement or a reverse repurchase agreement is based on competitive market rates (or competitive market spreads, in the case of agreements with floating interest rates) at the time such agreement is entered into. When the Company enters into a repurchase agreement, the lender establishes and maintains an account containing cash 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 enable it to deliver U.S. Treasury securities that it has sold short. | ||
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. | ||
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: 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. | ||
Share repurchases [Policy Text Block] | ' | |
Share Repurchases: Common shares that are repurchased by the Company subsequent to issuance decrease the total number of shares issued and 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 periods September 25, 2012 (commencement of operations) through December 31, 2012 and January 1, 2013 through April 30, 2013, the Company filed its tax return as a partnership. Effective May 1, 2013, the Company made the election to be taxed as a corporation. In addition, the Company elected 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. To qualify as a REIT, the Company must meet certain requirements, including the distribution of at least 90% of its annual taxable income to shareholders. | ||
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 December 31, 2013. 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, 2013, 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 of 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. | ||
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 June 2014, the FASB issued ASU No. 2014-11, Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures ("ASU 2014-11"). This amends ASC 860, Transfers and Servicing ("ASC 860"), to require disclosure of repurchase-to maturity transactions to be accounted for as secured borrowings rather than sales of an asset, and transfers of financial assets with a contemporaneous repo will no longer be evaluated to determine whether they should be accounted for on a combined basis as forward contracts. The new guidance also prescribes additional disclosures particularly on the nature of collateral pledged under repurchase agreements accounted for as secured borrowings. ASU 2014-11 is effective for interim and annual periods beginning after December 15, 2014. The adoption of ASC 860, as amended by ASU 2014-11 is not expected to have a material impact on the Company's consolidated financial statements. |
MortgageBacked_Securities_Tabl
Mortgage-Backed Securities (Tables) | 9 Months Ended | |||||||||||||||||||||||||||||||||
Sep. 30, 2014 | ||||||||||||||||||||||||||||||||||
Investments, Debt and Equity Securities [Abstract] | ' | |||||||||||||||||||||||||||||||||
Mortgage-backed securities [Table Text Block] | ' | |||||||||||||||||||||||||||||||||
December 31, 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 | $ | 179,906 | $ | 7,153 | $ | 187,059 | $ | 65 | $ | (3,252 | ) | $ | 183,872 | 3.09% | 2.52% | 5.76 | ||||||||||||||||||
30-year fixed rate mortgages | 1,029,629 | 41,565 | 1,071,194 | 490 | (28,111 | ) | 1,043,573 | 3.79% | 3.30% | 9.8 | ||||||||||||||||||||||||
Adjustable rate mortgages | 43,525 | 2,647 | 46,172 | 46 | (103 | ) | 46,115 | 4.72% | 3.24% | 3.79 | ||||||||||||||||||||||||
Reverse mortgages | 7,581 | 673 | 8,254 | 16 | (2 | ) | 8,268 | 4.85% | 2.90% | 3.41 | ||||||||||||||||||||||||
Interest only securities | n/a | n/a | 10,718 | 2,841 | (32 | ) | 13,527 | 3.97% | 11.79% | 5.02 | ||||||||||||||||||||||||
Total Agency RMBS | 1,260,641 | 52,038 | 1,323,397 | 3,458 | (31,500 | ) | 1,295,355 | 3.75% | 3.26% | 8.67 | ||||||||||||||||||||||||
Non-Agency RMBS | 50,006 | (21,327 | ) | 28,679 | 2,196 | (194 | ) | 30,681 | 2.84% | 9.12% | 5.54 | |||||||||||||||||||||||
Total RMBS | $ | 1,310,647 | $ | 30,711 | $ | 1,352,076 | $ | 5,654 | $ | (31,694 | ) | $ | 1,326,036 | 3.72% | 3.38% | 8.56 | ||||||||||||||||||
-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. | |||||||||||||||||||||||||||||||||
The following tables present details of the Company's mortgage-backed securities portfolio at September 30, 2014 and December 31, 2013, 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 a U.S. government agency or government-sponsored enterprises, or "GSEs." The non-Agency RMBS portfolio is not issued or guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, or any agency of the U.S. Government and is therefore subject to greater credit risk. | ||||||||||||||||||||||||||||||||||
By RMBS Type – | ||||||||||||||||||||||||||||||||||
September 30, 2014: | ||||||||||||||||||||||||||||||||||
($ 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 | $ | 136,558 | $ | 6,498 | $ | 143,056 | $ | 524 | $ | (223 | ) | $ | 143,357 | 3.40% | 2.51% | 5.55 | ||||||||||||||||||
20-year fixed rate mortgages | 9,974 | 596 | 10,570 | 93 | (1 | ) | 10,662 | 4.00% | 3.44% | 7.11 | ||||||||||||||||||||||||
30-year fixed rate mortgages | 1,036,799 | 55,491 | 1,092,290 | 11,061 | (4,590 | ) | 1,098,761 | 4.04% | 3.29% | 8.98 | ||||||||||||||||||||||||
Adjustable rate mortgages | 43,288 | 2,945 | 46,233 | 121 | (233 | ) | 46,121 | 4.63% | 3.16% | 6.03 | ||||||||||||||||||||||||
Reverse mortgages | 19,523 | 1,580 | 21,103 | 118 | (4 | ) | 21,217 | 4.73% | 2.77% | 4.86 | ||||||||||||||||||||||||
Interest only securities | n/a | n/a | 12,108 | 2,457 | (323 | ) | 14,242 | 4.19% | 10.58% | 3.55 | ||||||||||||||||||||||||
Total Agency RMBS | 1,246,142 | 67,110 | 1,325,360 | 14,374 | (5,374 | ) | 1,334,360 | 4.02% | 3.26% | 7.99 | ||||||||||||||||||||||||
Non-Agency RMBS | 52,785 | (21,568 | ) | 31,217 | 3,166 | (651 | ) | 33,732 | 2.30% | 9.71% | 5.22 | |||||||||||||||||||||||
Total RMBS | $ | 1,298,927 | $ | 45,542 | $ | 1,356,577 | $ | 17,540 | $ | (6,025 | ) | $ | 1,368,092 | 3.96% | 3.41% | 7.91 | ||||||||||||||||||
-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] | ' | |||||||||||||||||||||||||||||||||
By Estimated Weighted Average Life | ||||||||||||||||||||||||||||||||||
As of September 30, 2014: | ||||||||||||||||||||||||||||||||||
($ 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 | $ | 8,216 | $ | 8,160 | 4.85 | % | $ | 4,665 | $ | 4,930 | 3.34 | % | $ | 3,113 | $ | 1,945 | 3.02 | % | ||||||||||||||||
Greater than three years and less than seven years | 253,354 | 252,667 | 3.95 | % | 9,577 | 7,178 | 5.11 | % | 18,274 | 18,061 | 2.66 | % | ||||||||||||||||||||||
Greater than seven years and less than eleven years | 1,058,548 | 1,052,425 | 4.01 | % | — | — | — | % | 12,345 | 11,211 | 1.24 | % | ||||||||||||||||||||||
Total | $ | 1,320,118 | $ | 1,313,252 | 4 | % | $ | 14,242 | $ | 12,108 | 4.19 | % | $ | 33,732 | $ | 31,217 | 2.3 | % | ||||||||||||||||
As of December 31, 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 | $ | 5,554 | $ | 5,518 | 5.68 | % | $ | 955 | $ | 762 | 6.48 | % | $ | 1,715 | $ | 1,216 | 2.38 | % | ||||||||||||||||
Greater than three years and less than seven years | 243,120 | 246,342 | 3.48 | % | 7,643 | 6,198 | 3.31 | % | 16,488 | 15,950 | 3.42 | % | ||||||||||||||||||||||
Greater than seven years and less than eleven years | 1,031,552 | 1,059,223 | 3.79 | % | 4,929 | 3,758 | 4.91 | % | 11,656 | 10,708 | 1.43 | % | ||||||||||||||||||||||
Greater than eleven years | 1,602 | 1,596 | 4.5 | % | — | — | — | % | 822 | 805 | 7.69 | % | ||||||||||||||||||||||
Total | $ | 1,281,828 | $ | 1,312,679 | 3.73 | % | $ | 13,527 | $ | 10,718 | 3.97 | % | $ | 30,681 | $ | 28,679 | 2.84 | % | ||||||||||||||||
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 month periods ended September 30, 2014: | ||||||||||||||||||||||||||||||||||
Three Month Period Ended | Nine Month Period Ended | |||||||||||||||||||||||||||||||||
30-Sep-14 | 30-Sep-14 | |||||||||||||||||||||||||||||||||
($ in thousands) | Coupon Interest | Net Amortization | Interest | Coupon Interest | Net Amortization | Interest | ||||||||||||||||||||||||||||
Income | Income | |||||||||||||||||||||||||||||||||
Agency RMBS | $ | 13,254 | $ | (2,575 | ) | $ | 10,679 | $ | 39,323 | $ | (6,618 | ) | $ | 32,705 | ||||||||||||||||||||
Non-Agency RMBS | 303 | 502 | 805 | 947 | 1,359 | 2,306 | ||||||||||||||||||||||||||||
Total | $ | 13,557 | $ | (2,073 | ) | $ | 11,484 | $ | 40,270 | $ | (5,259 | ) | $ | 35,011 | ||||||||||||||||||||
The following table illustrates components of interest income on the Company's RMBS for the three and nine month periods 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 | Coupon Interest | Net Amortization | Interest | ||||||||||||||||||||||||||||
Income | 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, 2014 | |||||||||||||||||||||
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, 2014: | |||||||||||||||||||||
(In thousands) | |||||||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
Assets: | |||||||||||||||||||||
Mortgage-backed securities, at fair value: | |||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||
15-year fixed rate mortgages | $ | — | $ | 143,357 | $ | — | $ | 143,357 | |||||||||||||
20-year fixed rate mortgages | — | 10,662 | — | 10,662 | |||||||||||||||||
30-year fixed rate mortgages | — | 1,098,761 | — | 1,098,761 | |||||||||||||||||
Adjustable rate mortgages | — | 46,121 | — | 46,121 | |||||||||||||||||
Reverse mortgages | — | 21,217 | — | 21,217 | |||||||||||||||||
Interest only securities | — | — | 14,242 | 14,242 | |||||||||||||||||
Non-Agency RMBS | — | — | 33,732 | 33,732 | |||||||||||||||||
Mortgage-backed securities, at fair value | — | 1,320,118 | 47,974 | 1,368,092 | |||||||||||||||||
Financial derivatives–assets, at fair value: | |||||||||||||||||||||
TBAs | — | 397 | — | 397 | |||||||||||||||||
Fixed payer interest rate swaps | — | 8,042 | — | 8,042 | |||||||||||||||||
Total financial derivatives–assets, at fair value | — | 8,439 | — | 8,439 | |||||||||||||||||
Reverse repurchase agreements | — | 2,484 | — | 2,484 | |||||||||||||||||
Total mortgage-backed securities, financial derivatives–assets, and reverse repurchase agreements, at fair value | $ | — | $ | 1,331,041 | $ | 47,974 | $ | 1,379,015 | |||||||||||||
Liabilities: | |||||||||||||||||||||
U.S. Treasury securities sold short, at fair value | $ | — | $ | (2,483 | ) | $ | — | $ | (2,483 | ) | |||||||||||
Financial derivatives–liabilities, at fair value: | |||||||||||||||||||||
TBAs | — | (492 | ) | — | (492 | ) | |||||||||||||||
Fixed payer interest rate swaps | — | (2,333 | ) | — | (2,333 | ) | |||||||||||||||
Fixed payer swaptions | — | (25 | ) | — | (25 | ) | |||||||||||||||
Total financial derivatives–liabilities, at fair value | $ | — | $ | (2,850 | ) | $ | — | $ | (2,850 | ) | |||||||||||
Total U.S. Treasury securities and financial derivatives–liabilities, at fair value | $ | — | $ | (5,333 | ) | $ | — | $ | (5,333 | ) | |||||||||||
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, 2014. | |||||||||||||||||||||
December 31, 2013: | |||||||||||||||||||||
(In thousands) | |||||||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
Assets: | |||||||||||||||||||||
Mortgage-backed securities, at fair value: | |||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||
15-year fixed rate mortgages | $ | — | $ | 183,872 | $ | — | $ | 183,872 | |||||||||||||
30-year fixed rate mortgages | — | 1,043,573 | — | 1,043,573 | |||||||||||||||||
Adjustable rate mortgages | — | 46,115 | — | 46,115 | |||||||||||||||||
Reverse mortgages | — | 8,268 | — | 8,268 | |||||||||||||||||
Interest only securities | — | — | 13,527 | 13,527 | |||||||||||||||||
