Document_and_Entity_Informatio
Document and Entity Information (USD $) | 12 Months Ended | ||
Dec. 31, 2013 | Mar. 07, 2014 | Jun. 30, 2013 | |
Document and Entity Information | ' | ' | ' |
Entity Registrant Name | 'Western Asset Mortgage Capital Corp | ' | ' |
Entity Central Index Key | '0001465885 | ' | ' |
Document Type | '10-K | ' | ' |
Document Period End Date | 31-Dec-13 | ' | ' |
Amendment Flag | 'false | ' | ' |
Current Fiscal Year End Date | '--12-31 | ' | ' |
Entity Well-known Seasoned Issuer | 'No | ' | ' |
Entity Voluntary Filers | 'No | ' | ' |
Entity Current Reporting Status | 'Yes | ' | ' |
Entity Filer Category | 'Accelerated Filer | ' | ' |
Entity Public Float | ' | ' | $418,551,766 |
Entity Common Stock, Shares Outstanding | ' | 26,853,287 | ' |
Document Fiscal Year Focus | '2013 | ' | ' |
Document Fiscal Period Focus | 'FY | ' | ' |
Balance_Sheets
Balance Sheets (USD $) | Dec. 31, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Assets: | ' | ' |
Cash and cash equivalents | $48,525 | $56,292 |
Mortgage-backed securities, at fair value ($2,818,947 and $5,043,824 pledged as collateral, at fair value, respectively) | 2,853,587 | 5,212,581 |
Linked transactions, net, at fair value | 18,559 | ' |
Investment related receivable | 341 | ' |
Accrued interest receivable | 12,266 | 17,361 |
Due from counterparties | 55,434 | 54,142 |
Derivative assets, at fair value | 105,826 | 24,344 |
Other assets | 339 | 244 |
Total Assets | 3,094,877 | 5,364,964 |
Liabilities: | ' | ' |
Borrowings under repurchase agreements | 2,579,067 | 4,794,730 |
Accrued interest payable | 12,534 | 6,561 |
Due to counterparties | 65,861 | 0 |
Derivative liability, at fair value | 4,673 | 4,771 |
Cash overdraft payable | ' | 5,666 |
Accounts payable and accrued expenses | 1,353 | 988 |
Underwriting and offering costs payable | 8 | 75 |
Payable to related party | 1,842 | 1,924 |
Dividend payable | 19,445 | 27,041 |
Total Liabilities | 2,684,783 | 4,841,756 |
Commitments and contingencies | ' | ' |
Stockholders' Equity: | ' | ' |
Common stock, $0.01 par value, 500,000,000 shares authorized, 26,853,287 (including 2,548,784 shares declared as a stock dividend on December 19, 2013, issued on January 28, 2014) and 24,143,944 shares issued and outstanding, respectively | 268 | 241 |
Preferred stock, $0.01 par value, 100,000,000 shares authorized and no shares outstanding | ' | ' |
Additional paid-in capital | 544,143 | 505,454 |
Retained earnings (accumulated deficit) | -134,317 | 17,513 |
Total Stockholders' Equity | 410,094 | 523,208 |
Total Liabilities and Stockholders' Equity | $3,094,877 | $5,364,964 |
Balance_Sheets_Parenthetical
Balance Sheets (Parenthetical) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 |
In Thousands, except Share data, unless otherwise specified | ||
Balance Sheets | ' | ' |
Fair value of mortgage-backed securities pledged as collateral | $2,818,947 | $5,043,824 |
Common stock, par value (in dollars per share) | $0.01 | $0.01 |
Common stock, shares authorized | 500,000,000 | 500,000,000 |
Common stock, shares issued | 26,853,287 | 24,143,944 |
Common stock, shares outstanding | 26,853,287 | 24,143,944 |
Preferred stock, par value (in dollars per share) | $0.01 | $0.01 |
Preferred stock, shares authorized | 100,000,000 | 100,000,000 |
Preferred stock, shares outstanding | 0 | 0 |
Statement_of_Operations
Statement of Operations (USD $) | 1 Months Ended | 3 Months Ended | 8 Months Ended | 12 Months Ended | ||||||
In Thousands, except Per Share data, unless otherwise specified | Jun. 30, 2012 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Dec. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2012 |
Net Interest Income: | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Interest income | $7,083 | $28,182 | $30,654 | $32,742 | $33,750 | $33,248 | $12,987 | $53,318 | $125,328 | ' |
Interest expense | 725 | 4,043 | 4,273 | 4,522 | 5,181 | 5,434 | 1,935 | 8,094 | 18,019 | ' |
Net Interest Income | 6,358 | 24,139 | 26,381 | 28,220 | 28,569 | 27,814 | 11,052 | 45,224 | 107,309 | ' |
Other Income (Loss): | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Interest income on cash balances and other income | ' | 35 | 11 | 12 | 33 | 9 | 2 | 11 | 91 | ' |
Realized gain (loss) on sale of Mortgage-backed securities and other securities, net | 1,157 | -46,827 | -46,142 | -6,083 | -11,660 | 12,962 | 6,635 | 20,754 | -110,712 | ' |
Other loss on Mortgage-backed securities | -87 | -3,694 | -2,363 | -3,533 | -2,268 | -1,767 | -1,352 | -3,206 | -11,858 | ' |
Unrealized gain (loss) on Mortgage-backed securities and other securities, net | 2,983 | 13,408 | 37,528 | -156,286 | -54,759 | -15,278 | 26,225 | 13,930 | -160,109 | ' |
Gain on linked transactions, net | ' | 179 | -547 | 3,909 | 596 | ' | ' | ' | 4,137 | ' |
Gain (loss) on derivative instruments, net | -5,159 | 37,042 | -3,809 | 109,474 | 14,840 | 4,298 | -12,245 | -13,106 | 157,547 | ' |
Other Income (Loss), net | -1,106 | 143 | -15,322 | -52,507 | -53,218 | 224 | 19,265 | 18,383 | -120,904 | ' |
Operating Expenses: | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
General and administrative (includes $1,087 and $367 non-cash stock based compensation, respectively) | 584 | 1,684 | 1,484 | 1,541 | 1,737 | 1,292 | 1,321 | 3,197 | 6,446 | ' |
Management fee - related party | 407 | 1,843 | 2,032 | 1,826 | 2,113 | 1,924 | 802 | 3,133 | 7,814 | ' |
Total Operating Expenses | 991 | 3,527 | 3,516 | 3,367 | 3,850 | 3,216 | 2,123 | 6,330 | 14,260 | ' |
Net income (loss) available to Common Stock and participating securities | $4,261 | $20,755 | $7,543 | ($27,654) | ($28,499) | $24,822 | $28,194 | $57,277 | ($27,855) | $57,277 |
Net income (loss) per Common Share - Basic (in dollars per share) | $0.41 | $0.83 | $0.31 | ($1.16) | ($1.18) | $1.04 | $2.73 | $3.64 | ($1.19) | ' |
Net income (loss) per Common Share - Diluted (in dollars per share) | $0.41 | $0.83 | $0.31 | ($1.16) | ($1.18) | $1.04 | $2.72 | $3.63 | ($1.19) | ' |
Statement_of_Operations_Parent
Statement of Operations (Parenthetical) (USD $) | 8 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Dec. 31, 2012 | Dec. 31, 2013 |
Statement of Operations | ' | ' |
General and administrative, non-cash stock based compensation | $367 | $1,087 |
Statement_of_Changes_in_Stockh
Statement of Changes in Stockholders' Equity (USD $) | Total | Common Stock | Additional Paid-In Capital | Retained Earnings (Accumulated Deficit) |
In Thousands, except Share data, unless otherwise specified | ||||
Balance at Dec. 31, 2011 | $1 | ' | $1 | ' |
Balance (in shares) at Dec. 31, 2011 | ' | 100 | ' | ' |
Increase (Decrease) in Stockholders' Equity | ' | ' | ' | ' |
Redemption of common stock | -1 | ' | -1 | ' |
Redemption of common stock (in shares) | ' | -100 | ' | ' |
Proceeds from public offering of common stock, net | 461,530 | 218 | 461,312 | ' |
Proceeds from public offering of common stock, net (in shares) | ' | 21,800,000 | ' | ' |
Offering costs, public offerings of common stock | -1,759 | ' | -1,759 | ' |
Proceeds from private placement of common stock | 42,611 | 23 | 42,588 | ' |
Proceeds from private placement of common stock (in shares) | ' | 2,277,830 | ' | ' |
Warrants | 2,946 | ' | 2,946 | ' |
Grants of restricted stock (in shares) | ' | 66,114 | ' | ' |
Vesting of restricted stock | 367 | ' | 367 | ' |
Net income (loss) | 57,277 | ' | ' | 57,277 |
Dividends on common stock | -39,764 | ' | ' | -39,764 |
Balance at Dec. 31, 2012 | 523,208 | 241 | 505,454 | 17,513 |
Balance (in shares) at Dec. 31, 2012 | 24,143,944 | 24,143,944 | ' | ' |
Increase (Decrease) in Stockholders' Equity | ' | ' | ' | ' |
Grants of restricted stock | ' | 2 | -2 | ' |
Grants of restricted stock (in shares) | ' | 160,559 | ' | ' |
Vesting of restricted stock | 1,024 | ' | 1,024 | ' |
Net income (loss) | -27,855 | ' | ' | -27,855 |
Dividends on common stock | -86,283 | 25 | 37,667 | -123,975 |
Dividends on common stock (in shares) | ' | 2,548,784 | ' | ' |
Balance at Dec. 31, 2013 | $410,094 | $268 | $544,143 | ($134,317) |
Balance (in shares) at Dec. 31, 2013 | 26,853,287 | 26,853,287 | ' | ' |
Statement_of_Cash_Flows
Statement of Cash Flows (USD $) | 8 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Dec. 31, 2012 | Dec. 31, 2013 |
Cash flows from operating activities: | ' | ' |
Net income (loss) | $57,277 | ($27,855) |
Adjustments to reconcile net income (loss) to net cash provided by operating activities: | ' | ' |
Premium amortization and (discount accretion), net | 16,725 | 21,053 |
Restricted stock amortization expense | 367 | 1,087 |
Unrealized (gain) loss on Mortgage-backed securities and other securities, net | -13,930 | 160,109 |
Mark-to-market adjustments on linked transactions | ' | -856 |
Mark-to-market adjustments on derivative instruments | -1,241 | -84,788 |
Other loss on Mortgage-backed securities | 3,206 | 11,858 |
Realized (gain) loss on sale of Mortgage-backed securities and other securities, net | -20,754 | 110,712 |
Realized loss on sale of Interest-Only Strips accounted for as derivatives, net | ' | 1,124 |
Realized loss on sale of TBAs, net | ' | 1,499 |
Realized gain on sale of swaptions, net | ' | -23,671 |
Realized loss on expiration of option derivatives, net | ' | 925 |
Realized gain on linked transaction, net | ' | -3,049 |
Changes in operating assets and liabilities: | ' | ' |
Decrease (increase) in accrued interest receivable | -17,361 | 5,095 |
Increase in other assets | -244 | -95 |
Increase in accrued interest payable | 6,561 | 5,973 |
Increase in accounts payable and accrued expenses | 988 | 302 |
Increase (decrease) in payable to related party | 1,924 | -82 |
Net cash provided by operating activities | 33,518 | 179,341 |
Cash flows from investing activities: | ' | ' |
Purchase of Mortgage-backed securities and other securities | -7,798,967 | -2,004,596 |
Purchase of securities underlying linked transactions | ' | -176,628 |
Proceeds from sale of Mortgage-backed securities and other securities | 2,490,326 | 3,620,488 |
Proceeds from sale of securities underlying linked transactions | ' | 21,735 |
Principal payments and basis recovered on Mortgage-backed securities and other securities | 105,748 | 305,433 |
Principal payments on securities underlying linked transactions | ' | 2,008 |
Payment of premium for option derivatives | ' | -4,675 |
Premium received from option derivatives | ' | 3,750 |
Proceeds from gross settlement of TBAs | ' | 208,313 |
Net settlements of TBAs | ' | -995 |
Proceeds from sale of interest rate swaptions | ' | 60,482 |
Premium for interest rate swaptions, net | -13,267 | -32,904 |
Net cash provided by (used in) investing activities | -5,216,160 | 2,002,411 |
Cash flows from financing activities: | ' | ' |
Proceeds from issuances of common stock | 461,530 | ' |
Proceeds from private placements of units and common stock (concurrent with initial public offering) | 45,557 | ' |
Payment of offering costs | -1,684 | -67 |
Redemption of common stock | -1 | ' |
Proceeds from repurchase agreement borrowings | 14,511,707 | 29,948,206 |
Proceeds from repurchase agreement borrowings underlying linked transactions | ' | 165,089 |
Repayments of repurchase agreement borrowings | -9,716,977 | -32,163,869 |
Repayments of repurchase agreement borrowings underlying linked transactions | ' | -103,902 |
Proceeds from (Repayment of) cash overdraft | 5,666 | -5,666 |
Due from counterparties | -54,142 | -1,292 |
Due to counterparties | ' | 65,861 |
Dividends on common stock | -12,723 | -93,879 |
Net cash provided by (used in) financing activities | 5,238,933 | -2,189,519 |
Net increase (decrease) in cash and cash equivalents | 56,291 | -7,767 |
Cash and cash equivalents beginning of period | 1 | 56,292 |
Cash and cash equivalents end of period | 56,292 | 48,525 |
Supplemental disclosure of operating cash flow information: | ' | ' |
Interest paid | 4,640 | 19,751 |
Supplemental disclosure of non-cash financing/investing activities: | ' | ' |
Underwriting and offering costs payable | 75 | ' |
Principal payments of mortgage-backed securities, not settled | ' | 341 |
Mortgage-backed securities used to settle TBAs | ' | 208,817 |
Mortgage-backed securities recorded upon unlinking of linked transactions | ' | -77,046 |
Stock dividends declared, not issued | ' | 37,671 |
Dividends and distributions declared, not paid | $27,041 | $19,445 |
Organization
Organization | 12 Months Ended |
Dec. 31, 2013 | |
Organization | ' |
Organization | ' |
Note 1—Organization | |
Western Asset Mortgage Capital Corporation (is referred to throughout this report as the "Company") is a real estate finance company that primarily invests in residential mortgage assets in the United States. Although the Company's core investment strategy is primarily focused on Agency RMBS, the Company has supplemented its portfolio with Non-Agency RMBS, Agency and Non-Agency CMBS and, under certain market conditions, expects to increase its investment in Non-Agency RMBS and Agency and Non-Agency CMBS. In addition, the Company may opportunistically invest in and asset-backed securities ("ABS") as well. | |
The Company is externally managed by Western Asset Management Company ("WAM", or the "Manager"), an investment advisor registered with the Securities and Exchange Commission ("SEC"). WAM is a wholly-owned subsidiary of Legg Mason, Inc. The Company operates and has elected to be taxed as a real estate investment trust or "REIT" commencing with its taxable year ended December 31, 2012. | |
At December 31, 2011 and through May 14, 2012, the Company complied with the reporting requirements for development stage enterprises and was subject to the risks associated with development stage enterprises. The Company completed its initial public offering and began its core operations on May 15, 2012. The Company incurred organizational, accounting and offering costs in connection with the Company's initial public offering (the "IPO") of its common stock and concurrent private placements. In accordance with the Management Agreement (as defined herein in Note 9) between the Company and the Manager, the Company reimbursed the Manager for $1.2 million of offering and other related organization costs, which were paid by the Manager, from the proceeds of the IPO and concurrent private placements. The Manager paid all costs in excess of $1.2 million. The Company ceased reporting as a development stage company on May 15, 2012. | |
Summary_of_Significant_Account
Summary of Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2013 | |
Summary of Significant Accounting Policies | ' |
Summary of Significant Accounting Policies | ' |
Note 2—Summary of Significant Accounting Policies | |
Basis of Presentation | |
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America ("GAAP") requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting periods. Actual results could differ from those estimates. | |
The Company currently operates as one business segment. | |
Cash and Cash Equivalents | |
The Company considers all highly-liquid short term investments with original maturities of 90 days or less when purchased to be cash equivalents. Cash and cash equivalents are exposed to concentrations of credit risk. The Company places its cash and cash equivalents with what it believes to be high credit quality institutions. At times such investments may be in excess of the Federal Deposit Insurance Corporation insurance limit. | |
Classification of mortgage-backed securities and valuations of financial instruments | |
Mortgage-backed and US Treasury securities—Fair value election | |
The Company has elected the fair value option for all of its MBS and US Treasury securities at the date of purchase, which permits the Company to measure these securities at fair value with the change in fair value included as a component of earnings. In the Manager's view, this election more appropriately reflects the results of the Company's operations for a particular reporting period, as financial asset fair value changes are presented in a manner consistent with the presentation and timing of the fair value changes of economic hedging instruments. | |
Balance Sheet Presentation | |
The Company's mortgage-backed securities purchases and sales are recorded on the trade date, which results in an investment related payable (receivable) for MBS purchased (sold) for which settlement has not taken place as of the balance sheet date. The Company's MBS are pledged as collateral against borrowings under repurchase agreements. Other than MBS which are accounted for as linked transactions, described below, the Company's MBS are included in Mortgage-backed securities at fair value and Investment related receivables on the Balance Sheet, with the fair value of such MBS pledged disclosed parenthetically. | |
