Document and Entity Information
Document and Entity Information Document - shares | 9 Months Ended | |
Sep. 30, 2016 | Oct. 28, 2016 | |
Document and Entity Information [Abstract] | ||
Entity Registrant Name | Ellington Residential Mortgage REIT | |
Entity Central Index Key | 1,560,672 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Accelerated Filer | |
Document Type | 10-Q | |
Document Period End Date | Sep. 30, 2016 | |
Document Fiscal Year Focus | 2,016 | |
Document Fiscal Period Focus | Q3 | |
Amendment Flag | false | |
Entity Common Stock, Shares Outstanding | 9,127,039 |
CONSOLIDATED BALANCE SHEET
CONSOLIDATED BALANCE SHEET - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 | |
ASSETS | |||
Cash and cash equivalents | $ 43,026 | $ 40,166 | |
Mortgage-backed securities, at fair value | 1,233,134 | 1,242,266 | |
Due from brokers | 33,462 | 33,297 | |
Financial derivatives–assets, at fair value | [1] | 1,641 | 2,183 |
Reverse repurchase agreements | [1] | 77,932 | 78,632 |
Receivable for securities sold | 37,057 | 155,526 | |
Interest receivable | 4,274 | 4,325 | |
Other assets | 357 | 289 | |
Total Assets | 1,430,883 | 1,556,684 | |
LIABILITIES | |||
Repurchase agreements | [1] | 1,158,962 | 1,222,719 |
Payable for securities purchased | 34,808 | 98,949 | |
Due to brokers | 538 | 439 | |
Financial derivatives–liabilities, at fair value | [1] | 9,885 | 4,725 |
U.S. Treasury securities sold short, at fair value | 77,263 | 78,447 | |
Dividend payable | 3,651 | 4,111 | |
Accrued expenses | 622 | 533 | |
Management fee payable | 539 | 545 | |
Interest payable | 1,341 | 1,361 | |
Total Liabilities | 1,287,609 | 1,411,829 | |
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; (9,127,039 and 9,135,103 shares issued and outstanding, respectively) | 92 | 92 | |
Additional paid-in-capital | 180,952 | 181,027 | |
Accumulated deficit | (37,770) | (36,264) | |
Total Shareholders' Equity | 143,274 | 144,855 | |
Total Liabilities and Shareholders' Equity | $ 1,430,883 | $ 1,556,684 | |
[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) - $ / shares | Sep. 30, 2016 | Dec. 31, 2015 |
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 | 9,127,039 | 9,135,103 |
Common stock, shares outstanding | 9,127,039 | 9,135,103 |
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 OPERA
CONSOLIDATED STATEMENT OF OPERATIONS - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | ||
INTEREST INCOME (EXPENSE) | |||||
Interest income | $ 7,096 | $ 11,315 | $ 24,285 | $ 31,436 | |
Interest expense | (2,279) | (1,642) | (6,589) | (4,420) | |
Total net interest income | 4,817 | 9,673 | 17,696 | 27,016 | |
EXPENSES | |||||
Management fees | 539 | 557 | 1,596 | 1,759 | |
Professional fees | 171 | 144 | 549 | 422 | |
Compensation expense | [1] | 142 | 168 | 463 | 533 |
Other operating expenses | [1] | 402 | 406 | 1,269 | 1,241 |
Total expenses | 1,254 | 1,275 | 3,877 | 3,955 | |
OTHER INCOME (LOSS) | |||||
Net realized gains (losses) on securities | 3,892 | 596 | 9,003 | 8,760 | |
Net realized gains (losses) on financial derivatives | (3,920) | (3,252) | (21,523) | (15,838) | |
Change in net unrealized gains (losses) on securities | (124) | 4,862 | 14,388 | (7,674) | |
Change in net unrealized gains (losses) on financial derivatives | 3,215 | (15,421) | (5,792) | (9,258) | |
Total other income (loss) | 3,063 | (13,215) | (3,924) | (24,010) | |
NET INCOME (LOSS) | $ 6,626 | $ (4,817) | $ 9,895 | $ (949) | |
NET INCOME (LOSS) PER COMMON SHARE: | |||||
Basic and Diluted (in dollars per share) | $ 0.73 | $ (0.53) | $ 1.09 | $ (0.10) | |
CASH DIVIDENDS PER COMMON SHARE: | |||||
Dividends declared (in dollars per share) | $ 0.40 | $ 0.45 | $ 1.25 | $ 1.55 | |
[1] | Conformed to current period presentation. |
CONSOLIDATED STATEMENT OF SHARE
CONSOLIDATED STATEMENT OF SHAREHOLDERS' EQUITY - USD ($) $ in Thousands | Total | Common Shares [Member] | Preferred Stock [Member] | Additional Paid-in Capital [Member] | Accumulated (Deficit) Earnings [Member] |
Balance, in shares at Dec. 31, 2014 | 9,149,274 | 0 | |||
Balance at Dec. 31, 2014 | $ 163,365 | $ 91 | $ 0 | $ 181,282 | $ (18,008) |
Share based compensation | $ 88 | 88 | |||
Issuance of restricted shares, shares | 9,228 | 9,228 | 0 | ||
Issuance of restricted shares | $ 0 | $ 0 | $ 0 | 0 | |
Repurchase of common shares, shares | (23,481) | (23,481) | 0 | ||
Repurchase of common shares, Value | $ (304) | $ 0 | $ 0 | (304) | |
Dividends declared | (14,175) | (14,175) | |||
Net income (loss) | (949) | (949) | |||
Balance, in shares at Sep. 30, 2015 | 9,135,021 | 0 | |||
Balance at Sep. 30, 2015 | 148,025 | $ 91 | $ 0 | 181,066 | (33,132) |
Balance, in shares at Dec. 31, 2015 | 9,135,103 | 0 | |||
Balance at Dec. 31, 2015 | 144,855 | $ 92 | $ 0 | 181,027 | (36,264) |
Share based compensation | $ 121 | 121 | |||
Issuance of restricted shares, shares | 9,856 | 9,856 | 0 | ||
Issuance of restricted shares | $ 0 | $ 0 | $ 0 | 0 | |
Repurchase of common shares, shares | (17,920) | (17,920) | 0 | ||
Repurchase of common shares, Value | $ (196) | $ 0 | $ 0 | (196) | |
Dividends declared | (11,401) | (11,401) | |||
Net income (loss) | 9,895 | 9,895 | |||
Balance, in shares at Sep. 30, 2016 | 9,127,039 | 0 | |||
Balance at Sep. 30, 2016 | $ 143,274 | $ 92 | $ 0 | $ 180,952 | $ (37,770) |
CONSOLIDATED STATEMENT OF CASH
CONSOLIDATED STATEMENT OF CASH FLOWS - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2016 | Sep. 30, 2015 | |
Cash flows provided by (used in) operating activities: | ||
Net income (loss) | $ 9,895 | $ (949) |
Reconciliation of net income (loss) to net cash provided by (used in) operating activities: | ||
Net realized (gains) losses on securities | (9,003) | (8,760) |
Change in net unrealized (gains) losses on securities | (14,388) | 7,674 |
Net realized (gains) losses on financial derivatives | 21,523 | 15,838 |
Change in net unrealized (gains) losses on financial derivatives | 5,792 | 9,258 |
Amortization of premiums and accretion of discounts (net) | 12,555 | 6,468 |
Share based compensation | 121 | 88 |
(Increase) decrease in assets: | ||
Due from brokers | (165) | (22,537) |
Interest receivable | 51 | 9 |
Other assets | (68) | (90) |
Increase (decrease) in liabilities: | ||
Due to brokers | 99 | 2,071 |
Accrued expenses | 89 | (119) |
Interest payable | (20) | 729 |
Management fees payable | (6) | 6 |
Net cash provided by (used in) operating activities | 26,475 | 9,686 |
Cash flows provided by (used in) investing activities: | ||
Purchases of securities | (1,778,907) | (1,479,612) |
Proceeds from sale of securities | 1,751,631 | 1,496,506 |
Principal repayments of mortgage-backed securities | 104,551 | 103,189 |
Proceeds from investments sold short | 454,489 | 675,693 |
Repurchase of investments sold short | (458,652) | (619,180) |
Proceeds from disposition of financial derivatives | 6,575 | 10,700 |
Purchase of financial derivatives | (28,188) | (26,538) |
Payments made on reverse repurchase agreements | (13,672,316) | (10,639,503) |
Proceeds from reverse repurchase agreements | 13,673,016 | 10,576,879 |
Net cash provided by (used in) investing activities | 52,199 | 98,134 |
Cash flows provided by (used in) financing activities: | ||
Repurchase of common shares | (196) | (304) |
Dividends paid | (11,861) | (15,096) |
Borrowings under repurchase agreements | 1,583,173 | 2,010,434 |
Repayments of repurchase agreements | (1,646,930) | (2,107,609) |
Cash provided by (used in) financing activities | (75,814) | (112,575) |
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS | 2,860 | (4,755) |
CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD | 40,166 | 45,237 |
CASH AND CASH EQUIVALENTS, END OF PERIOD | 43,026 | 40,482 |
Supplemental disclosure of cash flow information: | ||
Interest paid | 6,610 | 3,691 |
Dividend payable | $ 3,651 | $ 4,111 |
Organization and Investment Obj
Organization and Investment Objective | 9 Months Ended |
Sep. 30, 2016 | |
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 Fourth Amended and Restated Management Agreement (the "Management Agreement"). The Manager is an affiliate of Ellington Management Group, L.L.C., or "EMG," an investment management firm that is an SEC-registered investment adviser with a 21-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 described in Note 9), 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. See Note 9 for further information on the Management Agreement. The Company acquires and manages RMBS, for which the principal and interest payments are guaranteed by a U.S. government agency or a U.S. government-sponsored entity, or "Agency RMBS," and RMBS that do not carry such guarantees, or "non-Agency RMBS," such as RMBS backed by prime jumbo, Alternative A-paper, manufactured housing, and subprime residential mortgage loans. Agency RMBS include both Agency pools and Agency collateralized mortgage obligations, or "CMOs," and non-Agency RMBS primarily consist of 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 has elected to be taxed as a REIT under the Internal Revenue Code of 1986, as amended, or "the Code," and intends to conduct its operations to be qualified and taxed as a REIT. 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 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 time limits prescribed by the Code, which may extend into the subsequent taxable year. |
Significant Accounting Policies
Significant Accounting Policies | 9 Months Ended |
Sep. 30, 2016 | |
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 rights 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. In management's opinion, all material adjustments, considered necessary for a fair presentation of the Company's interim consolidated financial statements have been included and are only of a normal recurring nature. 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, 2015. (B) Valuation: The Company applies ASC 820-10, Fair Value Measurement and Disclosures ("ASC 820-10"), to its holdings of financial instruments. ASC 820-10 establishes a three-level valuation hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the observability 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. Currently, the types of financial instruments the Company generally includes in this category are, exchange-traded derivatives; • 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. Currently, the types of financial instruments that the Company generally includes in this category are Agency RMBS, non-Agency RMBS determined to have sufficiently observable market data, U.S. Treasury securities, actively traded derivatives such as TBAs, interest rate swaps, and swaptions; and • Level 3—inputs to the valuation methodology are unobservable and significant to the fair value measurement. Currently, this category includes RMBS where there is less price transparency. For certain financial instruments, the various inputs that management uses to measure fair value for such financial instrument may fall into different levels of the fair value hierarchy. In such cases, the determination of which category within the fair value hierarchy is appropriate for such financial instrument is based on the lowest level of input that is significant to the fair value measurement. ASC 820 prioritizes the various inputs that management uses to measure fair value with the highest priority to inputs that are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets (Level 1) and the lowest priority to inputs that are unobservable and significant to the fair value measurement (Level 3). The assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the financial instrument. The Company may use valuation techniques consistent with the market and income approaches to measure the fair value of its assets and liabilities. The market approach uses third-party valuations and information obtained from market transactions involving identical or similar assets or liabilities. The income approach uses projections of the future economic benefits of an instrument to determine its fair value, such as in the discounted cash flow methodology. The inputs or methodology used for valuing financial instruments are not necessarily an indication of the risk associated with investing in these financial instruments. Transfers between levels of the fair value hierarchy are assumed to occur at the end of the reporting period. Summary Valuation Techniques For financial instruments that are traded in an "active market," the best measure of fair value is the quoted market price. However, many of the Company's financial instruments are not traded in an active market. Therefore, management generally uses third-party valuations when available. If third-party valuations are not available, management uses other valuation techniques, such as the discounted cash flow methodology. The following are summary descriptions, for the various categories of financial instruments, of the valuation methodologies management uses in determining fair value of the Company's financial instruments in such categories. Management utilizes such methodologies to assign a good faith fair value (the estimated price that, in an orderly transaction at the valuation date, would be received to sell an asset, or paid to transfer a liability, as the case may be) to each such financial instrument. Valuations for fixed rate RMBS pass-throughs issued by a U.S government agency or government-sponsored enterprise, or "GSE," are typically based on observable pay-up data (pay-ups are price premiums for specified categories of fixed rate pools relative to their TBA counterparts) or models that use observable market data, such as interest rates and historical prepayment speeds, and are validated against third-party valuations. With respect to the Company's other RMBS investments and TBAs, management seeks to obtain at least one third-party valuation, and often obtains multiple valuations when available. Management has been able to obtain third-party valuations on the vast majority of these instruments and expects to continue to solicit third-party valuations in the future. Management 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, and while management generally does not adjust the valuations it receives, management may challenge or reject a valuation when, based on its validation criteria, management determines that such valuation is unreasonable or erroneous. Furthermore, based on its validation criteria, management may determine that the average of the third-party valuations received for a given instrument does not result in what management believes to be the fair value of such instrument, and in such circumstances management may override this average with its own good faith valuation. The validation criteria may take into account output from management's own models, recent trading activity in the same or similar instruments, and valuations received from third parties. The use of proprietary models requires the use of a significant amount of judgment and the application of various assumptions including, but not limited to, assumptions concerning future prepayment rates and default rates. Given their relatively high level of price transparency, Agency RMBS pass-throughs and TBAs are typically designated as Level 2 assets, although Agency interest only and inverse interest only RMBS are currently designated as Level 3 assets since they generally have less price transparency. Non-Agency RMBS are generally classified as either Level 2 or Level 3 based on analysis of available market data such as recent trades and executable bids. Furthermore, the methodology used by the third-party valuation providers is reviewed at least annually by management, so as to ascertain whether such providers are utilizing observable market data to determine the valuations that they provide. Interest rate swaps and swaptions are typically valued based on internal models that use observable market data, including applicable interest rates in effect as of the measurement date; the model-generated valuations are then typically compared to counterparty valuations for reasonableness. These financial derivatives are generally designated as Level 2 instruments. In valuing its derivatives, the Company also considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each derivative agreement. The Company's repurchase and reverse repurchase agreements are carried at cost, which approximates fair value. Repurchase agreements and reverse repurchase agreements are classified as Level 2 assets and liabilities based on the adequacy of the collateral and their short term nature. The Company's valuation process, including the application of validation criteria, is overseen by the Manager's Valuation Committee. The Valuation Committee includes senior level executives from various departments within the Manager, and each quarter the Valuation Committee reviews and approves the valuations of the Company's investments. The valuation process also includes a monthly review by the Company's third party administrator. The goal of this review is to replicate various aspects of the Company's valuation process based on the Company's documented procedures. Because of the inherent uncertainty of valuation, the estimated fair value of the Company's financial instruments 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. (C) Accounting for Securities: Purchases and sales of investments are recorded on trade date and realized and unrealized gains and losses are calculated based on identified cost. The Company has chosen to make a fair value election pursuant to ASC 825-10, Financial Instruments , for its 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, 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 securities. (D) Interest Income: Coupon interest income on investment securities is accrued based on the outstanding principal balance or notional amount and the current coupon rate on each security. The Company amortizes purchase premiums and accretes purchase discounts on its fixed income securities. For RMBS that are deemed to be of high credit quality at the time of purchase, premiums and discounts are generally amortized/accreted into interest income over the life of such securities using the effective interest method. For securities whose cash flows vary depending on prepayments, an effective yield retroactive to the time of purchase is periodically recomputed based on actual prepayments and changes in projected prepayment activity, and a catch-up adjustment is made to amortization to reflect the cumulative impact of the change in effective yield. For RMBS that are deemed not to be of high credit quality at the time of purchase, interest income is recognized based on the effective interest method. For purposes of determining the effective interest rate, management estimates the future expected cash flows of its investment holdings based on assumptions including, but not limited to, assumptions for future prepayment rates, default rates, and loss severities (each of which may in turn incorporate various macro-economic assumptions, such as future housing prices). These assumptions are re-evaluated not less than quarterly. Principal write-offs are generally treated as realized losses. Changes in projected cash flows, as applied to the current amortized cost of the security, may result in a prospective change in the yield/interest income recognized on such securities. The Company's accretion of discounts and amortization of premiums on securities for U.S. federal and other tax purposes is likely to differ from the 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 and cash equivalents typically include amounts held in an interest bearing overnight account and amounts held in money market funds, and these balances generally exceed insured limits. The Company holds its cash at institutions that it believes to be highly creditworthy. (F) Due from brokers/Due to brokers: Due from brokers and Due to brokers accounts on the Consolidated Balance Sheet include collateral transferred to or received from counterparties, including clearinghouses, along with receivables and payables for open and/or closed derivative positions. (G) Financial Derivatives: The Company enters into various types of financial derivatives subject to its investment guidelines, which include restrictions associated with maintaining its 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 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 enters into interest rate swaps. Interest rate swaps are contractual agreements whereby one party pays a floating interest rate on a notional principal amount and receives a fixed rate payment on the same notional principal, or vice versa, for a fixed period of time. The Company enters into interest rate swap contracts primarily to mitigate interest rate risk. The Company is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. 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 transacts in the forward settling 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 mitigate 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. 