Non-Agency RMBS | — | — | 30,681 | 30,681 | |||||||||||||||||
Mortgage-backed securities, at fair value | — | 1,281,828 | 44,208 | 1,326,036 | |||||||||||||||||
Financial derivatives–assets, at fair value: | |||||||||||||||||||||
TBAs | — | 2,263 | — | 2,263 | |||||||||||||||||
Fixed payer interest rate swaps | — | 32,700 | — | 32,700 | |||||||||||||||||
Total financial derivatives–assets, at fair value | — | 34,963 | — | 34,963 | |||||||||||||||||
Total mortgage-backed securities and financial derivatives–assets, at fair value | $ | — | $ | 1,316,791 | $ | 44,208 | $ | 1,360,999 | |||||||||||||
Liabilities: | |||||||||||||||||||||
Financial derivatives–liabilities, at fair value: | |||||||||||||||||||||
TBAs | $ | — | $ | (28 | ) | $ | — | $ | (28 | ) | |||||||||||
Fixed payer interest rate swaps | — | (956 | ) | — | (956 | ) | |||||||||||||||
Fixed payer swaptions | — | (85 | ) | — | (85 | ) | |||||||||||||||
Total financial derivatives–liabilities, at fair value | $ | — | $ | (1,069 | ) | $ | — | $ | (1,069 | ) | |||||||||||
There were no transfers of financial instruments between Levels 1, 2, or 3 of the fair value hierarchy during the year ended December 31, 2013. | |||||||||||||||||||||
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, 2014: | |||||||||||||||||||||
(In thousands) | Non-Agency | Agency RMBS | |||||||||||||||||||
RMBS | |||||||||||||||||||||
Beginning balance as of June 30, 2014 | $ | 35,668 | $ | 14,276 | |||||||||||||||||
Transfers: | |||||||||||||||||||||
Transfers into level 3 | — | — | |||||||||||||||||||
Transfers out of level 3 | — | — | |||||||||||||||||||
Purchases | 2,543 | 545 | |||||||||||||||||||
Proceeds from sales | (3,688 | ) | — | ||||||||||||||||||
Principal repayments | (1,373 | ) | — | ||||||||||||||||||
(Amortization)/accretion, net | 502 | (906 | ) | ||||||||||||||||||
Net realized gains | 1,145 | — | |||||||||||||||||||
Change in net unrealized gains (losses) | (1,065 | ) | 327 | ||||||||||||||||||
Ending balance as of September 30, 2014 | $ | 33,732 | $ | 14,242 | |||||||||||||||||
All amounts of net realized and changes in net unrealized gains (losses) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gains (losses) for both Level 3 financial instruments held by the Company at September 30, 2014, as well as Level 3 financial instruments disposed of by the Company during the three month period ended September 30, 2014. For Level 3 financial instruments held by the Company at September 30, 2014, change in net unrealized gains (losses) of $0.3 million and $(0.1) million, for the three month period ended September 30, 2014 relate to Agency RMBS and non-Agency RMBS, respectively. | |||||||||||||||||||||
Three month period ended September 30, 2013: | |||||||||||||||||||||
(In thousands) | Non-Agency | Agency RMBS | |||||||||||||||||||
RMBS | |||||||||||||||||||||
Beginning balance as of June 30, 2013 | $ | 38,810 | $ | 9,905 | |||||||||||||||||
Transfers: | |||||||||||||||||||||
Transfers into level 3 | — | — | |||||||||||||||||||
Transfers out of level 3 | — | — | |||||||||||||||||||
Purchases | 6,402 | 3,094 | |||||||||||||||||||
Proceeds from sales | (9,247 | ) | — | ||||||||||||||||||
Principal repayments | (2,927 | ) | — | ||||||||||||||||||
(Amortization)/accretion, net | 307 | (626 | ) | ||||||||||||||||||
Net realized gains | 581 | — | |||||||||||||||||||
Change in net unrealized gains (losses) | 541 | 349 | |||||||||||||||||||
Ending balance as of September 30, 2013 | $ | 34,467 | $ | 12,722 | |||||||||||||||||
All amounts of net realized and changes in net unrealized gains (losses) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gains (losses) for both Level 3 financial instruments held by the Company at September 30, 2013, as well as Level 3 financial instruments disposed of by the Company during the three month period ended September 30, 2013. For Level 3 financial instruments held by the Company at September 30, 2013, change in net unrealized gains (losses) of $0.3 million and $0.7 million, for the three month period ended September 30, 2013 relate to Agency RMBS and non-Agency RMBS. | |||||||||||||||||||||
Nine month period ended September 30, 2014: | |||||||||||||||||||||
(In thousands) | Non-Agency | Agency RMBS | |||||||||||||||||||
RMBS | |||||||||||||||||||||
Beginning balance as of December 31, 2013 | $ | 30,681 | $ | 13,527 | |||||||||||||||||
Transfers: | |||||||||||||||||||||
Transfers into level 3 | — | — | |||||||||||||||||||
Transfers out of level 3 | — | — | |||||||||||||||||||
Purchases | 14,711 | 4,640 | |||||||||||||||||||
Proceeds from sales | (11,104 | ) | (1,282 | ) | |||||||||||||||||
Principal repayments | (3,945 | ) | — | ||||||||||||||||||
(Amortization)/accretion, net | 1,359 | (2,326 | ) | ||||||||||||||||||
Net realized gains | 1,518 | 358 | |||||||||||||||||||
Change in net unrealized gains (losses) | 512 | (675 | ) | ||||||||||||||||||
Ending balance as of September 30, 2014 | $ | 33,732 | $ | 14,242 | |||||||||||||||||
All amounts of net realized and changes in net unrealized gains (losses) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gains (losses) for both Level 3 financial instruments held by the Company at September 30, 2014, as well as Level 3 financial instruments disposed of by the Company during the nine month period ended September 30, 2014. For Level 3 financial instruments held by the Company at September 30, 2014, change in net unrealized gains (losses) of $(0.5) million and $0.8 million, for the nine month period ended September 30, 2014 relate to Agency RMBS and non-Agency RMBS, respectively. | |||||||||||||||||||||
Nine month period ended September 30, 2013: | |||||||||||||||||||||
(In thousands) | Non-Agency | Agency RMBS | |||||||||||||||||||
RMBS | |||||||||||||||||||||
Beginning balance as of December 31, 2012 | $ | 13,596 | $ | — | |||||||||||||||||
Transfers: | |||||||||||||||||||||
Transfers into level 3 | — | — | |||||||||||||||||||
Transfers out of level 3 | — | — | |||||||||||||||||||
Purchases | 37,180 | 12,116 | |||||||||||||||||||
Proceeds from sales | (14,556 | ) | — | ||||||||||||||||||
Principal repayments | (4,390 | ) | — | ||||||||||||||||||
(Amortization)/accretion, net | 631 | (761 | ) | ||||||||||||||||||
Net realized gains | 1,469 | — | |||||||||||||||||||
Change in net unrealized gains (losses) | 537 | 1,367 | |||||||||||||||||||
Ending balance as of September 30, 2013 | $ | 34,467 | $ | 12,722 | |||||||||||||||||
All amounts of net realized and changes in net unrealized gains (losses) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gains (losses) for both Level 3 financial instruments held by the Company at September 30, 2013, as well as Level 3 financial instruments disposed of by the Company during the nine month period ended September 30, 2013. For Level 3 financial instruments held by the Company at September 30, 2013, change in net unrealized gains (losses) of $1.4 million and $0.6 million, for the nine month period ended September 30, 2013 relate to Agency RMBS and non-Agency RMBS, respectively. | |||||||||||||||||||||
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, 2014 and December 31, 2013: | |||||||||||||||||||||
September 30, 2014: | |||||||||||||||||||||
Range | |||||||||||||||||||||
Description | Fair Value | Valuation Technique | Significant | Min | Max | Weighted Average(1) | |||||||||||||||
Unobservable Input | |||||||||||||||||||||
(In thousands) | |||||||||||||||||||||
Non-Agency RMBS | $ | 28,493 | Market quotes | Non-Binding Indicative Price | $ | 46.05 | $ | 106.25 | $ | 76.25 | |||||||||||
Non-Agency RMBS | 5,239 | Discounted Cash Flows | Yield | 7.3 | % | 15.6 | % | 9.2 | % | ||||||||||||
Projected Collateral Prepayments | 30.8 | % | 41.7 | % | 37.1 | % | |||||||||||||||
Projected Collateral Losses | 3.9 | % | 7.2 | % | 5.5 | % | |||||||||||||||
Projected Collateral Recoveries | 5.2 | % | 10.9 | % | 8.4 | % | |||||||||||||||
Projected Collateral Scheduled Amortization | 46.2 | % | 53.8 | % | 49 | % | |||||||||||||||
100 | % | ||||||||||||||||||||
Agency RMBS–Interest Only Securities | 12,402 | Market quotes | Non-Binding Indicative Price | $ | 4.82 | $ | 21.42 | $ | 14.23 | ||||||||||||
Agency RMBS–Interest Only Securities | 1,840 | Option Adjusted Spread ("OAS") | LIBOR OAS (2) | 80 | 417 | 224 | |||||||||||||||
Projected Collateral Prepayments | 70.2 | % | 70.9 | % | 70.5 | % | |||||||||||||||
Projected Collateral Scheduled Amortization | 29.1 | % | 29.8 | % | 29.5 | % | |||||||||||||||
100 | % | ||||||||||||||||||||
-1 | Averages are weighted based on the fair value of the related instrument. | ||||||||||||||||||||
-2 | Shown in basis points. | ||||||||||||||||||||
December 31, 2013: | |||||||||||||||||||||
Range | |||||||||||||||||||||
Description | Fair Value | Valuation Technique | Significant | Min | Max | Weighted Average(1) | |||||||||||||||
Unobservable Input | |||||||||||||||||||||
(In thousands) | |||||||||||||||||||||
Non-Agency RMBS | $ | 27,422 | Market quotes | Non-Binding Indicative Price | $ | 20 | $ | 100.25 | $ | 75.39 | |||||||||||
Non-Agency RMBS | 3,259 | Discounted Cash Flows | Yield | 6 | % | 17 | % | 11.9 | % | ||||||||||||
Projected Collateral Prepayments | 12.2 | % | 58.1 | % | 33.9 | % | |||||||||||||||
Projected Collateral Losses | 6.4 | % | 26.5 | % | 11.8 | % | |||||||||||||||
Projected Collateral Recoveries | 4.6 | % | 12.8 | % | 8.8 | % | |||||||||||||||
Projected Collateral Scheduled Amortization | 29.9 | % | 54.9 | % | 45.5 | % | |||||||||||||||
100 | % | ||||||||||||||||||||
Agency RMBS–Interest Only Securities | 12,368 | Market quotes | Non-Binding Indicative Price | $ | 4.99 | $ | 22.47 | $ | 14.92 | ||||||||||||
Agency RMBS–Interest Only Securities | 1,159 | Option Adjusted Spread ("OAS") | LIBOR OAS(2) | 436 | 436 | 436 | |||||||||||||||
Projected Collateral Prepayments | 57.8 | % | 57.8 | % | 57.8 | % | |||||||||||||||
Projected Collateral Scheduled Amortization | 42.2 | % | 42.2 | % | 42.2 | % | |||||||||||||||
100 | % | ||||||||||||||||||||
-1 | Averages are weighted based on the fair value of the related instrument. | ||||||||||||||||||||
-2 | Shown in basis points. |
Derivative_Instruments_Tables
Derivative Instruments (Tables) | 9 Months Ended | ||||||||||||||||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||||||||||||||||
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, 2014 and December 31, 2013: | |||||||||||||||||||||||||||||||||
30-Sep-14 | 31-Dec-13 | ||||||||||||||||||||||||||||||||
(In thousands) | |||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value: | |||||||||||||||||||||||||||||||||
TBA securities purchase contracts | $ | 28 | $ | 1 | |||||||||||||||||||||||||||||
TBA securities sale contracts | 369 | 2,262 | |||||||||||||||||||||||||||||||
Fixed payer interest rate swaps | 8,042 | 32,700 | |||||||||||||||||||||||||||||||
Total financial derivatives–assets, at fair value: | $ | 8,439 | $ | 34,963 | |||||||||||||||||||||||||||||
Financial derivatives–liabilities, at fair value: | |||||||||||||||||||||||||||||||||
TBA securities purchase contracts | $ | (81 | ) | $ | — | ||||||||||||||||||||||||||||
TBA securities sale contracts | (411 | ) | (28 | ) | |||||||||||||||||||||||||||||
Fixed payer interest rate swaps | (2,333 | ) | (956 | ) | |||||||||||||||||||||||||||||
Swaptions | (25 | ) | (85 | ) | |||||||||||||||||||||||||||||
Total financial derivatives–liabilities, at fair value: | $ | (2,850 | ) | $ | (1,069 | ) | |||||||||||||||||||||||||||
Total | $ | 5,589 | $ | 33,894 | |||||||||||||||||||||||||||||