Valuation of financial instruments | |
The Company discloses the fair value of its financial instruments according to a fair value hierarchy (Levels I, II, and III, as defined below). In accordance with GAAP, the Company is required to provide enhanced disclosures regarding instruments in the Level III category (which require significant management judgment), including a separate reconciliation of the beginning and ending balances for each major category of assets and liabilities. GAAP establishes a framework for measuring fair value and expands financial statement disclosure requirements for fair value measurements. GAAP further specifies a hierarchy of valuation techniques, which is based on whether the inputs into the valuation technique are observable or unobservable. The hierarchy is as follows: | |
Level I—Quoted prices in active markets for identical assets or liabilities. | |
Level II—Quoted prices for similar assets and liabilities in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. | |
Level III—Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable, for example, when there is little or no market activity for an investment at the end of the period, unobservable inputs may be used. | |
The level in the fair value hierarchy within which a fair value measurement in its entirety falls is based on the lowest level input that is significant to the fair value measurement in its entirety. Transfers between levels are determined by the Company at the end of the reporting period. | |
When available, the Company uses quoted market prices to determine the fair value of an asset or liability. If quoted market prices are not available, the Company consults with independent pricing services or obtains third party broker quotes. If independent pricing service, or third party broker quotes are not available, the Company determines the fair value of the securities using valuation techniques that use, when possible, current market-based or independently-sourced market parameters, such as interest rates and when applicable, estimates of prepayment and credit losses. | |
Valuation techniques for MBS may be based upon models that consider the estimated cash flows of the security. When applicable, the primary inputs to the model include yields for Agency To-Be-Announced securities (also known as "TBAs"), Agency MBS, the U.S. Treasury market and floating rate indices such as the London interbank offered rate or LIBOR, the Constant Maturity Treasury rate and the prime rate as a benchmark yield. In addition, the model may incorporate the current weighted average maturity and additional pool level information such as prepayment speeds, default frequencies and default severities, if applicable. To the extent, such inputs are observable and timely, these MBS are categorized as Level II of the fair value hierarchy; otherwise, unless alternative pricing information as described above is available, they are categorized as Level III. | |
While linked transactions, described below, are treated as derivatives for GAAP, the securities underlying the Company's linked transactions are valued using similar techniques to those used for the Company's securities portfolio. The value of the underlying security is then netted against the carrying amount (which approximates fair value) of the repurchase agreement at the valuation date. Additionally, TBA instruments are similar in substance to the Company's Agency RMBS portfolio, and the Company therefore estimates fair value based on similar methods. | |
The Company determines the fair value of derivative financial instruments by obtaining quotes from a third party pricing service, whose pricing is subject to review by the Manager's pricing committee. In valuing its interest rate derivatives, such as swaps and swaptions, the Company considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each derivative agreement, from the perspective of both the Company and its counterparties. All of the Company's interest rate swaps are either cleared through a central clearing house and subject to the clearing house margin requirements or subject to bilateral collateral arrangements. The Company also has netting arrangements in place with all derivative counterparties, however the Company has elected to report the interest rate swaps on a gross basis. No credit valuation adjustment was made in determining the fair value of interest rate derivatives. | |
Fair value under GAAP represents an exit price in the normal course of business, not a forced liquidation price. If the Company is forced to sell assets in a short period to meet liquidity needs, the prices it receives can be substantially less than their recorded fair values. Furthermore, the analysis of whether it is more likely than not that the Company will not be required to sell securities in an unrealized loss position before recovery of its amortized cost basis, the amount of such expected required sales, and the projected identification of which securities will be sold is also subject to significant judgment, particularly in times of market illiquidity. | |
Any changes to the valuation methodology will be reviewed by the Company and its Manager to ensure the changes are appropriate. As markets and products develop and the pricing for certain products becomes more transparent, the Company will continue to refine its valuation methodologies. The Company utilizes and follows the pricing methodology employed by its Manager, including its review and challenge process. The methods used by the Company may produce a fair value calculation that may not be indicative of net realizable value or reflective of future fair values. Furthermore, while the Company anticipates that its valuation methods will be appropriate and consistent with other market participants, the use of different methodologies, or assumptions, to determine the fair value of certain financial instruments can result in a different estimate of fair value at the reporting date. The Company uses inputs that are current as of the measurement date, which may include periods of market dislocation, during which price transparency may be reduced. | |
All valuations received from independent pricing services are non-binding. The Company primarily utilizes an independent third party pricing service as the primary source for valuing the Company's assets. | |
The Company generally receives one independent pricing service price for each investment in the Company's portfolio. The Manager has established a process to review and validate the pricing received from the independent pricing service and has a process for challenging prices received from the independent pricing service when necessary. The Company utilizes our Manager's policies in this regard. The Company's and the Manager's review of the independent third party pricing data may consist of a review of the daily change in the prices provided by the independent pricing vendor which exceed established tolerances or comparisons to executed transaction prices. The Manager's pricing group, which functions independently from its portfolio management personnel, corroborates the price differences or changes in price by comparing the vendor price to alternate sources including other independent pricing services or broker quotations. If the price change or difference cannot be corroborated, the Manager's pricing group consults with the portfolio management team for market color in reviewing such pricing data as warranted. To the extent that the Manager has information, typically in the form of broker quotations that would indicate that a price received from the independent pricing service is outside of a tolerance range, our Manager generally challenges the independent pricing service price. | |
To ensure proper fair value hierarchy, The Company and the Manager review the methodology used by the third party pricing service to understand whether observable market data is being utilized in the vendor's pricing methodology. Generally, this review is conducted annually, however ad-hoc reviews of the pricing methodology and the data does occur. The review of the assumptive data received from the vendor includes comparing key inputs. In addition, as part of the Company's regular review of pricing, the Manager's pricing group may have informal discussions with the independent pricing vendor regarding their evaluation methodology or the market data utilized in their determination. The conclusion that a price should be overridden in accordance with the Manager's pricing methodology may impact the fair value hierarchy of the security for which such price has been adjusted. | |
Interest income recognition and Impairment | |
Agency MBS and Non-Agency MBS, excluding Interest-Only Strips, rated AA and higher at the time of purchase | |
Interest income on mortgage-backed securities is accrued based on the respective outstanding principal balances and corresponding contractual terms. Premiums and discounts associated with Agency MBS and Non-Agency MBS, excluding Interest-Only Strips, rated AA and higher at the time of purchase, are amortized into interest income over the estimated life of such securities using the effective yield method. Adjustments to premium and discount amortization are made for actual prepayment activity. The Company estimates prepayments at least quarterly for its securities and as a result, if prepayments increase (or are expected to increase), the Company will accelerate the rate of amortization on premiums or discounts and make a retrospective adjustment to historical amortization. Alternatively, if prepayments decrease (or are expected to decrease) the Company will reduce the rate of amortization on the premiums or discounts and make a retrospective adjustment to historical amortization. | |
The Company assesses its Agency MBS and its Non-Agency MBS, excluding Interest-Only Strips, rated AA and higher at the time of purchase for other-than-temporary impairment on at least a quarterly basis. When the fair value of an investment is less than its amortized cost at the balance sheet date of the reporting period for which impairment is assessed, the impairment is designated as either "temporary" or "other-than-temporary." In deciding on whether or not a security is other-than-temporarily impaired, the Company considers several factors, including the nature of the investment, communications (if any) from the trustees of securitizations regarding the credit quality of the security, the severity and duration of the impairment, the cause of the impairment, and the Company's intent not to sell the security and whether it is more likely than not that Company will not be required to sell the security until recovery of its amortized cost basis. An other-than-temporary impairment is deemed to have occurred when there is an adverse change in the expected cash flows (principal or interest) to be received and the fair value of the security is less than its carrying amount. In determining whether an adverse change in cash flows occurred, the present value of the remaining cash flows, as estimated at the initial transaction date (or the last date previously revised), is compared to the present value of the expected cash flows at the current reporting date. The estimated cash flows reflect those a "market participant" would use and are discounted at a rate equal to the current yield used to accrete interest income. These adjustments are reflected in the Company's Statement of Operations as Other loss on Mortgage-backed securities. | |
The determination as to whether an other-than-temporary impairment exists is subject to management estimates based on consideration of both factual information available at the time of assessment as well as the Company's estimates of the future performance and projected amount and timing of cash flows expected to be collected on the security. As a result, the timing and amount of an other-than-temporary impairment constitutes an accounting estimate that may change materially over time. | |
Non-Agency MBS that are rated below AA at the time of purchase and Interest-Only Strips that are not classified as derivatives | |
Interest income on Non-Agency MBS that are rated below AA at the time of purchase and Interest-Only Strips that are not classified as derivatives are recognized based on the effective yield method. The effective yield on these securities is based on the projected cash flows from each security, which is estimated based on the Company's observation of the then current information and events and will include assumptions related to interest rates, prepayment rates and the timing and amount of credit losses. On at least a quarterly basis, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on input and analysis received from external sources, internal models, and its judgment about interest rates, prepayment rates, the timing and amount of credit losses (if applicable), and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the yield/interest income recognized on such securities. Actual maturities of the securities are affected by the contractual lives of the associated mortgage collateral, periodic payments of scheduled principal, and prepayments of principal. Therefore, actual maturities of the securities will generally be shorter than stated contractual maturities. | |
Based on the projected cash flow of the Non-Agency MBS purchased at a discount to par value, the Company may designate a portion of such purchase discount as credit protection against future credit losses and, therefore, not accrete such amount into interest income. The amount designated as credit discount may be adjusted over time, based on the actual performance of the security, its underlying collateral, actual and projected cash flow from such collateral, economic conditions and other factors. If the performance of a security with a credit discount is more favorable than forecasted, a portion of the amount designated as credit discount may be accreted into interest income prospectively | |
In addition, an other-than-temporary impairment is deemed to have occurred when there is an adverse change in the expected cash flows (principal or interest) to be received and the fair value of the security is less than its carrying amount. In determining whether an adverse change in cash flows occurred, the present value of the remaining cash flows, as estimated at the initial transaction date (or the last date previously revised), is compared to the present value of the expected cash flows at the current reporting date. The estimated cash flows reflect those a "market participant" would use and are discounted at a rate equal to the current yield used to accrete interest income. These adjustments are reflected in the Company's Statement of Operations as Other loss on Mortgage-backed securities. | |
The determination as to whether an other-than-temporary impairment exists is subject to management estimates based on consideration of both factual information available at the time of assessment as well as the Company's estimates of the future performance and projected amount and timing of cash flows expected to be collected on the security. As a result, the timing and amount of an other-than-temporary impairment constitutes an accounting estimate that may change materially over time. | |
Certain of the Company's MBS that are in an unrealized loss position at December 31, 2013 are not considered other-than-temporarily impaired because the Company has no intent to sell these investments, it is more likely than not that the Company will not be required to sell the investment before recovery of its amortized cost basis and the Company is not required to sell the security for regulatory or other reasons. | |
Sales of securities | |