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 enters into swaption contracts. It may purchase or write put, call, straddle, or other similar options contracts. The Company enters into options contracts primarily to help mitigate interest rate risk. When the Company purchases an options contract, 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 contracts that expire unexercised are recognized on the expiration date as realized losses. If an options contract 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 options contract, 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 contracts that expire unexercised are recognized on the expiration date as realized gains. If an options contract 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 contracts 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 options contract, regardless of whether or not the options contract is exercised. Futures Contracts : The Company enters into Eurodollar 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: 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 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 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/or securities having a value not less than the repurchase price, including accrued interest, of the repurchase agreement. Repurchase agreements are carried at their contractual amounts, which approximate fair value due to their short-term nature. (I) Reverse Repurchase Agreements: The Company 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 interest rate on 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. Reverse repurchase agreements are carried at their contractual amounts, which approximate fair value due to their short-term nature. Repurchase and reverse repurchase agreements that are conducted with the same counterparty can be reported on a net basis if they meet the requirements of ASC 210-20, Balance Sheet Offsetting . There are currently no repurchase and reverse repurchase agreements reported on a net basis in the Company's consolidated financial statements. (J) Securities Sold Short: The Company may purchase or engage in short sales of U.S. Treasury securities to mitigate the potential impact of changes in interest rates on the performance of its portfolio. When the Company sells securities short, it typically satisfies its security delivery settlement obligation by obtaining the security sold short from the same or a different counterparty. The Company generally is required to deliver cash or securities as collateral to the counterparty for the Company's obligation to return the borrowed security. The Company has chosen to make a fair value election pursuant to ASC 825-10, Financial Instruments , for its securities sold short. 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, securities sold short 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 securities. A realized gain or loss will be recognized upon the termination of a short sale if the market price is less or greater than the proceeds originally received. Such realized gain or loss is recorded on the Company's Consolidated Statement of Operations in Net realized gains (losses) on securities. (K) Offering Costs/Deferred Offering Costs: Offering costs are charged against shareholders' equity within Additional paid-in-capital, and typically include legal, accounting, printing, and other fees associated with the cost of raising equity capital. (L) Share Based Compensation: The Company applies the provisions of ASC 718, Compensation—Stock 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, at the grant date, of the equity or liability instruments issued and is amortized over the vesting period. Restricted shares issued to the Company's independent directors and partially dedicated personnel are participating securities and receive dividends prior to vesting. Fair value for such awards is based on the closing stock price on the New York Stock Exchange at the grant date. The vesting period for restricted share awards is typically one to two years . (M) Dividends: Dividends payable are recorded on the declaration date. (N) Expenses: Expenses are recognized as incurred on the Consolidated Statement of Operations. (O) 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. (P) Share Repurchases: Common shares that are repurchased by the Company subsequent to issuance decrease the total number of shares issued and outstanding and are immediately retired upon settlement. The cost of such share repurchases is charged against Additional paid-in-capital on the Company's Consolidated Balance Sheet. (Q) Income Taxes: The Company has elected to be taxed as a REIT under Sections 856 to 860 of the Code. As a REIT, the Company is generally not subject to corporate-level federal and state income tax on net income it distributes to its shareholders. To qualify as a REIT, the Company must meet a number of organizational and operational requirements, including the distribution of at least 90% of its annual taxable income to shareholders. Even if the Company qualifies as a REIT, it may be subject to certain federal, state, local and foreign taxes on its income and property and to federal income and excise taxes on its undistributed taxable income. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, it will be subject to U.S. federal, state, and local income taxes and may be precluded from qualifying as a REIT for the four taxable years following the year in which the Company fails to qualify as a REIT. 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 or litigation processes, 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 50% likely of being realized upon ultimate settlement. The Company did not have any unrecognized tax benefits resulting from tax positions related to the current period or to 2015, 2014, or 2013 (its open tax years). 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, 2015, 2014, and 2013 (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. (R) Recent Accounting Pronouncements : Under the Jumpstart Our Business Startups Act, or the "JOBS Act," the Company meets the definition of an "emerging growth company." The Company has elected to follow the extended transition period for complying with new or revised U.S. accounting standards pursuant to Section 107(b) of the JOBS Act. As a result, the Company will comply with new or revised accounting standards on the relevant dates on which adoption of such standards is required for non-public entities. In 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 repurchase agreement 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 annual periods beginning after December 15, 2014 and interim periods beginning after December 31, 2015. The adoption of ASC 860, as amended by ASU 2014-11 did not have a material impact on the Company's consolidated financial statements. In August 2014, the FASB issued ASU 2014-15, Disclosure of Uncertainties about an Entity's Ability to Continue as a Going Concern ("ASU 2014-15"). ASU 2014-15 requires management to perform interim and annual assessments of an entity's ability to continue as a going concern and to provide disclosure if events or conditions arise that would place substantial doubt on the entity's ability to continue as a going concern. ASU 2014-15 is effective for the annual period ending after December 15, 2016, and subsequent interim and annual periods with early adoption permitted. The adoption of ASU 2014-15 is not expected to have a material impact on the Company's consolidated financial statements. In February 2015, the FASB issued ASU 2015-02, Amendments to the Consolidation Analysis ("ASU 2015-02"). This amends ASC 810, Consolidation (ASC "810"), to improve targeted areas of consolidation guidance by simplifying the requirements of consolidation and placing more emphasis on risk of loss when determining a controlling financial interest. ASU 2015-02 is effective for annual periods beginning after December 15, 2016 and interim periods beginning after December 15, 2017 with early adoption permitted. The adoption of ASU 2015-02 is not expected to have a material impact on the Company's consolidated financial statements. |
Mortgage-Backed Securities
Mortgage-Backed Securities | 9 Months Ended |
Sep. 30, 2016 | |
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, 2016 and December 31, 2015, 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 GSE. 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, 2016 : ($ in thousands) Gross Unrealized Weighted Average Current Principal Unamortized Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon Yield Life (1) Agency RMBS: 15-year fixed rate mortgages $ 134,770 $ 6,796 $ 141,566 $ 1,820 $ (86 ) $ 143,300 3.41% 2.12% 4.43 20-year fixed rate mortgages 10,710 820 11,530 130 — 11,660 4.00% 2.51% 5.89 30-year fixed rate mortgages 881,351 59,169 940,520 17,371 (471 ) 957,420 4.00% 2.73% 6.73 Adjustable rate mortgages 30,645 1,534 32,179 223 (61 ) 32,341 4.00% 2.47% 4.59 Reverse mortgages 57,088 5,853 62,941 788 (52 ) 63,677 4.51% 2.60% 6.24 Interest only securities n/a n/a 8,730 18 (1,908 ) 6,840 3.88% 1.50% 1.84 Total Agency RMBS 1,114,564 74,172 1,197,466 20,350 (2,578 ) 1,215,238 3.95% 2.63% 6.03 Non-Agency RMBS 23,591 (6,848 ) 16,743 1,596 (443 ) 17,896 2.80% 7.29% 5.18 Total RMBS $ 1,138,155 $ 67,324 $ 1,214,209 $ 21,946 $ (3,021 ) $ 1,233,134 3.93% 2.70% 6.01 (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 nine month period ended September 30, 2016 , the weighted average holdings of RMBS investments based on amortized cost was $1.217 billion . December 31, 2015 : ($ in thousands) Gross Unrealized Weighted Average Current Principal Unamortized Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon Yield Life (Years) (1) Agency RMBS: 15-year fixed rate mortgages $ 162,546 $ 7,839 $ 170,385 $ 531 $ (655 ) $ 170,261 3.38% 2.31% 4.99 20-year fixed rate mortgages 18,477 1,277 19,754 153 (77 ) 19,830 4.00% 2.75% 6.50 30-year fixed rate mortgages 842,524 53,832 896,356 8,117 (3,679 ) 900,794 4.12% 3.11% 8.29 Adjustable rate mortgages 36,433 2,196 38,629 81 (180 ) 38,530 4.05% 2.68% 5.44 Reverse mortgages 68,690 6,515 75,205 34 (1,547 ) 73,692 4.63% 2.54% 5.64 Interest only securities n/a n/a 8,491 248 (981 ) 7,758 3.82% 3.30% 2.36 Total Agency RMBS 1,128,670 71,659 1,208,820 9,164 (7,119 ) 1,210,865 4.03% 2.94% 7.16 Non-Agency RMBS 48,408 (18,013 ) 30,395 2,264 (1,258 ) 31,401 2.48% 20.97% 4.81 Total RMBS $ 1,177,078 $ 53,646 $ 1,239,215 $ 11,428 $ (8,377 ) $ 1,242,266 3.97% 3.39% 7.07 (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, 2015, the weighted average holdings of RMBS investments based on amortized cost was $1.323 billion . By Estimated Weighted Average Life As of September 30, 2016 : ($ in thousands) Agency RMBS Agency Interest Only Securities Non-Agency RMBS Estimated Weighted Average Life (1) Fair Value Amortized Cost Weighted Average Coupon Fair Value Amortized Cost Weighted Average Coupon Fair Value Amortized Cost Weighted Average Coupon Less than three years $ 100,104 $ 97,761 4.19 % $ 5,340 $ 6,990 3.73 % $ 929 $ 962 6.00 % Greater than three years and less than seven years 538,644 527,194 4.05 % 1,500 1,740 5.06 % 16,967 15,781 2.64 % Greater than seven years and less than eleven years 568,402 562,541 3.83 % — — — % — — — % Greater than eleven years 1,248 1,240 4.00 % — — — % — — — % Total $ 1,208,398 $ 1,188,736 3.96 % $ 6,840 $ 8,730 3.88 % $ 17,896 $ 16,743 2.80 % (1) Average lives of RMBS are generally shorter than stated contractual maturities. As of December 31, 2015: ($ in thousands) Agency RMBS Agency Interest Only Securities Non-Agency RMBS Estimated Weighted Average Life (1) Fair Value Amortized Cost Weighted Average Coupon Fair Value Amortized Cost Weighted Average Coupon Fair Value Amortized Cost Weighted Average Coupon Less than three years $ 30,054 $ 30,227 4.76 % $ 4,974 $ 5,701 3.55 % $ 2,558 $ 1,543 3.21 % Greater than three years and less than seven years 273,477 273,107 3.78 % 2,784 2,790 4.97 % 24,736 25,478 2.66 % Greater than seven years and less than eleven years 893,730 891,112 4.10 % — — — % 4,107 3,374 0.55 % Greater than eleven years 5,846 5,883 3.81 % — — — % — — — % Total $ 1,203,107 $ 1,200,329 4.04 % $ 7,758 $ 8,491 3.82 % $ 31,401 $ 30,395 2.48 % (1) Average lives of RMBS are generally shorter than stated contractual maturities. The following table reflects the components of interest income on the Company's RMBS for the three and nine month periods ended September 30, 2016 : Three Month Period Ended September 30, 2016 Nine Month Period Ended ($ in thousands) Coupon Interest Net Amortization Interest Income Coupon Interest Net Amortization Interest Income Agency RMBS $ 11,917 $ (5,413 ) $ 6,504 $ 35,845 $ (13,504 ) $ 22,341 Non-Agency RMBS 162 336 498 721 953 1,674 Total $ 12,079 $ (5,077 ) $ 7,002 $ 36,566 $ (12,551 ) $ 24,015 The following table reflects the components of interest income on the Company's RMBS for the three and nine month periods ended September 30, 2015 : Three Month Period Ended Nine Month Period Ended ($ in thousands) Coupon Interest Net Amortization Interest Income Coupon Interest Net Amortization Interest Income Agency RMBS $ 12,392 $ (1,744 ) $ 10,648 $ 37,071 $ (7,795 ) $ 29,276 Non-Agency RMBS 294 373 667 873 1,256 2,129 Total $ 12,686 $ (1,371 ) $ 11,315 $ 37,944 $ (6,539 ) $ 31,405 |
Valuation
Valuation | 9 Months Ended |
Sep. 30, 2016 | |
Fair Value Disclosures [Abstract] | |
Valuation | Valuation The following tables present the Company's financial instruments measured at fair value on: September 30, 2016 : (In thousands) Description Level 1 Level 2 Level 3 Total Assets: Mortgage-backed securities, at fair value: Agency RMBS: 15-year fixed rate mortgages $ — $ 143,300 $ — $ 143,300 20-year fixed rate mortgages — 11,660 — 11,660 30-year fixed rate mortgages — 957,420 — 957,420 Adjustable rate mortgages — 32,341 — 32,341 Reverse mortgages — 63,677 — 63,677 Interest only securities — — 6,840 6,840 Non-Agency RMBS — 13,828 4,068 17,896 Mortgage-backed securities, at fair value — 1,222,226 10,908 1,233,134 Financial derivatives–assets, at fair value: TBAs — 174 — 174 Interest rate swaps — 1,467 — 1,467 Total financial derivatives–assets, at fair value — 1,641 — 1,641 Total mortgage-backed securities and financial derivatives–assets, at fair value $ — $ 1,223,867 $ 10,908 $ 1,234,775 Liabilities: U.S. Treasury securities sold short, at fair value $ — $ (77,263 ) $ — $ (77,263 ) Financial derivatives–liabilities, at fair value: TBAs — (606 ) — (606 ) Interest rate swaps — (9,275 ) — (9,275 ) Futures (4 ) — — (4 ) Total financial derivatives–liabilities, at fair value (4 ) (9,881 ) — (9,885 ) Total U.S. Treasury securities sold short and financial derivatives–liabilities, at fair value $ (4 ) $ (87,144 ) $ — $ (87,148 ) There were no transfers of financial instruments between Levels 1 and 2 of the fair value hierarchy during the nine month period ended September 30, 2016 . December 31, 2015 : (In thousands) Description Level 1 Level 2 Level 3 Total Assets: Mortgage-backed securities, at fair value: Agency RMBS: 15-year fixed rate mortgages $ — $ 170,261 $ — $ 170,261 20-year fixed rate mortgages — 19,830 — 19,830 30-year fixed rate mortgages — 900,794 — 900,794 Adjustable rate mortgages — 38,530 — 38,530 Reverse mortgages — 73,692 — 73,692 Interest only securities — — 7,758 7,758 Non-Agency RMBS — 27,381 4,020 31,401 Mortgage-backed securities, at fair value — 1,230,488 11,778 1,242,266 Financial derivatives–assets, at fair value: TBAs — 417 — 417 Interest rate swaps — 1,748 — 1,748 Futures 18 — — 18 Total financial derivatives–assets, at fair value 18 2,165 — 2,183 Total mortgage-backed securities and financial derivatives–assets, at fair value $ 18 $ 1,232,653 $ 11,778 $ 1,244,449 Liabilities: U.S. Treasury securities sold short, at fair value $ — $ (78,447 ) $ — $ (78,447 ) Financial derivatives–liabilities, at fair value: TBAs — (364 ) — (364 ) Interest rate swaps — (4,361 ) — (4,361 ) Total financial derivatives–liabilities, at fair value — (4,725 ) — (4,725 ) Total U.S. Treasury securities sold short and financial derivatives–liabilities, at fair value $ — $ (83,172 ) $ — $ (83,172 ) There were no transfers of financial instruments between Levels 1 or 2 of the fair value hierarchy during the year ended December 31, 2015. 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, 2016 : (In thousands) Non-Agency RMBS Agency RMBS Beginning balance as of June 30, 2016 $ 5,208 $ 7,631 Purchases — — Proceeds from sales (1,270 ) — Principal repayments (629 ) — (Amortization)/accretion, net 258 (921 ) Net realized gains (losses) 1,079 (156 ) Change in net unrealized gains (losses) (578 ) 286 Transfers: Transfers into level 3 — — Transfers out of level 3 — — Ending balance as of September 30, 2016 $ 4,068 $ 6,840 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, 2016 , as well as Level 3 financial instruments disposed of by the Company during the three month period ended September 30, 2016 . For Level 3 financial instruments held by the Company as of September 30, 2016 , change in net unrealized gains (losses) of $0.5 million and $0.2 million , for the three month period ended September 30, 2016 relate to non-Agency RMBS and Agency RMBS, respectively. Three month period ended September 30, 2015 : (In thousands) Non-Agency RMBS Agency RMBS Beginning balance as of June 30, 2015 $ 5,556 $ 7,070 Purchases — 1,696 Proceeds from sales — — Principal repayments (512 ) — (Amortization)/accretion, net 208 (737 ) Net realized gains (losses) — — Change in net unrealized gains (losses) 44 (755 ) Transfers: Transfers into level 3 824 — Transfers out of level 3 — — Ending balance as of September 30, 2015 $ 6,120 $ 7,274 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, 2015 , as well as Level 3 financial instruments disposed of by the Company during the three month period ended September 30, 2015 . For Level 3 financial instruments held by the Company at September 30, 2015 , change in net unrealized gains (losses) of $26 thousand and $(0.8) million , for the three month period ended September 30, 2015 relate to non-Agency RMBS and Agency RMBS, respectively. During the three month period ended September 30, 2015, the Company transferred $0.8 million of non-Agency RMBS from Level 2 to Level 3. Following June 30, 2015, these securities exhibited indications of a reduced level of price transparency. Examples of such indications include wider spreads and/or higher delinquencies relative to similar securities and a reduction in observable transactions or executable quotes involving these and similar securities. Changes in these indications could impact price transparency, and thereby cause a change in the level designation in future periods. Nine month period ended September 30, 2016 : (In thousands) Non-Agency RMBS Agency RMBS Beginning balance as of December 31, 2015 $ 4,020 $ 7,758 Purchases — 2,965 Proceeds from sales (1,270 ) — Principal repayments (1,040 ) — (Amortization)/accretion, net 361 (2,495 ) Net realized gains (losses) 1,080 (230 ) Change in net unrealized gains (losses) (722 ) (1,158 ) Transfers: Transfers into level 3 3,366 — Transfers out of level 3 (1,727 ) — Ending balance as of September 30, 2016 $ 4,068 $ 6,840 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, 2016 , as well as Level 3 financial instruments disposed of by the Company during the nine month period ended September 30, 2016 . For Level 3 financial instruments held by the Company as of September 30, 2016 , change in net unrealized gains (losses) of $0.8 million and $(1.3) million , for the nine month period ended September 30, 2016 relate to non-Agency RMBS and Agency RMBS, respectively. During the nine month period ended September 30, 2016 , the Company transferred $1.7 million of non-Agency RMBS from Level 3 to Level 2. These assets were transferred from Level 3 to Level 2 based on an increased volume of observed trading of these and similar assets. This increase in observed trading activity has led to greater price transparency for these assets, thereby making a Level 2 designation appropriate in the Company's view. However, changes in the volume of observable inputs for these assets, such as a decrease in observed trading, could impact price transparency, and thereby cause a change in the level designation for these assets in future periods. During the nine month period ended September 30, 2016 , the Company transferred $3.4 million of non-Agency RMBS from Level 2 to Level 3. Since December 31, 2015, these securities have exhibited indications of a reduced level of price transparency. Examples of such indications include wider spreads and/or higher delinquencies relative to similar securities and a reduction in observable transactions or executable quotes involving these and similar securities. Changes in these indications could impact price transparency, and thereby cause a change in the level designation in future periods. Nine month period ended September 30, 2015 : (In thousands) Non-Agency RMBS Agency RMBS Beginning balance as of December 31, 2014 $ 10,082 $ 11,244 Purchases — 3,397 Proceeds from sales (2,861 ) (4,538 ) Principal repayments (1,381 ) — (Amortization)/accretion, net 806 (2,012 ) Net realized gains (losses) 791 602 Change in net unrealized gains (losses) (649 ) (1,419 ) Transfers: Transfers into level 3 4,025 — Transfers out of level 3 (4,693 ) — Ending balance as of September 30, 2015 $ 6,120 $ 7,274 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 as of September 30, 2015 , as well as Level 3 financial instruments disposed of by the Company during the nine month period ended September 30, 2015 . For Level 3 financial instruments held by the Company as of September 30, 2015 , change in net unrealized gains (losses) of $0.1 million and $(0.6) million , for the nine month period ended September 30, 2015 relate to non-Agency RMBS and Agency RMBS, respectively. During the nine month period ended September 30, 2015 , the Company transferred $4.7 million of non-Agency RMBS from Level 3 to Level 2. These assets were transferred from Level 3 to Level 2 based on an increased volume of observed trading of these and similar assets. This increase in observed trading activity has led to greater price transparency for these assets, thereby making a Level 2 designation appropriate in the Company's view. However, changes in the volume of observable inputs for these assets, such as a decrease in observed trading, could impact price transparency, and thereby cause a change in the level designation for these assets in future periods. During the nine month period ended September 30, 2015 , the Company transferred $4.0 million of non-Agency RMBS from Level 2 to Level 3. Following December 31, 2014, these securities exhibited indications of a reduced level of price transparency. Examples of such indications include wider spreads and/or higher delinquencies relative to similar securities and a reduction in observable transactions or executable quotes involving these and similar securities. Changes in these indications could impact price transparency, and thereby cause a change in the level designation in future periods. 