Interest Rate Swaps By Remaining Maturity [Table Text Block] | ' | ||||||||||||||||||||||||||||||||
The following tables provide information about the Company's interest rate swaps as of September 30, 2014 and December 31, 2013: | |||||||||||||||||||||||||||||||||
September 30, 2014: | |||||||||||||||||||||||||||||||||
Weighted Average | |||||||||||||||||||||||||||||||||
Remaining Maturity | Notional Amount | Fair Value | Pay Rate | Receive Rate | Remaining Years to Maturity | ||||||||||||||||||||||||||||
(In thousands) | |||||||||||||||||||||||||||||||||
2016 | $ | 48,000 | $ | (37 | ) | 0.8 | % | 0.23 | % | 2.02 | |||||||||||||||||||||||
2017 | 74,750 | (96 | ) | 1.21 | 0.24 | 2.84 | |||||||||||||||||||||||||||
2018 | 33,500 | 695 | 0.88 | 0.24 | 3.63 | ||||||||||||||||||||||||||||
2020 | 43,200 | 1,313 | 1.42 | 0.23 | 5.62 | ||||||||||||||||||||||||||||
2021 | 27,000 | (150 | ) | 2.29 | 0.23 | 6.77 | |||||||||||||||||||||||||||
2023 | 210,600 | 5,034 | 2.13 | 0.23 | 8.65 | ||||||||||||||||||||||||||||
2024 | 27,700 | (340 | ) | 2.74 | 0.21 | 9.83 | |||||||||||||||||||||||||||
2043 | 54,500 | (119 | ) | 3.15 | 0.23 | 28.68 | |||||||||||||||||||||||||||
2044 | 9,820 | (591 | ) | 3.48 | 0.23 | 29.66 | |||||||||||||||||||||||||||
Total | $ | 529,070 | $ | 5,709 | 1.91 | % | 0.23 | % | 9.08 | ||||||||||||||||||||||||
December 31, 2013: | |||||||||||||||||||||||||||||||||
Weighted Average | |||||||||||||||||||||||||||||||||
Remaining Maturity | Notional Amount | Fair Value | Pay Rate | Receive Rate | Remaining Years to Maturity | ||||||||||||||||||||||||||||
(In thousands) | |||||||||||||||||||||||||||||||||
2016 | $ | 48,000 | $ | (171 | ) | 0.8 | % | 0.24 | % | 2.77 | |||||||||||||||||||||||
2017 | 124,000 | (517 | ) | 1.19 | 0.24 | 3.61 | |||||||||||||||||||||||||||
2018 | 156,500 | 2,784 | 1.19 | 0.24 | 4.63 | ||||||||||||||||||||||||||||
2020 | 137,100 | 6,444 | 1.49 | 0.24 | 6.06 | ||||||||||||||||||||||||||||
2023 | 218,000 | 14,599 | 2.16 | 0.24 | 9.41 | ||||||||||||||||||||||||||||
2043 | 64,750 | 8,605 | 3.18 | 0.24 | 29.44 | ||||||||||||||||||||||||||||
Total | $ | 748,350 | $ | 31,744 | 1.67 | % | 0.24 | % | 8.14 | ||||||||||||||||||||||||
Swaptions [Table Text Block] | ' | ||||||||||||||||||||||||||||||||
The following tables provide information about the Company's swaptions as of September 30, 2014 and December 31, 2013. | |||||||||||||||||||||||||||||||||
September 30, 2014: | |||||||||||||||||||||||||||||||||
Option | Underlying Swap | ||||||||||||||||||||||||||||||||
Type | Fair Value | Months to Expiration | Notional | Term (Years) | |||||||||||||||||||||||||||||
Amount | Fixed Rate | ||||||||||||||||||||||||||||||||
($ in thousands) | |||||||||||||||||||||||||||||||||
Straddle | $ | (25 | ) | 9.5 | $ | 9,700 | 10 | 3.00% | |||||||||||||||||||||||||
December 31, 2013: | |||||||||||||||||||||||||||||||||
Option | Underlying Swap | ||||||||||||||||||||||||||||||||
Type | Fair Value | Months to Expiration | Notional | Term (Years) | Fixed Rate | ||||||||||||||||||||||||||||
Amount | |||||||||||||||||||||||||||||||||
($ in thousands) | |||||||||||||||||||||||||||||||||
Fixed Payer | $ | (59 | ) | 8.9 | $ | 22,000 | 10 | 3.31% | |||||||||||||||||||||||||
Straddle | $ | (26 | ) | 9.9 | $ | 8,000 | 10 | 3.08% | |||||||||||||||||||||||||
Schedule of To-be-announced securities (TBAs) [Table Text Block] | ' | ||||||||||||||||||||||||||||||||
As of September 30, 2014 and December 31, 2013, the Company had outstanding contracts to purchase ("long positions") and sell ("short positions") TBA securities as follows: | |||||||||||||||||||||||||||||||||
30-Sep-14 | 31-Dec-13 | ||||||||||||||||||||||||||||||||
TBA Securities | Notional Amount(1) | Cost | Market Value(3) | Net Carrying Value(4) | Notional Amount (1) | Cost | Market Value(3) | Net Carrying Value(4) | |||||||||||||||||||||||||
Basis(2) | Basis(2) | ||||||||||||||||||||||||||||||||
(In thousands) | |||||||||||||||||||||||||||||||||
Purchase contracts: | |||||||||||||||||||||||||||||||||
Assets | $ | 19,208 | $ | 19,072 | $ | 19,100 | $ | 28 | $ | 1,600 | $ | 1,725 | $ | 1,726 | $ | 1 | |||||||||||||||||
Liabilities | 32,181 | 32,567 | 32,486 | (81 | ) | — | — | — | — | ||||||||||||||||||||||||
Sale contracts: | |||||||||||||||||||||||||||||||||
Assets | (335,197 | ) | (353,155 | ) | (352,786 | ) | 369 | (363,078 | ) | (375,524 | ) | (373,262 | ) | 2,262 | |||||||||||||||||||
Liabilities | (195,429 | ) | (209,093 | ) | (209,504 | ) | (411 | ) | (16,400 | ) | (17,518 | ) | (17,546 | ) | (28 | ) | |||||||||||||||||
Total TBA securities, net | $ | (479,237 | ) | $ | (510,609 | ) | $ | (510,704 | ) | $ | (95 | ) | $ | (377,878 | ) | $ | (391,317 | ) | $ | (389,082 | ) | $ | 2,235 | ||||||||||
-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 period end. | ||||||||||||||||||||||||||||||||
-4 | Net carrying value represents the difference between the market value of the TBA contract as of period end 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, 2014 are summarized in the tables below: | |||||||||||||||||||||||||||||||||
Three Month Period Ended September 30, 2014 | |||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||
(In thousands) | |||||||||||||||||||||||||||||||||
Fixed payer interest rate swaps | $ | (678 | ) | $ | 502 | $ | (176 | ) | $ | (1,475 | ) | $ | (10 | ) | $ | (1,485 | ) | ||||||||||||||||
Swaptions | (935 | ) | (935 | ) | 898 | 898 | |||||||||||||||||||||||||||
TBAs | (3,280 | ) | (3,280 | ) | 2,867 | 2,867 | |||||||||||||||||||||||||||
Total | $ | (678 | ) | $ | (3,713 | ) | $ | (4,391 | ) | $ | (1,475 | ) | $ | 3,755 | $ | 2,280 | |||||||||||||||||
Nine Month Period Ended September 30, 2014 | |||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||
(In thousands) | |||||||||||||||||||||||||||||||||
Fixed payer interest rate swaps | $ | (5,574 | ) | $ | 4,013 | $ | (1,561 | ) | $ | (1,315 | ) | $ | (24,720 | ) | $ | (26,035 | ) | ||||||||||||||||
Swaptions | (935 | ) | (935 | ) | 60 | 60 | |||||||||||||||||||||||||||
TBAs | (16,478 | ) | (16,478 | ) | (2,330 | ) | (2,330 | ) | |||||||||||||||||||||||||
Futures | 19 | 19 | — | — | |||||||||||||||||||||||||||||
Total | $ | (5,574 | ) | $ | (13,381 | ) | $ | (18,955 | ) | $ | (1,315 | ) | $ | (26,990 | ) | $ | (28,305 | ) | |||||||||||||||
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: | |||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||
(In thousands) | |||||||||||||||||||||||||||||||||
Fixed payer interest rate swaps | $ | 49 | $ | 2,451 | $ | 2,500 | $ | (3,109 | ) | $ | (1,420 | ) | $ | (4,529 | ) | ||||||||||||||||||
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 | |||||||||||||||||||||||||||
(In thousands) | |||||||||||||||||||||||||||||||||
Fixed payer interest rate swaps | $ | (20 | ) | $ | 2,631 | $ | 2,611 | $ | (4,151 | ) | $ | 25,819 | $ | 21,668 | |||||||||||||||||||
Swaptions | — | — | (86 | ) | (86 | ) | |||||||||||||||||||||||||||
TBAs | 10,039 | 10,039 | (5,468 | ) | (5,468 | ) | |||||||||||||||||||||||||||
Total | $ | (20 | ) | $ | 12,670 | $ | 12,650 | $ | (4,151 | ) | $ | 20,265 | $ | 16,114 | |||||||||||||||||||
Borrowings_under_Repurchase_Ag1
Borrowings under Repurchase Agreements (Tables) | 9 Months Ended | ||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||
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, 2014 and December 31, 2013: | |||||||||||||||||||
September 30, 2014 | 31-Dec-13 | ||||||||||||||||||
Weighted Average | Weighted Average | ||||||||||||||||||
Remaining Days to Maturity | Borrowings Outstanding | Interest Rate | Remaining Days to Maturity | Borrowings Outstanding | Interest Rate | Remaining Days to Maturity | |||||||||||||
(In thousands) | |||||||||||||||||||
30 days or less | $ | 325,079 | 0.34 | % | 16 | $ | 338,700 | 0.35 | % | 14 | |||||||||
31-60 days | 519,999 | 0.33 | 45 | 531,799 | 0.39 | 46 | |||||||||||||
61-90 days | 338,669 | 0.33 | 73 | 326,386 | 0.38 | 72 | |||||||||||||
91-120 days | 22,192 | 0.38 | 106 | 109,476 | 0.45 | 100 | |||||||||||||
121-150 days | 27,394 | 0.38 | 135 | 3,986 | 0.56 | 136 | |||||||||||||
Total | $ | 1,233,333 | 0.33 | % | 48 | $ | 1,310,347 | 0.38 | % | 49 | |||||||||
Offsetting_of_Assets_and_Liabi1
Offsetting of Assets and Liabilities (Tables) | 9 Months Ended | ||||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||||
Offsetting of Assets and Liabilities [Abstract] | ' | ||||||||||||||||||||
Offsetting of Assets and Liabilities [Table Text Block] | ' | ||||||||||||||||||||
The following tables present information about certain assets and liabilities representing financial instruments as of September 30, 2014 and December 31, 2013. The Company has not previously entered into master netting agreements with any of its counterparties. Certain of the Company's repurchase and reverse repurchase agreements and financial derivative transactions are governed by underlying agreements that generally provide a right of offset in the event of default or in the event of a bankruptcy of either party to the transaction. | |||||||||||||||||||||
September 30, 2014: | |||||||||||||||||||||
Description | Amount of Assets (Liabilities) Presented in the Consolidated Balance Sheet(1) | Financial Instruments Available for Offset | Financial Instruments Transferred or Pledged as Collateral(2)(3) | Cash Collateral (Received) Pledged(2)(3) | Net Amount | ||||||||||||||||
(In thousands) | |||||||||||||||||||||
Assets: | |||||||||||||||||||||
Financial derivatives–assets | $ | 8,439 | $ | (628 | ) | $ | — | $ | (2,411 | ) | $ | 5,400 | |||||||||
Reverse repurchase agreements | 2,484 | (2,484 | ) | — | — | — | |||||||||||||||
Liabilities: | |||||||||||||||||||||
Financial derivatives–liabilities | (2,850 | ) | 628 | — | 2,054 | (168 | ) | ||||||||||||||
Repurchase agreements | (1,233,333 | ) | 2,484 | 1,219,354 | 11,495 | — | |||||||||||||||
-1 | In the Company's Consolidated Balance Sheet, all balances associated with the repurchase agreements and financial derivatives are presented on a gross basis. | ||||||||||||||||||||
-2 | For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, we have reduced the amount of financial instruments transferred or pledged as collateral related to our repurchase agreements and cash collateral pledged on our financial derivative assets and liabilities. Total financial instruments transferred or pledged as collateral on our repurchase agreements as of September 30, 2014 were $1.28 billion. As of September 30, 2014 total cash collateral on financial derivative assets and financial derivative liabilities excludes $20.5 thousand and $5.1 million of net excess cash collateral. | ||||||||||||||||||||
-3 | When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a specific asset or liability. As a result, in preparing the above table, the Company has made assumptions in allocating pledged or posted collateral among the various rows. | ||||||||||||||||||||
December 31, 2013: | |||||||||||||||||||||
Description | Amount of Assets (Liabilities) Presented in the Consolidated Balance Sheet(1) | Financial Instruments Available for Offset | Financial Instruments Transferred or Pledged as Collateral(2)(3) | Cash Collateral (Received) Pledged(2)(3) | Net Amount | ||||||||||||||||
(In thousands) | |||||||||||||||||||||
Assets: | |||||||||||||||||||||
Financial derivatives–assets | $ | 34,963 | $ | (1,042 | ) | $ | — | $ | (22,360 | ) | $ | 11,561 | |||||||||
Liabilities: | |||||||||||||||||||||
Financial derivatives–liabilities | (1,069 | ) | 1,042 | — | 26 | (1 | ) | ||||||||||||||