Sales of securities are driven by the Company's portfolio management process. The Company seeks to mitigate risks including those associated with prepayments and will opportunistically rotate the portfolio into securities the Company's Manager believe have more favorable attributes. Strategies may also be employed to manage net capital gains, which need to be distributed for tax purposes. Realized gains or losses on sales of securities, including Agency Interest-Only Strips not characterized as derivatives, are included in the net Realized gain (loss) on sale of Mortgage-backed securities and other securities, net line item on the Statement of Operations, and are recorded at the time of disposition. Realized gains or losses on sales of securities which are part of a linked transaction are included in Gain (loss) on linked transactions, net while realized gains losses on Interest-Only Strips which are characterized as derivatives are included in Gain (loss) on derivative instruments, net line item in the Statement of Operations. The cost of positions sold is calculated using the specific identification method. | |
Securities in an unrealized loss position at the end of each reporting period are evaluated by the Company's Manager to determine whether the Company has the intent to sell such securities. To the extent the Company has no intent to sell such investments and it is more likely than not that the Company will not be required to sell the investment before recovery of its amortized cost basis, such unrealized loss is included in Unrealized gain (loss) on Mortgage-backed securities and other securities, net in the Statement of Operations. Otherwise, when the Company has determined its intent to sell such securities, the unrealized loss is characterized as a realized loss and included in Other loss on Mortgage-backed securities on the Statement of Operations. | |
Due from counterparties/Due to counterparties | |
Due from counterparties represents cash posted with its counterparties as collateral for the Company's interest rate swaps and repurchase agreements. Due to counterparties represents cash posted with the Company by its counterparties as collateral under the Company's interest rate swaps, interest rate swaptions and repurchase agreements. In addition, as provided below, Due to counterparties may include non-cash collateral in which the Company has the obligation to return the collateral upon the Company either selling or pledging the non-cash collateral. To the extent the Company receives collateral other than cash from its counterparties such assets are not included in the Company's Balance Sheet. Notwithstanding the foregoing, if the Company either rehypothecates such assets or pledges the assets as collateral pursuant to a repurchase agreement, the cash received and the corresponding liability is reflected on the Balance Sheet. | |
Derivatives and hedging activities | |
Subject to maintaining its qualification as a REIT for U.S. federal income tax purposes, the Company utilizes derivative financial instruments, including interest rate swaps, swaptions, TBAs and Agency and Non-Agency Interest-Only Strips to hedge the interest rate risk associated with its portfolio and related borrowings. Derivatives are used for hedging purposes rather than speculation. The Company determines the fair value of its derivative positions and obtains quotations from a third party to facilitate the process of determining these fair values. If the Company's hedging activities do not achieve the desired results, reported earnings may be adversely affected. | |
GAAP requires an entity to recognize all derivatives as either assets or liabilities and to measure those instruments at fair value. The accounting for changes in the fair value of derivatives depends on the intended use of the derivative, whether the Company has elected to designate a derivative in a hedging relationship and apply hedge accounting and whether the hedging relationship has satisfied the criteria necessary to apply hedge accounting. Derivatives are classified as either hedges of the fair value of a recognized asset or liability or of an unrecognized firm commitment (fair value hedge) or hedges of a forecasted transaction or the variability of cash flows to be received or paid related to a recognized asset or liability (cash flow hedge). Fair value adjustments are recorded in earnings immediately, if the Company does not elect hedge accounting for a derivative instrument. | |
The Company elected not to apply hedge accounting for its derivative instruments and records the change in fair value and net interest rate swap payments (including accrued amounts) related to interest rate swaps in Gain (loss) on derivative instruments, net in its Statement of Operations. | |
The Company also invests in Agency and Non-Agency Interest-Only Strips, Agency and Non-Agency Inverse Interest-Only Strips, swaptions and TBAs. The Company evaluates the terms and conditions of its holdings of Agency and Non-Agency Interest-Only Strips, Agency and Non-Agency Inverse Interest-Only Strips, swaptions and TBAs to determine if these instruments have the characteristics of an investment or should be considered a derivative under GAAP. Accordingly, Agency and Non-Agency Interest-Only Strips, Agency and Non-Agency Inverse Interest-Only Strips, swaptions and TBAs having the characteristics of derivatives are accounted for at fair value with such changes recognized in Gain (loss) on derivative instruments, net in its Statement of Operations, along with any interest earned (including accrued amounts). The carrying value of these Agency and Non-Agency Interest-Only Strips, Agency and Non-Agency Inverse Interest-Only Strips, swaptions and TBAs is included in Mortgage-backed securities on the Balance Sheet. | |
The Company evaluates all of its financial instruments to determine if such instruments are derivatives or contain features that qualify as embedded derivatives. An embedded derivative is separated from the host contact and accounted for separately when all of the guidance criteria are met. Hybrid instruments that are remeasured at fair value through earnings, including the fair value option are not bifurcated. Derivative instruments, including derivative instruments accounted for as liabilities, are recorded at fair value and are re-valued at each reporting date, with changes in the fair value together with interest earned (including accrued amounts) reported in the Gain (loss) on derivatives, net in the Statements of Operations. See "Warrants" below. | |
Repurchase agreements | |
Mortgage-backed securities sold under repurchase agreements are treated as collateralized financing transactions, unless they meet sales treatment. Securities financed through a repurchase agreement remain on the Company's Balance Sheet as an asset and cash received from the lender is recorded in the Company's Balance Sheet as a liability, unless they are accounted for as linked transactions, described below. Interest paid in accordance with repurchase agreements is recorded as interest expense, unless they are accounted for as linked transactions, described below. The Company reflects all proceeds from repurchase agreement borrowings and repayment of repurchase agreement borrowings which are not linked transactions, including transactions pertaining to collateral received with respect to certain swap transactions, on a gross basis on the Statement of Cash Flows. | |
Linked transactions | |
In instances where the Company acquires securities through repurchase agreements with the same counterparty from whom the securities were purchased, the Company evaluates such transactions in accordance with GAAP. This guidance requires the initial transfer of a financial asset and repurchase financing that are entered into contemporaneously with, or in contemplation of, one another to be considered linked unless all of the criteria found in the guidance are met at the inception of the transaction. If the transaction meets all of the conditions, the initial transfer shall be accounted for separately from the repurchase financing, and the Company will record the securities and the related financing on a gross basis on its Balance Sheet with the corresponding interest income and interest expense in the Statements of Operations. If the transaction is determined to be linked, the Company will record the initial transfer and repurchase financing on a net basis and record a forward commitment to purchase securities as a derivative instrument with changes in market value being recorded on the Statement of Operations. Such forward commitments are recorded at fair value with subsequent changes in fair value recognized in Gain (loss) on linked transactions, net on its Statement of Operations. The Company refers to these transactions as Linked Transactions. When or if a transaction is no longer considered to be linked, the real estate security and related repurchase financing will be reported on a gross basis. The unlinking of a transaction causes a realized event in which the fair value of the real estate security as of the date of unlinking will become the cost basis of the real estate security. The difference between the fair value on the unlinking date and the existing cost basis of the security will be the realized gain or loss. Recognition of effective yield for such security will be calculated prospectively using the new cost basis. For linked transactions, the Company reflects purchases and sales of securities within the investing section of the Statement of Cash Flows. Proceeds from repurchase agreements borrowings and repayments of repurchase agreement borrowings are reflected in the financing section of the Statement of Cash Flows. | |
Share-based compensation | |
The Company accounts for share-based compensation to its independent directors, to its employees, to its Manager and to employees of its Manager and its affiliates using the fair value based methodology prescribed by GAAP. Compensation cost related to restricted common stock issued to the Company's independent directors including any such restricted stock which is subject to a deferred compensation program, and employees of the Company is measured at its fair value at the grant date, and amortized into expense over the service period on a straight-line basis. Compensation cost related to restricted common stock issued to the Manager and to employees of the Manager and its affiliates is initially measured at fair value at the grant date, and amortized into expense over the vesting period on a straight-line basis and re-measured on subsequent dates to the extent the awards are unvested. | |
Warrants | |
For the Company's warrants, the Company uses a variation of the adjusted Black-Scholes option valuation model to record the financial instruments at their relative fair values at issuance. The warrants issued with the Company's common stock in the private placement to certain accredited institutional investors on May 15, 2012, were evaluated by the Company and were recorded at their relative fair value as a component of equity at the date of issuance. See "Derivatives and hedging activities" above. | |
Income taxes | |
The Company operates and has elected to be taxed as a REIT commencing with its taxable year ended December 31, 2012. Accordingly, the Company will generally not be subject to corporate U.S. federal or state income tax to the extent that the Company makes qualifying distributions to stockholders, and provided that the Company satisfies, on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, the Company will be subject to U.S. federal, state and local income taxes and may be precluded from qualifying as a REIT for the subsequent four taxable years following the year in which the Company lost its REIT qualification. Accordingly, the failure to qualify as a REIT could have a material adverse impact on the Company's results of operations and amounts available for distribution to stockholders. | |
The dividends paid deduction for qualifying dividends paid to stockholders is computed using the Company's taxable income as opposed to net income reported on the financial statements. Taxable income, generally, will differ from net income reported on the financial statements because the determination of taxable income is based on tax provisions and not GAAP. | |
The Company may create and elect to treat certain subsidiaries as Taxable REIT Subsidiaries ("TRS"). In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business. A TRS is subject to U.S. federal, state and local corporate income taxes, and its value may not exceed 25% of the value of the Company. While a TRS will generate net income, a TRS can declare dividends to the Company, which will be included in the Company's taxable income and necessitate a distribution to its stockholders. Conversely, if the Company retains earnings at the TRS level, no distribution is required and it can increase book equity of the consolidated entity. As of December 31, 2013, the Company did not have a TRS, or any other subsidiary. | |
The Company evaluates uncertain tax positions, if any, and classifies interest and penalties, if any, related to unrecognized tax benefits as a component of the provision for income taxes. | |
Offering costs | |
Offering costs borne by the Company in connection with the IPO and concurrent private placements completed on May 15, 2012 as well as its follow-on public stock offering completed on October 3, 2012 are reflected as a reduction of additional paid-in-capital. | |
Earnings per share | |
GAAP requires use of the two-class method of computing earnings per share for all periods presented for each class of common stock and participating securities as if all earnings for the period had been distributed. Under the two-class method, during periods of net income, the net income is first reduced for dividends declared on all classes of securities to arrive at undistributed earnings. During periods of net losses, the net loss is reduced for dividends declared on participating securities only if the security has the right to participate in the earnings of the entity and an objectively determinable contractual obligation to share in net losses of the entity. The Company's participating securities are not allocated a share of the net loss as the participating securities do not have a contractual obligation to share in the net losses of the Company. | |
The remaining earnings are allocated to common stockholders and participating securities, to the extent that each security shares in earnings, as if all of the earnings for the period had been distributed. Each total is then divided by the applicable number of shares to arrive at basic earnings per share. For the diluted earnings, the denominator includes all outstanding common shares and all potential common shares assumed issued if they are dilutive. The numerator is adjusted for any changes in income or loss that would result from the assumed conversion of these potential common shares. | |
Comprehensive Income (Loss) | |
The Company has none of the components of comprehensive income (loss) and therefore comprehensive income (loss) is not presented. | |
Accounting standards applicable to emerging growth companies | |
The JOBS Act contains provisions that relax certain requirements for "emerging growth companies", which includes the Company. For as long as the Company is an emerging growth company, which may be up to five full fiscal years, unlike other public companies, the Company will not be required to: (i) comply with any new or revised financial accounting standards applicable to public companies until such standards are also applicable to private companies under Section 102(b)(1) of the JOBS Act; (ii) provide an auditor's attestation report on management's assessment of the effectiveness of the Company's system of internal control over financial reporting pursuant to Section 404 of the Sarbanes-Oxley Act; (iii) comply with any new requirements adopted by the PCAOB requiring mandatory audit firm rotation or a supplement to the auditor's report in which the auditor would be required to provide additional information about the audit and the financial statements of the issuer; or (iv) comply with any new audit rules adopted by the PCAOB after April 5, 2012, unless the SEC determines otherwise. | |
As noted above, under the JOBS Act, emerging growth companies can delay adopting new or revised accounting standards that have different effective dates for public and private companies until such time as those standards apply to private companies. The Company intends to take advantage of such extended transition period. Since the Company will not be required to comply with new or revised accounting standards on the relevant dates on which adoption of such standards is required for other public companies, its financial statements may not be comparable to the financial statements of companies that comply with public company effective dates. If the Company were to elect to comply with these public company effective dates, such election would be irrevocable pursuant to Section 107 of the JOBS Act. | |