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, 2016 and December 31, 2015: September 30, 2016 : Range Description Fair Value Valuation Technique Significant Unobservable Input Min Max Weighted Average (1) (In thousands) Non-Agency RMBS $ 702 Discounted Cash Flows Yield 24.9 % 24.9 % 24.9 % Projected Collateral Prepayments 36.5 % 36.5 % 36.5 % Projected Collateral Losses 1.7 % 1.7 % 1.7 % Projected Collateral Recoveries 3.3 % 3.3 % 3.3 % Projected Collateral Scheduled Amortization 58.5 % 58.5 % 58.5 % 100.0 % Non-Agency RMBS 3,366 Market quotes Non-Binding Third-Party Valuation $ 62.72 $ 70.65 $ 65.95 Agency RMBS–Interest Only Securities 4,122 Market quotes Non-Binding Third-Party Valuation $ 4.02 $ 20.93 $ 10.65 Agency RMBS–Interest Only Securities 2,718 Option Adjusted Spread ("OAS") LIBOR OAS (2) 392 1,147 677 Projected Collateral Prepayments 65.4 % 93.5 % 81.5 % Projected Collateral Scheduled Amortization 6.5 % 34.6 % 18.5 % 100.0 % (1) Averages are weighted based on the fair value of the related instrument. (2) Shown in basis points. December 31, 2015: Range Description Fair Value Valuation Technique Significant Unobservable Input Min Max Weighted Average (1) (In thousands) Non-Agency RMBS $ 4,020 Discounted Cash Flows Yield 8.8 % 25.7 % 13.4 % Projected Collateral Prepayments 32.5 % 68.7 % 60.5 % Projected Collateral Losses 1.3 % 9.0 % 5.3 % Projected Collateral Recoveries 3.4 % 9.2 % 6.4 % Projected Collateral Scheduled Amortization 13.1 % 60.1 % 27.8 % 100.0 % Agency RMBS–Interest Only Securities 5,645 Market quotes Non-Binding Third-Party Valuation $ 4.39 $ 21.63 $ 11.88 Agency RMBS–Interest Only Securities 2,113 Option Adjusted Spread ("OAS") LIBOR OAS (2) 221 984 576 Projected Collateral Prepayments 52.7 % 88.0 % 74.1 % Projected Collateral Scheduled Amortization 12.0 % 47.3 % 25.9 % 100.0 % (1) Averages are weighted based on the fair value of the related instrument. (2) Shown in basis points. Third-party non-binding valuations are validated by comparing such valuations 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. The following table summarizes the estimated fair value of all other financial instruments not included in the disclosures above as of September 30, 2016 and December 31, 2015: September 30, 2016 December 31, 2015 (In thousands) Fair Value Carrying Value Fair Value Carrying Value Other financial instruments Assets: Cash and cash equivalents $ 43,026 $ 43,026 $ 40,166 $ 40,166 Due from brokers 33,462 33,462 33,297 33,297 Reverse repurchase agreements 77,932 77,932 78,632 78,632 Liabilities: Repurchase agreements 1,158,962 1,158,962 1,222,719 1,222,719 Due to brokers 538 538 439 439 Cash and cash equivalents includes cash held in an interest bearing overnight account for which fair value equals the carrying value and cash held in money market accounts which are liquid in nature and for which fair value equals the carrying value; such assets are considered Level 1 assets. Due from brokers and Due to brokers include collateral transferred to or received from counterparties, along with receivables and payables for open and/or closed derivative positions. These receivables and payables are short term in nature and any collateral transferred consists primarily of cash; fair value of these items approximates carrying value and such items are considered Level 1 assets and liabilities. The Company's repurchase and reverse repurchase agreements are carried at cost, which approximates fair value due to their short term nature. Repurchase agreements and reverse repurchase agreements are classified as Level 2 assets and liabilities based on the adequacy of the collateral and their short term nature. |
Derivative Instruments
Derivative Instruments | 9 Months Ended |
Sep. 30, 2016 | |
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 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 the Company's 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, swaptions, and TBAs. Additionally, from time to time, the Company may use short positions in U.S. Treasury securities to mitigate its interest rate risk. The following table details the fair value of the Company's holdings of financial derivatives as of September 30, 2016 and December 31, 2015: September 30, 2016 December 31, 2015 (In thousands) Financial derivatives–assets, at fair value: TBA securities purchase contracts $ 142 $ 115 TBA securities sale contracts 32 302 Fixed payer interest rate swaps 112 891 Fixed receiver interest rate swaps 1,355 857 Futures — 18 Total financial derivatives–assets, at fair value 1,641 2,183 Financial derivatives–liabilities, at fair value: TBA securities purchase contracts (3 ) (49 ) TBA securities sale contracts (603 ) (315 ) Fixed payer interest rate swaps (9,275 ) (4,361 ) Futures (4 ) — Total financial derivatives–liabilities, at fair value (9,885 ) (4,725 ) Total $ (8,244 ) $ (2,542 ) Interest Rate Swaps The following tables provide information about the Company's fixed payer interest rate swaps as of September 30, 2016 and December 31, 2015: September 30, 2016 : Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2016 $ 26,500 $ (43 ) 0.70 % 0.69 % 0.13 2017 74,750 (283 ) 1.21 0.78 0.84 2018 65,990 1 0.97 0.72 1.68 2019 4,200 11 0.96 0.79 2.85 2020 79,500 (1,478 ) 1.48 0.72 3.57 2022 13,044 (451 ) 1.75 0.75 5.93 2023 42,200 (1,946 ) 1.90 0.76 6.60 2024 8,900 (494 ) 1.99 0.65 7.51 2025 15,322 (862 ) 2.04 0.65 8.38 2026 26,885 (20 ) 1.46 0.78 9.87 2043 12,380 (3,598 ) 2.99 0.81 26.63 Total $ 369,671 $ (9,163 ) 1.41 % 0.74 % 4.38 December 31, 2015: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2016 $ 48,000 $ (83 ) 0.80 % 0.39 % 0.77 2017 74,750 (445 ) 1.21 0.41 1.59 2018 71,529 80 1.11 0.34 2.28 2020 119,893 220 1.51 0.33 4.36 2022 19,444 86 1.76 0.34 6.51 2023 131,400 (1,367 ) 2.10 0.38 7.39 2024 9,200 11 1.99 0.32 8.26 2025 58,560 (5 ) 2.06 0.33 9.32 2043 21,067 (1,967 ) 3.03 0.36 27.39 Total $ 553,843 $ (3,470 ) 1.63 % 0.36 % 5.67 The following tables provide information about the Company's fixed receiver interest rate swaps as of September 30, 2016 and December 31, 2015. September 30, 2016 : Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2025 $ 9,700 $ 1,355 0.68 % 3.00 % 8.79 Total $ 9,700 $ 1,355 0.68 % 3.00 % 8.79 December 31, 2015: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2025 $ 9,700 $ 857 0.32 % 3.00 % 9.55 Total $ 9,700 $ 857 0.32 % 3.00 % 9.55 Futures The following table provides information about the Company's short positions in Eurodollar futures as of September 30, 2016 and December 31, 2015. September 30, 2016 : Maturity Notional Amount Fair Value Remaining Months to Expiration ($ in thousands) 2016 $ (3,000 ) $ — 2.67 2017 (9,000 ) (4 ) 8.66 Total $ (12,000 ) $ (4 ) 7.16 December 31, 2015: Maturity Notional Amount Fair Value Remaining Months to Expiration ($ in thousands) 2016 $ (12,000 ) $ 10 7.13 2017 (9,000 ) 8 17.79 Total $ (21,000 ) $ 18 11.70 TBAs The Company transacts in the forward settling 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 mitigate 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, 2016 and December 31, 2015, the Company had outstanding contracts to purchase ("long positions") and sell ("short positions") TBA securities as follows: September 30, 2016 December 31, 2015 TBA Securities Notional Amount (1) Cost Basis (2) Market Value (3) Net Carrying Value (4) Notional Amount (1) Cost Basis (2) Market Value (3) Net Carrying Value (4) (In thousands) Purchase contracts: Assets $ 56,383 $ 59,180 $ 59,322 $ 142 $ 60,291 $ 61,638 $ 61,753 $ 115 Liabilities 4,510 4,747 4,744 (3 ) 23,418 24,208 24,159 (49 ) 60,893 63,927 64,066 139 83,709 85,846 85,912 66 Sale contracts: Assets (119,179 ) (129,253 ) (129,221 ) 32 (170,800 ) (181,476 ) (181,174 ) 302 Liabilities (399,832 ) (424,546 ) (425,149 ) (603 ) (252,746 ) (268,973 ) (269,288 ) (315 ) (519,011 ) (553,799 ) (554,370 ) (571 ) (423,546 ) (450,449 ) (450,462 ) (13 ) Total TBA securities, net $ (458,118 ) $ (489,872 ) $ (490,304 ) $ (432 ) $ (339,837 ) $ (364,603 ) $ (364,550 ) $ 53 (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. The tables below details the average notional values of the Company's financial derivatives, using absolute value of month end notional values, for the nine month period ended September 30, 2016 and the year ended December 31, 2015: Derivative Type Nine Month Period Ended September 30, 2016 Year Ended (In thousands) Interest rate swaps $ 469,955 $ 525,037 TBAs 480,208 606,665 Interest rate swaptions — 5,223 Futures 17,400 5,308 Gains and losses on the Company's financial derivatives for the three and nine month periods ended September 30, 2016 and 2015 are summarized in the tables below: Three Month Period Ended September 30, 2016 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) Interest rate swaps $ (241 ) $ (1,089 ) $ (1,330 ) $ (385 ) $ 3,071 $ 2,686 TBAs (2,591 ) (2,591 ) 521 521 Futures 1 1 8 8 Total $ (241 ) $ (3,679 ) $ (3,920 ) $ (385 ) $ 3,600 $ 3,215 Three Month Period Ended September 30, 2015 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) Interest rate swaps $ (1,044 ) $ (19 ) $ (1,063 ) $ (1,066 ) $ (13,559 ) $ (14,625 ) Swaptions (500 ) (500 ) 17 17 TBAs (1,689 ) (1,689 ) (813 ) (813 ) Total $ (1,044 ) $ (2,208 ) $ (3,252 ) $ (1,066 ) $ (14,355 ) $ (15,421 ) Nine Month Period Ended September 30, 2016 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) Interest rate swaps $ (3,421 ) $ (10,040 ) $ (13,461 ) $ 336 $ (5,621 ) $ (5,285 ) TBAs (8,065 ) (8,065 ) (486 ) (486 ) Futures 3 3 (21 ) (21 ) Total $ (3,421 ) $ (18,102 ) $ (21,523 ) $ 336 $ (6,128 ) $ (5,792 ) Nine Month Period Ended September 30, 2015 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) Interest rate swaps $ (3,900 ) $ (4,826 ) $ (8,726 ) $ (1,647 ) $ (8,147 ) $ (9,794 ) Swaptions (500 ) (500 ) (79 ) (79 ) TBAs (6,612 ) (6,612 ) 615 615 Total $ (3,900 ) $ (11,938 ) $ (15,838 ) $ (1,647 ) $ (7,611 ) $ (9,258 ) As of September 30, 2016 , the Company also held short positions in U.S. Treasury securities, with a principal amount of $76.5 million and a fair value of $77.3 million . As of December 31, 2015, the Company also held short positions in U.S. Treasury securities, with a principal amount of $79.6 million and a fair value of $78.4 million . Such securities are included on the Company's Consolidated Balance Sheet under the caption U.S. Treasury securities sold short, at fair value. |
Borrowings under Repurchase Agr
Borrowings under Repurchase Agreements | 9 Months Ended |
Sep. 30, 2016 | |
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. 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. In the event of increases in fair value of the transferred securities, the Company generally can require the counterparty to post collateral with it in the form of cash or securities. The Company is generally permitted to sell or re-pledge any securities posted by the counterparty as collateral; however, upon termination of the repurchase agreement, or other circumstance in which the counterparty is no longer required to post such margin, the Company must return to the counterparty the same security that had been posted. The contractual amount (loan amount) of the Company's repurchase agreements approximates fair value, based on the short-term nature of the debt and the adequacy of the collateral. 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 each of September 30, 2016 and December 31, 2015, the Company had outstanding borrowings under repurchase agreements with thirteen counterparties. The following table details the Company's outstanding borrowings under repurchase agreements as of September 30, 2016 and December 31, 2015: September 30, 2016 December 31, 2015 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 $ 521,831 0.70 % 15 $ 666,124 0.52 % 14 31-60 days 298,063 0.70 47 336,350 0.53 45 61-90 days 248,083 0.74 76 89,142 0.70 74 91-120 days 74,956 0.76 109 131,103 0.53 106 121-150 days 2,150 0.75 137 — — — 151-180 days 13,879 0.82 165 — — — Total $ 1,158,962 0.72 % 44 $ 1,222,719 0.54 % 37 Repurchase agreements involving underlying investments that the Company 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. As of September 30, 2016 and December 31, 2015, the fair value of RMBS transferred as collateral under outstanding borrowings under repurchase agreements was $1.2 billion and $1.3 billion , respectively. Collateral transferred under outstanding borrowings as of September 30, 2016 includes RMBS in the amount of $37.0 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, 2015 includes RMBS in the amount of $63.4 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 $16.8 million and additional securities with a fair value of $0.5 million as of September 30, 2016 as a result of margin calls from various counterparties. The Company posted additional net cash collateral of $20.7 million and additional securities with a fair value of $2.0 million as of December 31, 2015 as a result of margin calls from various counterparties. |
Offsetting of Assets and Liabil
Offsetting of Assets and Liabilities | 9 Months Ended |
Sep. 30, 2016 | |
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 2. 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, 2016 and December 31, 2015. 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, 2016 : 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 $ 1,641 $ (1,586 ) $ — $ — $ 55 Reverse repurchase agreements 77,932 (77,932 ) — — — Liabilities: Financial derivatives–liabilities (9,885 ) 1,586 — 8,042 (257 ) Repurchase agreements (1,158,962 ) 77,932 1,064,279 16,751 — (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, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's repurchase agreements and cash collateral pledged on the Company's financial derivative assets and liabilities. Total financial instruments transferred or pledged as collateral on the Company's repurchase agreements as of September 30, 2016 were $1.21 billion . As of September 30, 2016 total cash collateral on financial derivative assets and liabilities excludes $1.8 million and $6.7 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. December 31, 2015: 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 $ 2,183 $ (1,529 ) $ — $ — $ 654 Reverse repurchase agreements 78,632 (78,632 ) — — — Liabilities: Financial derivatives–liabilities (4,725 ) 1,529 — 3,089 (107 ) Repurchase agreements (1,222,719 ) 78,632 1,123,409 20,678 — (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 the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's repurchase agreements and cash collateral pledged on the Company's financial derivative assets and liabilities. Total financial instruments transferred or pledged as collateral on the Company's repurchase agreements as of December 31, 2015 were $1.26 billion . As of December 31, 2015 total cash collateral on financial derivative assets and liabilities excludes $6.8 million and $2.5 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
Earnings per Share | 9 Months Ended |
Sep. 30, 2016 | |
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, 2016 and 2015, 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, 2016 and 2015: (In thousands except for share amounts) Three Month Period Ended September 30, 2016 Three Month Period Ended September 30, 2015 Nine Month Period Ended September 30, 2016 Nine Month Period Ended September 30, 2015 Numerator: Net income $ 6,626 $ (4,817 ) $ 9,895 $ (949 ) Denominator: Basic and diluted weighted average shares outstanding 9,119,111 9,140,452 9,119,164 9,146,301 Basic and Diluted Earnings Per Share $ 0.73 $ (0.53 ) $ 1.09 $ (0.10 ) |
Related Party Transactions
Related Party Transactions | 9 Months Ended |
Sep. 30, 2016 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | Related Party Transactions Management Agreement The Company is party to the Management Agreement, 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, 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. 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 the three month periods ended September 30, 2016 and 2015, the total management fee incurred was $0.5 million and $0.6 million , respectively. For the nine month periods ended September 30, 2016 and 2015, the total management fee incurred was $1.6 million and $1.8 million , respectively. 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 have overlapping ownership and are under common control. 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 the nine month periods ended September 30, 2016 and 2015 the Company reimbursed the Manager $1.5 million and $1.2 million , respectively, 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 as of the month-end preceding the date of the notice of termination or non-renewal of the Management Agreement. 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, 2016 | |
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, 2016 and December 31, 2015, there were 9,127,039 and 9,135,103 common shares outstanding, respectively. No preferred shares have been issued. During the three month periods ended September 30, 2016 and 2015, the Board of Directors authorized dividends totaling $0.40 per share and $0.45 per share, respectively. Total dividends declared during the three month periods ended September 30, 2016 and 2015 were $3.7 million and $4.1 million , respectively. During the nine month periods ended September 30, 2016 and 2015, the Board of Directors authorized dividends totaling $1.25 per share and $1.55 per share, respectively. Total dividends declared during the nine month periods ended September 30, 2016 and 2015 were $11.4 million and $14.2 million , respectively. Detailed below is a roll forward of the Company's common shares outstanding for the three and nine month periods ended September 30, 2016 and 2015: Three Month Period Ended Nine Month Period Ended September 30, 2016 September 30, 2015 September 30, 2016 September 30, 2015 Common Shares Outstanding (6/30/2016, 6/30/2015, 12/31/2015, and 12/31/2014, respectively) 9,117,183 9,149,274 9,135,103 9,149,274 Share Activity: Restricted shares issued 9,856 9,228 9,856 9,228 Shares repurchased — (23,481 ) (17,920 ) (23,481 ) Common Shares Outstanding (9/30/2016, 9/30/2015, 9/30/2016, and 9/30/2015, respectively) 9,127,039 9,135,021 9,127,039 9,135,021 Unvested restricted shares outstanding (9/30/2016, 9/30/2015, 9/30/2016, and 9/30/2015, respectively) 16,018 9,228 16,018 9,228 The below table provides details on the Company's restricted shares granted pursuant to share award agreements which are unvested at September 30, 2016 : Grant Recipient Number of Restricted Shares Granted Grant Date Vesting Date (1) Independent trustees: 9,856 September 13, 2016 September 12, 2017 Partially dedicated employees: 3,157 December 15, 2015 December 15, 2016 324 December 15, 2015 December 31, 2016 2,359 December 15, 2015 December 15, 2017 322 December 15, 2015 December 31, 2017 (1) Date at which such restricted shares will vest and become non-forfeitable. 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, including through Rule 10b5-1 plans. Repurchases are at the Company's discretion, subject to applicable law, share availability, price and the Company's financial performance, among other considerations. During the nine month period ended September 30, 2016 , the Company purchased 17,920 common shares at an aggregate cost of $0.2 million , and an average price per share of $10.94 . No shares were repurchased in the three month period ended September 30, 2016. From inception of the share repurchase program through September 30, 2016 , the Company has purchased 47,481 common shares at an aggregate cost of $0.6 million , and an average price per share of $12.03 . 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 or deemed 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 time 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, 2016 | |