Repurchase agreements | (1,310,347 | ) | — | 1,295,567 | 14,780 | — | |||||||||||||||
-1 | In the Company's Consolidated Balance Sheet, all balances associated with the repurchase agreements and financial derivatives are presented on a gross basis. | ||||||||||||||||||||
-2 | For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore we have reduced the amount of financial instruments transferred or pledged as collateral related to our repurchase agreements and cash collateral pledged on our financial derivative assets and liabilities. Total financial instruments transferred or pledged as collateral on our repurchase agreements as of December 31, 2013 were $1.36 billion. As of December 31, 2013 total cash collateral on financial derivative assets and liabilities excludes $0.3 million and $3.1 million, respectively of net excess cash collateral. | ||||||||||||||||||||
-3 | When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a specific asset or liability. As a result, in preparing the above table, the Company has made assumptions in allocating pledged or posted collateral among the various rows. |
Earnings_per_Share_Tables
Earnings per Share (Tables) | 9 Months Ended | ||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||
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, 2014 and 2013: | |||||||||||||||||
(In thousands except share amounts) | Three Month | Three Month | Nine Month | Nine Month | |||||||||||||
Period Ended | Period Ended | Period Ended | Period Ended | ||||||||||||||
30-Sep-14 | 30-Sep-13 | 30-Sep-14 | 30-Sep-13 | ||||||||||||||
Numerator: | |||||||||||||||||
Net income (loss) | $ | 3,533 | $ | 6,785 | $ | 17,344 | $ | (1,789 | ) | ||||||||
Denominator: | |||||||||||||||||
Basic and diluted weighted average shares outstanding | 9,141,892 | 9,133,940 | 9,140,533 | 5,699,501 | |||||||||||||
Basic and Diluted Earnings Per Share | $ | 0.39 | $ | 0.74 | $ | 1.9 | $ | (0.31 | ) | ||||||||
Capital_Capital_Tables
Capital Capital (Tables) | 9 Months Ended | |||||||||
Sep. 30, 2014 | ||||||||||
Equity [Abstract] | ' | |||||||||
Dividends Declared [Table Text Block] | ' | |||||||||
The below table details cash dividends declared by the Board of Trustees during the nine month period ended September 30, 2014: | ||||||||||
Dividend | Dividend Amount | Declaration Date | Record Date | Payment Date | ||||||
Per Share | ||||||||||
(In thousands) | ||||||||||
First Quarter | $0.55 | $5,027 | 12-Mar-14 | 31-Mar-14 | 28-Apr-14 | |||||
Second Quarter | $0.55 | $5,027 | 17-Jun-14 | 30-Jun-14 | 25-Jul-14 | |||||
Third Quarter | $0.55 | $5,032 | 11-Sep-14 | 30-Sep-14 | 27-Oct-14 | |||||
The below table details cash dividends declared by the Board of Trustees during the nine month period ended September 30, 2013: | ||||||||||
Dividend | Dividend Amount | Declaration Date | Record Date | Payment Date | ||||||
Per Share | ||||||||||
(In thousands) | ||||||||||
Second Quarter | $0.14 | $1,279 | 18-Jun-13 | 28-Jun-13 | 26-Jul-13 | |||||
Third Quarter | $0.50 | $4,569 | 17-Sep-13 | 27-Sep-13 | 25-Oct-13 | |||||
The Board of Trustees did not declare any cash dividends prior to the second quarter of 2013. |
Organization_and_Investment_Ob1
Organization and Investment Objective (Details) (USD $) | 9 Months Ended | 0 Months Ended | ||||
Sep. 30, 2014 | Sep. 30, 2013 | 1-May-13 | 1-May-13 | 1-May-13 | Sep. 25, 2012 | |
Common Stock [Member] | IPO [Member] | Private Placement [Member] | Private Placement [Member] | |||
Common Stock [Member] | Common Stock [Member] | Common Stock [Member] | ||||
Private Placement and Initial Public Offering [Line Items] | ' | ' | ' | ' | ' | ' |
Issuance of shares, shares | ' | ' | ' | 6,450,000 | 1,050,000 | ' |
Share price | ' | ' | ' | $20 | $20 | ' |
Issuance of shares, Value | ' | $150,000,000 | ' | ' | $21,000,000 | $31,500,000 |
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% | ' | ' | ' | ' | ' |
Significant_Accounting_Policie2
Significant Accounting Policies (Details) | 9 Months Ended |
Sep. 30, 2014 | |
Accounting Policies [Abstract] | ' |
Required Distribution of Taxable Net Income, Percentage on Annual Basis | 90.00% |
Schedule_of_MortgageBacked_Sec
Schedule of Mortgage-Backed Securities (Details) (USD $) | 9 Months Ended | 12 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2014 | Dec. 31, 2013 | ||
Mortgage-Backed Securities [Line Items] | ' | ' | ||
Fair Value | $1,368,092 | $1,326,036 | ||
Residential Mortgage Backed Securities [Member] | ' | ' | ||
Mortgage-Backed Securities [Line Items] | ' | ' | ||
Current Principal | 1,298,927 | 1,310,647 | ||
Unamortized Premium (Discount) | 45,542 | 30,711 | ||
Amortized Cost | 1,356,577 | 1,352,076 | ||
Gross Unrealized Gain | 17,540 | 5,654 | ||
Gross Unrealized Losses | -6,025 | -31,694 | ||
Fair Value | 1,368,092 | 1,326,036 | ||
Weighted Average Coupon | 3.96% | 3.72% | ||
Weighted Average Yield | 3.41% | 3.38% | ||
Weighted Average Life (Years) | '7 years 332 days | [1] | '8 years 204 days | [1] |
Non-Agency RMBS [Member] | ' | ' | ||
Mortgage-Backed Securities [Line Items] | ' | ' | ||
Current Principal | 52,785 | 50,006 | ||
Unamortized Premium (Discount) | -21,568 | -21,327 | ||
Amortized Cost | 31,217 | 28,679 | ||
Gross Unrealized Gain | 3,166 | 2,196 | ||
Gross Unrealized Losses | -651 | -194 | ||
Fair Value | 33,732 | 30,681 | ||
Weighted Average Coupon | 2.30% | 2.84% | ||
Weighted Average Yield | 9.71% | 9.12% | ||
Weighted Average Life (Years) | '5 years 80 days | [1] | '5 years 197 days | [1] |
15-year fixed rate mortgages [Member] | Agency RMBS [Member] | ' | ' | ||
Mortgage-Backed Securities [Line Items] | ' | ' | ||
Current Principal | 136,558 | 179,906 | ||
Unamortized Premium (Discount) | 6,498 | 7,153 | ||
Amortized Cost | 143,056 | 187,059 | ||
Gross Unrealized Gain | 524 | 65 | ||
Gross Unrealized Losses | -223 | -3,252 | ||
Fair Value | 143,357 | 183,872 | ||
Weighted Average Coupon | 3.40% | 3.09% | ||
Weighted Average Yield | 2.51% | 2.52% | ||
Weighted Average Life (Years) | '5 years 201 days | [1] | '5 years 277 days | [1] |
20-year fixed rate mortgages [Member] | Agency RMBS [Member] | ' | ' | ||
Mortgage-Backed Securities [Line Items] | ' | ' | ||
Current Principal | 9,974 | ' | ||
Unamortized Premium (Discount) | 596 | ' | ||
Amortized Cost | 10,570 | ' | ||
Gross Unrealized Gain | 93 | ' | ||
Gross Unrealized Losses | -1 | ' | ||
Fair Value | 10,662 | ' | ||
Weighted Average Coupon | 4.00% | ' | ||
Weighted Average Yield | 3.44% | ' | ||
Weighted Average Life (Years) | '7 years 40 days | [1] | ' | |
30-year fixed rate mortgages [Member] | Agency RMBS [Member] | ' | ' | ||
Mortgage-Backed Securities [Line Items] | ' | ' | ||
Current Principal | 1,036,799 | 1,029,629 | ||
Unamortized Premium (Discount) | 55,491 | 41,565 | ||
Amortized Cost | 1,092,290 | 1,071,194 | ||
Gross Unrealized Gain | 11,061 | 490 | ||
Gross Unrealized Losses | -4,590 | -28,111 | ||
Fair Value | 1,098,761 | 1,043,573 | ||
Weighted Average Coupon | 4.04% | 3.79% | ||
Weighted Average Yield | 3.29% | 3.30% | ||
Weighted Average Life (Years) | '8 years 358 days | [1] | '9 years 292 days | [1] |
Adjustable Rate Mortgages | Agency RMBS [Member] | ' | ' | ||
Mortgage-Backed Securities [Line Items] | ' | ' | ||
Current Principal | 43,288 | 43,525 | ||
Unamortized Premium (Discount) | 2,945 | 2,647 | ||
Amortized Cost | 46,233 | 46,172 | ||
Gross Unrealized Gain | 121 | 46 | ||
Gross Unrealized Losses | -233 | -103 | ||
Fair Value | 46,121 | 46,115 | ||
Weighted Average Coupon | 4.63% | 4.72% | ||
Weighted Average Yield | 3.16% | 3.24% | ||
Weighted Average Life (Years) | '6 years 11 days | [1] | '3 years 288 days | [1] |
Reverse mortgages [Member] | Agency RMBS [Member] | ' | ' | ||
Mortgage-Backed Securities [Line Items] | ' | ' | ||
Current Principal | 19,523 | 7,581 | ||
Unamortized Premium (Discount) | 1,580 | 673 | ||
Amortized Cost | 21,103 | 8,254 | ||
Gross Unrealized Gain | 118 | 16 | ||
Gross Unrealized Losses | -4 | -2 | ||
Fair Value | 21,217 | 8,268 | ||
Weighted Average Coupon | 4.73% | 4.85% | ||
Weighted Average Yield | 2.77% | 2.90% | ||
Weighted Average Life (Years) | '4 years 314 days | [1] | '3 years 150 days | [1] |
Interest-Only [Member] | Agency RMBS [Member] | ' | ' | ||
Mortgage-Backed Securities [Line Items] | ' | ' | ||
Amortized Cost | 12,108 | 10,718 | ||
Gross Unrealized Gain | 2,457 | 2,841 | ||
Gross Unrealized Losses | -323 | -32 | ||
Fair Value | 14,242 | 13,527 | ||
Weighted Average Coupon | 4.19% | 3.97% | ||
Weighted Average Yield | 10.58% | 11.79% | ||
Weighted Average Life (Years) | '3 years 201 days | [1] | '5 years 7 days | [1] |
Agency Securities [Member] | Agency RMBS [Member] | ' | ' | ||
Mortgage-Backed Securities [Line Items] | ' | ' | ||
Current Principal | 1,246,142 | 1,260,641 | ||
Unamortized Premium (Discount) | 67,110 | 52,038 | ||
Amortized Cost | 1,325,360 | 1,323,397 | ||
Gross Unrealized Gain | 14,374 | 3,458 | ||
Gross Unrealized Losses | -5,374 | -31,500 | ||
Fair Value | $1,334,360 | $1,295,355 | ||
Weighted Average Coupon | 4.02% | 3.75% | ||
Weighted Average Yield | 3.26% | 3.26% | ||
Weighted Average Life (Years) | '7 years 361 days | [1] | '8 years 245 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. |
Schedule_of_MortgageBacked_Sec1
Schedule of Mortgage-Backed Securities by Weighted Average Life (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Mortgage-Backed Securities [Line Items] | ' | ' |
Mortgage-backed securities, at fair value | $1,368,092 | $1,326,036 |
Non-Agency RMBS [Member] | ' | ' |
Mortgage-Backed Securities [Line Items] | ' | ' |
Mortgage-backed securities, at fair value | 33,732 | 30,681 |
Amortized Cost | 31,217 | 28,679 |
Weighted Average Coupon Rate, Percent | 2.30% | 2.84% |
Less than three years [Member] | Non-Agency RMBS [Member] | ' | ' |
Mortgage-Backed Securities [Line Items] | ' | ' |
Mortgage-backed securities, at fair value | 3,113 | 1,715 |
Amortized Cost | 1,945 | 1,216 |
Weighted Average Coupon Rate, Percent | 3.02% | 2.38% |
Greater than three years and less than seven years [Member] | Non-Agency RMBS [Member] | ' | ' |
Mortgage-Backed Securities [Line Items] | ' | ' |
Mortgage-backed securities, at fair value | 18,274 | 16,488 |
Amortized Cost | 18,061 | 15,950 |
Weighted Average Coupon Rate, Percent | 2.66% | 3.42% |
Greater than seven years and less than eleven years [Member] | Non-Agency RMBS [Member] | ' | ' |
Mortgage-Backed Securities [Line Items] | ' | ' |
Mortgage-backed securities, at fair value | 12,345 | 11,656 |
Amortized Cost | 11,211 | 10,708 |
Weighted Average Coupon Rate, Percent | 1.24% | 1.43% |
Greater than eleven years [Member] | Non-Agency RMBS [Member] | ' | ' |
Mortgage-Backed Securities [Line Items] | ' | ' |
Mortgage-backed securities, at fair value | ' | 822 |
Amortized Cost | ' | 805 |
Weighted Average Coupon Rate, Percent | ' | 7.69% |
Fixed Rate [Member] | Agency RMBS [Member] | ' | ' |
Mortgage-Backed Securities [Line Items] | ' | ' |
Mortgage-backed securities, at fair value | 1,320,118 | 1,281,828 |
Amortized Cost | 1,313,252 | 1,312,679 |
Weighted Average Coupon Rate, Percent | 4.00% | 3.73% |
Fixed Rate [Member] | Less than three years [Member] | Agency RMBS [Member] | ' | ' |
Mortgage-Backed Securities [Line Items] | ' | ' |
Mortgage-backed securities, at fair value | 8,216 | 5,554 |
Amortized Cost | 8,160 | 5,518 |
Weighted Average Coupon Rate, Percent | 4.85% | 5.68% |
Fixed Rate [Member] | Greater than three years and less than seven years [Member] | Agency RMBS [Member] | ' | ' |
Mortgage-Backed Securities [Line Items] | ' | ' |
Mortgage-backed securities, at fair value | 253,354 | 243,120 |