Recent accounting pronouncements | |
Accounting Standards Adopted in 2013 | |
In December 2011, the FASB issued guidance requiring additional disclosure information about offsetting and related arrangements. Further in December 2012, the FASB proposed an update intended to address implementation of the December 2011 guidance. In January 2013, the FASB issued guidance to limit the scope of the new balance sheet and offsetting disclosure requirements of prior guidance related to certain derivatives (including bifurcated embedded derivatives), repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions. Entities will be required to disclose both gross information and net information about both instruments and transactions eligible for offset in the balance sheet as well as instruments and transactions subject to an agreement similar to a master netting arrangement. This scope would include derivatives, sale and repurchase agreements, reverse sale and repurchase agreements, and securities lending arrangements. The objective of this disclosure is to facilitate comparison between those entities that prepare their financial statements on the basis of GAAP and those entities that prepare their financial statements on the basis of International Financial Reporting Standards. The guidance is effective for periods beginning on or after January 1, 2013 and interim periods within those annual periods. While this guidance did result in certain additional disclosures, it did not have a material impact on the Company's financial statements. | |
Fair_Value_of_Financial_Instru
Fair Value of Financial Instruments | 12 Months Ended | |||||||||||||
Dec. 31, 2013 | ||||||||||||||
Fair Value of Financial Instruments | ' | |||||||||||||
Fair Value of Financial Instruments | ' | |||||||||||||
Note 3—Fair Value of Financial Instruments | ||||||||||||||
Fair Value Accounting Elections | ||||||||||||||
The Company's MBS are designated as available-for-sale and has elected the fair value option for all of its MBS, and as a result, all changes in the fair value of such securities are reflected in the results of operations. | ||||||||||||||
Financial Instruments carried at Fair Value | ||||||||||||||
The following tables present the Company's financial instruments carried at fair value as of December 31, 2013 and December 31, 2012, based upon the valuation hierarchy (dollars in thousands): | ||||||||||||||
December 31, 2013 | ||||||||||||||
Fair Value | ||||||||||||||
Level I | Level II | Level III | Total | |||||||||||
Assets | ||||||||||||||
Agency RMBS | $ | — | $ | 2,360,073 | $ | — | $ | 2,360,073 | ||||||
Agency and Non-Agency Interest-Only Strips accounted for as derivatives, included in MBS | — | 109,235 | — | 109,235 | ||||||||||
Non-Agency RMBS | — | 352,056 | 6,152 | 358,208 | ||||||||||
Agency and Non-Agency CMBS | — | 16,542 | 9,529 | 26,071 | ||||||||||
| | | | | | | | | | | | | | |
Subtotal | — | 2,837,906 | 15,681 | 2,853,587 | ||||||||||
Derivative assets | — | 105,826 | — | 105,826 | ||||||||||
Non-Agency linked transactions | — | 18,559 | — | 18,559 | ||||||||||
| | | | | | | | | | | | | | |
Total | $ | — | $ | 2,962,291 | $ | 15,681 | $ | 2,977,972 | ||||||
| | | | | | | | | | | | | | |
Liabilities | ||||||||||||||
Derivative liabilities | $ | — | $ | 4,673 | $ | — | $ | 4,673 | ||||||
| | | | | | | | | | | | | | |
Total | $ | — | $ | 4,673 | $ | — | $ | 4,673 | ||||||
| | | | | | | | | | | | | | |
December 31, 2012 | ||||||||||||||
Fair value | ||||||||||||||
Level I | Level II | Level III | Total | |||||||||||
Assets | ||||||||||||||
Agency RMBS | $ | — | $ | 5,118,121 | $ | — | $ | 5,118,121 | ||||||
Non-Agency RMBS | 19,073 | 19,073 | ||||||||||||
Agency Interest-Only Strips accounted for as derivatives, included in RMBS | — | 75,387 | — | 75,387 | ||||||||||
| | | | | | | | | | | | | | |
Subtotal | 5,212,581 | 5,212,581 | ||||||||||||
Derivative assets | — | 24,344 | — | 24,344 | ||||||||||
| | | | | | | | | | | | | | |
Total | $ | — | $ | 5,236,925 | $ | — | $ | 5,236,925 | ||||||
| | | | | | | | | | | | | | |
Liabilities | ||||||||||||||
Derivative liabilities | $ | — | $ | 4,771 | $ | — | $ | 4,771 | ||||||
| | | | | | | | | | | | | | |
Total | $ | — | $ | 4,771 | $ | — | $ | 4,771 | ||||||
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
The following table presents additional information about the Company's MBS which is measured at fair value on a recurring basis for which the Company has utilized Level III inputs to determine fair value: | ||||||||||||||
$ in thousands | Year ended | Period from May 15, 2012 | ||||||||||||
December 31, 2013 | (commencement of | |||||||||||||
operations) through | ||||||||||||||
December 31, 2012 | ||||||||||||||
Beginning balance | — | — | ||||||||||||
Transfers into Level III from Level II | 9,529 | — | ||||||||||||
Transfers out Level III into Level II | — | — | ||||||||||||
Purchases | 6,262 | — | ||||||||||||
Sales and settlements | — | — | ||||||||||||
Principal repayments | — | — | ||||||||||||
Total net gains / (losses) included in net income | — | — | ||||||||||||
Realized gains/(losses), net | — | — | ||||||||||||
Other loss on Mortgage-backed securities | (14 | ) | — | |||||||||||
Unrealized gains/(losses), net | (101 | ) | — | |||||||||||
Premium and discount amortization, net | 5 | — | ||||||||||||
| | | | | | | | |||||||
Ending balance | 15,681 | — | ||||||||||||
| | | | | | | | |||||||
| | | | | | | | |||||||
There was one transfer between hierarchy levels during operations for the year ended December 31, 2013. The asset which was transferred from Level II to Level III as of December 31, 2013, consisted of a security for which there were insufficient observable inputs. Valuation for this asset was based on information received from a third party pricing service which utilized significant unobservable inputs. Accordingly, the Company determined that this asset should be classified as Level III asset. | ||||||||||||||
The Company primarily utilizes an independent third party pricing services as the primary source for valuing the Company's assets. All valuations received from independent pricing services are non-binding. The Company generally receives one independent pricing service price for each investment in its portfolio. The Manager has established a process to review and validate the pricing received from the independent pricing service at the end of the reporting period and has a process for challenging prices received from the independent pricing service when necessary. The Company utilizes its Manager's policies in this regard. The Company's and the Manager's review of the independent third party pricing data may consist of a review of the daily change in the prices provided by the independent pricing vendor which exceed established tolerances or comparisons to executed transaction prices. The Manager's pricing group, which functions independently from its portfolio management personnel, corroborates the price differences or changes in price by comparing the vendor price to alternate sources including other independent pricing services or broker quotations. If the price change or difference cannot be corroborated, the Manager's pricing group consults with the portfolio management team for market color in reviewing such pricing data as warranted. To the extent that the Manager has information, typically in the form of broker quotations that would indicate that a price received from the independent pricing service is outside of a tolerance range, the Manager generally challenges the independent pricing service price. To ensure proper fair value hierarchy, the Company and the Manager review the methodology used by the third party pricing service to understand whether observable market data is being utilized in the vendor's pricing methodology. Generally, this review is conducted annually, however ad-hoc reviews of the pricing methodology and the data does occur. In addition, as part of the Company's regular review of pricing, the Manager's pricing group may have informal discussions with the independent pricing vendor regarding their evaluation methodology or the market data utilized in their determination. | ||||||||||||||
Other Fair Value Disclosures | ||||||||||||||
Cash and cash equivalents as well as Due from counterparties and Due to counterparties on the Company's Balance Sheets are reflected at cost which approximates fair value. | ||||||||||||||
The fair value of the repurchase agreements is a Level II fair value measurement, based on an expected present value technique. This method discounts future estimated cash flows using rates the Company determined best estimate current market interest rates that would be offered for loans with similar characteristics and credit quality. The use of different market assumptions or estimation methodologies can have a material effect on the fair value amounts. At December 31, 2013, the Company's borrowings under repurchase agreements had a fair value of approximately $2.6 billion and a carrying value of approximately $2.6 billion. | ||||||||||||||
MortgageBacked_Securities
Mortgage-Backed Securities | 12 Months Ended | ||||||||||||||||||||||||||||
Dec. 31, 2013 | |||||||||||||||||||||||||||||
Mortgage-Backed Securities | ' | ||||||||||||||||||||||||||||
Mortgage-Backed Securities | ' | ||||||||||||||||||||||||||||
Note 4—Mortgage-Backed Securities | |||||||||||||||||||||||||||||
The following table presents certain information about the Company's investment portfolio at December 31, 2013 and December 31, 2012 (dollars in thousands). Real estate securities that are accounted for as a component of linked transactions are not reflected in the tables set forth in this note. See Note 7 for further details. | |||||||||||||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||||||
Principal | Unamortized | Discount | Amortized | Unrealized | Estimated | Net | |||||||||||||||||||||||
Balance | Premium | Designated as | Cost | Gain | Fair Value | Weighted | |||||||||||||||||||||||
(Discount), | Credit | (Loss), net | Average | ||||||||||||||||||||||||||
net | Reserve and | Coupon(1) | |||||||||||||||||||||||||||
OTTI | |||||||||||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||||||||||
20-Year Mortgage | $ | 504,023 | $ | 28,498 | $ | — | $ | 532,521 | $ | (29,595 | ) | $ | 502,926 | 3.2 | % | ||||||||||||||
30-Year Mortgage | 1,677,863 | 144,356 | — | 1,822,219 | (127,981 | ) | 1,694,238 | 3.8 | % | ||||||||||||||||||||
Agency RMBS Interest-Only Strips | N/A | N/A | N/A | 158,825 | 4,084 | 162,909 | 4.4 | -2% | |||||||||||||||||||||
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives(3) | N/A | N/A | N/A | N/A | N/A | 109,235 | 4.6 | -2% | |||||||||||||||||||||
Non-Agency RMBS | 469,983 | (47,224 | ) | (79,898 | ) | 342,861 | 7,857 | 350,718 | 2.5 | % | |||||||||||||||||||
Non-Agency RMBS Interest-Only Strips | N/A | N/A | N/A | 7,420 | 70 | 7,490 | 5.2 | % | |||||||||||||||||||||
Agency and Non-Agency CMBS | 11,979 | (3,446 | ) | — | 8,533 | 996 | 9,529 | 1.6 | % | ||||||||||||||||||||
CMBS Interest-Only Strips | N/A | N/A | N/A | 16,682 | (140 | ) | 16,542 | 4.7 | -2% | ||||||||||||||||||||
| | | | | | | | | | | | | | | | | | | | | | | |||||||
Total | $ | 2,663,848 | $ | 122,184 | $ | (79,898 | ) | $ | 2,889,061 | $ | (144,709 | ) | $ | 2,853,587 | 3.6 | % | |||||||||||||
| | | | | | | | | | | | | | | | | | | | | | | |||||||
| | | | | | | | | | | | | | | | | | | | | | | |||||||
December 31, 2012 | |||||||||||||||||||||||||||||
Principal | Unamortized | Discount | Amortized | Unrealized | Estimated | Net | |||||||||||||||||||||||
Balance | Premium | Designated as | Cost | Gain | Fair Value | Weighted | |||||||||||||||||||||||
(Discount), | Credit | (Loss), net | Average | ||||||||||||||||||||||||||
net | Reserve and | Coupon(1) | |||||||||||||||||||||||||||
OTTI | |||||||||||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||||||||||
20-Year Mortgage | $ | 299,251 | $ | 20,460 | $ | $ | 319,711 | $ | (827 | ) | $ | 318,884 | 3.2 | % | |||||||||||||||
30-Year Mortgage | 4,180,104 | 352,378 | 4,532,482 | 17,489 | 4,549,971 | 3.7 | % | ||||||||||||||||||||||
CMO—Fixed-rate | 66,000 | 9,776 | 75,776 | (1,546 | ) | 74,230 | 6.5 | % | |||||||||||||||||||||
Agency Interest Only—Strips | N/A | N/A | 176,093 | (1,057 | ) | 175,036 | 4.5 | -2% | |||||||||||||||||||||
Agency Interest-Only Strips, accounted for as derivatives(3) | N/A | N/A | N/A | N/A | 75,387 | 4.9 | -2% | ||||||||||||||||||||||
Non-Agency RMBS | 37,372 | (5,511 | ) | (12,659 | ) | 19,202 | (129 | ) | 19,073 | 0.5 | % | ||||||||||||||||||
| | | | | | | | | | | | | | | | | | | | | | | |||||||
Total | $ | 4,582,727 | $ | 377,103 | $ | (12,659 | ) | $ | 5,123,264 | $ | 13,930 | $ | 5,212,581 | 3.9 | % | ||||||||||||||
| | | | | | | | | | | | | | | | | | | | | | | |||||||
| | | | | | | | | | | | | | | | | | | | | | | |||||||
-1 | |||||||||||||||||||||||||||||
Net weighted average coupon as of December 31, 2013 and December 31, 2012 is presented, net of servicing and other fees. | |||||||||||||||||||||||||||||
-2 | |||||||||||||||||||||||||||||
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives and CMBS Interest-Only Strips have no principal balances and earn contractual interest based on a notional balance. The notional balance is used solely to determine interest distributions on interest-only class of securities. | |||||||||||||||||||||||||||||
-3 | |||||||||||||||||||||||||||||
Interest on these securities is reported as a component of Gain (loss) on derivative instruments, net on the Statement of Operations. | |||||||||||||||||||||||||||||
As of December 31, 2013 the weighted average expected remaining term to the expected maturity of the investment portfolio, excluding linked transactions is 8.5 years. | |||||||||||||||||||||||||||||
The components of the carrying value of the Company's investment portfolio are as follows: | |||||||||||||||||||||||||||||
December 31, | December 31, | ||||||||||||||||||||||||||||
2013 | 2012 | ||||||||||||||||||||||||||||
Principal balance | $ | 2,663,848 | $ | 4,582,727 | |||||||||||||||||||||||||
Amortized cost of Interest-Only Strips | 182,927 | 176,093 | |||||||||||||||||||||||||||
Carrying value of Agency and Non-Agency Interest-Only Strips accounted for as derivatives | 109,235 | 75,387 | |||||||||||||||||||||||||||
Unamortized premium | 183,324 | 382,614 | |||||||||||||||||||||||||||
Unamortized discount | (61,140 | ) | (5,511 | ) | |||||||||||||||||||||||||
Discount designated as Credit Reserve and OTTI | (79,898 | ) | (12,659 | ) | |||||||||||||||||||||||||
Gross unrealized gains | 19,798 | 25,395 | |||||||||||||||||||||||||||
Gross unrealized losses | (164,507 | ) | (11,465 | ) | |||||||||||||||||||||||||
| | | | | | | | ||||||||||||||||||||||
Fair value | $ | 2,853,587 | $ | 5,212,581 | |||||||||||||||||||||||||
| | | | | | | | ||||||||||||||||||||||
| | | | | | | | ||||||||||||||||||||||
The following tables present the changes in the components of the Company's purchase discount and amortizable premium on its Non-Agency RMBS for the year ended December 31, 2013 and for the period from May 15, 2012 (commencement of operations) through December 31, 2012 (dollars in thousands): | |||||||||||||||||||||||||||||
Year ended December 31, 2013 | |||||||||||||||||||||||||||||
Discount Designated as | Accretable | Amortizable | |||||||||||||||||||||||||||
Credit Reserve and | Discount(1) | Premium | |||||||||||||||||||||||||||
OTTI | |||||||||||||||||||||||||||||
Balance at beginning of period | $ | (12,659 | ) | $ | (5,523 | ) | $ | 12 | |||||||||||||||||||||
Accretion of discount | — | 10,722 | — | ||||||||||||||||||||||||||
Amortization of premium | — | — | (2,001 | ) | |||||||||||||||||||||||||
Realized credit losses | 541 | — | — | ||||||||||||||||||||||||||
Purchases | (133,242 | ) | (89,697 | ) | 35,416 | ||||||||||||||||||||||||
Sales | 81,144 | 34,894 | (20,709 | ) | |||||||||||||||||||||||||
Net impairment losses recognized in earnings | (550 | ) | — | — | |||||||||||||||||||||||||
Unlinking of Linked Transactions | (21,986 | ) | (6,922 | ) | 3,438 | ||||||||||||||||||||||||
Transfers/release of credit reserve | 6,854 | (11,323 | ) | 4,469 | |||||||||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
Balance of end of period | $ | (79,898 | ) | $ | (67,849 | ) | $ | 20,625 | |||||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