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. The Company provides current directors and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Company. In the normal course of business the Company may also enter into contracts that contain a variety of representations, warranties, and general indemnifications. The Company's maximum exposure under these arrangements, including future claims that may be made against the Company that have not yet occurred, is unknown. The Company has not incurred any costs to defend lawsuits or settle claims related to these indemnification agreements. The Company has no liabilities recorded for these agreements as of September 30, 2016 and December 31, 2015 and management is not aware of any significant contingencies at September 30, 2016 . |
Significant Accounting Polici18
Significant Accounting Policies Significant Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2016 | |
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 rights 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. In management's opinion, all material adjustments, considered necessary for a fair presentation of the Company's interim consolidated financial statements have been included and are only of a normal recurring nature. 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, 2015. |
Valuation | Valuation: The Company applies ASC 820-10, Fair Value Measurement and Disclosures ("ASC 820-10"), to its holdings of financial instruments. ASC 820-10 establishes a three-level valuation hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the observability 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. Currently, the types of financial instruments the Company generally includes in this category are, exchange-traded derivatives; • 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. Currently, the types of financial instruments that the Company generally includes in this category are Agency RMBS, non-Agency RMBS determined to have sufficiently observable market data, U.S. Treasury securities, actively traded derivatives such as TBAs, interest rate swaps, and swaptions; and • Level 3—inputs to the valuation methodology are unobservable and significant to the fair value measurement. Currently, this category includes RMBS where there is less price transparency. For certain financial instruments, the various inputs that management uses to measure fair value for such financial instrument may fall into different levels of the fair value hierarchy. In such cases, the determination of which category within the fair value hierarchy is appropriate for such financial instrument is based on the lowest level of input that is significant to the fair value measurement. ASC 820 prioritizes the various inputs that management uses to measure fair value with the highest priority to inputs that are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets (Level 1) and the lowest priority to inputs that are unobservable and significant to the fair value measurement (Level 3). The assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the financial instrument. The Company may use valuation techniques consistent with the market and income approaches to measure the fair value of its assets and liabilities. The market approach uses third-party valuations and information obtained from market transactions involving identical or similar assets or liabilities. The income approach uses projections of the future economic benefits of an instrument to determine its fair value, such as in the discounted cash flow methodology. The inputs or methodology used for valuing financial instruments are not necessarily an indication of the risk associated with investing in these financial instruments. Transfers between levels of the fair value hierarchy are assumed to occur at the end of the reporting period. Summary Valuation Techniques For financial instruments that are traded in an "active market," the best measure of fair value is the quoted market price. However, many of the Company's financial instruments are not traded in an active market. Therefore, management generally uses third-party valuations when available. If third-party valuations are not available, management uses other valuation techniques, such as the discounted cash flow methodology. The following are summary descriptions, for the various categories of financial instruments, of the valuation methodologies management uses in determining fair value of the Company's financial instruments in such categories. Management utilizes such methodologies to assign a good faith fair value (the estimated price that, in an orderly transaction at the valuation date, would be received to sell an asset, or paid to transfer a liability, as the case may be) to each such financial instrument. Valuations for fixed rate RMBS pass-throughs issued by a U.S government agency or government-sponsored enterprise, or "GSE," are typically based on observable pay-up data (pay-ups are price premiums for specified categories of fixed rate pools relative to their TBA counterparts) or models that use observable market data, such as interest rates and historical prepayment speeds, and are validated against third-party valuations. With respect to the Company's other RMBS investments and TBAs, management seeks to obtain at least one third-party valuation, and often obtains multiple valuations when available. Management has been able to obtain third-party valuations on the vast majority of these instruments and expects to continue to solicit third-party valuations in the future. Management 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, and while management generally does not adjust the valuations it receives, management may challenge or reject a valuation when, based on its validation criteria, management determines that such valuation is unreasonable or erroneous. Furthermore, based on its validation criteria, management may determine that the average of the third-party valuations received for a given instrument does not result in what management believes to be the fair value of such instrument, and in such circumstances management may override this average with its own good faith valuation. The validation criteria may take into account output from management's own models, recent trading activity in the same or similar instruments, and valuations received from third parties. The use of proprietary models requires the use of a significant amount of judgment and the application of various assumptions including, but not limited to, assumptions concerning future prepayment rates and default rates. Given their relatively high level of price transparency, Agency RMBS pass-throughs and TBAs are typically designated as Level 2 assets, although Agency interest only and inverse interest only RMBS are currently designated as Level 3 assets since they generally have less price transparency. Non-Agency RMBS are generally classified as either Level 2 or Level 3 based on analysis of available market data such as recent trades and executable bids. Furthermore, the methodology used by the third-party valuation providers is reviewed at least annually by management, so as to ascertain whether such providers are utilizing observable market data to determine the valuations that they provide. Interest rate swaps and swaptions are typically valued based on internal models that use observable market data, including applicable interest rates in effect as of the measurement date; the model-generated valuations are then typically compared to counterparty valuations for reasonableness. These financial derivatives are generally designated as Level 2 instruments. In valuing its derivatives, the Company also considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each derivative agreement. The Company's repurchase and reverse repurchase agreements are carried at cost, which approximates fair value. Repurchase agreements and reverse repurchase agreements are classified as Level 2 assets and liabilities based on the adequacy of the collateral and their short term nature. The Company's valuation process, including the application of validation criteria, is overseen by the Manager's Valuation Committee. The Valuation Committee includes senior level executives from various departments within the Manager, and each quarter the Valuation Committee reviews and approves the valuations of the Company's investments. The valuation process also includes a monthly review by the Company's third party administrator. The goal of this review is to replicate various aspects of the Company's valuation process based on the Company's documented procedures. Because of the inherent uncertainty of valuation, the estimated fair value of the Company's financial instruments 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. |
Accounting for Securities | Accounting for Securities: Purchases and sales of investments are recorded on trade date and realized and unrealized gains and losses are calculated based on identified cost. The Company has chosen to make a fair value election pursuant to ASC 825-10, Financial Instruments , for its 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, 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 securities. |
Interest Income | Interest Income: Coupon interest income on investment securities is accrued based on the outstanding principal balance or notional amount and the current coupon rate on each security. The Company amortizes purchase premiums and accretes purchase discounts on its fixed income securities. For RMBS that are deemed to be of high credit quality at the time of purchase, premiums and discounts are generally amortized/accreted into interest income over the life of such securities using the effective interest method. For securities whose cash flows vary depending on prepayments, an effective yield retroactive to the time of purchase is periodically recomputed based on actual prepayments and changes in projected prepayment activity, and a catch-up adjustment is made to amortization to reflect the cumulative impact of the change in effective yield. For RMBS that are deemed not to be of high credit quality at the time of purchase, interest income is recognized based on the effective interest method. For purposes of determining the effective interest rate, management estimates the future expected cash flows of its investment holdings based on assumptions including, but not limited to, assumptions for future prepayment rates, default rates, and loss severities (each of which may in turn incorporate various macro-economic assumptions, such as future housing prices). These assumptions are re-evaluated not less than quarterly. Principal write-offs are generally treated as realized losses. Changes in projected cash flows, as applied to the current amortized cost of the security, may result in a prospective change in the yield/interest income recognized on such securities. The Company's accretion of discounts and amortization of premiums on securities for U.S. federal and other tax purposes is likely to differ from the 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 and cash equivalents typically include amounts held in an interest bearing overnight account and amounts held in money market funds, and these balances generally exceed insured limits. The Company holds its cash at institutions that it believes to be highly creditworthy. |
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 transferred to or received from counterparties, including clearinghouses, along with receivables and payables for open and/or closed derivative positions. |
Financial Derivatives | Financial Derivatives: The Company enters into various types of financial derivatives subject to its investment guidelines, which include restrictions associated with maintaining its 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 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 enters into interest rate swaps. Interest rate swaps are contractual agreements whereby one party pays a floating interest rate on a notional principal amount and receives a fixed rate payment on the same notional principal, or vice versa, for a fixed period of time. The Company enters into interest rate swap contracts primarily to mitigate interest rate risk. The Company is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. 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 transacts in the forward settling 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 mitigate 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. 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 enters into swaption contracts. It may purchase or write put, call, straddle, or other similar options contracts. The Company enters into options contracts primarily to help mitigate interest rate risk. When the Company purchases an options contract, 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 contracts that expire unexercised are recognized on the expiration date as realized losses. If an options contract 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 options contract, 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 contracts that expire unexercised are recognized on the expiration date as realized gains. If an options contract 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 contracts 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 options contract, regardless of whether or not the options contract is exercised. Futures Contracts : The Company enters into Eurodollar 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 | 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 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 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/or securities having a value not less than the repurchase price, including accrued interest, of the repurchase agreement. Repurchase agreements are carried at their contractual amounts, which approximate fair value due to their short-term nature. |
Reverse Repurchase Agreements | Reverse Repurchase Agreements: The Company 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 interest rate on 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. Reverse repurchase agreements are carried at their contractual amounts, which approximate fair value due to their short-term nature. Repurchase and reverse repurchase agreements that are conducted with the same counterparty can be reported on a net basis if they meet the requirements of ASC 210-20, Balance Sheet Offsetting . There are currently no repurchase and reverse repurchase agreements reported on a net basis in the Company's consolidated financial statements. |
Securities Sold Short | Securities Sold Short: The Company may purchase or engage in short sales of U.S. Treasury securities to mitigate the potential impact of changes in interest rates on the performance of its portfolio. When the Company sells securities short, it typically satisfies its security delivery settlement obligation by obtaining the security sold short from the same or a different counterparty. The Company generally is required to deliver cash or securities as collateral to the counterparty for the Company's obligation to return the borrowed security. The Company has chosen to make a fair value election pursuant to ASC 825-10, Financial Instruments , for its securities sold short. 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, securities sold short 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 securities. A realized gain or loss will be recognized upon the termination of a short sale if the market price is less or greater than the proceeds originally received. Such realized gain or loss is recorded on the Company's Consolidated Statement of Operations in Net realized gains (losses) on securities. |
Offering Costs/Deferred Offering Costs | Offering Costs/Deferred Offering Costs: Offering costs are charged against shareholders' equity within Additional paid-in-capital, 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—Stock 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, at the grant date, of the equity or liability instruments issued and is amortized over the vesting period. Restricted shares issued to the Company's independent directors and partially dedicated personnel are participating securities and receive dividends prior to vesting. Fair value for such awards is based on the closing stock price on the New York Stock Exchange at the grant date. The vesting period for restricted share awards is typically one to two years . |
Dividends | Dividends: Dividends payable are recorded on the declaration date. |
Expenses | Expenses: Expenses are recognized as incurred on the Consolidated Statement of Operations. |
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 | Share Repurchases: Common shares that are repurchased by the Company subsequent to issuance decrease the total number of shares issued and outstanding and are immediately retired upon settlement. The cost of such share repurchases is charged against Additional paid-in-capital on the Company's Consolidated Balance Sheet. |
Income Taxes | Income Taxes: The Company has elected to be taxed as a REIT under Sections 856 to 860 of the Code. As a REIT, the Company is generally not subject to corporate-level federal and state income tax on net income it distributes to its shareholders. To qualify as a REIT, the Company must meet a number of organizational and operational requirements, including the distribution of at least 90% of its annual taxable income to shareholders. Even if the Company qualifies as a REIT, it may be subject to certain federal, state, local and foreign taxes on its income and property and to federal income and excise taxes on its undistributed taxable income. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, it will be subject to U.S. federal, state, and local income taxes and may be precluded from qualifying as a REIT for the four taxable years following the year in which the Company fails to qualify as a REIT. 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 or litigation processes, 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 50% likely of being realized upon ultimate settlement. The Company did not have any unrecognized tax benefits resulting from tax positions related to the current period or to 2015, 2014, or 2013 (its open tax years). 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, 2015, 2014, and 2013 (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 repurchase agreement 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 annual periods beginning after December 15, 2014 and interim periods beginning after December 31, 2015. The adoption of ASC 860, as amended by ASU 2014-11 did not have a material impact on the Company's consolidated financial statements. In August 2014, the FASB issued ASU 2014-15, Disclosure of Uncertainties about an Entity's Ability to Continue as a Going Concern ("ASU 2014-15"). ASU 2014-15 requires management to perform interim and annual assessments of an entity's ability to continue as a going concern and to provide disclosure if events or conditions arise that would place substantial doubt on the entity's ability to continue as a going concern. ASU 2014-15 is effective for the annual period ending after December 15, 2016, and subsequent interim and annual periods with early adoption permitted. The adoption of ASU 2014-15 is not expected to have a material impact on the Company's consolidated financial statements. In February 2015, the FASB issued ASU 2015-02, Amendments to the Consolidation Analysis ("ASU 2015-02"). This amends ASC 810, Consolidation (ASC "810"), to improve targeted areas of consolidation guidance by simplifying the requirements of consolidation and placing more emphasis on risk of loss when determining a controlling financial interest. ASU 2015-02 is effective for annual periods beginning after December 15, 2016 and interim periods beginning after December 15, 2017 with early adoption permitted. The adoption of ASU 2015-02 is not expected to have a material impact on the Company's consolidated financial statements. |