Amortized Cost | 252,667 | 246,342 |
Weighted Average Coupon Rate, Percent | 3.95% | 3.48% |
Fixed Rate [Member] | Greater than seven years and less than eleven years [Member] | Agency RMBS [Member] | ' | ' |
Mortgage-Backed Securities [Line Items] | ' | ' |
Mortgage-backed securities, at fair value | 1,058,548 | 1,031,552 |
Amortized Cost | 1,052,425 | 1,059,223 |
Weighted Average Coupon Rate, Percent | 4.01% | 3.79% |
Fixed Rate [Member] | Greater than eleven years [Member] | Agency RMBS [Member] | ' | ' |
Mortgage-Backed Securities [Line Items] | ' | ' |
Mortgage-backed securities, at fair value | ' | 1,602 |
Amortized Cost | ' | 1,596 |
Weighted Average Coupon Rate, Percent | ' | 4.50% |
Interest-Only [Member] | Agency RMBS [Member] | ' | ' |
Mortgage-Backed Securities [Line Items] | ' | ' |
Mortgage-backed securities, at fair value | 14,242 | 13,527 |
Amortized Cost | 12,108 | 10,718 |
Weighted Average Coupon Rate, Percent | 4.19% | 3.97% |
Interest-Only [Member] | Less than three years [Member] | Agency RMBS [Member] | ' | ' |
Mortgage-Backed Securities [Line Items] | ' | ' |
Mortgage-backed securities, at fair value | 4,665 | 955 |
Amortized Cost | 4,930 | 762 |
Weighted Average Coupon Rate, Percent | 3.34% | 6.48% |
Interest-Only [Member] | Greater than three years and less than seven years [Member] | Agency RMBS [Member] | ' | ' |
Mortgage-Backed Securities [Line Items] | ' | ' |
Mortgage-backed securities, at fair value | 9,577 | 7,643 |
Amortized Cost | 7,178 | 6,198 |
Weighted Average Coupon Rate, Percent | 5.11% | 3.31% |
Interest-Only [Member] | Greater than seven years and less than eleven years [Member] | Agency RMBS [Member] | ' | ' |
Mortgage-Backed Securities [Line Items] | ' | ' |
Mortgage-backed securities, at fair value | 0 | 4,929 |
Amortized Cost | 0 | 3,758 |
Weighted Average Coupon Rate, Percent | 0.00% | 4.91% |
Interest-Only [Member] | Greater than eleven years [Member] | Agency RMBS [Member] | ' | ' |
Mortgage-Backed Securities [Line Items] | ' | ' |
Mortgage-backed securities, at fair value | ' | 0 |
Amortized Cost | ' | $0 |
Weighted Average Coupon Rate, Percent | ' | 0.00% |
MortgageBacked_Securities_Inte
Mortgage-Backed Securities Interest Income Components (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 |
Interest Income Components [Line Items] | ' | ' | ' | ' |
Amortization of premiums and accretion of discounts (net) | ' | ' | ($5,254) | ($2,498) |
Agency RMBS [Member] | ' | ' | ' | ' |
Interest Income Components [Line Items] | ' | ' | ' | ' |
Coupon Income | 13,254 | 12,570 | 39,323 | 17,484 |
Amortization of premiums and accretion of discounts (net) | -2,575 | -2,089 | -6,618 | -3,129 |
Interest Income | 10,679 | 10,481 | 32,705 | 14,355 |
Non-Agency RMBS [Member] | ' | ' | ' | ' |
Interest Income Components [Line Items] | ' | ' | ' | ' |
Coupon Income | 303 | 428 | 947 | 824 |
Amortization of premiums and accretion of discounts (net) | 502 | 307 | 1,359 | 631 |
Interest Income | 805 | 735 | 2,306 | 1,455 |
Residential Mortgage Backed Securities [Member] | ' | ' | ' | ' |
Interest Income Components [Line Items] | ' | ' | ' | ' |
Coupon Income | 13,557 | 12,998 | 40,270 | 18,308 |
Amortization of premiums and accretion of discounts (net) | -2,073 | -1,782 | -5,259 | -2,498 |
Interest Income | $11,484 | $11,216 | $35,011 | $15,810 |
MortgageBacked_Securities_Narr
Mortgage-Backed Securities Narrative (Details) (USD $) | 3 Months Ended | 9 Months Ended | 12 Months Ended |
In Millions, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2014 | Dec. 31, 2013 |
Investments, Debt and Equity Securities [Abstract] | ' | ' | ' |
Weighted Average Holdings | $1,352 | $1,359 | $879.90 |
Valuation_Schedule_of_Fair_Val
Valuation Schedule of Fair Value Measurements (Details) (USD $) | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2014 | Dec. 31, 2013 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | $1,368,092,000 | $1,326,036,000 | ||
Financial derivatives-assets, at fair value | 8,439,000 | [1] | 34,963,000 | [1] |
Reverse repurchase agreements | 2,484,000 | [1] | 0 | |
U.S. Treasury securities sold short, at fair value | 2,483,000 | 0 | ||
Financial derivatives-liabilities, at fair value | -2,850,000 | [1] | -1,069,000 | [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] | ' | ' | ||
Mortgage-backed securities, at fair value | 0 | 0 | ||
Financial derivatives-assets, at fair value | 0 | 0 | ||
Reverse repurchase agreements | 0 | ' | ||
Total mortgage-backed securities, financial derivatives–assets, and reverse repurchase agreements, at fair value | 0 | 0 | ||
Financial derivatives-liabilities, at fair value | 0 | 0 | ||
Total U.S. Treasury securities and financial derivatives-liabilities, at fair value | 0 | ' | ||
Level 2 [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | 1,320,118,000 | 1,281,828,000 | ||
Financial derivatives-assets, at fair value | 8,439,000 | 34,963,000 | ||
Reverse repurchase agreements | 2,484,000 | ' | ||
Total mortgage-backed securities, financial derivatives–assets, and reverse repurchase agreements, at fair value | 1,331,041,000 | 1,316,791,000 | ||
Financial derivatives-liabilities, at fair value | -2,850,000 | -1,069,000 | ||
Total U.S. Treasury securities and financial derivatives-liabilities, at fair value | -5,333,000 | ' | ||
Level 3 [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | 47,974,000 | 44,208,000 | ||
Financial derivatives-assets, at fair value | 0 | 0 | ||
Reverse repurchase agreements | 0 | ' | ||
Total mortgage-backed securities, financial derivatives–assets, and reverse repurchase agreements, at fair value | 47,974,000 | 44,208,000 | ||
Financial derivatives-liabilities, at fair value | 0 | 0 | ||
Total U.S. Treasury securities and financial derivatives-liabilities, at fair value | 0 | ' | ||
Estimate of Fair Value, Fair Value Disclosure [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | 1,368,092,000 | 1,326,036,000 | ||
Financial derivatives-assets, at fair value | 8,439,000 | 34,963,000 | ||
Reverse repurchase agreements | 2,484,000 | ' | ||
Total mortgage-backed securities, financial derivatives–assets, and reverse repurchase agreements, at fair value | 1,379,015,000 | 1,360,999,000 | ||
Financial derivatives-liabilities, at fair value | -2,850,000 | -1,069,000 | ||
Total U.S. Treasury securities and financial derivatives-liabilities, at fair value | -5,333,000 | ' | ||
Non-Agency RMBS [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | 33,732,000 | 30,681,000 | ||
Non-Agency RMBS [Member] | Level 1 [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | 0 | 0 | ||
Non-Agency RMBS [Member] | Level 2 [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | 0 | 0 | ||
Non-Agency RMBS [Member] | Level 3 [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | 33,732,000 | 30,681,000 | ||
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] | ' | ' | ||
Mortgage-backed securities, at fair value | 33,732,000 | 30,681,000 | ||
Residential Mortgage Backed Securities [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | 1,368,092,000 | 1,326,036,000 | ||
US Treasury Securities [Member] | Level 1 [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
U.S. Treasury securities sold short, at fair value | 0 | ' | ||
US Treasury Securities [Member] | Level 2 [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
U.S. Treasury securities sold short, at fair value | -2,483,000 | ' | ||
US Treasury Securities [Member] | Level 3 [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
U.S. Treasury securities sold short, at fair value | 0 | ' | ||
US Treasury Securities [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
U.S. Treasury securities sold short, at fair value | -2,483,000 | ' | ||
15-year fixed rate mortgages [Member] | Agency RMBS [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | 143,357,000 | 183,872,000 | ||
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] | ' | ' | ||
Mortgage-backed securities, at fair value | 0 | 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] | ' | ' | ||
Mortgage-backed securities, at fair value | 143,357,000 | 183,872,000 | ||
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] | ' | ' | ||
Mortgage-backed securities, at fair value | 0 | 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] | ' | ' | ||
Mortgage-backed securities, at fair value | 143,357,000 | 183,872,000 | ||
20-year fixed rate mortgages [Member] | Agency RMBS [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | 10,662,000 | ' | ||
20-year fixed rate mortgages [Member] | Agency RMBS [Member] | Level 1 [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | 0 | ' | ||
20-year fixed rate mortgages [Member] | Agency RMBS [Member] | Level 2 [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | 10,662,000 | ' | ||
20-year fixed rate mortgages [Member] | Agency RMBS [Member] | Level 3 [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | 0 | ' | ||
20-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] | ' | ' | ||
Mortgage-backed securities, at fair value | 10,662,000 | ' | ||
30-year fixed rate mortgages [Member] | Agency RMBS [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | 1,098,761,000 | 1,043,573,000 | ||
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] | ' | ' | ||
Mortgage-backed securities, at fair value | 0 | 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] | ' | ' | ||
Mortgage-backed securities, at fair value | 1,098,761,000 | 1,043,573,000 | ||
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] | ' | ' | ||
Mortgage-backed securities, at fair value | 0 | 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] | ' | ' | ||
Mortgage-backed securities, at fair value | 1,098,761,000 | 1,043,573,000 | ||
Adjustable Rate Mortgages | Agency RMBS [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | 46,121,000 | 46,115,000 | ||
Adjustable Rate Mortgages | Agency RMBS [Member] | Level 1 [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | 0 | 0 | ||
Adjustable Rate Mortgages | Agency RMBS [Member] | Level 2 [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | 46,121,000 | 46,115,000 | ||
Adjustable Rate Mortgages | Agency RMBS [Member] | Level 3 [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | 0 | 0 | ||
Adjustable Rate Mortgages | Agency RMBS [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | 46,121,000 | 46,115,000 | ||
Reverse mortgages [Member] | Agency RMBS [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | 21,217,000 | 8,268,000 | ||
Reverse mortgages [Member] | Agency RMBS [Member] | Level 1 [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | 0 | 0 | ||
Reverse mortgages [Member] | Agency RMBS [Member] | Level 2 [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | 21,217,000 | 8,268,000 | ||
Reverse mortgages [Member] | Agency RMBS [Member] | Level 3 [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | 0 | 0 | ||
Reverse 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] | ' | ' | ||
Mortgage-backed securities, at fair value | 21,217,000 | 8,268,000 | ||
Interest-Only [Member] | Agency RMBS [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | 14,242,000 | 13,527,000 | ||
Interest-Only [Member] | Agency RMBS [Member] | Level 1 [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | 0 | 0 | ||
Interest-Only [Member] | Agency RMBS [Member] | Level 2 [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | 0 | 0 | ||
Interest-Only [Member] | Agency RMBS [Member] | Level 3 [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | 14,242,000 | 13,527,000 | ||