-1 | |||||||||||||||||||||||||||||
Together with coupon interest, accretable purchase discount and amortizable premium is recognized as interest income over the life of the security. | |||||||||||||||||||||||||||||
For the period from May 15, 2012 | |||||||||||||||||||||||||||||
(commencement of operations) through | |||||||||||||||||||||||||||||
December 31, 2012 | |||||||||||||||||||||||||||||
Discount Designated as | Accretable | Amortizable | |||||||||||||||||||||||||||
Credit Reserve and | Discount(1) | Premium | |||||||||||||||||||||||||||
OTTI | |||||||||||||||||||||||||||||
Balance at beginning of period | $ | — | $ | — | $ | — | |||||||||||||||||||||||
Accretion of discount | — | 123 | — | ||||||||||||||||||||||||||
Amortization of premium | — | — | — | ||||||||||||||||||||||||||
Realized credit losses | — | — | — | ||||||||||||||||||||||||||
Purchases | (12,659 | ) | (5,634 | ) | — | ||||||||||||||||||||||||
Sales | — | — | — | ||||||||||||||||||||||||||
Net impairment losses recognized in earnings | — | — | — | ||||||||||||||||||||||||||
Unlinking of Linked Transactions | — | — | — | ||||||||||||||||||||||||||
Transfers/release of credit reserve | — | (12 | ) | 12 | |||||||||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
Balance of end of period | $ | (12,659 | ) | $ | (5,523 | ) | $ | 12 | |||||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
-1 | |||||||||||||||||||||||||||||
Together with coupon interest, accretable purchase discount and amortizable premium is recognized as interest income over the life of the security. | |||||||||||||||||||||||||||||
The following tables present the gross unrealized losses and estimated fair value of the Company's MBS by length of time that such securities have been in a continuous unrealized loss position at December 31, 2013: | |||||||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||||||||
Fair Value | Unrealized | Number of | Fair Value | Unrealized | Number of | Fair Value | Unrealized | Number of | |||||||||||||||||||||
Losses | Securities | Losses | Securities | Losses | Securities | ||||||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||||||||||
20-Year Mortgage | $ | 395,979 | $ | (21,466 | ) | 52 | $ | 106,947 | $ | (8,129 | ) | 8 | $ | 502,926 | $ | (29,595 | ) | 60 | |||||||||||
30-Year Mortgage | 1,242,871 | (94,688 | ) | 151 | 439,811 | (33,328 | ) | 26 | 1,682,682 | (128,016 | ) | 177 | |||||||||||||||||
Agency Interest-Only Strips | 69,773 | (4,210 | ) | 19 | — | — | — | 69,773 | (4,210 | ) | 19 | ||||||||||||||||||
Non-Agency RMBS | 104,706 | (2,546 | ) | 18 | — | — | — | 104,706 | (2,546 | ) | 18 | ||||||||||||||||||
Agency and Non-Agency CMBS | 16,542 | (140 | ) | 3 | — | — | — | 16,542 | (140 | ) | 3 | ||||||||||||||||||
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | $ | 1,829,871 | $ | (123,050 | ) | 243 | $ | 546,758 | $ | (41,457 | ) | 34 | $ | 2,376,629 | $ | (164,507 | ) | 277 | |||||||||||
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At December 31, 2013, the Company did not intend to sell any of its MBS that were in an unrealized loss position, and it is "more likely than not" that the Company will not be required to sell these MBS before recovery of their amortized cost basis, which may be at their maturity. | |||||||||||||||||||||||||||||
The Company assesses its Agency MBS and Non-Agency MBS, excluding Interest-Only Strips, rated AA and higher at the time of purchase for other-than-temporary impairment on at least a quarterly basis. When the fair value of an investment is less than its amortized cost at the balance sheet date of the reporting period for which impairment is assessed, the impairment is designated as either "temporary" or "other-than-temporary." In deciding on whether or not a security is other-than-temporarily impaired, the Company considers several factors, including the nature of the investment, communications (if any) from the trustees of securitizations regarding the credit quality of the security, the severity and duration of the impairment, the cause of the impairment, and the Company's intent not to sell the security and that it is more likely than not that the Company will not be required to sell the security until recovery of its amortized cost. In addition, an other-than-temporary impairment is deemed to have occurred when there is an adverse change in the expected cash flows (principal or interest) to be received and the fair value of the security is less than its carrying amount. In determining whether an adverse change in cash flows occurred, the present value of the remaining cash flows, as estimated at the initial transaction date (or the last date previously revised), is compared to the present value of the expected cash flows at the current reporting date. The estimated cash flows reflect those a "market participant" would use and are discounted at a rate equal to the current yield used to accrete interest income. These adjustments are reflected in the Company's Statement of Operations as Other loss on Mortgage-backed securities. | |||||||||||||||||||||||||||||
For Non-Agency MBS that rated below AA at the time of purchase and Agency and Non-Agency Interest-Only Strips, excluding Interest-Only Strips classified as derivatives, an other-than-temporary impairment is deemed to have occurred when there is an adverse change in the expected cash flows (principal or interest) to be received and the fair value of the beneficial interest is less than its carrying amount. Other than for "plain-vanilla" variable rate Non-Agency MBS the Company does not bifurcate the loss between credit loss and loss attributed to change in interest rates, therefore, the entire loss is recorded as other-than-temporary. These adjustments are reflected in the Company's Statement of Operations as Other loss on Mortgage-backed securities. In determining whether an adverse change in cash flows occurred, the present value of the remaining cash flows, as estimated at the initial transaction date (or the last date previously revised), is compared to the present value of the expected cash flows at the current reporting date. The estimated cash flows reflect those a "market participant" would use and are discounted at a rate equal to the current yield used to accrete interest income. If an other-than-temporary impairment is recognized as a result of this analysis, the yield is maintained at the current accretion rate. The last revised estimated cash flows are then used for future impairment analysis purposes. The Company's prepayment speed estimate is the primary assumption used to determine other-than temporary-impairments for Interest-Only Strips, excluding Agency and Non-Agency Interest-Only Strips accounted for as derivatives, for the year ended December 31, 2013 and for the period from May 15, 2012 (commencement of operations) through December 31, 2012. | |||||||||||||||||||||||||||||
The Company recorded other-than-temporary-impairments for the year ended December 31, 2013 of approximately $11.3 million and approximately $3.2 million for the period from May 15, 2012 (commencement of operations) through December 31, 2012, respectively, for Agency IOs, Agency IIOs and 20-year Agency RMBS. The Company recorded approximately $550 thousand of other-than-temporary impairments for the year ended December 31, 2013 and $0 for the period from May 15, 2012 (commencement of operations) through December 31, 2012, respectively for Non-Agency MBS. The Company recorded approximately $8 thousand of other-than-temporary-impairments for the year ended December 31, 2013 and $0 for the period from May 15, 2012 (commencement of operations) through December 31, 2012, respectively for CMBS Interest-Only Strips. Other-than-temporary-impairments are reported as Other loss on Mortgage-backed securities in the Company's Statement of Operations. | |||||||||||||||||||||||||||||
The following tables present components of interest income on the Company's MBS (dollars in thousands). | |||||||||||||||||||||||||||||
For the year ended December 31, 2013 | |||||||||||||||||||||||||||||
Coupon | Net (Premium | Interest | |||||||||||||||||||||||||||
Interest | Amortization/ | Income | |||||||||||||||||||||||||||
Amortization | |||||||||||||||||||||||||||||
Basis) Discount | |||||||||||||||||||||||||||||
Amortization | |||||||||||||||||||||||||||||
Agency RMBS | $ | 172,171 | $ | (60,320 | ) | $ | 111,851 | ||||||||||||||||||||||
Non-Agency RMBS | 4,757 | 8,282 | 13,039 | ||||||||||||||||||||||||||
Agency and Non-Agency CMBS | 544 | (106 | ) | 438 | |||||||||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
Total | $ | 177,472 | $ | (52,144 | ) | $ | 125,328 | ||||||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
For the period from May 15, 2012 | |||||||||||||||||||||||||||||
(commencement of | |||||||||||||||||||||||||||||
operations) through December 31, 2012 | |||||||||||||||||||||||||||||
Coupon | Net (Premium | Interest | |||||||||||||||||||||||||||
Interest | Amortization/ | Income | |||||||||||||||||||||||||||
Amortization | |||||||||||||||||||||||||||||
Basis) Discount | |||||||||||||||||||||||||||||
Amortization | |||||||||||||||||||||||||||||
Agency RMBS | $ | 80,093 | $ | (26,908 | ) | $ | 53,185 | ||||||||||||||||||||||
Non-Agency RMBS | 10 | 123 | 133 | ||||||||||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
Total | $ | 80,103 | $ | (26,785 | ) | $ | 53,318 | ||||||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
The following tables present the sales of the Company's MBS (dollars in thousands). | |||||||||||||||||||||||||||||
For the year ended December 31, 2013 | |||||||||||||||||||||||||||||
Proceeds | Gross | Gross | Net Gain | ||||||||||||||||||||||||||
Gains | Losses | (Loss) | |||||||||||||||||||||||||||
Agency RMBS(1) | $ | 3,491,805 | $ | 8,646 | $ | (127,252 | ) | $ | (118,606 | ) | |||||||||||||||||||
Non-Agency RMBS | 128,683 | 7,146 | (376 | ) | 6,770 | ||||||||||||||||||||||||
| | | | | | | | | | | | | | ||||||||||||||||
Total | $ | 3,620,488 | $ | 15,792 | $ | (127,628 | ) | $ | (111,836 | ) | |||||||||||||||||||
| | | | | | | | | | | | | | ||||||||||||||||
-1 | |||||||||||||||||||||||||||||
Includes proceeds for Agency Interest-Only Strips, accounted for as derivatives, of approximately $20.4 million and gross realized losses of $1.1 million. | |||||||||||||||||||||||||||||
For the period from May 15, 2012 | |||||||||||||||||||||||||||||
(commencement of | |||||||||||||||||||||||||||||
operations) through December 31, 2012 | |||||||||||||||||||||||||||||
Proceeds | Gross | Gross | Net Gain | ||||||||||||||||||||||||||
Gains | Losses | (Loss) | |||||||||||||||||||||||||||
Agency RMBS(1) | $ | 2,389,472 | $ | 23,169 | $ | (3,434 | ) | $ | 19,735 | ||||||||||||||||||||
Other Securities | 100,854 | 199 | — | 199 | |||||||||||||||||||||||||
| | | | | | | | | | | | | | ||||||||||||||||
Total | $ | 2,490,326 | $ | 23,368 | $ | (3,434 | ) | $ | 19,934 | ||||||||||||||||||||
| | | | | | | | | | | | | | ||||||||||||||||
-1 | |||||||||||||||||||||||||||||
Includes proceeds for Agency Interest-Only Strips, accounted for as derivatives, of approximately $18.5 million and gross realized losses of $820 thousand. | |||||||||||||||||||||||||||||
Borrowings_under_Repurchase_Ag
Borrowings under Repurchase Agreements | 12 Months Ended | ||||||||||
Dec. 31, 2013 | |||||||||||
Borrowings under Repurchase Agreements | ' | ||||||||||
Borrowings under Repurchase Agreements | ' | ||||||||||
Note 5—Borrowings under Repurchase Agreements | |||||||||||
As of December 31, 2013, the Company had master repurchase agreements with 20 counterparties. As of December 31, 2013, the Company had borrowings under repurchase agreements with 16 counterparties. The following tables summarize certain characteristics of the Company's repurchase agreements at December 31, 2013 and December 31, 2012 (dollars in thousands): | |||||||||||
December 31, 2013 | |||||||||||
Securities Pledged | Repurchase | Weighted Average | Weighted Average | ||||||||
Agreement | Interest Rate on | Remaining Maturity | |||||||||
Borrowings | Borrowings | (days) | |||||||||
Outstanding at end | |||||||||||
of period | |||||||||||
Agency RMBS | $ | 2,331,276 | 0.43 | % | 24 | ||||||
Non-Agency RMBS | 230,247 | 1.71 | % | 18 | |||||||
Agency and Non-Agency CMBS | 17,544 | 1.33 | % | 58 | |||||||
| | | | | | | | | | | |
Total | $ | 2,579,067 | 0.55 | % | 24 | ||||||
| | | | | | | | | | | |
| | | | | | | | | | | |
December 31, 2012 | |||||||||||
Securities Pledged | Repurchase | Weighted Average | Weighted Average | ||||||||
Agreement | Interest Rate on | Remaining Maturity | |||||||||
Borrowings | Borrowings | (days) | |||||||||
Outstanding at end | |||||||||||
of period | |||||||||||
Agency RMBS | $ | 4,794,730 | 0.48 | % | 19 | ||||||
| | | | | | | | | | | |
Total | $ | 4,794,730 | 0.48 | % | 19 | ||||||
| | | | | | | | | | | |
| | | | | | | | | | | |
For the year ended December 31, 2013, the Company had average borrowings under its repurchase agreements of approximately $3.8 billion, had a maximum month-end balance during the period of approximately $4.8 billion. The Company had accrued interest payable at December 31, 2013 of approximately $1.7 million. For the period from May 15, 2012 (commencement of operations) through December 31, 2012, the Company had average borrowings under its repurchase agreements of approximately $2.9 billion, had a maximum month-end balance during the period of approximately $4.9 billion and accrued interest payable of approximately $3.5 million. | |||||||||||
The repurchase agreements bear interest at a contractually agreed-upon rate and typically have terms ranging from one month to three months. The Company's repurchase agreement borrowings are accounted for as secured borrowings when the Company maintains effective control of the financed assets. Under the repurchase agreements, the respective lender retains the right to determine the fair value of the underlying collateral. A reduction in the value of pledged assets requires the Company to post additional securities as collateral, pay down borrowings or establish cash margin accounts with the counterparties in order to re-establish the agreed-upon collateral requirements, referred to as margin calls. The inability of the Company to post adequate collateral for a margin call by the counterparty, in a timeframe as short as the close of the same business day, could result in a condition of default under the Company's repurchase agreements, thereby enabling the counterparty to liquidate the collateral pledged by the Company, which may have a material adverse effect on the Company's financial position, results of operations and cash flows. During 2013, the volatility in both the Agency and Non-Agency MBS markets necessitated the Company being required to post additional collateral with respect to its repurchase agreements. The Company was able to satisfy the requirement for incremental collateral by utilizing unpledged assets and cash on hand. In addition, during the second and third quarters of 2013, the Company also rehypothecated pledged U.S. Treasury securities it received from its interest rate swap counterparties as incremental collateral in order to generate additional cash proceeds in order to satisfy such margin requirements. The maximum amount of repurchase borrowings for the rehypothecated securities was $130.7 million during the year ended December 31, 2013. At December 31, 2013, the Company did not have any rehypothecated U.S. Treasury securities. | |||||||||||
Continued volatility in these markets may create additional stress on the overall liquidity of the Company due to the long-term nature of its assets and the short-term nature of its liabilities. In an instance of severe volatility, or where the additional stress on liquidity resulting from volatility is sustained over an extended period of time, the Company could be required to sell securities, possibly even at a loss, to generate sufficient liquidity to satisfy collateral and margin requirements which could have a material adverse effect on the Company's financial position, results of operations and cash flows. All of the Company's repurchase agreement counterparties are either U.S. financial institutions or the U.S. broker-dealer subsidiaries of foreign financial institutions. | |||||||||||