Mortgage-Backed Securities (Tab
Mortgage-Backed Securities (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Investments, Debt and Equity Securities [Abstract] | |
Mortgage-backed securities [Table Text Block] | December 31, 2015 : ($ in thousands) Gross Unrealized Weighted Average Current Principal Unamortized Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon Yield Life (Years) (1) Agency RMBS: 15-year fixed rate mortgages $ 162,546 $ 7,839 $ 170,385 $ 531 $ (655 ) $ 170,261 3.38% 2.31% 4.99 20-year fixed rate mortgages 18,477 1,277 19,754 153 (77 ) 19,830 4.00% 2.75% 6.50 30-year fixed rate mortgages 842,524 53,832 896,356 8,117 (3,679 ) 900,794 4.12% 3.11% 8.29 Adjustable rate mortgages 36,433 2,196 38,629 81 (180 ) 38,530 4.05% 2.68% 5.44 Reverse mortgages 68,690 6,515 75,205 34 (1,547 ) 73,692 4.63% 2.54% 5.64 Interest only securities n/a n/a 8,491 248 (981 ) 7,758 3.82% 3.30% 2.36 Total Agency RMBS 1,128,670 71,659 1,208,820 9,164 (7,119 ) 1,210,865 4.03% 2.94% 7.16 Non-Agency RMBS 48,408 (18,013 ) 30,395 2,264 (1,258 ) 31,401 2.48% 20.97% 4.81 Total RMBS $ 1,177,078 $ 53,646 $ 1,239,215 $ 11,428 $ (8,377 ) $ 1,242,266 3.97% 3.39% 7.07 (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, 2016 and December 31, 2015, 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 GSE. 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, 2016 : ($ in thousands) Gross Unrealized Weighted Average Current Principal Unamortized Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon Yield Life (1) Agency RMBS: 15-year fixed rate mortgages $ 134,770 $ 6,796 $ 141,566 $ 1,820 $ (86 ) $ 143,300 3.41% 2.12% 4.43 20-year fixed rate mortgages 10,710 820 11,530 130 — 11,660 4.00% 2.51% 5.89 30-year fixed rate mortgages 881,351 59,169 940,520 17,371 (471 ) 957,420 4.00% 2.73% 6.73 Adjustable rate mortgages 30,645 1,534 32,179 223 (61 ) 32,341 4.00% 2.47% 4.59 Reverse mortgages 57,088 5,853 62,941 788 (52 ) 63,677 4.51% 2.60% 6.24 Interest only securities n/a n/a 8,730 18 (1,908 ) 6,840 3.88% 1.50% 1.84 Total Agency RMBS 1,114,564 74,172 1,197,466 20,350 (2,578 ) 1,215,238 3.95% 2.63% 6.03 Non-Agency RMBS 23,591 (6,848 ) 16,743 1,596 (443 ) 17,896 2.80% 7.29% 5.18 Total RMBS $ 1,138,155 $ 67,324 $ 1,214,209 $ 21,946 $ (3,021 ) $ 1,233,134 3.93% 2.70% 6.01 (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, 2016 : ($ in thousands) Agency RMBS Agency Interest Only Securities Non-Agency RMBS Estimated Weighted Average Life (1) Fair Value Amortized Cost Weighted Average Coupon Fair Value Amortized Cost Weighted Average Coupon Fair Value Amortized Cost Weighted Average Coupon Less than three years $ 100,104 $ 97,761 4.19 % $ 5,340 $ 6,990 3.73 % $ 929 $ 962 6.00 % Greater than three years and less than seven years 538,644 527,194 4.05 % 1,500 1,740 5.06 % 16,967 15,781 2.64 % Greater than seven years and less than eleven years 568,402 562,541 3.83 % — — — % — — — % Greater than eleven years 1,248 1,240 4.00 % — — — % — — — % Total $ 1,208,398 $ 1,188,736 3.96 % $ 6,840 $ 8,730 3.88 % $ 17,896 $ 16,743 2.80 % (1) Average lives of RMBS are generally shorter than stated contractual maturities. As of December 31, 2015: ($ in thousands) Agency RMBS Agency Interest Only Securities Non-Agency RMBS Estimated Weighted Average Life (1) Fair Value Amortized Cost Weighted Average Coupon Fair Value Amortized Cost Weighted Average Coupon Fair Value Amortized Cost Weighted Average Coupon Less than three years $ 30,054 $ 30,227 4.76 % $ 4,974 $ 5,701 3.55 % $ 2,558 $ 1,543 3.21 % Greater than three years and less than seven years 273,477 273,107 3.78 % 2,784 2,790 4.97 % 24,736 25,478 2.66 % Greater than seven years and less than eleven years 893,730 891,112 4.10 % — — — % 4,107 3,374 0.55 % Greater than eleven years 5,846 5,883 3.81 % — — — % — — — % Total $ 1,203,107 $ 1,200,329 4.04 % $ 7,758 $ 8,491 3.82 % $ 31,401 $ 30,395 2.48 % (1) Average lives of RMBS are generally shorter than stated contractual maturities. |
Interest Income Components - Investments [Table Text Block] | The following table reflects the components of interest income on the Company's RMBS for the three and nine month periods ended September 30, 2016 : Three Month Period Ended September 30, 2016 Nine Month Period Ended ($ in thousands) Coupon Interest Net Amortization Interest Income Coupon Interest Net Amortization Interest Income Agency RMBS $ 11,917 $ (5,413 ) $ 6,504 $ 35,845 $ (13,504 ) $ 22,341 Non-Agency RMBS 162 336 498 721 953 1,674 Total $ 12,079 $ (5,077 ) $ 7,002 $ 36,566 $ (12,551 ) $ 24,015 The following table reflects the components of interest income on the Company's RMBS for the three and nine month periods ended September 30, 2015 : Three Month Period Ended Nine Month Period Ended ($ in thousands) Coupon Interest Net Amortization Interest Income Coupon Interest Net Amortization Interest Income Agency RMBS $ 12,392 $ (1,744 ) $ 10,648 $ 37,071 $ (7,795 ) $ 29,276 Non-Agency RMBS 294 373 667 873 1,256 2,129 Total $ 12,686 $ (1,371 ) $ 11,315 $ 37,944 $ (6,539 ) $ 31,405 |
Valuation (Tables)
Valuation (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
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, 2016 : (In thousands) Description Level 1 Level 2 Level 3 Total Assets: Mortgage-backed securities, at fair value: Agency RMBS: 15-year fixed rate mortgages $ — $ 143,300 $ — $ 143,300 20-year fixed rate mortgages — 11,660 — 11,660 30-year fixed rate mortgages — 957,420 — 957,420 Adjustable rate mortgages — 32,341 — 32,341 Reverse mortgages — 63,677 — 63,677 Interest only securities — — 6,840 6,840 Non-Agency RMBS — 13,828 4,068 17,896 Mortgage-backed securities, at fair value — 1,222,226 10,908 1,233,134 Financial derivatives–assets, at fair value: TBAs — 174 — 174 Interest rate swaps — 1,467 — 1,467 Total financial derivatives–assets, at fair value — 1,641 — 1,641 Total mortgage-backed securities and financial derivatives–assets, at fair value $ — $ 1,223,867 $ 10,908 $ 1,234,775 Liabilities: U.S. Treasury securities sold short, at fair value $ — $ (77,263 ) $ — $ (77,263 ) Financial derivatives–liabilities, at fair value: TBAs — (606 ) — (606 ) Interest rate swaps — (9,275 ) — (9,275 ) Futures (4 ) — — (4 ) Total financial derivatives–liabilities, at fair value (4 ) (9,881 ) — (9,885 ) Total U.S. Treasury securities sold short and financial derivatives–liabilities, at fair value $ (4 ) $ (87,144 ) $ — $ (87,148 ) There were no transfers of financial instruments between Levels 1 and 2 of the fair value hierarchy during the nine month period ended September 30, 2016 . December 31, 2015 : (In thousands) Description Level 1 Level 2 Level 3 Total Assets: Mortgage-backed securities, at fair value: Agency RMBS: 15-year fixed rate mortgages $ — $ 170,261 $ — $ 170,261 20-year fixed rate mortgages — 19,830 — 19,830 30-year fixed rate mortgages — 900,794 — 900,794 Adjustable rate mortgages — 38,530 — 38,530 Reverse mortgages — 73,692 — 73,692 Interest only securities — — 7,758 7,758 Non-Agency RMBS — 27,381 4,020 31,401 Mortgage-backed securities, at fair value — 1,230,488 11,778 1,242,266 Financial derivatives–assets, at fair value: TBAs — 417 — 417 Interest rate swaps — 1,748 — 1,748 Futures 18 — — 18 Total financial derivatives–assets, at fair value 18 2,165 — 2,183 Total mortgage-backed securities and financial derivatives–assets, at fair value $ 18 $ 1,232,653 $ 11,778 $ 1,244,449 Liabilities: U.S. Treasury securities sold short, at fair value $ — $ (78,447 ) $ — $ (78,447 ) Financial derivatives–liabilities, at fair value: TBAs — (364 ) — (364 ) Interest rate swaps — (4,361 ) — (4,361 ) Total financial derivatives–liabilities, at fair value — (4,725 ) — (4,725 ) Total U.S. Treasury securities sold short and financial derivatives–liabilities, at fair value $ — $ (83,172 ) $ — $ (83,172 ) There were no transfers of financial instruments between Levels 1 or 2 of the fair value hierarchy during the year ended December 31, 2015. |
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, 2016 : (In thousands) Non-Agency RMBS Agency RMBS Beginning balance as of June 30, 2016 $ 5,208 $ 7,631 Purchases — — Proceeds from sales (1,270 ) — Principal repayments (629 ) — (Amortization)/accretion, net 258 (921 ) Net realized gains (losses) 1,079 (156 ) Change in net unrealized gains (losses) (578 ) 286 Transfers: Transfers into level 3 — — Transfers out of level 3 — — Ending balance as of September 30, 2016 $ 4,068 $ 6,840 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, 2016 , as well as Level 3 financial instruments disposed of by the Company during the three month period ended September 30, 2016 . For Level 3 financial instruments held by the Company as of September 30, 2016 , change in net unrealized gains (losses) of $0.5 million and $0.2 million , for the three month period ended September 30, 2016 relate to non-Agency RMBS and Agency RMBS, respectively. Three month period ended September 30, 2015 : (In thousands) Non-Agency RMBS Agency RMBS Beginning balance as of June 30, 2015 $ 5,556 $ 7,070 Purchases — 1,696 Proceeds from sales — — Principal repayments (512 ) — (Amortization)/accretion, net 208 (737 ) Net realized gains (losses) — — Change in net unrealized gains (losses) 44 (755 ) Transfers: Transfers into level 3 824 — Transfers out of level 3 — — Ending balance as of September 30, 2015 $ 6,120 $ 7,274 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, 2015 , as well as Level 3 financial instruments disposed of by the Company during the three month period ended September 30, 2015 . For Level 3 financial instruments held by the Company at September 30, 2015 , change in net unrealized gains (losses) of $26 thousand and $(0.8) million , for the three month period ended September 30, 2015 relate to non-Agency RMBS and Agency RMBS, respectively. During the three month period ended September 30, 2015, the Company transferred $0.8 million of non-Agency RMBS from Level 2 to Level 3. Following June 30, 2015, these securities exhibited indications of a reduced level of price transparency. Examples of such indications include wider spreads and/or higher delinquencies relative to similar securities and a reduction in observable transactions or executable quotes involving these and similar securities. Changes in these indications could impact price transparency, and thereby cause a change in the level designation in future periods. Nine month period ended September 30, 2016 : (In thousands) Non-Agency RMBS Agency RMBS Beginning balance as of December 31, 2015 $ 4,020 $ 7,758 Purchases — 2,965 Proceeds from sales (1,270 ) — Principal repayments (1,040 ) — (Amortization)/accretion, net 361 (2,495 ) Net realized gains (losses) 1,080 (230 ) Change in net unrealized gains (losses) (722 ) (1,158 ) Transfers: Transfers into level 3 3,366 — Transfers out of level 3 (1,727 ) — Ending balance as of September 30, 2016 $ 4,068 $ 6,840 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, 2016 , as well as Level 3 financial instruments disposed of by the Company during the nine month period ended September 30, 2016 . For Level 3 financial instruments held by the Company as of September 30, 2016 , change in net unrealized gains (losses) of $0.8 million and $(1.3) million , for the nine month period ended September 30, 2016 relate to non-Agency RMBS and Agency RMBS, respectively. During the nine month period ended September 30, 2016 , the Company transferred $1.7 million of non-Agency RMBS from Level 3 to Level 2. These assets were transferred from Level 3 to Level 2 based on an increased volume of observed trading of these and similar assets. This increase in observed trading activity has led to greater price transparency for these assets, thereby making a Level 2 designation appropriate in the Company's view. However, changes in the volume of observable inputs for these assets, such as a decrease in observed trading, could impact price transparency, and thereby cause a change in the level designation for these assets in future periods. During the nine month period ended September 30, 2016 , the Company transferred $3.4 million of non-Agency RMBS from Level 2 to Level 3. Since December 31, 2015, these securities have exhibited indications of a reduced level of price transparency. Examples of such indications include wider spreads and/or higher delinquencies relative to similar securities and a reduction in observable transactions or executable quotes involving these and similar securities. Changes in these indications could impact price transparency, and thereby cause a change in the level designation in future periods. Nine month period ended September 30, 2015 : (In thousands) Non-Agency RMBS Agency RMBS Beginning balance as of December 31, 2014 $ 10,082 $ 11,244 Purchases — 3,397 Proceeds from sales (2,861 ) (4,538 ) Principal repayments (1,381 ) — (Amortization)/accretion, net 806 (2,012 ) Net realized gains (losses) 791 602 Change in net unrealized gains (losses) (649 ) (1,419 ) Transfers: Transfers into level 3 4,025 — Transfers out of level 3 (4,693 ) — Ending balance as of September 30, 2015 $ 6,120 $ 7,274 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 as of September 30, 2015 , as well as Level 3 financial instruments disposed of by the Company during the nine month period ended September 30, 2015 . For Level 3 financial instruments held by the Company as of September 30, 2015 , change in net unrealized gains (losses) of $0.1 million and $(0.6) million , for the nine month period ended September 30, 2015 relate to non-Agency RMBS and Agency RMBS, respectively. During the nine month period ended September 30, 2015 , the Company transferred $4.7 million of non-Agency RMBS from Level 3 to Level 2. These assets were transferred from Level 3 to Level 2 based on an increased volume of observed trading of these and similar assets. This increase in observed trading activity has led to greater price transparency for these assets, thereby making a Level 2 designation appropriate in the Company's view. However, changes in the volume of observable inputs for these assets, such as a decrease in observed trading, could impact price transparency, and thereby cause a change in the level designation for these assets in future periods. During the nine month period ended September 30, 2015 , the Company transferred $4.0 million of non-Agency RMBS from Level 2 to Level 3. Following December 31, 2014, these securities exhibited indications of a reduced level of price transparency. Examples of such indications include wider spreads and/or higher delinquencies relative to similar securities and a reduction in observable transactions or executable quotes involving these and similar securities. Changes in these indications could impact price transparency, and thereby cause a change in the level designation in future periods. |
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, 2016 and December 31, 2015: September 30, 2016 : Range Description Fair Value Valuation Technique Significant Unobservable Input Min Max Weighted Average (1) (In thousands) Non-Agency RMBS $ 702 Discounted Cash Flows Yield 24.9 % 24.9 % 24.9 % Projected Collateral Prepayments 36.5 % 36.5 % 36.5 % Projected Collateral Losses 1.7 % 1.7 % 1.7 % Projected Collateral Recoveries 3.3 % 3.3 % 3.3 % Projected Collateral Scheduled Amortization 58.5 % 58.5 % 58.5 % 100.0 % Non-Agency RMBS 3,366 Market quotes Non-Binding Third-Party Valuation $ 62.72 $ 70.65 $ 65.95 Agency RMBS–Interest Only Securities 4,122 Market quotes Non-Binding Third-Party Valuation $ 4.02 $ 20.93 $ 10.65 Agency RMBS–Interest Only Securities 2,718 Option Adjusted Spread ("OAS") LIBOR OAS (2) 392 1,147 677 Projected Collateral Prepayments 65.4 % 93.5 % 81.5 % Projected Collateral Scheduled Amortization 6.5 % 34.6 % 18.5 % 100.0 % (1) Averages are weighted based on the fair value of the related instrument. (2) Shown in basis points. December 31, 2015: Range Description Fair Value Valuation Technique Significant Unobservable Input Min Max Weighted Average (1) (In thousands) Non-Agency RMBS $ 4,020 Discounted Cash Flows Yield 8.8 % 25.7 % 13.4 % Projected Collateral Prepayments 32.5 % 68.7 % 60.5 % Projected Collateral Losses 1.3 % 9.0 % 5.3 % Projected Collateral Recoveries 3.4 % 9.2 % 6.4 % Projected Collateral Scheduled Amortization 13.1 % 60.1 % 27.8 % 100.0 % Agency RMBS–Interest Only Securities 5,645 Market quotes Non-Binding Third-Party Valuation $ 4.39 $ 21.63 $ 11.88 Agency RMBS–Interest Only Securities 2,113 Option Adjusted Spread ("OAS") LIBOR OAS (2) 221 984 576 Projected Collateral Prepayments 52.7 % 88.0 % 74.1 % Projected Collateral Scheduled Amortization 12.0 % 47.3 % 25.9 % 100.0 % (1) Averages are weighted based on the fair value of the related instrument. (2) Shown in basis points. |
Fair Value, Other Financial Instruments | The following table summarizes the estimated fair value of all other financial instruments not included in the disclosures above as of September 30, 2016 and December 31, 2015: September 30, 2016 December 31, 2015 (In thousands) Fair Value Carrying Value Fair Value Carrying Value Other financial instruments Assets: Cash and cash equivalents $ 43,026 $ 43,026 $ 40,166 $ 40,166 Due from brokers 33,462 33,462 33,297 33,297 Reverse repurchase agreements 77,932 77,932 78,632 78,632 Liabilities: Repurchase agreements 1,158,962 1,158,962 1,222,719 1,222,719 Due to brokers 538 538 439 439 Cash and cash equivalents includes cash held in an interest bearing overnight account for which fair value equals the carrying value and cash held in money market accounts which are liquid in nature and for which fair value equals the carrying value; such assets are considered Level 1 assets. Due from brokers and Due to brokers include collateral transferred to or received from counterparties, along with receivables and payables for open and/or closed derivative positions. These receivables and payables are short term in nature and any collateral transferred consists primarily of cash; fair value of these items approximates carrying value and such items are considered Level 1 assets and liabilities. The Company's repurchase and reverse repurchase agreements are carried at cost, which approximates fair value due to their short term nature. Repurchase agreements and reverse repurchase agreements are classified as Level 2 assets and liabilities based on the adequacy of the collateral and their short term nature. |
Derivative Instruments (Tables)
Derivative Instruments (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Derivative Instruments [Abstract] | |
Schedule of Derivative Instruments [Table Text Block] | The following table details the fair value of the Company's holdings of financial derivatives as of September 30, 2016 and December 31, 2015: September 30, 2016 December 31, 2015 (In thousands) Financial derivatives–assets, at fair value: TBA securities purchase contracts $ 142 $ 115 TBA securities sale contracts 32 302 Fixed payer interest rate swaps 112 891 Fixed receiver interest rate swaps 1,355 857 Futures — 18 Total financial derivatives–assets, at fair value 1,641 2,183 Financial derivatives–liabilities, at fair value: TBA securities purchase contracts (3 ) (49 ) TBA securities sale contracts (603 ) (315 ) Fixed payer interest rate swaps (9,275 ) (4,361 ) Futures (4 ) — Total financial derivatives–liabilities, at fair value (9,885 ) (4,725 ) Total $ (8,244 ) $ (2,542 ) |
Interest Rate Swaps By Remaining Maturity [Table Text Block] | The following tables provide information about the Company's fixed payer interest rate swaps as of September 30, 2016 and December 31, 2015: September 30, 2016 : Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2016 $ 26,500 $ (43 ) 0.70 % 0.69 % 0.13 2017 74,750 (283 ) 1.21 0.78 0.84 2018 65,990 1 0.97 0.72 1.68 2019 4,200 11 0.96 0.79 2.85 2020 79,500 (1,478 ) 1.48 0.72 3.57 2022 13,044 (451 ) 1.75 0.75 5.93 2023 42,200 (1,946 ) 1.90 0.76 6.60 2024 8,900 (494 ) 1.99 0.65 7.51 2025 15,322 (862 ) 2.04 0.65 8.38 2026 26,885 (20 ) 1.46 0.78 9.87 2043 12,380 (3,598 ) 2.99 0.81 26.63 Total $ 369,671 $ (9,163 ) 1.41 % 0.74 % 4.38 December 31, 2015: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2016 $ 48,000 $ (83 ) 0.80 % 0.39 % 0.77 2017 74,750 (445 ) 1.21 0.41 1.59 2018 71,529 80 1.11 0.34 2.28 2020 119,893 220 1.51 0.33 4.36 2022 19,444 86 1.76 0.34 6.51 2023 131,400 (1,367 ) 2.10 0.38 7.39 2024 9,200 11 1.99 0.32 8.26 2025 58,560 (5 ) 2.06 0.33 9.32 2043 21,067 (1,967 ) 3.03 0.36 27.39 Total $ 553,843 $ (3,470 ) 1.63 % 0.36 % 5.67 The following tables provide information about the Company's fixed receiver interest rate swaps as of September 30, 2016 and December 31, 2015. September 30, 2016 : Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2025 $ 9,700 $ 1,355 0.68 % 3.00 % 8.79 Total $ 9,700 $ 1,355 0.68 % 3.00 % 8.79 December 31, 2015: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2025 $ 9,700 $ 857 0.32 % 3.00 % 9.55 Total $ 9,700 $ 857 0.32 % 3.00 % 9.55 |