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] | ' | ' | ||
Mortgage-backed securities, at fair value | 14,242,000 | 13,527,000 | ||
Interest Rate Swap [Member] | Level 1 [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-assets, at fair value | 0 | 0 | ||
Financial derivatives-liabilities, at fair value | 0 | 0 | ||
Interest Rate Swap [Member] | Level 2 [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-assets, at fair value | 8,042,000 | 32,700,000 | ||
Financial derivatives-liabilities, at fair value | -2,333,000 | -956,000 | ||
Interest Rate Swap [Member] | Level 3 [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-assets, at fair value | 0 | 0 | ||
Financial derivatives-liabilities, at fair value | 0 | 0 | ||
Interest Rate Swap [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 | 8,042,000 | 32,700,000 | ||
Financial derivatives-liabilities, at fair value | -2,333,000 | -956,000 | ||
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 | 8,042,000 | 32,700,000 | ||
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 | -2,333,000 | -956,000 | ||
Interest Rate Swaption [Member] | Level 1 [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-liabilities, at fair value | 0 | 0 | ||
Interest Rate Swaption [Member] | Level 2 [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-liabilities, at fair value | -25,000 | -85,000 | ||
Interest Rate Swaption [Member] | Level 3 [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-liabilities, at fair value | 0 | 0 | ||
Interest Rate Swaption [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 | -25,000 | -85,000 | ||
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 | -25,000 | -85,000 | ||
TBA securities [Member] | Level 1 [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-assets, at fair value | 0 | 0 | ||
Financial derivatives-liabilities, at fair value | 0 | 0 | ||
TBA securities [Member] | Level 2 [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-assets, at fair value | 397,000 | 2,263,000 | ||
Financial derivatives-liabilities, at fair value | -492,000 | -28,000 | ||
TBA securities [Member] | Level 3 [Member] | ' | ' | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ||
Financial derivatives-assets, at fair value | 0 | 0 | ||
Financial derivatives-liabilities, at fair value | 0 | 0 | ||
TBA securities [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 | 397,000 | 2,263,000 | ||
Financial derivatives-liabilities, at fair value | ($492,000) | ($28,000) | ||
[1] | In 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 $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 |
Agency RMBS [Member] | ' | ' | ' | ' |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' | ' | ' | ' |
Beginning balance | $14,276 | $9,905 | $13,527 | $0 |
Transfers | ' | ' | ' | ' |
Transfers into level 3 | 0 | 0 | 0 | 0 |
Transfers out of level 3 | 0 | 0 | 0 | 0 |
Purchases | 545 | 3,094 | 4,640 | 12,116 |
Proceeds from sales | 0 | 0 | -1,282 | 0 |
Principal repayments | 0 | 0 | 0 | 0 |
(Amortization)/accretion, net | -906 | -626 | -2,326 | -761 |
Net realized gains | 0 | 0 | 358 | 0 |
Change in net unrealized gains (losses) | 327 | 349 | -675 | 1,367 |
Ending balance | 14,242 | 12,722 | 14,242 | 12,722 |
Change in net unrealized gains (losses) for level 3 assets still held | 300 | 300 | -500 | 1,400 |
Non-Agency RMBS [Member] | ' | ' | ' | ' |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' | ' | ' | ' |
Beginning balance | 35,668 | 38,810 | 30,681 | 13,596 |
Transfers | ' | ' | ' | ' |
Transfers into level 3 | 0 | 0 | 0 | 0 |
Transfers out of level 3 | 0 | 0 | 0 | 0 |
Purchases | 2,543 | 6,402 | 14,711 | 37,180 |
Proceeds from sales | -3,688 | -9,247 | -11,104 | -14,556 |
Principal repayments | -1,373 | -2,927 | -3,945 | -4,390 |
(Amortization)/accretion, net | 502 | 307 | 1,359 | 631 |
Net realized gains | 1,145 | 581 | 1,518 | 1,469 |
Change in net unrealized gains (losses) | -1,065 | 541 | 512 | 537 |
Ending balance | 33,732 | 34,467 | 33,732 | 34,467 |
Change in net unrealized gains (losses) for level 3 assets still held | ($100) | $700 | $800 | $600 |
Valuation_Qualtitative_Informa
Valuation Qualtitative Information (Details) (Level 3 [Member], USD $) | Sep. 30, 2014 | Dec. 31, 2013 | ||
In Thousands, except Per Share data, unless otherwise specified | ||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Fair Value | $47,974 | $44,208 | ||
Non-Agency RMBS [Member] | Market Quotes [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Fair Value | 28,493 | 27,422 | ||
Non-Agency RMBS [Member] | Market Quotes [Member] | Minimum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Non-Binding Indicative Price | $46.05 | $20 | ||
Non-Agency RMBS [Member] | Market Quotes [Member] | Maximum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Non-Binding Indicative Price | $106.25 | $100.25 | ||
Non-Agency RMBS [Member] | Market Quotes [Member] | Weighted Average [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Non-Binding Indicative Price | $76.25 | [1] | $75.39 | [1] |
Non-Agency RMBS [Member] | Discounted Cash Flows [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Fair Value | 5,239 | 3,259 | ||
Non-Agency RMBS [Member] | Discounted Cash Flows [Member] | Minimum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield | 7.30% | 6.00% | ||
Projected Collateral Prepayments | 30.80% | 12.20% | ||
Projected Collateral Losses | 3.90% | 6.40% | ||
Projected Collateral Recoveries | 5.20% | 4.60% | ||
Projected Collateral Scheduled Amortization | 46.20% | 29.90% | ||
Non-Agency RMBS [Member] | Discounted Cash Flows [Member] | Maximum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield | 15.60% | 17.00% | ||
Projected Collateral Prepayments | 41.70% | 58.10% | ||
Projected Collateral Losses | 7.20% | 26.50% | ||
Projected Collateral Recoveries | 10.90% | 12.80% | ||
Projected Collateral Scheduled Amortization | 53.80% | 54.90% | ||
Non-Agency RMBS [Member] | Discounted Cash Flows [Member] | Weighted Average [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Yield | 9.20% | [1] | 11.90% | [1] |
Projected Collateral Prepayments | 37.10% | [1] | 33.90% | [1] |
Projected Collateral Losses | 5.50% | [1] | 11.80% | [1] |
Projected Collateral Recoveries | 8.40% | [1] | 8.80% | [1] |
Projected Collateral Scheduled Amortization | 49.00% | [1] | 45.50% | [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 | 12,402 | 12,368 | ||
Interest-Only [Member] | Agency RMBS [Member] | Market Quotes [Member] | Minimum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Non-Binding Indicative Price | $4.82 | $4.99 | ||
Interest-Only [Member] | Agency RMBS [Member] | Market Quotes [Member] | Maximum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Non-Binding Indicative Price | $21.42 | $22.47 | ||
Interest-Only [Member] | Agency RMBS [Member] | Market Quotes [Member] | Weighted Average [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Non-Binding Indicative Price | $14.23 | [1] | $14.92 | [1] |
Interest-Only [Member] | Agency RMBS [Member] | Income Approach Valuation Technique [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
Fair Value | $1,840 | $1,159 | ||
Interest-Only [Member] | Agency RMBS [Member] | Income Approach Valuation Technique [Member] | Minimum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
FairValueInputsLiborOas | 0.80% | [2] | 4.36% | [2] |
Projected Collateral Prepayments | 70.20% | 57.80% | ||
Projected Collateral Scheduled Amortization | 29.10% | 42.20% | ||
Interest-Only [Member] | Agency RMBS [Member] | Income Approach Valuation Technique [Member] | Maximum [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
FairValueInputsLiborOas | 4.17% | [2] | 4.36% | [2] |
Projected Collateral Prepayments | 70.90% | 57.80% | ||
Projected Collateral Scheduled Amortization | 29.80% | 42.20% | ||
Interest-Only [Member] | Agency RMBS [Member] | Income Approach Valuation Technique [Member] | Weighted Average [Member] | ' | ' | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ||
FairValueInputsLiborOas | 2.24% | [1],[2] | 4.36% | [1],[2] |
Projected Collateral Prepayments | 70.50% | [1] | 57.80% | [1] |
Projected Collateral Scheduled Amortization | 29.50% | [1] | 42.20% | [1] |
Projected Total | 100.00% | [1] | 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, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
Derivative [Line Items] | ' | ' | ||
Financial derivatives–assets, at fair value | $8,439 | [1] | $34,963 | [1] |
Financial derivatives-liabilities, at fair value | -2,850 | [1] | -1,069 | [1] |
Derivative, Fair Value, Net | 5,589 | 33,894 | ||
Interest Rate Swap [Member] | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Derivative, Fair Value, Net | 5,709 | 31,744 | ||
TBA securities [Member] | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Derivative, Fair Value, Net | -95 | [2] | 2,235 | [2] |
Derivative Financial Instruments, Assets [Member] | Interest Rate Swap [Member] | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Financial derivatives–assets, at fair value | 8,042 | 32,700 | ||
Derivative Financial Instruments, Assets [Member] | TBA securities- sale contracts [Member] | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Financial derivatives–assets, at fair value | 369 | [2] | 2,262 | [2] |
Derivative Financial Instruments, Assets [Member] | TBA securities- purchase contracts [Member] | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Financial derivatives–assets, at fair value | 28 | [2] | 1 | [2] |
Derivative Financial Instruments, Liabilities [Member] | Interest Rate Swap [Member] | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Financial derivatives-liabilities, at fair value | -2,333 | -956 | ||
Derivative Financial Instruments, Liabilities [Member] | TBA securities- sale contracts [Member] | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Financial derivatives-liabilities, at fair value | -411 | [2] | -28 | [2] |
Derivative Financial Instruments, Liabilities [Member] | TBA securities- purchase contracts [Member] | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Financial derivatives-liabilities, at fair value | -81 | [2] | 0 | [2] |
Derivative Financial Instruments, Liabilities [Member] | Interest Rate Swaption [Member] | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Financial derivatives-liabilities, at fair value | ($25) | ($85) | ||
[1] | In 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 period end 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 $) | 9 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2014 | Dec. 31, 2013 |
Derivative [Line Items] | ' | ' |
Derivative, Fair Value, Net | $5,589 | $33,894 |
Interest Rate Swap [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative notional | 529,070 | 748,350 |
Derivative, Fair Value, Net | 5,709 | 31,744 |
Weighted Average Pay Rate | 1.91% | 1.67% |
Weighted Average Receive Rate | 0.23% | 0.24% |
Weighted Average Years to Maturity | '9 years 29 days | '8 years 51 days |
Year 2016 [Member] | Interest Rate Swap [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative notional | 48,000 | 48,000 |
Derivative, Fair Value, Net | -37 | -171 |
Weighted Average Pay Rate | 0.80% | 0.80% |
Weighted Average Receive Rate | 0.23% | 0.24% |
Weighted Average Years to Maturity | '2 years 7 days | '2 years 281 days |
Year 2017 [Member] | Interest Rate Swap [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative notional | 74,750 | 124,000 |
Derivative, Fair Value, Net | -96 | -517 |
Weighted Average Pay Rate | 1.21% | 1.19% |