Further, if the Company is unable to renew, replace or expand repurchase financing with other sources of financing on substantially similar terms it may have a material adverse effect on the Company's financial position, results of operations and cash flow, due to the long term nature of the Company's investments and relatively short-term maturities of the Company's repurchase agreements. The financial covenants of certain of the repurchase agreements require the Company to maintain certain equity and leverage metrics, the most restrictive of which include a limit on leverage based on the composition of the Company's portfolio. | |||||||||||
In reviewing its various master repurchase agreements, the Company determined that at June 30, 2013, the ratio of its Agency MBS to Total Assets was approximately 89.6%, which, if unrounded, was below a 90% threshold for such ratio as determined by the Company's then current leverage ratio contained in two of the Company's master repurchase agreements (only one of which had transactions then outstanding). If such ratio is determined to be below the required threshold, the counterparties to the master repurchase agreements may elect to seek to terminate existing repurchase transactions under the master repurchase agreements. In addition to previously providing such counterparties with its financial documents, the Company, in March 2014 provided each counterparty with specific notice with regard to the June 30, 2013 calculation. To date, both counterparties have continued to fund and enter into new repo transactions with the Company and at both September 30, 2013 and December 31, 2013 the Company exceeded any applicable asset ratios. Neither of the counterparties has indicated any intention to seek to terminate any existing repurchase agreements. Further, as previously stated, repo financing does not represent a committed facility and, accordingly, any repo counterparty can elect to cease providing the Company financing at any time for any reason. Thus any early termination would have only a short term impact on the Company's legal rights. While the Company does not expect any of the aforementioned counterparties to do so, based on its analysis, the Company believes it has sufficient liquidity and alternative financing sources, primarily other repo financing providers, to finance its portfolio and continue to operate its business in the normal course and for the foreseeable future regardless if either or both such counterparties elect to terminate their financing relationships with the Company. At December 31, 2013, the Company is in compliance with these covenants. | |||||||||||
At December 31, 2013, repurchase agreements collateralized by MBS had the following remaining maturities. | |||||||||||
(dollars in thousands) | Balance | ||||||||||
Overnight | $ | 323,025 | |||||||||
1 to 29 days | 1,393,356 | ||||||||||
30 to 59 days | 799,391 | ||||||||||
60 to 89 days | 63,295 | ||||||||||
90 to 119 days | — | ||||||||||
Greater than or equal to 120 days | — | ||||||||||
| | | | | |||||||
Total | $ | 2,579,067 | |||||||||
| | | | | |||||||
| | | | | |||||||
As discussed in Note 2, for any transactions determined to be linked, the initial transfer and repurchase financing will be recorded as a forward commitment to purchase assets. At December 31, 2013, the Company had repurchase agreements of approximately $61.2 million that were accounted for as linked transactions. At December 31, 2012, the Company had no transactions determined to be linked. Linked repurchase agreements are not included in the tables above. See Note 7 for details. | |||||||||||
At December 31, 2013, the following table reflects amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty, including linked transactions. | |||||||||||
December 31, 2013 (dollars in thousands) | |||||||||||
Counterparty | Amount Collateral | Weighted Average | Percentage of | ||||||||
at Risk, at fair | Remaining | Stockholders' | |||||||||
value | Maturity (days) | Equity | |||||||||
Credit Suisse Securities (USA) LLC | $ | 58,442 | 25 | 14.3 | % | ||||||
Barclays Capital Inc. | 54,029 | 14 | 13.2 | ||||||||
JP Morgan Securities LLC | 47,112 | 1 | 11.5 |
Collateral_Positions
Collateral Positions | 12 Months Ended | ||||||||||
Dec. 31, 2013 | |||||||||||
Collateral Positions | ' | ||||||||||
Collateral Positions | ' | ||||||||||
Note 6—Collateral Positions | |||||||||||
The following tables summarize the Company's collateral positions, with respect to its borrowings under repurchase agreements, derivatives and clearing margin account at December 31, 2013 and December 31, 2012 (dollars in thousands): | |||||||||||
December 31, 2013 | |||||||||||
Assets | Accrued | Fair Value of | |||||||||
Pledged—Fair | Interest | Assets Pledged | |||||||||
Value | and Accrued | ||||||||||
Interest | |||||||||||
Assets pledged for borrowings under repurchase agreements: | |||||||||||
Agency RMBS | $ | 2,463,347 | $ | 10,453 | $ | 2,473,800 | |||||
Non-Agency RMBS | 332,003 | 443 | 332,446 | ||||||||
Agency and Non-Agency CMBS | 23,597 | 159 | 23,756 | ||||||||
Cash(1) | 32,597 | — | 32,597 | ||||||||
Cash collateral for derivatives(1): | 22,837 | — | 22,837 | ||||||||
| | | | | | | | | | | |
Total | $ | 2,874,381 | $ | 11,055 | $ | 2,885,436 | |||||
| | | | | | | | | | | |
| | | | | | | | | | | |
December 31, 2012 | |||||||||||
Assets | Accrued | Fair Value of | |||||||||
Pledged—Fair | Interest, as | Assets Pledged | |||||||||
Value | Revised(2) | and Accrued | |||||||||
Interest | |||||||||||
Assets pledged for borrowings under repurchase agreements: | |||||||||||
Agency RMBS | $ | 5,043,824 | $ | 15,552 | $ | 5,059,376 | |||||
Cash(1) | 35,982 | — | 35,982 | ||||||||
Cash collateral for derivatives(1): | 18,160 | — | 18,160 | ||||||||
| | | | | | | | | | | |
Total | $ | 5,097,966 | $ | 15,552 | $ | 5,113,518 | |||||
| | | | | | | | | | | |
| | | | | | | | | | | |
-1 | |||||||||||
Cash posted as collateral is included in Due from counterparties on the Company's Balance Sheets. | |||||||||||
-2 | |||||||||||
The accrued interest related to Agency RMBS was incorrectly disclosed as $67,551 in the Company's 2012 10-K, and has been revised above. | |||||||||||
A reduction in the value of pledged assets typically results in the repurchase agreement counterparties, derivative counterparties and clearing margin counterparties initiating a daily margin call. At December 31, 2013 and December 31, 2012, MBS held by counterparties as security for repurchase agreements totaled approximately $2.8 billion and approximately $5.0 billion, respectively. Cash collateral held by counterparties at December 31, 2013 and December 31, 2012 was approximately $55.4 million and $54.1 million, respectively. Cash posted by counterparties at December 31, 2013 and December 31, 2012, was approximately $65.9 million and $0, respectively. In addition, at December 31, 2013 and December 31, 2012, the Company held securities of approximately $0 and $2.6 million, respectively, received as collateral from its repurchase agreement counterparties to satisfy margin requirements. | |||||||||||
Derivative_Instruments
Derivative Instruments | 12 Months Ended | ||||||||||||||||||||
Dec. 31, 2013 | |||||||||||||||||||||
Derivative Instruments | ' | ||||||||||||||||||||
Derivative Instruments | ' | ||||||||||||||||||||
Note 7—Derivative Instruments | |||||||||||||||||||||
The Company's derivatives currently include interest rate swaps ("interest rate swaps"), interest rate swaptions, TBAs, linked transactions, Agency and Non-Agency Interest-Only Strips that are classified as derivatives, and options. | |||||||||||||||||||||
Interest rate swaps and interest rate swaptions | |||||||||||||||||||||
The Company is exposed to certain risks arising from both its business operations and economic conditions. Specifically, the Company's primary source of debt funding is repurchase agreements and the Company enters into derivative financial instruments to manage exposure to variable cash flows on portions of its borrowings under those repurchase agreements. Since the interest rates on repurchase agreements typically change with market interest rates such as LIBOR, the Company is exposed to constantly changing interest rates, which accordingly affects cash flows associated with these rates on its borrowings. To mitigate the effect of changes in these interest rates, the Company enters into interest rate swap agreements which help to mitigate the volatility in the interest rate exposures and their related cash flows. Interest rate swaps generally involve the receipt of variable-rate amounts from a counterparty in exchange for the Company making fixed-rate payments over the life of the interest rate swap without exchange of the underlying notional amount. Notwithstanding the foregoing, in order to manage its hedge position with regard to its liabilities, the Company on occasion will enter into interest rate swaps which involve the receipt of fixed-rate amounts from a counterparty in exchange for the Company making variable-rate payments over the life of the interest rate swap without exchange of the underlying notional amount. | |||||||||||||||||||||
While the Company has not elected to account for its interest rate swap derivative instruments as "hedges" under GAAP, it does not use interest rate swaps and swaptions for speculative purposes, but rather uses such instruments to manage interest rate risk and views them as economic hedges. Changes in the fair value of derivatives not designated in hedging relationships are recorded directly in earnings together with or including periodic net interest settlement amounts. | |||||||||||||||||||||
During the year ended December 31, 2013, the Company de-levered its balance sheet in order to take advantage of attractive valuations in the Non-Agency RMBS and CMBS. In addition to selling Agency MBS pass through securities, the Company reduced its borrowings under repurchase agreements and adjusted its interest rate swap holdings by terminating approximately $2.8 billion notional amount. This resulted in a net realized gain on derivative instruments of approximately $65.3 million. . In addition, during the year, the Company entered into swaptions which resulted in a net realized gain on derivative instruments of approximately $ 26.7 million. The Company's interest rate swaps, interest rate swaptions, TBA derivative instruments and linked transactions consisted of the following at December 31, 2013 and December 31, 2012 (dollars in thousands): | |||||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||
Derivative Instrument | Designation | Balance Sheet Location | Notional | Fair Value, | Accrued | ||||||||||||||||
Amount | excluding | Interest | |||||||||||||||||||
accrued | Payable | ||||||||||||||||||||
interest | |||||||||||||||||||||
Interest rate swaps, assets | Non-Hedge | Derivative assets, at fair value | $ | 2,135,950 | $ | 94,614 | $ | 9,994 | |||||||||||||
Interest rate swaptions, assets | Non-Hedge | Derivative assets, at fair value | 2,200,000 | 11,177 | — | ||||||||||||||||
TBA securities, assets | Non-Hedge | Derivative assets, at fair value | 13,600 | 35 | — | ||||||||||||||||
| | | | | | | | | | | | | | | |||||||
Total derivative instruments, assets | 4,349,550 | 105,826 | 9,994 | ||||||||||||||||||
| | | | | | | | | | | | | | | |||||||
Interest rate swaps, liability | Non-Hedge | Derivative liability, at fair value | 678,900 | (3,202 | ) | (26 | ) | ||||||||||||||
Interest rate swaptions, liability | Non-Hedge | Derivative liability, at fair value | 100,000 | (264 | ) | — | |||||||||||||||
TBA securities, liabilities | Non-Hedge | Derivative liability, at fair value | 176,400 | (1,207 | ) | — | |||||||||||||||
| | | | | | | | | | | | | | | |||||||
Total derivative instruments, liabilities | 955,300 | (4,673 | ) | (26 | ) | ||||||||||||||||
| | | | | | | | | | | | | | | |||||||
Linked transactions(1) | Non-Hedge | Linked transactions, net, at fair value | 56,028 | 18,559 | (207 | ) | |||||||||||||||
| | | | | | | | | | | | | | | |||||||
Total derivative instruments | $ | 5,360,878 | $ | 119,712 | $ | 9,761 | |||||||||||||||
| | | | | | | | | | | | | | | |||||||
-1 | |||||||||||||||||||||
Notional amount represents the current face of the securities comprising the linked transactions. | |||||||||||||||||||||
December 31, 2012 | |||||||||||||||||||||
Derivative Instrument | Designation | Balance Sheet Location | Notional | Fair Value, | Accrued | ||||||||||||||||
Amount | excluding | Interest | |||||||||||||||||||
accrued | Payable | ||||||||||||||||||||
interest | |||||||||||||||||||||
Interest rate swaps, assets | Non-Hedge | Derivative assets, at fair value | $ | 1,827,300 | $ | 11,201 | $ | 2,519 | |||||||||||||
Interest rate swaptions, assets | Non-Hedge | Derivative assets, at fair value | 520,000 | 10,087 | — | ||||||||||||||||
TBA securities, assets | Non-Hedge | Derivative assets, at fair value | 425,000 | 3,056 | — | ||||||||||||||||
| | | | | | | | | | | | | | | |||||||
Total derivative instruments, assets | 2,772,300 | 24,344 | 2,519 | ||||||||||||||||||
| | | | | | | | | | | | | | | |||||||
Interest rate swaps, liabilities | Non-Hedge | Derivative liability, at fair value | 984,500 | (3,552 | ) | 588 | |||||||||||||||
TBA securities, liabilities | Non-Hedge | Derivative liability, at fair value | 425,000 | (1,219 | ) | — | |||||||||||||||
| | | | | | | | | | | | | | | |||||||
Total derivative instruments, liabilities | 1,409,500 | (4,771 | ) | 588 | |||||||||||||||||
| | | | | | | | | | | | | | | |||||||
Total derivative instruments | $ | 4,181,800 | $ | 19,573 | $ | 3,107 | |||||||||||||||
| | | | | | | | | | | | | | | |||||||
| | | | | | | | | | | | | | | |||||||
The following tables summarize the average fixed pay rate and average maturity for the Company's interest rate swaps as of December 31, 2013 and December 31, 2012 (excludes interest rate swaptions) (dollars in thousands): | |||||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||
Remaining Interest Rate interest rate swap Term | Notional | Average Fixed | Average | Forward | |||||||||||||||||
Amount | Pay Rate | Maturity | Starting | ||||||||||||||||||
(Years) | |||||||||||||||||||||
1 year or less | $ | 215,900 | 0.4 | % | 0.8 | — | % | ||||||||||||||
Greater than 1 year and less than 3 years | 179,100 | 0.5 | 1.9 | — | |||||||||||||||||
Greater than 3 years and less than 5 years | 574,200 | 1.3 | 4.4 | — | |||||||||||||||||
Greater than 5 years | 1,718,650 | 2.4 | 10.8 | 28.6 | |||||||||||||||||
| | | | | | | | | | | | | | ||||||||
Total | $ | 2,687,850 | 1.9 | % | 8 | 18.3 | % | ||||||||||||||
| | | | | | | | | | | | | | ||||||||
| | | | | | | | | | | | | | ||||||||
December 31, 2012 | |||||||||||||||||||||
Remaining Interest Rate interest rate swap Term | Notional | Average Fixed | Average | Forward | |||||||||||||||||
Amount | Pay Rate | Maturity | Starting | ||||||||||||||||||
(Years) | |||||||||||||||||||||
Greater than 1 year and less than 3 years | $ | 762,800 | 0.4 | % | 2.3 | 22.7 | % | ||||||||||||||
Greater than 3 years and less than 5 years | 439,500 | 0.8 | 4.8 | 10.2 | |||||||||||||||||
Greater than 5 years | 1,609,500 | 1.7 | 10.2 | 30.1 | |||||||||||||||||
| | | | | | | | | | | | | | ||||||||
Total | $ | 2,811,800 | 1.2 | % | 7.2 | 25 | % | ||||||||||||||
| | | | | | | | | | | | | | ||||||||
| | | | | | | | | | | | | | ||||||||
The following tables summarize the average variable pay-rate and average maturity for the Company's interest rate swaps as of December 31, 2013 (excludes interest rate swaptions) (dollars in thousands), the Company had no variable pay rate swaps at December 31, 2012: | |||||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||
Remaining Interest Rate interest rate swap Term | Notional | Average Variable | Average | Forward | |||||||||||||||||
Amount | Pay Rate | Maturity | Starting | ||||||||||||||||||
(Years) | |||||||||||||||||||||
Greater than 3 years and less than 5 years | $ | 81,000 | 0.2 | % | 4.8 | — | % | ||||||||||||||
Greater than 5 years | 46,000 | 0.2 | 24.1 | — | |||||||||||||||||
| | | | | | | | | | | | | | ||||||||
Total | $ | 127,000 | 0.2 | % | 11.8 | — | % | ||||||||||||||
| | | | | | | | | | | | | | ||||||||
| | | | | | | | | | | | | | ||||||||
The Company's agreements with certain of its bilateral interest rate swap counterparties may be terminated at the option of the counterparty if the Company does not maintain certain equity and leverage metrics, the most restrictive of which contain provisions which become more restrictive based upon portfolio composition. Through December 31, 2013, the Company was in compliance with the terms of such financial tests. | |||||||||||||||||||||