Futures [Table Text Block] | The following table provides information about the Company's short positions in Eurodollar futures as of September 30, 2016 and December 31, 2015. September 30, 2016 : Maturity Notional Amount Fair Value Remaining Months to Expiration ($ in thousands) 2016 $ (3,000 ) $ — 2.67 2017 (9,000 ) (4 ) 8.66 Total $ (12,000 ) $ (4 ) 7.16 December 31, 2015: Maturity Notional Amount Fair Value Remaining Months to Expiration ($ in thousands) 2016 $ (12,000 ) $ 10 7.13 2017 (9,000 ) 8 17.79 Total $ (21,000 ) $ 18 11.70 |
Schedule of To-be-announced securities (TBAs) [Table Text Block] | As of September 30, 2016 and December 31, 2015, the Company had outstanding contracts to purchase ("long positions") and sell ("short positions") TBA securities as follows: September 30, 2016 December 31, 2015 TBA Securities Notional Amount (1) Cost Basis (2) Market Value (3) Net Carrying Value (4) Notional Amount (1) Cost Basis (2) Market Value (3) Net Carrying Value (4) (In thousands) Purchase contracts: Assets $ 56,383 $ 59,180 $ 59,322 $ 142 $ 60,291 $ 61,638 $ 61,753 $ 115 Liabilities 4,510 4,747 4,744 (3 ) 23,418 24,208 24,159 (49 ) 60,893 63,927 64,066 139 83,709 85,846 85,912 66 Sale contracts: Assets (119,179 ) (129,253 ) (129,221 ) 32 (170,800 ) (181,476 ) (181,174 ) 302 Liabilities (399,832 ) (424,546 ) (425,149 ) (603 ) (252,746 ) (268,973 ) (269,288 ) (315 ) (519,011 ) (553,799 ) (554,370 ) (571 ) (423,546 ) (450,449 ) (450,462 ) (13 ) Total TBA securities, net $ (458,118 ) $ (489,872 ) $ (490,304 ) $ (432 ) $ (339,837 ) $ (364,603 ) $ (364,550 ) $ 53 (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. |
Derivative Activity, Volume [Table Text Block] | The tables below details the average notional values of the Company's financial derivatives, using absolute value of month end notional values, for the nine month period ended September 30, 2016 and the year ended December 31, 2015: Derivative Type Nine Month Period Ended September 30, 2016 Year Ended (In thousands) Interest rate swaps $ 469,955 $ 525,037 TBAs 480,208 606,665 Interest rate swaptions — 5,223 Futures 17,400 5,308 |
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, 2016 and 2015 are summarized in the tables below: Three Month Period Ended September 30, 2016 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) Interest rate swaps $ (241 ) $ (1,089 ) $ (1,330 ) $ (385 ) $ 3,071 $ 2,686 TBAs (2,591 ) (2,591 ) 521 521 Futures 1 1 8 8 Total $ (241 ) $ (3,679 ) $ (3,920 ) $ (385 ) $ 3,600 $ 3,215 Three Month Period Ended September 30, 2015 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) Interest rate swaps $ (1,044 ) $ (19 ) $ (1,063 ) $ (1,066 ) $ (13,559 ) $ (14,625 ) Swaptions (500 ) (500 ) 17 17 TBAs (1,689 ) (1,689 ) (813 ) (813 ) Total $ (1,044 ) $ (2,208 ) $ (3,252 ) $ (1,066 ) $ (14,355 ) $ (15,421 ) Nine Month Period Ended September 30, 2016 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) Interest rate swaps $ (3,421 ) $ (10,040 ) $ (13,461 ) $ 336 $ (5,621 ) $ (5,285 ) TBAs (8,065 ) (8,065 ) (486 ) (486 ) Futures 3 3 (21 ) (21 ) Total $ (3,421 ) $ (18,102 ) $ (21,523 ) $ 336 $ (6,128 ) $ (5,792 ) Nine Month Period Ended September 30, 2015 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) Interest rate swaps $ (3,900 ) $ (4,826 ) $ (8,726 ) $ (1,647 ) $ (8,147 ) $ (9,794 ) Swaptions (500 ) (500 ) (79 ) (79 ) TBAs (6,612 ) (6,612 ) 615 615 Total $ (3,900 ) $ (11,938 ) $ (15,838 ) $ (1,647 ) $ (7,611 ) $ (9,258 ) |
Borrowings under Repurchase A22
Borrowings under Repurchase Agreements (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
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, 2016 and December 31, 2015: September 30, 2016 December 31, 2015 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 $ 521,831 0.70 % 15 $ 666,124 0.52 % 14 31-60 days 298,063 0.70 47 336,350 0.53 45 61-90 days 248,083 0.74 76 89,142 0.70 74 91-120 days 74,956 0.76 109 131,103 0.53 106 121-150 days 2,150 0.75 137 — — — 151-180 days 13,879 0.82 165 — — — Total $ 1,158,962 0.72 % 44 $ 1,222,719 0.54 % 37 |
Offsetting of Assets and Liab23
Offsetting of Assets and Liabilities (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
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, 2016 and December 31, 2015. 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, 2016 : 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 $ 1,641 $ (1,586 ) $ — $ — $ 55 Reverse repurchase agreements 77,932 (77,932 ) — — — Liabilities: Financial derivatives–liabilities (9,885 ) 1,586 — 8,042 (257 ) Repurchase agreements (1,158,962 ) 77,932 1,064,279 16,751 — (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, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's repurchase agreements and cash collateral pledged on the Company's financial derivative assets and liabilities. Total financial instruments transferred or pledged as collateral on the Company's repurchase agreements as of September 30, 2016 were $1.21 billion . As of September 30, 2016 total cash collateral on financial derivative assets and liabilities excludes $1.8 million and $6.7 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. December 31, 2015: 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 $ 2,183 $ (1,529 ) $ — $ — $ 654 Reverse repurchase agreements 78,632 (78,632 ) — — — Liabilities: Financial derivatives–liabilities (4,725 ) 1,529 — 3,089 (107 ) Repurchase agreements (1,222,719 ) 78,632 1,123,409 20,678 — (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 the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's repurchase agreements and cash collateral pledged on the Company's financial derivative assets and liabilities. Total financial instruments transferred or pledged as collateral on the Company's repurchase agreements as of December 31, 2015 were $1.26 billion . As of December 31, 2015 total cash collateral on financial derivative assets and liabilities excludes $6.8 million and $2.5 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, 2016 | |
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, 2016 and 2015: (In thousands except for share amounts) Three Month Period Ended September 30, 2016 Three Month Period Ended September 30, 2015 Nine Month Period Ended September 30, 2016 Nine Month Period Ended September 30, 2015 Numerator: Net income $ 6,626 $ (4,817 ) $ 9,895 $ (949 ) Denominator: Basic and diluted weighted average shares outstanding 9,119,111 9,140,452 9,119,164 9,146,301 Basic and Diluted Earnings Per Share $ 0.73 $ (0.53 ) $ 1.09 $ (0.10 ) |
Capital (Tables)
Capital (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Equity [Abstract] | |
Summary of Common Shares Outstanding [Table Text Block] | Detailed below is a roll forward of the Company's common shares outstanding for the three and nine month periods ended September 30, 2016 and 2015: Three Month Period Ended Nine Month Period Ended September 30, 2016 September 30, 2015 September 30, 2016 September 30, 2015 Common Shares Outstanding (6/30/2016, 6/30/2015, 12/31/2015, and 12/31/2014, respectively) 9,117,183 9,149,274 9,135,103 9,149,274 Share Activity: Restricted shares issued 9,856 9,228 9,856 9,228 Shares repurchased — (23,481 ) (17,920 ) (23,481 ) Common Shares Outstanding (9/30/2016, 9/30/2015, 9/30/2016, and 9/30/2015, respectively) 9,127,039 9,135,021 9,127,039 9,135,021 Unvested restricted shares outstanding (9/30/2016, 9/30/2015, 9/30/2016, and 9/30/2015, respectively) 16,018 9,228 16,018 9,228 |
Vesting schedule for restricted shares [Table Text Block] | The below table provides details on the Company's restricted shares granted pursuant to share award agreements which are unvested at September 30, 2016 : Grant Recipient Number of Restricted Shares Granted Grant Date Vesting Date (1) Independent trustees: 9,856 September 13, 2016 September 12, 2017 Partially dedicated employees: 3,157 December 15, 2015 December 15, 2016 324 December 15, 2015 December 31, 2016 2,359 December 15, 2015 December 15, 2017 322 December 15, 2015 December 31, 2017 (1) Date at which such restricted shares will vest and become non-forfeitable. |
Organization and Investment O26
Organization and Investment Objective (Details) | 9 Months Ended |
Sep. 30, 2016 | |
Organization and Investment Objective [Line Items] | |
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 Polici27
Significant Accounting Policies (Details) | 9 Months Ended |
Sep. 30, 2016 | |
Significant Accounting Policies [Line Items] | |
Required Distribution of Taxable Net Income, Percentage on Annual Basis | 90.00% |
Minimum [Member] | |
Significant Accounting Policies [Line Items] | |
Share-based Compensation Arrangement by Share-based Payment Award, Award Vesting Period | 1 year |
Maximum [Member] | |
Significant Accounting Policies [Line Items] | |
Share-based Compensation Arrangement by Share-based Payment Award, Award Vesting Period | 2 years |
Schedule of Mortgage-Backed Sec
Schedule of Mortgage-Backed Securities (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2016 | Dec. 31, 2015 | ||
Mortgage-Backed Securities [Line Items] | |||
Fair Value | $ 1,233,134 | $ 1,242,266 | |
Residential Mortgage Backed Securities [Member] | |||
Mortgage-Backed Securities [Line Items] | |||
Current Principal | 1,138,155 | 1,177,078 | |
Unamortized Premium (Discount) | 67,324 | 53,646 | |
Amortized Cost | 1,214,209 | 1,239,215 | |
Gross Unrealized Gain | 21,946 | 11,428 | |
Gross Unrealized Losses | (3,021) | (8,377) | |
Fair Value | $ 1,233,134 | $ 1,242,266 | |
Weighted Average Coupon | 3.93% | 3.97% | |
Weighted Average Yield | 2.70% | 3.39% | |
Weighted Average Life (Years) | [1] | 6 years 4 days | 7 years 26 days |
Non-Agency RMBS [Member] | |||
Mortgage-Backed Securities [Line Items] | |||
Current Principal | $ 23,591 | $ 48,408 | |
Unamortized Premium (Discount) | (6,848) | (18,013) | |
Amortized Cost | 16,743 | 30,395 | |
Gross Unrealized Gain | 1,596 | 2,264 | |
Gross Unrealized Losses | (443) | (1,258) | |
Fair Value | $ 17,896 | $ 31,401 | |
Weighted Average Coupon | 2.80% | 2.48% | |
Weighted Average Yield | 7.29% | 20.97% | |
Weighted Average Life (Years) | [1] | 5 years 66 days | 4 years 296 days |
15-year fixed rate mortgages [Member] | Agency RMBS [Member] | |||
Mortgage-Backed Securities [Line Items] | |||
Current Principal | $ 134,770 | $ 162,546 | |
Unamortized Premium (Discount) | 6,796 | 7,839 | |
Amortized Cost | 141,566 | 170,385 | |
Gross Unrealized Gain | 1,820 | 531 | |
Gross Unrealized Losses | (86) | (655) | |
Fair Value | $ 143,300 | $ 170,261 | |
Weighted Average Coupon | 3.41% | 3.38% | |
Weighted Average Yield | 2.12% | 2.31% | |
Weighted Average Life (Years) | [1] | 4 years 157 days | 4 years 361 days |
20-year fixed rate mortgages [Member] | Agency RMBS [Member] | |||
Mortgage-Backed Securities [Line Items] | |||
Current Principal | $ 10,710 | $ 18,477 | |
Unamortized Premium (Discount) | 820 | 1,277 | |
Amortized Cost | 11,530 | 19,754 | |
Gross Unrealized Gain | 130 | 153 | |
Gross Unrealized Losses | 0 | (77) | |
Fair Value | $ 11,660 | $ 19,830 | |
Weighted Average Coupon | 4.00% | 4.00% | |
Weighted Average Yield | 2.51% | 2.75% | |
Weighted Average Life (Years) | [1] | 5 years 325 days | 6 years 183 days |
30-year fixed rate mortgages [Member] | Agency RMBS [Member] | |||
Mortgage-Backed Securities [Line Items] | |||
Current Principal | $ 881,351 | $ 842,524 | |
Unamortized Premium (Discount) | 59,169 | 53,832 | |
Amortized Cost | 940,520 | 896,356 | |
Gross Unrealized Gain | 17,371 | 8,117 | |
Gross Unrealized Losses | (471) | (3,679) | |
Fair Value | $ 957,420 | $ 900,794 | |
Weighted Average Coupon | 4.00% | 4.12% | |
Weighted Average Yield | 2.73% | 3.11% | |
Weighted Average Life (Years) | [1] | 6 years 266 days | 8 years 106 days |
Adjustable Rate Mortgages | Agency RMBS [Member] | |||
Mortgage-Backed Securities [Line Items] | |||
Current Principal | $ 30,645 | $ 36,433 | |
Unamortized Premium (Discount) | 1,534 | 2,196 | |
Amortized Cost | 32,179 | 38,629 | |
Gross Unrealized Gain | 223 | 81 | |
Gross Unrealized Losses | (61) | (180) | |
Fair Value | $ 32,341 | $ 38,530 | |
Weighted Average Coupon | 4.00% | 4.05% | |
Weighted Average Yield | 2.47% | 2.68% | |
Weighted Average Life (Years) | [1] | 4 years 215 days | 5 years 161 days |
Reverse mortgages [Member] | Agency RMBS [Member] | |||
Mortgage-Backed Securities [Line Items] | |||
Current Principal | $ 57,088 | $ 68,690 | |
Unamortized Premium (Discount) | 5,853 | 6,515 | |
Amortized Cost | 62,941 | 75,205 | |
Gross Unrealized Gain | 788 | 34 | |
Gross Unrealized Losses | (52) | (1,547) | |
Fair Value | $ 63,677 | $ 73,692 | |
Weighted Average Coupon | 4.51% | 4.63% | |
Weighted Average Yield | 2.60% | 2.54% | |
Weighted Average Life (Years) | [1] | 6 years 88 days | 5 years 234 days |
Interest-Only [Member] | Agency RMBS [Member] | |||
Mortgage-Backed Securities [Line Items] | |||
Amortized Cost | $ 8,730 | $ 8,491 | |
Gross Unrealized Gain | 18 | 248 | |
Gross Unrealized Losses | (1,908) | (981) | |
Fair Value | $ 6,840 | $ 7,758 | |
Weighted Average Coupon | 3.88% | 3.82% | |
Weighted Average Yield | 1.50% | 3.30% | |
Weighted Average Life (Years) | [1] | 1 year 307 days | 2 years 131 days |
Agency Securities [Member] | Agency RMBS [Member] | |||
Mortgage-Backed Securities [Line Items] | |||
Current Principal | $ 1,114,564 | $ 1,128,670 | |
Unamortized Premium (Discount) | 74,172 | 71,659 | |
Amortized Cost | 1,197,466 | 1,208,820 | |
Gross Unrealized Gain | 20,350 | 9,164 | |
Gross Unrealized Losses | (2,578) | (7,119) | |
Fair Value | $ 1,215,238 | $ 1,210,865 | |
Weighted Average Coupon | 3.95% | 4.03% | |
Weighted Average Yield | 2.63% | 2.94% | |
Weighted Average Life (Years) | [1] | 6 years 11 days | 7 years 58 days |
[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 Mortgage-Backed S29
Schedule of Mortgage-Backed Securities by Weighted Average Life (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Mortgage-Backed Securities [Line Items] | ||
Mortgage-backed securities, at fair value | $ 1,233,134 | $ 1,242,266 |
Non-Agency RMBS [Member] | ||
Mortgage-Backed Securities [Line Items] | ||
Mortgage-backed securities, at fair value | 17,896 | 31,401 |
Amortized Cost | $ 16,743 | $ 30,395 |
Weighted Average Coupon Rate, Percent | 2.80% | 2.48% |
Less than three years [Member] | Non-Agency RMBS [Member] | ||
Mortgage-Backed Securities [Line Items] | ||
Mortgage-backed securities, at fair value | $ 929 | $ 2,558 |
Amortized Cost | $ 962 | $ 1,543 |
Weighted Average Coupon Rate, Percent | 6.00% | 3.21% |
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 | $ 16,967 | $ 24,736 |
Amortized Cost | $ 15,781 | $ 25,478 |
Weighted Average Coupon Rate, Percent | 2.64% | 2.66% |
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 | $ 0 | $ 4,107 |
Amortized Cost | $ 0 | $ 3,374 |
Weighted Average Coupon Rate, Percent | 0.00% | 0.55% |
Greater than eleven years [Member] | Non-Agency RMBS [Member] | ||
Mortgage-Backed Securities [Line Items] | ||
Mortgage-backed securities, at fair value | $ 0 | $ 0 |
Amortized Cost | $ 0 | $ 0 |
Weighted Average Coupon Rate, Percent | 0.00% | 0.00% |
Fixed Rate [Member] | Agency RMBS [Member] | ||
Mortgage-Backed Securities [Line Items] | ||
Mortgage-backed securities, at fair value | $ 1,208,398 | $ 1,203,107 |
Amortized Cost | $ 1,188,736 | $ 1,200,329 |
Weighted Average Coupon Rate, Percent | 3.96% | 4.04% |
Fixed Rate [Member] | Less than three years [Member] | Agency RMBS [Member] | ||
Mortgage-Backed Securities [Line Items] | ||
Mortgage-backed securities, at fair value | $ 100,104 | $ 30,054 |
Amortized Cost | $ 97,761 | $ 30,227 |
Weighted Average Coupon Rate, Percent | 4.19% | 4.76% |
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 | $ 538,644 | $ 273,477 |
Amortized Cost | $ 527,194 | $ 273,107 |
Weighted Average Coupon Rate, Percent | 4.05% | 3.78% |
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 | $ 568,402 | $ 893,730 |
Amortized Cost | $ 562,541 | $ 891,112 |
Weighted Average Coupon Rate, Percent | 3.83% | 4.10% |
Fixed Rate [Member] | Greater than eleven years [Member] | Agency RMBS [Member] | ||
Mortgage-Backed Securities [Line Items] | ||
Mortgage-backed securities, at fair value | $ 1,248 | $ 5,846 |
Amortized Cost | $ 1,240 | $ 5,883 |
Weighted Average Coupon Rate, Percent | 4.00% | 3.81% |
Interest-Only [Member] | Agency RMBS [Member] | ||
Mortgage-Backed Securities [Line Items] | ||
Mortgage-backed securities, at fair value | $ 6,840 | $ 7,758 |
Amortized Cost | $ 8,730 | $ 8,491 |
Weighted Average Coupon Rate, Percent | 3.88% | 3.82% |
Interest-Only [Member] | Less than three years [Member] | Agency RMBS [Member] | ||
Mortgage-Backed Securities [Line Items] | ||
Mortgage-backed securities, at fair value | $ 5,340 | $ 4,974 |
Amortized Cost | $ 6,990 | $ 5,701 |
Weighted Average Coupon Rate, Percent | 3.73% | 3.55% |
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 | $ 1,500 | $ 2,784 |
Amortized Cost | $ 1,740 | $ 2,790 |
Weighted Average Coupon Rate, Percent | 5.06% | 4.97% |
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 | $ 0 |
Amortized Cost | $ 0 | $ 0 |
Weighted Average Coupon Rate, Percent | 0.00% | 0.00% |
Interest-Only [Member] | Greater than eleven years [Member] | Agency RMBS [Member] | ||
Mortgage-Backed Securities [Line Items] | ||
Mortgage-backed securities, at fair value | $ 0 | $ 0 |
Amortized Cost | $ 0 | $ 0 |
Weighted Average Coupon Rate, Percent | 0.00% | 0.00% |
Mortgage-Backed Securities Inte
Mortgage-Backed Securities Interest Income Components (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Interest Income Components [Line Items] | ||||
Net Amortization | $ (12,555) | $ (6,468) | ||
Agency RMBS [Member] | ||||
Interest Income Components [Line Items] | ||||
Coupon Interest | $ 11,917 | $ 12,392 | 35,845 | 37,071 |
Net Amortization | (5,413) | (1,744) | (13,504) | (7,795) |
Interest Income | 6,504 | 10,648 | 22,341 | 29,276 |
Non-Agency RMBS [Member] | ||||
Interest Income Components [Line Items] | ||||
Coupon Interest | 162 | 294 | 721 | 873 |
Net Amortization | 336 | 373 | 953 | 1,256 |
Interest Income | 498 | 667 | 1,674 | 2,129 |
Residential Mortgage Backed Securities [Member] | ||||
Interest Income Components [Line Items] | ||||
Coupon Interest | 12,079 | 12,686 | 36,566 | 37,944 |
Net Amortization | (5,077) | (1,371) | (12,551) | (6,539) |
Interest Income | $ 7,002 | $ 11,315 | $ 24,015 | $ 31,405 |
Mortgage-Backed Securities Narr
Mortgage-Backed Securities Narrative (Details) - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended |
Sep. 30, 2016 | Dec. 31, 2015 | |
Investments, Debt and Equity Securities [Abstract] | ||
Weighted Average Holdings | $ 1,217 | $ 1,323 |
Valuation Schedule of Fair Valu
Valuation Schedule of Fair Value Measurements (Details) - USD ($) | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2016 | Dec. 31, 2015 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Fair Value, Transfers between Level 1 and Level 2, Amount | $ 0 | $ 0 | |
Financial derivatives-assets, at fair value | [1] | 1,641,000 | 2,183,000 |
Reverse repurchase agreements | [1] | 77,932,000 | 78,632,000 |
Financial derivatives–liabilities, at fair value | [1] | (9,885,000) | (4,725,000) |
Derivative Financial Instruments, Assets [Member] | Futures [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives-assets, at fair value | 0 | 18,000 | |
Fair Value, Measurements, Recurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage-backed securities, at fair value | 1,233,134,000 | 1,242,266,000 | |
Financial derivatives-assets, at fair value | 1,641,000 | 2,183,000 | |
Total mortgage-backed securities and financial derivatives–assets, at fair value | 1,234,775,000 | 1,244,449,000 | |
Financial derivatives–liabilities, at fair value | (9,885,000) | (4,725,000) | |
Total U.S. Treasury securities and financial derivatives-liabilities, at fair value | (87,148,000) | (83,172,000) | |
Fair Value, Measurements, Recurring [Member] | Interest Rate Swap [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives-assets, at fair value | 1,467,000 | 1,748,000 | |
Financial derivatives–liabilities, at fair value | (9,275,000) | (4,361,000) | |
Fair Value, Measurements, Recurring [Member] | Futures [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives-assets, at fair value | 18,000 | ||
Financial derivatives–liabilities, at fair value | (4,000) | ||
Fair Value, Measurements, Recurring [Member] | TBA securities [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives-assets, at fair value | 174,000 | 417,000 | |
Financial derivatives–liabilities, at fair value | (606,000) | (364,000) | |
Fair Value, Measurements, Recurring [Member] | Agency RMBS [Member] | 15-year fixed rate mortgages [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage-backed securities, at fair value | 143,300,000 | 170,261,000 | |