Weighted Average Receive Rate | 0.24% | 0.24% |
Weighted Average Years to Maturity | '2 years 307 days | '3 years 223 days |
Year 2018 [Member] | Interest Rate Swap [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative notional | 33,500 | 156,500 |
Derivative, Fair Value, Net | 695 | 2,784 |
Weighted Average Pay Rate | 0.88% | 1.19% |
Weighted Average Receive Rate | 0.24% | 0.24% |
Weighted Average Years to Maturity | '3 years 230 days | '4 years 230 days |
Year 2020 [Member] | Interest Rate Swap [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative notional | 43,200 | 137,100 |
Derivative, Fair Value, Net | 1,313 | 6,444 |
Weighted Average Pay Rate | 1.42% | 1.49% |
Weighted Average Receive Rate | 0.23% | 0.24% |
Weighted Average Years to Maturity | '5 years 226 days | '6 years 22 days |
Year 2021 [Member] | Interest Rate Swap [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative notional | 27,000 | ' |
Derivative, Fair Value, Net | -150 | ' |
Weighted Average Pay Rate | 2.29% | ' |
Weighted Average Receive Rate | 0.23% | ' |
Weighted Average Years to Maturity | '6 years 281 days | ' |
Year 2023 [Member] | Interest Rate Swap [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative notional | 210,600 | 218,000 |
Derivative, Fair Value, Net | 5,034 | 14,599 |
Weighted Average Pay Rate | 2.13% | 2.16% |
Weighted Average Receive Rate | 0.23% | 0.24% |
Weighted Average Years to Maturity | '8 years 237 days | '9 years 150 days |
Year 2024 [Member] | Interest Rate Swap [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative notional | 27,700 | ' |
Derivative, Fair Value, Net | -340 | ' |
Weighted Average Pay Rate | 2.74% | ' |
Weighted Average Receive Rate | 0.21% | ' |
Weighted Average Years to Maturity | '9 years 303 days | ' |
Year 2043 [Member] | Interest Rate Swap [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative notional | 54,500 | 64,750 |
Derivative, Fair Value, Net | -119 | 8,605 |
Weighted Average Pay Rate | 3.15% | 3.18% |
Weighted Average Receive Rate | 0.23% | 0.24% |
Weighted Average Years to Maturity | '28 years 248 days | '29 years 161 days |
Year 2044 [Member] | Interest Rate Swap [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative notional | 9,820 | ' |
Derivative, Fair Value, Net | ($591) | ' |
Weighted Average Pay Rate | 3.48% | ' |
Weighted Average Receive Rate | 0.23% | ' |
Weighted Average Years to Maturity | '29 years 241 days | ' |
Derivative_Instruments_Schedul2
Derivative Instruments Schedule of Swaptions (Details) (USD $) | 9 Months Ended | 12 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2014 | Dec. 31, 2013 | ||
Derivative [Line Items] | ' | ' | ||
Financial derivatives-liabilities, at fair value | ($2,850) | [1] | ($1,069) | [1] |
Fixed Payer [Member] | Interest Rate Swaption [Member] | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Financial derivatives-liabilities, at fair value | ' | -59 | ||
Fixed Pay Rate on Derivatives | ' | 3.31% | ||
Maturity term of asset underlying derivative contract | ' | '10 years | ||
Derivative notional | ' | 22,000 | ||
Derivative, Remaining Maturity | ' | '8 months 27 days | ||
Straddle [Member] | Interest Rate Swaption [Member] | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Financial derivatives-liabilities, at fair value | -25 | -26 | ||
Fixed Pay Rate on Derivatives | 3.00% | 3.08% | ||
Maturity term of asset underlying derivative contract | '10 years | '10 years | ||
Derivative notional | $9,700 | $8,000 | ||
Derivative, Remaining Maturity | '9 months 15 days | '9 months 27 days | ||
[1] | In the Company's Consolidated Balance Sheet, all balances associated with the repurchase agreements and financial derivatives are presented on a gross basis. |
Derivative_Instruments_Schedul3
Derivative Instruments Schedule of TBA Securities (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
Derivative [Line Items] | ' | ' | ||
Financial derivatives–assets, at fair value | $8,439 | [1] | $34,963 | [1] |
Financial derivatives-liabilities, at fair value | -2,850 | [1] | -1,069 | [1] |
Derivative, Fair Value, Net | 5,589 | 33,894 | ||
TBA securities [Member] | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Derivative notional, net | -479,237 | [2] | -377,878 | [2] |
Derivative cost basis | -510,609 | [3] | -391,317 | [3] |
Market Value, Underyling | -510,704 | [4] | -389,082 | [4] |
Derivative, Fair Value, Net | -95 | [5] | 2,235 | [5] |
Derivative Financial Instruments, Assets [Member] | TBA securities- purchase contracts [Member] | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Derivative notional | 19,208 | [2] | 1,600 | [2] |
Derivative cost basis | 19,072 | [3] | 1,725 | [3] |
Market Value, Underyling | 19,100 | [4] | 1,726 | [4] |
Financial derivatives–assets, at fair value | 28 | [5] | 1 | [5] |
Derivative Financial Instruments, Assets [Member] | TBA securities- sale contracts [Member] | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Derivative notional | -335,197 | [2] | -363,078 | [2] |
Derivative cost basis | -353,155 | [3] | -375,524 | [3] |
Market Value, Underyling | -352,786 | [4] | -373,262 | [4] |
Financial derivatives–assets, at fair value | 369 | [5] | 2,262 | [5] |
Derivative Financial Instruments, Liabilities [Member] | TBA securities- purchase contracts [Member] | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Derivative notional | 32,181 | [2] | 0 | [2] |
Derivative cost basis | 32,567 | [3] | 0 | [3] |
Market Value, Underyling | 32,486 | [4] | 0 | [4] |
Financial derivatives-liabilities, at fair value | -81 | [5] | 0 | [5] |
Derivative Financial Instruments, Liabilities [Member] | TBA securities- sale contracts [Member] | ' | ' | ||
Derivative [Line Items] | ' | ' | ||
Derivative notional | -195,429 | [2] | -16,400 | [2] |
Derivative cost basis | -209,093 | [3] | -17,518 | [3] |
Market Value, Underyling | -209,504 | [4] | -17,546 | [4] |
Financial derivatives-liabilities, at fair value | ($411) | [5] | ($28) | [5] |
[1] | In 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 period end. | |||
[5] | Net carrying value represents the difference between the market value of the TBA contract as of period end 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 $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 |
Derivative [Line Items] | ' | ' | ' | ' |
Net realized gains (losses) on periodic settements of interest rate swaps | ($678) | $49 | ($5,574) | ($20) |
Net realized gains (losses) other than on periodic settements of interest rate swaps | -3,713 | 4,224 | -13,381 | 12,670 |
Net realized gains (losses) on financial derivatives | -4,391 | 4,273 | -18,955 | 12,650 |
Change in net unrealized gains (losses) on accrued periodic settlements on interest rate swaps | -1,475 | -3,109 | -1,315 | -4,151 |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 3,755 | -9,063 | -26,990 | 20,265 |
Change in net unrealized gains (losses) on financial derivatives | 2,280 | -12,172 | -28,305 | 16,114 |
Interest Rate Swap [Member] | ' | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' | ' |
Net realized gains (losses) on periodic settements of interest rate swaps | -678 | 49 | -5,574 | -20 |
Net realized gains (losses) other than on periodic settements of interest rate swaps | 502 | 2,451 | 4,013 | 2,631 |
Net realized gains (losses) on financial derivatives | -176 | 2,500 | -1,561 | 2,611 |
Change in net unrealized gains (losses) on accrued periodic settlements on interest rate swaps | -1,475 | -3,109 | -1,315 | -4,151 |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | -10 | -1,420 | -24,720 | 25,819 |
Change in net unrealized gains (losses) on financial derivatives | -1,485 | -4,529 | -26,035 | 21,668 |
Interest Rate Swaption [Member] | ' | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' | ' |
Net realized gains (losses) other than on periodic settements of interest rate swaps | -935 | 0 | -935 | 0 |
Net realized gains (losses) on financial derivatives | -935 | 0 | -935 | 0 |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 898 | -86 | 60 | -86 |
Change in net unrealized gains (losses) on financial derivatives | 898 | -86 | 60 | -86 |
TBA securities [Member] | ' | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' | ' |
Net realized gains (losses) other than on periodic settements of interest rate swaps | -3,280 | 1,773 | -16,478 | 10,039 |
Net realized gains (losses) on financial derivatives | -3,280 | 1,773 | -16,478 | 10,039 |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 2,867 | -7,557 | -2,330 | -5,468 |
Change in net unrealized gains (losses) on financial derivatives | 2,867 | -7,557 | -2,330 | -5,468 |
Future [Member] | ' | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' | ' |
Net realized gains (losses) other than on periodic settements of interest rate swaps | ' | ' | 19 | ' |
Net realized gains (losses) on financial derivatives | ' | ' | 19 | ' |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | ' | ' | 0 | ' |
Change in net unrealized gains (losses) on financial derivatives | ' | ' | $0 | ' |
Financial_Derivatives_Narrativ
Financial Derivatives Narrative (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 |
Derivative [Line Items] | ' | ' |
U.S. Treasury securities sold short, at fair value | $2,483,000 | $0 |
Interest Rate Swap [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Average Monthly Notional Amount as Percentage of Period End Notional Amount | 88.00% | 123.00% |
Interest Rate Swaption [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Average Monthly Notional Amount as Percentage of Period End Notional Amount | 41.00% | 268.00% |
TBA securities [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Average Monthly Notional Amount as Percentage of Period End Notional Amount | 111.00% | 104.00% |
US Treasury Securities [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
U.S. Treasury securities sold short, at fair value | 2,483,000 | ' |
Investment Sold, Not yet Purchased, Balance, Principal Amount | $2,500,000 | ' |
Borrowings_under_Repurchase_Ag2
Borrowings under Repurchase Agreements Schedule of Repurchase Agreements by Maturity (Details) (USD $) | 9 Months Ended | 12 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2014 | Dec. 31, 2013 | ||
Repurchase Agreements [Line Items] | ' | ' | ||
Repurchase agreements | $1,233,333 | [1] | $1,310,347 | [1] |
Debt, Weighted Average Interest Rate | 0.33% | 0.38% | ||
Repurchase Agreement Weighted Average Maturity Of Agreements | '48 days | '49 days | ||
Maturity up to 30 days [Member] | ' | ' | ||
Repurchase Agreements [Line Items] | ' | ' | ||
Repurchase agreements | 325,079 | 338,700 | ||
Debt, Weighted Average Interest Rate | 0.34% | 0.35% | ||
Repurchase Agreement Weighted Average Maturity Of Agreements | '16 days | '14 days | ||
Maturity 31 to 60 days [Member] | ' | ' | ||
Repurchase Agreements [Line Items] | ' | ' | ||
Repurchase agreements | 519,999 | 531,799 | ||
Debt, Weighted Average Interest Rate | 0.33% | 0.39% | ||
Repurchase Agreement Weighted Average Maturity Of Agreements | '45 days | '46 days | ||
Maturity 61 to 90 days [Member] | ' | ' | ||
Repurchase Agreements [Line Items] | ' | ' | ||
Repurchase agreements | 338,669 | 326,386 | ||
Debt, Weighted Average Interest Rate | 0.33% | 0.38% | ||
Repurchase Agreement Weighted Average Maturity Of Agreements | '73 days | '72 days | ||
Maturity 91 to 120 days [Member] | ' | ' | ||
Repurchase Agreements [Line Items] | ' | ' | ||
Repurchase agreements | 22,192 | 109,476 | ||
Debt, Weighted Average Interest Rate | 0.38% | 0.45% | ||