At December 31, 2013, the Company had entered into six swaptions with notional amounts ranging from $100.0 million to $1.5 billion which expire from May 1, 2014 and October 28, 2014. If exercised, the Company can enter into seven year and ten year fixed pay swap agreement, at a predetermined strike price. At December 31, 2013 the Company had also entered into a swaption with a notional amount of $100.0 million that expires in May 1, 2014. If exercised, the Company can enter into a ten year variable pay swap agreement. | |||||||||||||||||||||
The Company has minimum collateral posting thresholds with certain of its derivative counterparties, including with its clearing broker for cleared swaps, for which it typically pledges cash. As of December 31, 2013 and December 31, 2012, the Company had cash pledged as collateral of approximately $22.8 million and $18.2 million, respectively, which is reported on the Balance Sheet as Due from counterparties. The Company received cash of approximately $62.7 million and $0 as collateral against derivatives at December 31, 2013 and December 31, 2012, respectively. As of December 31, 2013, the Company has swaps with two counterparties that are based in England and Switzerland, with fair values in an asset position of approximately $19.4 million and $34.2 million and notional balances of $321.8 million and $825.1 million, respectively. Included in the $62.7 million received by the Company is cash posted as collateral by these two counterparties of approximately $42.7 million at December 31, 2013. At December 31, 2012, the Company had swaps with fair values in an asset position of $681 thousand and $280 thousand and notional balances of $572.0 million and $1.4 billion with these two counterparties. In addition, at December 31, 2012, the Company posted approximately $6.6 million cash as collateral to these two counterparties. | |||||||||||||||||||||
Interest-Only Strips | |||||||||||||||||||||
The Company also invests in Interest-Only Strips. In determining the classification of its holdings of Interest-Only Strips, the Company evaluates the securities to determine if the nature of the cash flows has been altered from that of the underlying mortgage collateral. Generally, Interest-Only Strips for which the security represents a strip off of a mortgage pass through will be considered a hybrid instrument classified as a MBS investment on the Balance Sheet utilizing the fair value option. Alternatively, those Interest-Only Strips, for which the underlying mortgage collateral has been included into a structured security that alters the cash flows from the underlying mortgage collateral, are accounted for as derivatives at fair value with changes recognized in Gain (loss) on derivative instruments, net in the Statement of Operations, along with any interest received. The carrying value of these Interest-Only Strips is included in Mortgage-backed securities on the Balance Sheet. | |||||||||||||||||||||
To-be-announced securities | |||||||||||||||||||||
The Company also purchased or shorted TBAs. As of December 31, 2013 and December 31, 2012, the Company had contracts to purchase ("long position") and sell ("short position") TBAs on a forward basis. Following is a summary of the Company's long and short TBA positions reported in Derivative assets, at fair value on the Balance Sheet as of December 31, 2013 and December 31, 2012 (dollars in thousands): | |||||||||||||||||||||
December 31, 2013 | December 31, 2012 | ||||||||||||||||||||
Notional | Fair Value | Notional | Fair Value | ||||||||||||||||||
Amount | Amount | ||||||||||||||||||||
Purchase contracts, asset | $ | 13,600 | $ | 35 | $ | 425,000 | $ | 3,056 | |||||||||||||
| | | | | | | | | | | | | | ||||||||
TBA securities, asset | 13,600 | 35 | 425,000 | 3,056 | |||||||||||||||||
| | | | | | | | | | | | | | ||||||||
Purchase contracts, liability | 176,400 | (1,207 | ) | — | — | ||||||||||||||||
Sale contracts, liability | — | — | (425,000 | ) | (1,219 | ) | |||||||||||||||
| | | | | | | | | | | | | | ||||||||
TBA securities, liability | 176,400 | (1,207 | ) | (425,000 | ) | (1,219 | ) | ||||||||||||||
| | | | | | | | | | | | | | ||||||||
TBA securities, net | $ | 190,000 | $ | (1,172 | ) | $ | — | $ | 1,837 | ||||||||||||
| | | | | | | | | | | | | | ||||||||
| | | | | | | | | | | | | | ||||||||
Notional | Additions | Settlement, | Notional | ||||||||||||||||||
Amount as of | Termination, | Amount as of | |||||||||||||||||||
December 31, | Expiration | December 31, | |||||||||||||||||||
2012 | or Exercise | 2013 | |||||||||||||||||||
Purchase of TBAs | $ | 425,000 | 2,507,600 | $ | (2,742,600 | ) | $ | 190,000 | |||||||||||||
Sale of TBAs | $ | 425,000 | 2,350,000 | $ | (2,775,000 | ) | $ | — | |||||||||||||
Gain (loss) on derivative instruments | |||||||||||||||||||||
The below table summarizes the effect of interest rate swaps, swaptions, options, Agency and Non-Agency Interest-Only Strips as derivatives and TBAs reported in Gain (loss) on derivative instruments, net on our Statement of Operations for the year ended December 31, 2013 and for the period from May 15, 2012 (commencement of operations) through December 31, 2012 (dollars in thousands): | |||||||||||||||||||||
Year ended December 31, 2013 | |||||||||||||||||||||
Description | Realized | Contractual | Basis Recovery | Mark-to- | Total | ||||||||||||||||
Gain | interest income | market adjustments | |||||||||||||||||||
(Loss), net | (expense), | ||||||||||||||||||||
net(1) | |||||||||||||||||||||
Interest rate swaps | $ | 65,305 | $ | (22,932 | ) | $ | — | $ | 83,764 | $ | 126,137 | ||||||||||
Interest rate swaptions | 23,671 | — | — | 4,733 | 28,404 | ||||||||||||||||
Agency and Non-Agency Interest-Only Strips—accounted for as derivatives | (1,124 | ) | 28,273 | (18,010 | ) | (700 | ) | 8,439 | |||||||||||||
Options | (925 | ) | — | — | — | (925 | ) | ||||||||||||||
TBAs | (1,499 | ) | — | — | (3,009 | ) | (4,508 | ) | |||||||||||||
| | | | | | | | | | | | | | | | | |||||
Total | $ | 85,428 | $ | 5,341 | $ | (18,010 | ) | $ | 84,788 | $ | 157,547 | ||||||||||
| | | | | | | | | | | | | | | | | |||||
| | | | | | | | | | | | | | | | | |||||
For the period from May 15, 2012 (commencement of operations) | |||||||||||||||||||||
through December 31, 2012 | |||||||||||||||||||||
Description | Realized | Contractual | Basis | Mark-to- | Total | ||||||||||||||||
Gain | interest income | Recovery | market | ||||||||||||||||||
(Loss), net | (expense), | adjustments | |||||||||||||||||||
net(1) | |||||||||||||||||||||
Interest rate swaps | $ | (10,928 | ) | $ | (6,321 | ) | $ | — | $ | 7,649 | $ | (9,600 | ) | ||||||||
Interest rate swaptions | — | — | — | (3,180 | ) | (3,180 | ) | ||||||||||||||
Agency Interest-Only Strips—accounted for as derivatives | (820 | ) | 8,570 | (4,848 | ) | (5,065 | ) | (2,163 | ) | ||||||||||||
Options | — | — | — | — | — | ||||||||||||||||
TBAs | — | — | — | 1,837 | 1,837 | ||||||||||||||||
| | | | | | | | | | | | | | | | | |||||
| | | | | | | | | | | | | | | | | |||||
Total | $ | (11,748 | ) | $ | 2,249 | $ | (4,848 | ) | $ | 1,241 | $ | (13,106 | ) | ||||||||
| | | | | | | | | | | | | | | | | |||||
| | | | | | | | | | | | | | | | | |||||
-1 | |||||||||||||||||||||
Contractual interest income (expense), net on derivative instruments includes interest settlement paid or received. | |||||||||||||||||||||
Linked Transactions | |||||||||||||||||||||
As discussed in Note 2, when the initial transfer of a financial asset and repurchase financing are entered into contemporaneously with, or in contemplation of, one another, the transaction will be considered linked unless all of the criteria found in the applicable accounting guidance are met at the inception of the transaction. If the transaction is determined to be linked, the Company records the initial transfer and repurchase financing on a net basis and records a forward commitment to purchase assets as a derivative instrument with changes in market value being recorded in the Gain (loss) on linked transactions, net on the Statement of Operations. While linked transactions are treated as derivatives for GAAP, the fair value of linked transactions reflects the value of the underlying security's fair market value netted with the respective linked repurchase agreement borrowings. The Company had no linked transactions at December 31, 2012. | |||||||||||||||||||||
The following table presents certain information related to the securities and repurchase agreements accounted for as part of linked transaction which is reported in Linked transactions, net, at fair value on the Balance Sheet at December 31, 2013 and Gain (loss) on linked transactions, net on the Statement of Operations for the year ended December 31, 2013 (dollars in thousands): | |||||||||||||||||||||
For the Year Ended December 31, 2013 | Weighted | ||||||||||||||||||||
Average | |||||||||||||||||||||
Life (years)/ | |||||||||||||||||||||
Weighted | |||||||||||||||||||||
Average | |||||||||||||||||||||
days to | |||||||||||||||||||||
Instrument | Fair | Net Interest | Mark-to-market | Net Realized | Gain (loss) | Weighted | Maturity(2) | ||||||||||||||
Value(2) | Income(1) | adjustments | Gain (loss) | on linked | Average | ||||||||||||||||
(Expense) | on linked | transactions, | Coupon / Cost | ||||||||||||||||||
transactions | net | of Funds(2) | |||||||||||||||||||
Agency RMBS | $ | — | $ | 44 | $ | — | $ | (254 | ) | $ | (210 | ) | n/a | n/a | |||||||
Non-Agency RMBS | 79,746 | 1,371 | (56 | ) | 3,303 | 4,618 | 27.06 | % | 9.6 years | ||||||||||||
Agency Repurchase Agreement | — | (6 | ) | — | — | (6 | ) | n/a | n/a | ||||||||||||
Non-Agency Repurchase Agreement | (61,187 | ) | (265 | ) | — | — | (265 | ) | 1.7 | % | 63 days | ||||||||||
| | | | | | | | | | | | | | | | | | | | | |
Linked transactions, net, at fair value | $ | 18,559 | $ | 1,144 | $ | (56 | ) | $ | 3,049 | $ | 4,137 | n/a | n/a | ||||||||
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
-1 | |||||||||||||||||||||
Net interest income includes amortization of premium of $9 thousand for Agency RMBS and accretion of discount of $555 thousand for Non-Agency RMBS. | |||||||||||||||||||||
-2 | |||||||||||||||||||||
Includes information only for linked transactions at December 31, 2013. | |||||||||||||||||||||
The Company pledged MBS accounted for as linked transactions with a fair value of approximately $79.7 million as collateral for the related linked repurchase agreements. The Company reduces credit risk on the majority of its derivative instruments by entering into agreements that permit the closeout and netting of transactions with the same counterparty upon occurrence of certain events. | |||||||||||||||||||||
Offsetting_Assets_and_Liabilit
Offsetting Assets and Liabilities | 12 Months Ended | |||||||||||||||||||
Dec. 31, 2013 | ||||||||||||||||||||
Offsetting Assets and Liabilities | ' | |||||||||||||||||||
Offsetting Assets and Liabilities | ' | |||||||||||||||||||
Note 8—Offsetting Assets and Liabilities | ||||||||||||||||||||
The following tables present information about certain assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset on the Company's Balance Sheets at December 31, 2013 and December 31, 2012: | ||||||||||||||||||||
Offsetting of Derivative Assets | ||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||
Gross Amounts Not Offset | ||||||||||||||||||||
Net Amounts | in the Balance Sheet | |||||||||||||||||||
of Assets | ||||||||||||||||||||
presented in the | ||||||||||||||||||||
$s in thousands Description | Gross Amounts | Gross Amounts | Balance Sheet | Financial | Cash | Net Amount | ||||||||||||||
of Recognized | Offset in the | Instruments(1) | Collateral | |||||||||||||||||
Assets | Balance Sheet | Received | ||||||||||||||||||
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS | $ | 109,235 | $ | — | $ | 109,235 | $ | (109,235 | ) | $ | — | $ | — | |||||||
| | | | | | | | | | | | | | | | | | | | |
Derivative asset, at fair value | 105,826 | — | 105,826 | (3,501 | ) | (62,651 | ) | 39,674 | ||||||||||||
Linked transactions, net, at fair value | 79,746 | (61,187 | ) | 18,859 | — | — | 18,559 | |||||||||||||
| | | | | | | | | | | | | | | | | | | | |
Total | $ | 294,807 | $ | (61,187 | ) | $ | 233,620 | $ | (112,736 | ) | $ | (62,651 | ) | $ | 58,233 | |||||
| | | | | | | | | | | | | | | | | | | | |
Offsetting of Derivative Liabilities and Repurchase agreements | ||||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||
Gross Amounts Not Offset | ||||||||||||||||||||
Net Amounts of | in the Balance Sheet | |||||||||||||||||||
Liabilities | ||||||||||||||||||||
presented in the | ||||||||||||||||||||
$s in thousands Description | Gross Amounts | Gross Amounts | Balance Sheet | Financial | Cash | Net Amount | ||||||||||||||
of Recognized | Offset in the | Instruments(1) | Collateral | |||||||||||||||||
Liabilities | Balance Sheet | Pledged(1) | ||||||||||||||||||
Derivative liability, at fair value(2) | $ | 4,673 | $ | — | $ | 4,673 | $ | (3,501 | ) | $ | — | $ | 1,172 | |||||||
Repurchase Agreements(3) | 2,579,067 | — | 2,579,067 | (2,579,067 | ) | — | — | |||||||||||||
| | | | | | | | | | | | | | | | | | | | |
$ | 2,583,740 | $ | — | $ | 2,583,740 | $ | (2,582,568 | ) | $ | — | $ | 1,172 | ||||||||
| | | | | | | | | | | | | | | | | | | | |
-1 | ||||||||||||||||||||
Amounts disclosed in the Financial Instruments column of the table above represent securities collateral pledged that is available to be offset against liability balances associated with repurchase agreement and derivative transactions. Amounts disclosed in the Cash Collateral Pledged column of the table above represents amounts pledged as collateral against derivative transactions. | ||||||||||||||||||||
-2 | ||||||||||||||||||||
Cash collateral pledged against the Company's Swaps was approximately $22.8 million as of December 31, 2013. | ||||||||||||||||||||
-3 | ||||||||||||||||||||
The fair value of securities pledged against the Company's repurchase agreements was approximately $2.8 billion as of December 31, 2013. | ||||||||||||||||||||
Offsetting of Derivative Assets | ||||||||||||||||||||
As of December 31, 2012 | ||||||||||||||||||||
Gross Amounts Not Offset | ||||||||||||||||||||
Net Amounts | in the Balance Sheet | |||||||||||||||||||
of Assets | ||||||||||||||||||||
presented in the | ||||||||||||||||||||
$s in thousands Description | Gross Amounts | Gross Amounts | Balance Sheet | Financial | Cash | Net Amount | ||||||||||||||
of Recognized | Offset in the | Instruments(1) | Collateral | |||||||||||||||||
Assets | Balance Sheet | Received | ||||||||||||||||||
Agency Interest-Only Strips, accounted for as derivatives included in MBS | $ | 75,387 | $ | — | $ | 75,387 | $ | (46,686 | ) | $ | — | $ | 28,701 | |||||||
Derivative asset, at fair value | 24,344 | — | 24,344 | (3,552 | ) | — | 20,792 | |||||||||||||
| | | | | | | | | | | | | | | | | | | | |
Total | $ | 99,731 | $ | — | $ | 99,731 | $ | (50,238 | ) | $ | — | $ | 49,493 | |||||||
| | | | | | | | | | | | | | | | | | | | |
Offsetting of Derivative Liabilities and Repurchase agreements | ||||||||||||||||||||
As of December 31, 2012 | ||||||||||||||||||||
Gross Amounts Not Offset | ||||||||||||||||||||
Net Amounts | in the Balance Sheet | |||||||||||||||||||
of Liabilities | ||||||||||||||||||||
presented in the | ||||||||||||||||||||
$s in thousands Description | Gross Amounts | Gross Amounts | Balance Sheet | Financial | Cash | Net Amount | ||||||||||||||
of Recognized | Offset in the | Instruments(1) | Collateral | |||||||||||||||||
Liabilities | Balance Sheet | Pledged(1) | ||||||||||||||||||
Derivative liability, at fair value(2) | $ | 4,771 | $ | — | $ | 4,771 | $ | (3,552 | ) | $ | — | $ | 1,219 | |||||||
Repurchase Agreements(3) | 4,794,730 | — | 4,794,730 | (4,794,730 | ) | — | ||||||||||||||
| | | | | | | | | | | | | | | | | | | | |
Total | $ | 4,799,501 | $ | — | $ | 4,799,501 | $ | (4,798,282 | ) | $ | — | $ | 1,219 | |||||||
| | | | | | | | | | | | | | | | | | | | |
-1 | ||||||||||||||||||||
Amounts disclosed in the Financial Instruments column of the table above represent securities collateral pledged that is available to be offset against liability balances associated with repurchase agreement and derivative transactions. Amounts disclosed in the Cash Collateral Pledged column of the table above represents amounts pledged as collateral against derivative transactions. | ||||||||||||||||||||
-2 | ||||||||||||||||||||