Fair Value, Measurements, Recurring [Member] | Agency RMBS [Member] | 20-year fixed rate mortgages [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage-backed securities, at fair value | 11,660,000 | 19,830,000 | |
Fair Value, Measurements, Recurring [Member] | Agency RMBS [Member] | 30-year fixed rate mortgages [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage-backed securities, at fair value | 957,420,000 | 900,794,000 | |
Fair Value, Measurements, Recurring [Member] | Agency RMBS [Member] | Adjustable Rate Mortgages | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage-backed securities, at fair value | 32,341,000 | 38,530,000 | |
Fair Value, Measurements, Recurring [Member] | Agency RMBS [Member] | Reverse mortgages [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage-backed securities, at fair value | 63,677,000 | 73,692,000 | |
Fair Value, Measurements, Recurring [Member] | Agency RMBS [Member] | Interest-Only [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage-backed securities, at fair value | 6,840,000 | 7,758,000 | |
Fair Value, Measurements, Recurring [Member] | Non-Agency RMBS [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage-backed securities, at fair value | 17,896,000 | 31,401,000 | |
Fair Value, Measurements, Recurring [Member] | US Treasury Securities [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
U.S. Treasury securities sold short, at fair value | (77,263,000) | (78,447,000) | |
Fair Value, Measurements, Recurring [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 | |
Financial derivatives-assets, at fair value | 0 | 18,000 | |
Total mortgage-backed securities and financial derivatives–assets, at fair value | 0 | 18,000 | |
Financial derivatives–liabilities, at fair value | (4,000) | 0 | |
Total U.S. Treasury securities and financial derivatives-liabilities, at fair value | (4,000) | 0 | |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Interest Rate Swap [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 | |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Futures [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives-assets, at fair value | 18,000 | ||
Financial derivatives–liabilities, at fair value | (4,000) | ||
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | TBA securities [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 | |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Agency RMBS [Member] | 15-year fixed rate mortgages [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage-backed securities, at fair value | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Agency RMBS [Member] | 20-year fixed rate mortgages [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage-backed securities, at fair value | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Agency RMBS [Member] | 30-year fixed rate mortgages [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage-backed securities, at fair value | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Agency RMBS [Member] | Adjustable Rate Mortgages | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage-backed securities, at fair value | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Agency RMBS [Member] | Reverse mortgages [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage-backed securities, at fair value | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Agency RMBS [Member] | Interest-Only [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage-backed securities, at fair value | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Non-Agency RMBS [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage-backed securities, at fair value | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | US Treasury Securities [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
U.S. Treasury securities sold short, at fair value | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage-backed securities, at fair value | 1,222,226,000 | 1,230,488,000 | |
Financial derivatives-assets, at fair value | 1,641,000 | 2,165,000 | |
Total mortgage-backed securities and financial derivatives–assets, at fair value | 1,223,867,000 | 1,232,653,000 | |
Financial derivatives–liabilities, at fair value | (9,881,000) | (4,725,000) | |
Total U.S. Treasury securities and financial derivatives-liabilities, at fair value | (87,144,000) | (83,172,000) | |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Interest Rate Swap [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives-assets, at fair value | 1,467,000 | 1,748,000 | |
Financial derivatives–liabilities, at fair value | (9,275,000) | (4,361,000) | |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Futures [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives-assets, at fair value | 0 | ||
Financial derivatives–liabilities, at fair value | 0 | ||
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | TBA securities [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives-assets, at fair value | 174,000 | 417,000 | |
Financial derivatives–liabilities, at fair value | (606,000) | (364,000) | |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Agency RMBS [Member] | 15-year fixed rate mortgages [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage-backed securities, at fair value | 143,300,000 | 170,261,000 | |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Agency RMBS [Member] | 20-year fixed rate mortgages [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage-backed securities, at fair value | 11,660,000 | 19,830,000 | |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Agency RMBS [Member] | 30-year fixed rate mortgages [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage-backed securities, at fair value | 957,420,000 | 900,794,000 | |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Agency RMBS [Member] | Adjustable Rate Mortgages | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage-backed securities, at fair value | 32,341,000 | 38,530,000 | |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Agency RMBS [Member] | Reverse mortgages [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage-backed securities, at fair value | 63,677,000 | 73,692,000 | |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Agency RMBS [Member] | Interest-Only [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage-backed securities, at fair value | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Non-Agency RMBS [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage-backed securities, at fair value | 13,828,000 | 27,381,000 | |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | US Treasury Securities [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
U.S. Treasury securities sold short, at fair value | (77,263,000) | (78,447,000) | |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage-backed securities, at fair value | 10,908,000 | 11,778,000 | |
Financial derivatives-assets, at fair value | 0 | 0 | |
Total mortgage-backed securities and financial derivatives–assets, at fair value | 10,908,000 | 11,778,000 | |
Financial derivatives–liabilities, at fair value | 0 | 0 | |
Total U.S. Treasury securities and financial derivatives-liabilities, at fair value | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Interest Rate Swap [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 | |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Futures [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Financial derivatives-assets, at fair value | 0 | ||
Financial derivatives–liabilities, at fair value | 0 | ||
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | TBA securities [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 | |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Agency RMBS [Member] | 15-year fixed rate mortgages [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage-backed securities, at fair value | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Agency RMBS [Member] | 20-year fixed rate mortgages [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage-backed securities, at fair value | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Agency RMBS [Member] | 30-year fixed rate mortgages [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage-backed securities, at fair value | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Agency RMBS [Member] | Adjustable Rate Mortgages | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage-backed securities, at fair value | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Agency RMBS [Member] | Reverse mortgages [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage-backed securities, at fair value | 0 | 0 | |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Agency RMBS [Member] | Interest-Only [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage-backed securities, at fair value | 6,840,000 | 7,758,000 | |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Non-Agency RMBS [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage-backed securities, at fair value | 4,068,000 | 4,020,000 | |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | US Treasury Securities [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
U.S. Treasury securities sold short, at fair value | $ 0 | $ 0 | |
[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 Re
Valuation Unobservable Input Reconciliation (Details) - Level 3 [Member] - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Agency RMBS [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | $ 7,631 | $ 7,070 | $ 7,758 | $ 11,244 |
Purchases | 0 | 1,696 | 2,965 | 3,397 |
Proceeds from sales | 0 | 0 | 0 | (4,538) |
Principal repayments | 0 | 0 | 0 | 0 |
(Amortization)/accretion, net | (921) | (737) | (2,495) | (2,012) |
Net realized gains (losses) | (156) | 0 | (230) | 602 |
Change in net unrealized gains (losses) | 286 | (755) | (1,158) | (1,419) |
Transfers | ||||
Transfers into level 3 | 0 | 0 | 0 | 0 |
Transfers out of level 3 | 0 | 0 | 0 | 0 |
Ending balance | 6,840 | 7,274 | 6,840 | 7,274 |
Change in net unrealized gains (losses) for level 3 assets still held | 200 | (800) | (1,300) | (600) |
Non-Agency RMBS [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | 5,208 | 5,556 | 4,020 | 10,082 |
Purchases | 0 | 0 | 0 | 0 |
Proceeds from sales | (1,270) | 0 | (1,270) | (2,861) |
Principal repayments | (629) | (512) | (1,040) | (1,381) |
(Amortization)/accretion, net | 258 | 208 | 361 | 806 |
Net realized gains (losses) | 1,079 | 0 | 1,080 | 791 |
Change in net unrealized gains (losses) | (578) | 44 | (722) | (649) |
Transfers | ||||
Transfers into level 3 | 0 | 824 | 3,366 | 4,025 |
Transfers out of level 3 | 0 | 0 | (1,727) | (4,693) |
Ending balance | 4,068 | 6,120 | 4,068 | 6,120 |
Change in net unrealized gains (losses) for level 3 assets still held | $ 500 | $ 26 | $ 800 | $ 100 |
Valuation Qualtitative Informat
Valuation Qualtitative Information (Details) - Level 3 [Member] - USD ($) | Sep. 30, 2016 | Dec. 31, 2015 | |
Non-Agency RMBS [Member] | Market Quotes [Member] | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Fair Value | $ 3,366,000 | ||
Non-Agency RMBS [Member] | Market Quotes [Member] | Minimum [Member] | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Non-Binding Third-Party Valuation | 62.72 | ||
Non-Agency RMBS [Member] | Market Quotes [Member] | Maximum [Member] | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Non-Binding Third-Party Valuation | 70.65 | ||
Non-Agency RMBS [Member] | Market Quotes [Member] | Weighted Average [Member] | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Non-Binding Third-Party Valuation | [1] | 65.95 | |
Non-Agency RMBS [Member] | Discounted Cash Flows [Member] | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Fair Value | $ 702,000 | $ 4,020,000 | |
Non-Agency RMBS [Member] | Discounted Cash Flows [Member] | Minimum [Member] | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Yield | 24.90% | 8.80% | |
Projected Collateral Prepayments | 36.50% | 32.50% | |
Projected Collateral Losses | 1.70% | 1.30% | |
Projected Collateral Recoveries | 3.30% | 3.40% | |
Projected Collateral Scheduled Amortization | 58.50% | 13.10% | |
Non-Agency RMBS [Member] | Discounted Cash Flows [Member] | Maximum [Member] | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Yield | 24.90% | 25.70% | |
Projected Collateral Prepayments | 36.50% | 68.70% | |
Projected Collateral Losses | 1.70% | 9.00% | |
Projected Collateral Recoveries | 3.30% | 9.20% | |
Projected Collateral Scheduled Amortization | 58.50% | 60.10% | |
Non-Agency RMBS [Member] | Discounted Cash Flows [Member] | Weighted Average [Member] | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Yield | [1] | 24.90% | 13.40% |
Projected Collateral Prepayments | [1] | 36.50% | 60.50% |
Projected Collateral Losses | [1] | 1.70% | 5.30% |
Projected Collateral Recoveries | [1] | 3.30% | 6.40% |
Projected Collateral Scheduled Amortization | [1] | 58.50% | 27.80% |
Projected Total | [1] | 100.00% | 100.00% |
Interest-Only [Member] | Agency RMBS [Member] | Market Quotes [Member] | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Fair Value | $ 4,122,000 | $ 5,645,000 | |
Interest-Only [Member] | Agency RMBS [Member] | Market Quotes [Member] | Minimum [Member] | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Non-Binding Third-Party Valuation | 4.02 | 4.39 | |
Interest-Only [Member] | Agency RMBS [Member] | Market Quotes [Member] | Maximum [Member] | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Non-Binding Third-Party Valuation | 20.93 | 21.63 | |
Interest-Only [Member] | Agency RMBS [Member] | Market Quotes [Member] | Weighted Average [Member] | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Non-Binding Third-Party Valuation | [1] | 10.65 | 11.88 |
Interest-Only [Member] | Agency RMBS [Member] | Income Approach Valuation Technique [Member] | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Fair Value | $ 2,718,000 | $ 2,113,000 | |
Interest-Only [Member] | Agency RMBS [Member] | Income Approach Valuation Technique [Member] | Minimum [Member] | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Projected Collateral Prepayments | 65.40% | 52.70% | |
Projected Collateral Scheduled Amortization | 6.50% | 12.00% | |
LIBOR OAS | [2] | 3.92% | 2.21% |
Interest-Only [Member] | Agency RMBS [Member] | Income Approach Valuation Technique [Member] | Maximum [Member] | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Projected Collateral Prepayments | 93.50% | 88.00% | |
Projected Collateral Scheduled Amortization | 34.60% | 47.30% | |
LIBOR OAS | [2] | 11.47% | 9.84% |
Interest-Only [Member] | Agency RMBS [Member] | Income Approach Valuation Technique [Member] | Weighted Average [Member] | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Projected Collateral Prepayments | [1] | 81.50% | 74.10% |
Projected Collateral Scheduled Amortization | [1] | 18.50% | 25.90% |
Projected Total | [1] | 100.00% | 100.00% |
LIBOR OAS | [1],[2] | 6.77% | 5.76% |
[1] | Averages are weighted based on the fair value of the related instrument. | ||
[2] | Shown in basis points. |
Valuation Fair Value, Other Fin
Valuation Fair Value, Other Financial Instruments (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Dec. 31, 2014 | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Cash and cash equivalents | $ 43,026 | $ 40,166 | $ 40,482 | $ 45,237 | |
Due from brokers | 33,462 | 33,297 | |||
Reverse repurchase agreements | [1] | 77,932 | 78,632 | ||
Repurchase agreements | [1] | 1,158,962 | 1,222,719 | ||
Due to brokers | 538 | 439 | |||
Estimate of Fair Value Measurement [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Cash and Cash Equivalents | 43,026 | 40,166 | |||
Due from brokers | 33,462 | 33,297 | |||
Reverse repurchase agreements | 77,932 | 78,632 | |||
Repurchase agreements | 1,158,962 | 1,222,719 | |||
Due to brokers | 538 | 439 | |||
Reported Value Measurement [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Cash and cash equivalents | 43,026 | 40,166 | |||
Due from brokers | 33,462 | 33,297 | |||
Reverse repurchase agreements | 77,932 | 78,632 | |||
Repurchase agreements | 1,158,962 | 1,222,719 | |||
Due to brokers | $ 538 | $ 439 | |||
[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 Schedule
Derivative Instruments Schedule of Derivatves (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 | |
Derivative [Line Items] | |||
Financial derivatives–assets, at fair value | [1] | $ 1,641 | $ 2,183 |
Financial derivatives–liabilities, at fair value | [1] | (9,885) | (4,725) |
Derivative, Fair Value, Net | (8,244) | (2,542) | |
TBA securities- purchase contracts [Member] | |||
Derivative [Line Items] | |||
Derivative, Fair Value, Net | [2] | 139 | 66 |
TBA securities- sale contracts [Member] | |||
Derivative [Line Items] | |||
Derivative, Fair Value, Net | [2] | (571) | (13) |
Derivative Financial Instruments, Assets [Member] | TBA securities- purchase contracts [Member] | |||
Derivative [Line Items] | |||
Financial derivatives–assets, at fair value | [2] | 142 | 115 |
Derivative Financial Instruments, Assets [Member] | TBA securities- sale contracts [Member] | |||
Derivative [Line Items] | |||
Financial derivatives–assets, at fair value | [2] | 32 | 302 |
Derivative Financial Instruments, Assets [Member] | Futures [Member] | |||
Derivative [Line Items] | |||
Financial derivatives–assets, at fair value | 0 | 18 | |
Derivative Financial Instruments, Liabilities [Member] | TBA securities- purchase contracts [Member] | |||
Derivative [Line Items] | |||
Financial derivatives–liabilities, at fair value | [2] | (3) | (49) |
Derivative Financial Instruments, Liabilities [Member] | TBA securities- sale contracts [Member] | |||
Derivative [Line Items] | |||
Financial derivatives–liabilities, at fair value | [2] | (603) | (315) |
Derivative Financial Instruments, Liabilities [Member] | Futures [Member] | |||
Derivative [Line Items] | |||
Financial derivatives–liabilities, at fair value | (4) | 0 | |
Short [Member] | Interest Rate Swap [Member] | |||
Derivative [Line Items] | |||
Derivative, Fair Value, Net | (9,163) | (3,470) | |
Short [Member] | Futures [Member] | |||
Derivative [Line Items] | |||
Derivative, Fair Value, Net | (4) | 18 | |
Short [Member] | Derivative Financial Instruments, Assets [Member] | Interest Rate Swap [Member] | |||
Derivative [Line Items] | |||
Financial derivatives–assets, at fair value | 112 | 891 | |
Short [Member] | Derivative Financial Instruments, Liabilities [Member] | Interest Rate Swap [Member] | |||
Derivative [Line Items] | |||
Financial derivatives–liabilities, at fair value | (9,275) | (4,361) | |
Long [Member] | Interest Rate Swap [Member] | |||
Derivative [Line Items] | |||
Derivative, Fair Value, Net | 1,355 | 857 | |
Long [Member] | Derivative Financial Instruments, Assets [Member] | Interest Rate Swap [Member] | |||
Derivative [Line Items] | |||
Financial derivatives–assets, at fair value | $ 1,355 | $ 857 | |
[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 Schedu37
Derivative Instruments Schedule of Interest Rate Swaps by Maturity (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2016 | Dec. 31, 2015 | |
Derivative [Line Items] | ||
Derivative, Fair Value, Net | $ (8,244) | $ (2,542) |
Short [Member] | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative notional | 369,671 | 553,843 |
Derivative, Fair Value, Net | $ (9,163) | $ (3,470) |
Weighted Average Pay Rate | 1.41% | 1.63% |
Weighted Average Receive Rate | 0.74% | 0.36% |
Derivative, Average Remaining Maturity | 4 years 139 days | 5 years 245 days |
Short [Member] | Year 2016 [Member] | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative notional | $ 26,500 | $ 48,000 |
Derivative, Fair Value, Net | $ (43) | $ (83) |
Weighted Average Pay Rate | 0.70% | 0.80% |
Weighted Average Receive Rate | 0.69% | 0.39% |
Derivative, Average Remaining Maturity | 46 days | 281 days |
Short [Member] | Year 2017 [Member] | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative notional | $ 74,750 | $ 74,750 |
Derivative, Fair Value, Net | $ (283) | $ (445) |
Weighted Average Pay Rate | 1.21% | 1.21% |
Weighted Average Receive Rate | 0.78% | 0.41% |
Derivative, Average Remaining Maturity | 307 days | 1 year 215 days |
Short [Member] | Year 2018 [Member] | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative notional | $ 65,990 | $ 71,529 |
Derivative, Fair Value, Net | $ 1 | $ 80 |
Weighted Average Pay Rate | 0.97% | 1.11% |
Weighted Average Receive Rate | 0.72% | 0.34% |
Derivative, Average Remaining Maturity | 1 year 248 days | 2 years 102 days |
Short [Member] | Year 2019 [Member] | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative notional | $ 4,200 | |
Derivative, Fair Value, Net | $ 11 | |
Weighted Average Pay Rate | 0.96% | |
Weighted Average Receive Rate | 0.79% | |
Derivative, Average Remaining Maturity | 2 years 312 days | |
Short [Member] | Year 2020 [Member] | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative notional | $ 79,500 | $ 119,893 |