Repurchase Agreement Weighted Average Maturity Of Agreements | '106 days | '100 days | ||
Maturity 121 to 150 days [Member] | ' | ' | ||
Repurchase Agreements [Line Items] | ' | ' | ||
Repurchase agreements | $27,394 | $3,986 | ||
Debt, Weighted Average Interest Rate | 0.38% | 0.56% | ||
Repurchase Agreement Weighted Average Maturity Of Agreements | '135 days | '136 days | ||
[1] | In the Company's Consolidated Balance Sheet, all balances associated with the repurchase agreements and financial derivatives are presented on a gross basis. |
Borrowings_under_Repurchase_Ag3
Borrowings under Repurchase Agreements (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Dec. 31, 2013 | ||
counterparties | counterparties | Minimum [Member] | Maximum [Member] | Repurchase Agreements [Member] | Repurchase Agreements [Member] | |||
Repurchase Agreements [Line Items] | ' | ' | ' | ' | ' | ' | ||
Repurchase Agreements Maturity | ' | ' | '30 days | '180 days | ' | ' | ||
Number of Counterparties with Outstanding Repurchase Agreements | 10 | 9 | ' | ' | ' | ' | ||
Repurchase Agreements, collateral amount | $1,300,000,000 | $1,400,000,000 | ' | ' | ' | ' | ||
Pledged Assets, Unsettled | 10,000,000 | 76,100,000 | ' | ' | ' | ' | ||
Cash Collateral (Received) Pledged | ' | ' | ' | ' | 11,495,000 | [1],[2] | 14,780,000 | [1],[3] |
Security Owned and Pledged as Collateral, Fair Value | ' | ' | ' | ' | 1,800,000 | 3,500,000 | ||
Securities Held as Collateral, at Fair Value | ' | ' | ' | ' | ' | $500,000 | ||
[1] | When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a specific asset or liability. As a result, in preparing the above table, the Company has made assumptions in allocating pledged or posted collateral among the various rows. | |||||||
[2] | For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, we have reduced the amount of financial instruments transferred or pledged as collateral related to our repurchase agreements and cash collateral pledged on our financial derivative assets and liabilities. Total financial instruments transferred or pledged as collateral on our repurchase agreements as of September 30, 2014 were $1.28 billion. As of September 30, 2014 total cash collateral on financial derivative assets and financial derivative liabilities excludes $20.5 thousand and $5.1 million of net excess cash collateral. | |||||||
[3] | For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore we have reduced the amount of financial instruments transferred or pledged as collateral related to our repurchase agreements and cash collateral pledged on our financial derivative assets and liabilities. Total financial instruments transferred or pledged as collateral on our repurchase agreements as of December 31, 2013 were $1.36 billion. As of December 31, 2013 total cash collateral on financial derivative assets and liabilities excludes $0.3 million and $3.1 million, respectively of net excess cash collateral. |
Offsetting_of_Assets_and_Liabi2
Offsetting of Assets and Liabilities (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | ||
Offsetting Assets and Liabilities [Line Items] | ' | ' | ||
Securities Collateral Relating To Repurchase Agreements | $1,280,000,000 | $1,360,000,000 | ||
Financial derivatives–assets, at fair value | 8,439,000 | [1] | 34,963,000 | [1] |
Derivative Liability, Fair Value, Amount Offset Against Collateral | -628,000 | -1,042,000 | ||
Reverse repurchase agreements | 2,484,000 | [1] | 0 | |
Securities sold under agreements to repurchase available for offset | -2,484,000 | ' | ||
Financial derivatives-liabilities, at fair value | -2,850,000 | [1] | -1,069,000 | [1] |
Derivative Asset, Fair Value, Amount Offset Against Collateral | 628,000 | 1,042,000 | ||
Repurchase agreements | -1,233,333,000 | [1] | -1,310,347,000 | [1] |
Securities purchased under agreements to resell available for offset | 2,484,000 | 0 | ||
Derivative Financial Instruments, Assets [Member] | ' | ' | ||
Offsetting Assets and Liabilities [Line Items] | ' | ' | ||
Derivatives and related collateral, net | 5,400,000 | 11,561,000 | ||
Financial Instruments Pledged as Collateral | 0 | [2],[3] | 0 | [2],[4] |
Cash Collateral (Received) Pledged | -2,411,000 | [2],[3] | -22,360,000 | [2],[4] |
Excess cash collateral | 20,500 | 300,000 | ||
Reverse Repurchase Agreements [Member] | ' | ' | ||
Offsetting Assets and Liabilities [Line Items] | ' | ' | ||
Financial Instruments Pledged as Collateral | 0 | [2],[3] | ' | |
Cash Collateral (Received) Pledged | 0 | [2],[3] | ' | |
Reverse Repurchase Agreements and Related Collateral Net | 0 | ' | ||
Derivative Financial Instruments, Liabilities [Member] | ' | ' | ||
Offsetting Assets and Liabilities [Line Items] | ' | ' | ||
Derivatives and related collateral, net | -168,000 | -1,000 | ||
Financial Instruments Pledged as Collateral | 0 | [2],[3] | 0 | [2],[4] |
Cash Collateral (Received) Pledged | 2,054,000 | [2],[3] | 26,000 | [2],[4] |
Excess cash collateral | 5,100,000 | 3,100,000 | ||
Repurchase Agreements [Member] | ' | ' | ||
Offsetting Assets and Liabilities [Line Items] | ' | ' | ||
Repurchse agreements and related collateral, net | 0 | 0 | ||
Financial Instruments Pledged as Collateral | 1,219,354,000 | [2],[3] | 1,295,567,000 | [2],[4] |
Cash Collateral (Received) Pledged | $11,495,000 | [2],[3] | $14,780,000 | [2],[4] |
[1] | In the Company's Consolidated Balance Sheet, all balances associated with the repurchase agreements and financial derivatives are presented on a gross basis. | |||
[2] | When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a specific asset or liability. As a result, in preparing the above table, the Company has made assumptions in allocating pledged or posted collateral among the various rows. | |||
[3] | For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, we have reduced the amount of financial instruments transferred or pledged as collateral related to our repurchase agreements and cash collateral pledged on our financial derivative assets and liabilities. Total financial instruments transferred or pledged as collateral on our repurchase agreements as of September 30, 2014 were $1.28 billion. As of September 30, 2014 total cash collateral on financial derivative assets and financial derivative liabilities excludes $20.5 thousand and $5.1 million of net excess cash collateral. | |||
[4] | For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore we have reduced the amount of financial instruments transferred or pledged as collateral related to our repurchase agreements and cash collateral pledged on our financial derivative assets and liabilities. Total financial instruments transferred or pledged as collateral on our repurchase agreements as of December 31, 2013 were $1.36 billion. As of December 31, 2013 total cash collateral on financial derivative assets and liabilities excludes $0.3 million and $3.1 million, respectively of net excess cash collateral. |
Management_Fees_Details
Management Fees (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 |
Management Fees Disclosure [Abstract] | ' | ' | ' | ' |
Annual base management fee percentage | 1.50% | ' | 1.50% | ' |
Management fees | $574 | $644 | $1,733 | $1,466 |
Earnings_per_Share_Details
Earnings per Share (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, except Share data, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 |
Earnings Per Share [Abstract] | ' | ' | ' | ' |
Net income (loss) | $3,533 | $6,785 | $17,344 | ($1,789) |
Basic and diluted weighted average shares outstanding | 9,141,892 | 9,133,940 | 9,140,533 | 5,699,501 |
Basic and Diluted Earnings Per Share (in dollars per share) | $0.39 | $0.74 | $1.90 | ($0.31) |
Related_Party_Transactions_Det
Related Party Transactions (Details) (USD $) | 9 Months Ended | |
In Millions, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 |
Related Party Transactions [Abstract] | ' | ' |
Management agreement renewal period | '1 year | ' |
Expense reimbursement period | '60 days | ' |
Expenses Reimbursed to Related Party | $1.90 | $1.90 |
Termination fee percentage | 5.00% | ' |
Capital_Details
Capital (Details) (USD $) | 0 Months Ended | 3 Months Ended | 9 Months Ended | 14 Months Ended | 0 Months Ended | 9 Months Ended | 0 Months Ended | ||||||||
Aug. 13, 2013 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Sep. 30, 2013 | Jun. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 11, 2014 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 11, 2014 | Sep. 11, 2014 | |
Common Shares [Member] | Common Shares [Member] | Common Shares [Member] | Unvested shares [Member] | Vested shares [Member] | |||||||||||
Common Shares [Member] | Common Shares [Member] | ||||||||||||||
Equity [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Dividends declared (in dollars per share) | ' | $0.55 | $0.55 | $0.55 | $0.50 | $0.14 | $1.65 | $0.64 | ' | ' | ' | ' | ' | ' | ' |
Common stock authorized | ' | 500,000,000 | ' | ' | ' | ' | 500,000,000 | ' | 500,000,000 | 500,000,000 | ' | ' | ' | ' | ' |
Common stock par value | ' | $0.01 | ' | ' | ' | ' | $0.01 | ' | $0.01 | $0.01 | ' | ' | ' | ' | ' |
Preferred stock authorized | ' | 100,000,000 | ' | ' | ' | ' | 100,000,000 | ' | 100,000,000 | 100,000,000 | ' | ' | ' | ' | ' |
Preferred stock par value | ' | $0.01 | ' | ' | ' | ' | $0.01 | ' | $0.01 | $0.01 | ' | ' | ' | ' | ' |
Common stock, shares issued | ' | 9,149,274 | ' | ' | ' | ' | 9,149,274 | ' | 9,149,274 | 9,139,842 | ' | ' | ' | ' | ' |
Common stock outstanding | ' | 9,149,274 | ' | ' | ' | ' | 9,149,274 | ' | 9,149,274 | 9,139,842 | ' | ' | ' | ' | ' |
Preferred shares issued | ' | 0 | ' | ' | ' | ' | 0 | ' | 0 | 0 | ' | ' | ' | ' | ' |
Stock Repurchase Program, Authorized Amount | $10,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Repurchase of shares, Shares | ' | ' | ' | ' | ' | ' | ' | ' | 0 | ' | ' | ' | ' | ' | ' |
Intended Distribution of Taxable Net Income, Percentage on Annual Basis | ' | ' | ' | ' | ' | ' | 100.00% | ' | ' | ' | ' | ' | ' | ' | ' |
Dividends | ' | $5,032,000 | $5,027,000 | $5,027,000 | $4,569,000 | $1,279,000 | ($15,086,000) | ($5,848,000) | ' | ' | ' | ' | ' | ' | ' |
Dividends Payable, Date Declared | ' | 11-Sep-14 | 17-Jun-14 | 12-Mar-14 | 17-Sep-13 | 18-Jun-13 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Dividends Payable, Date of Record | ' | 30-Sep-14 | 30-Jun-14 | 31-Mar-14 | 27-Sep-13 | 28-Jun-13 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Dividends Payable, Date to be Paid | ' | 27-Oct-14 | 25-Jul-14 | 28-Apr-14 | 25-Oct-13 | 26-Jul-13 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Issuance of restricted shares, shares | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 9,432 | 9,432 | 6,464 | 6,912 | 2,520 |
Capital_Schedule_of_Dividends_
Capital Schedule of Dividends Declared (Details) (USD $) | 3 Months Ended | 9 Months Ended | |||||
In Thousands, except Per Share data, unless otherwise specified | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Sep. 30, 2013 | Jun. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 |
Equity [Abstract] | ' | ' | ' | ' | ' | ' | ' |
Dividends declared (in dollars per share) | $0.55 | $0.55 | $0.55 | $0.50 | $0.14 | $1.65 | $0.64 |
Dividends | $5,032 | $5,027 | $5,027 | $4,569 | $1,279 | ($15,086) | ($5,848) |
Dividends Payable, Date Declared | 11-Sep-14 | 17-Jun-14 | 12-Mar-14 | 17-Sep-13 | 18-Jun-13 | ' | ' |
Dividends Payable, Date of Record | 30-Sep-14 | 30-Jun-14 | 31-Mar-14 | 27-Sep-13 | 28-Jun-13 | ' | ' |
Dividends Payable, Date to be Paid | 27-Oct-14 | 25-Jul-14 | 28-Apr-14 | 25-Oct-13 | 26-Jul-13 | ' | ' |