Derivative, Fair Value, Net | $ (1,478) | $ 220 |
Weighted Average Pay Rate | 1.48% | 1.51% |
Weighted Average Receive Rate | 0.72% | 0.33% |
Derivative, Average Remaining Maturity | 3 years 208 days | 4 years 131 days |
Short [Member] | Year 2022 [Member] | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative notional | $ 13,044 | $ 19,444 |
Derivative, Fair Value, Net | $ (451) | $ 86 |
Weighted Average Pay Rate | 1.75% | 1.76% |
Weighted Average Receive Rate | 0.75% | 0.34% |
Derivative, Average Remaining Maturity | 5 years 341 days | 6 years 186 days |
Short [Member] | Year 2023 [Member] | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative notional | $ 42,200 | $ 131,400 |
Derivative, Fair Value, Net | $ (1,946) | $ (1,367) |
Weighted Average Pay Rate | 1.90% | 2.10% |
Weighted Average Receive Rate | 0.76% | 0.38% |
Derivative, Average Remaining Maturity | 6 years 218 days | 7 years 142 days |
Short [Member] | Year 2024 [Member] | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative notional | $ 8,900 | $ 9,200 |
Derivative, Fair Value, Net | $ (494) | $ 11 |
Weighted Average Pay Rate | 1.99% | 1.99% |
Weighted Average Receive Rate | 0.65% | 0.32% |
Derivative, Average Remaining Maturity | 7 years 186 days | 8 years 95 days |
Short [Member] | Year 2025 [Member] | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative notional | $ 15,322 | $ 58,560 |
Derivative, Fair Value, Net | $ (862) | $ (5) |
Weighted Average Pay Rate | 2.04% | 2.06% |
Weighted Average Receive Rate | 0.65% | 0.33% |
Derivative, Average Remaining Maturity | 8 years 139 days | 9 years 117 days |
Short [Member] | Year 2026 [Member] | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative notional | $ 26,885 | |
Derivative, Fair Value, Net | $ (20) | |
Weighted Average Pay Rate | 1.46% | |
Weighted Average Receive Rate | 0.78% | |
Derivative, Average Remaining Maturity | 9 years 319 days | |
Short [Member] | Year 2043 [Member] | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative notional | $ 12,380 | $ 21,067 |
Derivative, Fair Value, Net | $ (3,598) | $ (1,967) |
Weighted Average Pay Rate | 2.99% | 3.03% |
Weighted Average Receive Rate | 0.81% | 0.36% |
Derivative, Average Remaining Maturity | 26 years 231 days | 27 years 142 days |
Long [Member] | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative notional | $ 9,700 | $ 9,700 |
Derivative, Fair Value, Net | $ 1,355 | $ 857 |
Weighted Average Pay Rate | 0.68% | 0.32% |
Weighted Average Receive Rate | 3.00% | 3.00% |
Derivative, Average Remaining Maturity | 8 years 288 days | 9 years 201 days |
Long [Member] | Year 2025 [Member] | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative notional | $ 9,700 | $ 9,700 |
Derivative, Fair Value, Net | $ 1,355 | $ 857 |
Weighted Average Pay Rate | 0.68% | 0.32% |
Weighted Average Receive Rate | 3.00% | 3.00% |
Derivative, Average Remaining Maturity | 8 years 288 days | 9 years 201 days |
Derivative Instruments Schedu38
Derivative Instruments Schedule of Futures (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2016 | Dec. 31, 2015 | |
Derivative [Line Items] | ||
Derivative, Fair Value, Net | $ (8,244) | $ (2,542) |
Futures [Member] | Short [Member] | ||
Derivative [Line Items] | ||
Derivative notional | (12,000) | (21,000) |
Derivative, Fair Value, Net | $ (4) | $ 18 |
Derivative, Average Remaining Maturity | 7 months 5 days | 11 months 21 days |
Futures [Member] | Short [Member] | Year 2016 [Member] | ||
Derivative [Line Items] | ||
Derivative notional | $ (3,000) | $ (12,000) |
Derivative, Fair Value, Net | $ 0 | $ 10 |
Derivative, Average Remaining Maturity | 2 months 20 days | 7 months 4 days |
Futures [Member] | Short [Member] | Year 2017 [Member] | ||
Derivative [Line Items] | ||
Derivative notional | $ (9,000) | $ (9,000) |
Derivative, Fair Value, Net | $ (4) | $ 8 |
Derivative, Average Remaining Maturity | 8 months 20 days | 17 months 24 days |
Derivative Instruments Schedu39
Derivative Instruments Schedule of TBA Securities (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 | |
Derivative [Line Items] | |||
Financial derivatives–assets, at fair value | [1] | $ 1,641 | $ 2,183 |
Financial derivatives–liabilities, at fair value | [1] | (9,885) | (4,725) |
Derivative, Fair Value, Net | (8,244) | (2,542) | |
TBA securities- purchase contracts [Member] | |||
Derivative [Line Items] | |||
Derivative notional | [2] | 60,893 | 83,709 |
Derivative cost basis | [3] | 63,927 | 85,846 |
Market Value, Underyling | [4] | 64,066 | 85,912 |
Derivative, Fair Value, Net | [5] | 139 | 66 |
TBA securities- sale contracts [Member] | |||
Derivative [Line Items] | |||
Derivative notional | [2] | (519,011) | (423,546) |
Derivative cost basis | [3] | (553,799) | (450,449) |
Market Value, Underyling | [4] | (554,370) | (450,462) |
Derivative, Fair Value, Net | [5] | (571) | (13) |
TBA securities [Member] | |||
Derivative [Line Items] | |||
Derivative notional, net | [2] | (458,118) | (339,837) |
Derivative cost basis | [3] | (489,872) | (364,603) |
Market Value, Underyling | [4] | (490,304) | (364,550) |
Derivative, Fair Value, Net | [5] | (432) | 53 |
Derivative Financial Instruments, Assets [Member] | TBA securities- purchase contracts [Member] | |||
Derivative [Line Items] | |||
Derivative notional | [2] | 56,383 | 60,291 |
Derivative cost basis | [3] | 59,180 | 61,638 |
Market Value, Underyling | [4] | 59,322 | 61,753 |
Financial derivatives–assets, at fair value | [5] | 142 | 115 |
Derivative Financial Instruments, Assets [Member] | TBA securities- sale contracts [Member] | |||
Derivative [Line Items] | |||
Derivative notional | [2] | (119,179) | (170,800) |
Derivative cost basis | [3] | (129,253) | (181,476) |
Market Value, Underyling | [4] | (129,221) | (181,174) |
Financial derivatives–assets, at fair value | [5] | 32 | 302 |
Derivative Financial Instruments, Liabilities [Member] | TBA securities- purchase contracts [Member] | |||
Derivative [Line Items] | |||
Derivative notional | [2] | 4,510 | 23,418 |
Derivative cost basis | [3] | 4,747 | 24,208 |
Market Value, Underyling | [4] | 4,744 | 24,159 |
Financial derivatives–liabilities, at fair value | [5] | (3) | (49) |
Derivative Financial Instruments, Liabilities [Member] | TBA securities- sale contracts [Member] | |||
Derivative [Line Items] | |||
Derivative notional | [2] | (399,832) | (252,746) |
Derivative cost basis | [3] | (424,546) | (268,973) |
Market Value, Underyling | [4] | (425,149) | (269,288) |
Financial derivatives–liabilities, at fair value | [5] | $ (603) | $ (315) |
[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. |
Schedule of Derivative Activity
Schedule of Derivative Activity (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2016 | Dec. 31, 2015 | |
Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Financial derivative average monthly notional | $ 469,955 | $ 525,037 |
TBA securities [Member] | ||
Derivative [Line Items] | ||
Financial derivative average monthly notional | 480,208 | 606,665 |
Interest Rate Swaption [Member] | ||
Derivative [Line Items] | ||
Financial derivative average monthly notional | 0 | 5,223 |
Futures [Member] | ||
Derivative [Line Items] | ||
Financial derivative average monthly notional | $ 17,400 | $ 5,308 |
Derivative Instruments Schedu41
Derivative Instruments Schedule of Gains and Losses on Derivative Instruments (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Derivative [Line Items] | ||||
Net realized gains (losses) on periodic settements of interest rate swaps | $ (241) | $ (1,044) | $ (3,421) | $ (3,900) |
Net realized gains (losses) other than on periodic settements of interest rate swaps | (3,679) | (2,208) | (18,102) | (11,938) |
Net realized gains (losses) on financial derivatives | (3,920) | (3,252) | (21,523) | (15,838) |
Change in net unrealized gains (losses) on accrued periodic settlements on interest rate swaps | (385) | (1,066) | 336 | (1,647) |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 3,600 | (14,355) | (6,128) | (7,611) |
Change in net unrealized gains (losses) on financial derivatives | 3,215 | (15,421) | (5,792) | (9,258) |
Interest Rate Swap [Member] | ||||
Derivative [Line Items] | ||||
Net realized gains (losses) on periodic settements of interest rate swaps | (241) | (1,044) | (3,421) | (3,900) |
Net realized gains (losses) other than on periodic settements of interest rate swaps | (1,089) | (19) | (10,040) | (4,826) |
Net realized gains (losses) on financial derivatives | (1,330) | (1,063) | (13,461) | (8,726) |
Change in net unrealized gains (losses) on accrued periodic settlements on interest rate swaps | (385) | (1,066) | 336 | (1,647) |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 3,071 | (13,559) | (5,621) | (8,147) |
Change in net unrealized gains (losses) on financial derivatives | 2,686 | (14,625) | (5,285) | (9,794) |
Interest Rate Swaption [Member] | ||||
Derivative [Line Items] | ||||
Net realized gains (losses) other than on periodic settements of interest rate swaps | (500) | (500) | ||
Net realized gains (losses) on financial derivatives | (500) | (500) | ||
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 17 | (79) | ||
Change in net unrealized gains (losses) on financial derivatives | 17 | (79) | ||
TBA securities [Member] | ||||
Derivative [Line Items] | ||||
Net realized gains (losses) other than on periodic settements of interest rate swaps | (2,591) | (1,689) | (8,065) | (6,612) |
Net realized gains (losses) on financial derivatives | (2,591) | (1,689) | (8,065) | (6,612) |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 521 | (813) | (486) | 615 |
Change in net unrealized gains (losses) on financial derivatives | 521 | $ (813) | (486) | $ 615 |
Futures [Member] | ||||
Derivative [Line Items] | ||||
Net realized gains (losses) other than on periodic settements of interest rate swaps | 1 | 3 | ||
Net realized gains (losses) on financial derivatives | 1 | 3 | ||
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 8 | (21) | ||
Change in net unrealized gains (losses) on financial derivatives | $ 8 | $ (21) |
Financial Derivatives Narrative
Financial Derivatives Narrative (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Derivative [Line Items] | ||
U.S. Treasury securities sold short, at fair value | $ 77,263 | $ 78,447 |
US Treasury Securities [Member] | ||
Derivative [Line Items] | ||
U.S. Treasury securities sold short, at fair value | 77,263 | 78,447 |
Investment Sold, Not yet Purchased, Balance, Principal Amount | $ 76,500 | $ 79,600 |
Borrowings under Repurchase A43
Borrowings under Repurchase Agreements Schedule of Repurchase Agreements by Maturity (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2016 | Dec. 31, 2015 | ||
Repurchase Agreements [Line Items] | |||
Repurchase agreements | [1] | $ 1,158,962 | $ 1,222,719 |
Debt, Weighted Average Interest Rate | 0.72% | 0.54% | |
Repurchase Agreement Weighted Average Maturity Of Agreements | 44 days | 37 days | |
Maturity up to 30 days [Member] | |||
Repurchase Agreements [Line Items] | |||
Repurchase agreements | $ 521,831 | $ 666,124 | |
Debt, Weighted Average Interest Rate | 0.70% | 0.52% | |
Repurchase Agreement Weighted Average Maturity Of Agreements | 15 days | 14 days | |
Maturity 31 to 60 days [Member] | |||
Repurchase Agreements [Line Items] | |||
Repurchase agreements | $ 298,063 | $ 336,350 | |
Debt, Weighted Average Interest Rate | 0.70% | 0.53% | |
Repurchase Agreement Weighted Average Maturity Of Agreements | 47 days | 45 days | |
Maturity 61 to 90 days [Member] | |||
Repurchase Agreements [Line Items] | |||
Repurchase agreements | $ 248,083 | $ 89,142 | |
Debt, Weighted Average Interest Rate | 0.74% | 0.70% | |
Repurchase Agreement Weighted Average Maturity Of Agreements | 76 days | 74 days | |
Maturity 91 to 120 days [Member] | |||
Repurchase Agreements [Line Items] | |||
Repurchase agreements | $ 74,956 | $ 131,103 | |
Debt, Weighted Average Interest Rate | 0.76% | 0.53% | |
Repurchase Agreement Weighted Average Maturity Of Agreements | 109 days | 106 days | |
Maturity 121 to 150 days [Member] | |||
Repurchase Agreements [Line Items] | |||
Repurchase agreements | $ 2,150 | $ 0 | |
Debt, Weighted Average Interest Rate | 0.75% | 0.00% | |
Repurchase Agreement Weighted Average Maturity Of Agreements | 137 days | 0 days | |
Maturity 151 to 180 days [Member] | |||
Repurchase Agreements [Line Items] | |||
Repurchase agreements | $ 13,879 | $ 0 | |
Debt, Weighted Average Interest Rate | 0.82% | 0.00% | |
Repurchase Agreement Weighted Average Maturity Of Agreements | 165 days | 0 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 A44
Borrowings under Repurchase Agreements (Details) $ in Thousands | 9 Months Ended | |
Sep. 30, 2016USD ($)counterparties | Dec. 31, 2015USD ($)counterparties | |
Repurchase Agreements [Line Items] | ||
Number of Counterparties with Outstanding Repurchase Agreements | counterparties | 13 | 13 |
Repurchase Agreements, collateral amount | $ 1,200,000 | $ 1,300,000 |
Pledged Assets, Unsettled | $ 37,000 | 63,400 |
Minimum [Member] | ||
Repurchase Agreements [Line Items] | ||
Repurchase Agreements Maturity | 30 days | |
Maximum [Member] | ||
Repurchase Agreements [Line Items] | ||
Repurchase Agreements Maturity | 180 days | |
Repurchase Agreements [Member] | ||
Repurchase Agreements [Line Items] | ||
Cash Collateral (Received) Pledged | $ 16,751 | 20,678 |
Security Owned and Pledged as Collateral, Fair Value | $ 500 | $ 2,000 |
Offsetting of Assets and Liab45
Offsetting of Assets and Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 | |||
Offsetting Assets and Liabilities [Line Items] | |||||
Financial derivatives–assets, at fair value | [1] | $ 1,641 | $ 2,183 | ||
Reverse repurchase agreements | [1] | 77,932 | 78,632 | ||
Financial derivatives–liabilities, at fair value | [1] | (9,885) | (4,725) | ||
Repurchase agreements | [1] | (1,158,962) | (1,222,719) | ||
Derivative Liability, Fair Value, Amount Offset Against Collateral | (1,586) | (1,529) | |||
Securities sold under agreements to repurchase available for offset | (77,932) | (78,632) | |||
Derivative Asset, Fair Value, Amount Offset Against Collateral | 1,586 | 1,529 | |||
Securities purchased under agreements to resell available for offset | 77,932 | 78,632 | |||
Securities Collateral Relating To Repurchase Agreements | 1,210,000 | 1,260,000 | |||
Derivative Financial Instruments, Assets [Member] | |||||
Offsetting Assets and Liabilities [Line Items] | |||||
Financial Instruments Pledged as Collateral | [3] | 0 | [2] | 0 | [4] |
Cash collateral received | [3] | 0 | [2] | 0 | [4] |
Derivatives and related collateral, net | 55 | 654 | |||
Excess cash collateral | 1,800 | 6,800 | |||
Reverse Repurchase Agreements [Member] | |||||
Offsetting Assets and Liabilities [Line Items] | |||||
Financial Instruments Pledged as Collateral | [3] | 0 | [2] | 0 | [4] |
Cash collateral received | [3] | 0 | [2] | 0 | [4] |
Reverse Repurchase Agreements and Related Collateral Net | 0 | 0 | |||
Derivative Financial Instruments, Liabilities [Member] | |||||
Offsetting Assets and Liabilities [Line Items] | |||||
Financial Instruments Pledged as Collateral | [3] | 0 | [2] | 0 | [4] |
Cash Collateral Pledged | [3] | 8,042 | [2] | 3,089 | [4] |
Derivatives and related collateral, net | (257) | (107) | |||
Excess cash collateral | 6,700 | 2,500 | |||
Repurchase Agreements [Member] | |||||
Offsetting Assets and Liabilities [Line Items] | |||||
Financial Instruments Pledged as Collateral | [3] | 1,064,279 | [2] | 1,123,409 | [4] |
Cash Collateral Pledged | [3] | 16,751 | [2] | 20,678 | [4] |
Repurchase agreements and related collateral, net | $ 0 | $ 0 | |||
[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, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's repurchase agreements and cash collateral pledged on the Company's financial derivative assets and liabilities. Total financial instruments transferred or pledged as collateral on the Company's repurchase agreements as of September 30, 2016 were $1.21 billion. As of September 30, 2016 total cash collateral on financial derivative assets and liabilities excludes $1.8 million and $6.7 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. | ||||
[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 the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's repurchase agreements and cash collateral pledged on the Company's financial derivative assets and liabilities. Total financial instruments transferred or pledged as collateral on the Company's repurchase agreements as of December 31, 2015 were $1.26 billion. As of December 31, 2015 total cash collateral on financial derivative assets and liabilities excludes $6.8 million and $2.5 million, respectively of net excess cash collateral. |
Earnings per Share (Details)
Earnings per Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Earnings Per Share [Abstract] | ||||
Net income (loss) | $ 6,626 | $ (4,817) | $ 9,895 | $ (949) |
Basic and diluted weighted average shares outstanding | 9,119,111 | 9,140,452 | 9,119,164 | 9,146,301 |
Basic and Diluted Earnings Per Share (in dollars per share) | $ 0.73 | $ (0.53) | $ 1.09 | $ (0.10) |
Related Party Transactions (Det
Related Party Transactions (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Jun. 30, 2016 | Sep. 30, 2016 | Sep. 30, 2015 | |
Related Party Transactions [Abstract] | |||||
Management Fee, Description | 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. | ||||
Management agreement renewal period | 1 year | ||||
Expense reimbursement period | 60 days | ||||
Expenses Reimbursed to Related Party | $ 1,500 | $ 1,200 | |||
Termination fee percentage | 5.00% | ||||
Annual Base Management Fee, Percent | 1.50% | 1.50% | |||
Management fees | $ 539 | $ 557 | $ 1,596 | $ 1,759 | |
Termination Fee, Description | 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 as of the month-end preceding the date of the notice of termination or non-renewal of the Management Agreement. |
Capital Summary of Common Share
Capital Summary of Common Shares Outstanding (Details) - shares | 3 Months Ended | 9 Months Ended | 38 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | |
Capital [Abstract] | |||||
Common Shares Outstanding, beginning of period | 9,117,183 | 9,149,274 | 9,135,103 | 9,149,274 | |
Restricted shares issued | 9,856 | 9,228 | 9,856 | 9,228 | |
Shares repurchased | 0 | (23,481) | (17,920) | (23,481) | (47,481) |
Common Shares Outstanding, end of period | 9,127,039 | 9,135,021 | 9,127,039 | 9,135,021 | 9,127,039 |
Unvested restricted shares outstanding | 16,018 | 9,228 | 16,018 | 9,228 | 16,018 |
Capital Vesting Schedule for re
Capital Vesting Schedule for restricted shares (Details) - shares | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Restricted shares issued | 9,856 | 9,228 | 9,856 | 9,228 |
Vest September 14, 2016 [Member] | Independent Trustees [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Restricted shares issued | 9,856 | |||
Restricted share grant date | Sep. 13, 2016 | |||
Restricted share vesting date | Sep. 12, 2017 | |||
Vest December 15, 2016 [Member] | Partially dedicated employees [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Restricted shares issued | 3,157 | |||
Restricted share grant date | Dec. 15, 2015 | |||
Restricted share vesting date | Dec. 15, 2016 | |||
Vest December 31, 2016 [Member] | Partially dedicated employees [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Restricted shares issued | 324 | |||
Restricted share grant date | Dec. 15, 2015 | |||
Restricted share vesting date | Dec. 31, 2016 | |||
Vest December 15, 2017 [Member] | Partially dedicated employees [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Restricted shares issued | 2,359 | |||
Restricted share grant date | Dec. 15, 2015 | |||
Restricted share vesting date | Dec. 15, 2017 | |||
December 31, 2017 [Member] | Partially dedicated employees [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Restricted shares issued | 322 | |||
Restricted share grant date | Dec. 15, 2015 | |||
Restricted share vesting date | Dec. 31, 2017 |
Capital (Details)
Capital (Details) - USD ($) | 3 Months Ended | 9 Months Ended | 38 Months Ended | ||||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Dec. 31, 2015 | Aug. 13, 2013 | |
Schedule of Capitalization, Equity [Line Items] | |||||||
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 | 9,127,039 | 9,127,039 | 9,127,039 | 9,135,103 | |||
Preferred shares issued | 0 | 0 | 0 | 0 | |||
Dividends declared (in dollars per share) | $ 0.40 | $ 0.45 | $ 1.25 | $ 1.55 | |||
Dividends | $ (3,700,000) | $ (4,100,000) | $ (11,401,000) | $ (14,175,000) | |||
Stock Repurchase Program, Authorized Amount | $ 10,000,000 | ||||||
Repurchase of common shares, shares | 0 | (23,481) | (17,920) | (23,481) | (47,481) | ||
Repurchase of common shares, Value | $ (196,000) | $ (304,000) | $ (600,000) | ||||
Stock Repurchases Average Price Per Share | $ 10.94 | $ 12.03 | |||||
Intended Distribution of Taxable Net Income, Percentage on Annual Basis | 100.00% |