Cash collateral pledged against the Company's Swaps was approximately $18.2 million at December 31, 2012. | ||||||||||||||||||||
-3 | ||||||||||||||||||||
The fair value of securities pledged against the Company's repurchase agreements was approximately $5.1 billion at December 31, 2012. | ||||||||||||||||||||
Certain of the Company's repurchase agreement and derivative transactions are governed by underlying agreements that generally provide for a right of setoff in the event of default or in the event of a bankruptcy of either party to the transaction. | ||||||||||||||||||||
Related_Party_Transactions
Related Party Transactions | 12 Months Ended |
Dec. 31, 2013 | |
Related Party Transactions | ' |
Related Party Transactions | ' |
Note 9—Related Party Transactions | |
Management Agreement | |
In connection with the Company's IPO in May 2012, the Company entered into a management agreement (the "Management Agreement") with the Manager, which describes the services to be provided by the Manager and compensation for such services. The Manager is responsible for managing the Company's operations, including: (i) performing all of its day-to-day functions; (ii) determining investment criteria in conjunction with the board of directors; (iii) sourcing, analyzing and executing investments, asset sales and financings; (iv) performing asset management duties; and (v) performing financial and accounting management, subject to the direction and oversight of the Company's board of directors. Pursuant to the terms of the Management Agreement, the Manager is paid a management fee equal to 1.50% per annum of the Company's stockholders' equity (as defined in the Management Agreement), calculated and payable (in cash) quarterly in arrears. For purposes of calculating the management fee, "stockholders' equity" means the sum of the net proceeds from any issuances of the Company's equity securities since inception (allocated on a pro rata daily basis for such issuances during the fiscal quarter of any such issuance), plus retained earnings, calculated in accordance with GAAP, at the end of the most recently completed fiscal quarter (without taking into account any non-cash equity compensation expense incurred in current or prior periods), less any amount paid for repurchases of the Company's shares of common stock, excluding any unrealized gains, losses or other non-cash items, including OTTI charges included in other loss on MBS, unrealized gain (loss) on MBS and other securities and non-cash portion of gain (loss) on derivative instruments, that have impacted stockholder's equity as reported in the Company's financial statements prepared in accordance with GAAP, regardless of whether such items are included in other comprehensive income or loss, or in net income, and excluding one-time events pursuant to changes in GAAP and certain other non-cash charges after discussions between the Manager and the Company's independent directors and after approval by a majority of the Company's independent directors. However, if the Company's stockholders' equity for any given quarter is negative based on the calculation described above, the Manager will not be entitled to receive any management fee for that quarter. | |
In addition, the Company may be required to reimburse the Manager for certain expenses as described below, and shall reimburse for the compensation paid to the Company's CFO. Expense reimbursements to the Manager are made in cash on a monthly basis following the end of each month. The Company's reimbursement obligation is not subject to any dollar limitation. Because the Manager's personnel perform certain legal, accounting, due diligence tasks and other services that outside professionals or outside consultants otherwise would perform, the Manager may be paid or reimbursed for the documented cost of performing such tasks, provided that such costs and reimbursements are in amounts which are no greater than those which would be payable to outside professionals or consultants engaged to perform such services pursuant to agreements negotiated on an arm's-length basis. | |
The Management Agreement may be amended, supplemented or modified by agreement between the Company and the Manager. The initial term of the Management Agreement expires on May 15, 2015 and it is automatically renewed for one-year terms on each anniversary thereafter unless previously terminated as described below. The Company's independent directors will review the Manager's performance and any fees payable to the Manager annually and, following the initial term, the Management Agreement may be terminated annually upon the affirmative vote of at least two-thirds of the Company's independent directors, based upon: (i) the Manager's unsatisfactory performance that is materially detrimental to the Company; or (ii) the Company's determination that any fees payable to the Manager are not fair, subject to the Manager's right to prevent such termination due to unfair fees by accepting a reduction of management fees agreed to by at least two-thirds (2/3) of the Company's independent directors. The Company will provide the Manager 180 days prior notice of any such termination. Unless terminated for cause, the Company will pay the Manager a termination fee equal to three times the average annual management fee earned by the Manager during the prior 24-month period immediately preceding the date of termination, calculated as of the end of the most recently completed fiscal quarter prior to the date of termination. | |
The Company may also terminate the Management Agreement at any time, including during the initial term, without the payment of any termination fee, with 30 days prior written notice from the Company's board of directors for cause, which will be determined by a majority of the Company's independent directors, which is defined as: (i) the Manager's continued material breach of any provision of the Management Agreement (including the Manager's failure to comply with the Company's investment guidelines); (ii) the Manager's fraud, misappropriation of funds, or embezzlement against the Company; (iii) the Manager's gross negligence in the performance of its duties under the Management Agreement; (iv) the occurrence of certain events with respect to the bankruptcy or insolvency of the Manager, including an order for relief in an involuntary bankruptcy case or the Manager authorizing or filing a voluntary bankruptcy petition; (v) the Manager is convicted (including a plea of nolo contendere) of a felony; or (vi) the dissolution of the Manager. | |
For the year ended December 31, 2013 and for the period from May 15, 2012 (commencement of operations) through December 31, 2012, the Company incurred approximately $7.8 million and approximately $3.1 million in management fees, respectively. | |
In addition to the management fee, the Company is also responsible for reimbursing the Manager for certain expenses paid by the Manager on behalf of the Company and for certain services provided by the Manager to the Company. For the year ended December 31, 2013 and for the period from May 15, 2012 (commencement of operations) through December 31, 2012, the Company recorded expenses included in general and administrative expense totaling approximately $76 thousand and approximately $23 thousand, respectively related to employee benefits associated with the Company's sole employee paid by the Manager on behalf of the Company. As of January 1, 2014, the aforementioned employee became an employee of the Manager and the Company will reimburse the Manager for such employee's compensation including employee benefits. Any such expenses incurred by the Manager and reimbursed by the Company, including the employee compensation expense discussed above, are typically included in the Company's general and administrative expense on its Statement of Operations, or may be reflected on the Balance Sheet and associated statement of changes in stockholders' equity, based on the nature of the item. At December 31, 2013 and December 31, 2012, approximately $1.8 million and approximately $1.9 million, respectively for management fees incurred but not yet paid was included in payable to related party on the Balance Sheet. | |
ShareBased_Payments
Share-Based Payments | 12 Months Ended | |||||||
Dec. 31, 2013 | ||||||||
Share-Based Payments | ' | |||||||
Share-Based Payments | ' | |||||||
Note 10—Share-Based Payments | ||||||||
In conjunction with the Company's IPO and concurrent private placement, the Company's board of directors approved the Western Asset Mortgage Capital Corporation Equity Plan (the "Equity Plan") and the Western Asset Manager Equity Plan (the "Manager Equity Plan" and collectively the "Equity Incentive Plans"). | ||||||||
On May 15, 2012, the Company granted 51,159 shares of restricted common stock to the Manager under the Manager Equity Plan that is equal to 0.5% of the aggregate number of shares of common stock sold in the IPO and units sold in the concurrent private placement to certain institutional accredited investors. One-third of these restricted shares vested on May 15, 2013, the first anniversary of the grant date and one-third will vest on each of the second and third anniversaries of the grant date. | ||||||||
On May 15, 2012, the Company granted a total of 4,500 shares (1,500 each) of restricted common stock under the Equity Plan to the Company's three independent directors. These restricted shares vested in full on May 15, 2013, the first anniversary of the grant date. | ||||||||
On June 25, 2012, the Company granted 10,455 shares of restricted common stock to its chief financial officer under the Equity Plan. One-third of these restricted shares vested on January 1, 2013, one-third vested on January 1, 2014 and the remaining one-third will vest on January 1, 2015. | ||||||||
On March 1, 2013, the Company granted a total of 150,000 shares of restricted common stock to the Manager under the Manager Equity Plan. One-third of these shares vested on March 1, 2014 and one third will vest on each of the second and third anniversaries of the grant date. | ||||||||
On March 1, 2013, the Company granted 10,559 shares of restricted common stock to its chief financial officer under the Equity Plan. One-third of these restricted shares vested on January 1, 2014, one-third will vest on January 1, 2015 and the remaining one-third will vest on January 1, 2016. | ||||||||
On June 10, 2013, the Company granted a total of 4,887 (1,629 each) of restricted common stock under the Equity Plan to the Company's three independent directors. These restricted shares will vest in full on the first anniversary of the grant date. Each of the independent directors has elected to defer the shares granted to him under the Company's Director Deferred Fee Plan (the "Director Deferred Fee Plan"). The Director Deferred Fee Plan permits eligible members of the Company's board of directors to defer certain stock awards made under its director compensation programs. The Director Deferred Fee Plan allows directors to defer issuance of their stock awards and therefore defer payment of any tax liability until the deferral is terminated, pursuant to the election form executed each year by each eligible director. | ||||||||
The Equity Incentive Plans include provisions for grants of restricted common stock and other equity-based awards to the Manager, its employees and employees of its affiliates and to the Company's directors, officers and employees. The Company can issue up to 3.0% of the total number of issued and outstanding shares of its common stock (on a fully diluted basis) at the time of each award (other than any shares previously issued or subject to awards made pursuant to one of the Company's Equity Incentive Plans) under these Equity Incentive Plans. At May 15, 2012, there were 308,335 shares of common stock initially reserved for issuance under the Equity Incentive Plans. Upon the completion of the October 3, 2012 follow-on common stock offering and the stock portion of the Company's dividend declared December 19, 2013, the number of shares of common stock available for issuance under the Equity Incentive Plans increased to 798,211, inclusive of the 231,560 shares of restricted stock issued as provided above and the 20,957 shares of restricted stock issued as a result of the stock portion of the dividend declared on December 19, 2013. The Company recognized stock-based compensation expense of approximately $1.1 million and approximately $367 thousand for the year ended December 31, 2013 and for the period from May 15, 2012 (commencement of operations) through December 31, 2012, respectively and had unamortized compensation expense of $423 thousand for equity awards and approximately $3.2 million for liability awards and $360 thousand for equity awards and approximately $811 thousand for liability awards at December 31, 2013 and December 31, 2012, respectively. | ||||||||
All restricted common shares granted, other than those whose issuance has been deferred pursuant the Director Deferred Fee Plan, possess all incidents of ownership, including the right to receive dividends and distributions currently, and the right to vote. Dividend equivalent payments otherwise allocable to restricted common shares under the Deferred Compensation Plan are deemed to purchase additional phantom shares of the Company's common stock that are credited to each participant's deferral account. The award agreements include restrictions whereby the restricted shares cannot be sold, assigned, transferred, pledged, hypothecated or otherwise disposed of prior to the lapse of restrictions under the respective award agreement. The restrictions lapse on the unvested restricted shares awarded when vested, subject to the grantee's continuing to provide services to the Company as of the vesting date. Unvested restricted shares and rights to dividends thereon are forfeited upon termination of the grantee. | ||||||||
The following is a summary of restricted common stock vesting dates as of December 31, 2013 and December 31, 2012, including shares whose issuance has been deferred under the Director Deferred Fee Plan: | ||||||||
December 31, 2013 | December 31, 2012 | |||||||
Vesting Date | Shares Vesting | Shares Vesting | ||||||
Jan-13 | — | 3,485 | ||||||
May-13 | — | 21,553 | ||||||
Jan-14 | 7,685 | 3,485 | ||||||
Mar-14 | 54,852 | — | ||||||
May-14 | 18,707 | 17,053 | ||||||
Jun-14 | 6,279 | — | ||||||
Jan-15 | 7,685 | 3,485 | ||||||
Mar-15 | 54,852 | — | ||||||
May-15 | 18,707 | 17,053 | ||||||
Jan-16 | 3,860 | — | ||||||
Mar-16 | 54,852 | — | ||||||
| | | | | | | | |
227,479 | 66,114 | |||||||
| | | | | | | | |
| | | | | | | | |
The following table presents information with respect to the Company's restricted stock for the year ended December 31, 2013 including shares whose issuance has been deferred under the Director Deferred Fee Plan: | ||||||||
Shares of | Weighted Average | |||||||
Restricted Stock | Grant Date Fair | |||||||
Value(1) | ||||||||
Outstanding at beginning of period | 66,114 | $ | 19.86 | |||||
Granted(2) | 186,403 | 20.51 | ||||||
Cancelled/forfeited | — | — | ||||||
| | | | | | | | |
Outstanding at end of year | 252,517 | $ | 20.34 | |||||
| | | | | | | | |
Unvested at end of year | 227,479 | $ | 20.39 | |||||
| | | | | | | | |
| | | | | | | | |
-1 | ||||||||
The grant date fair value of restricted stock awards is based on the closing market price of the Company's common stock at the grant date. | ||||||||
-2 | ||||||||
Included in Granted are restricted stock attributed to the stock portion of the December 19, 2013 dividend on restricted stock of 19,565 shares and restricted stock attributed to dividends on restricted stock under the Director Deferred Fee Plan of 1,392 shares. | ||||||||
The following table presents information with respect to the Company's restricted stock for the period ended December 31, 2012: | ||||||||
Shares of | Weighted Average | |||||||
Restricted Stock | Grant Date Fair | |||||||
Value(1) | ||||||||
Outstanding at beginning of period | — | $ | — | |||||
Granted | 66,114 | $ | 19.86 | |||||
Cancelled/forfeited | — | $ | — | |||||
| | | | | | | | |
Outstanding at end of year | 66,114 | $ | 19.86 | |||||
| | | | | | | | |
Unvested at end of year | 66,114 | $ | 19.86 | |||||
| | | | | | | | |
| | | | | | | | |
-1 | ||||||||
The grant date fair value of restricted stock awards is based on the closing market price of the Company's common stock at the grant date. | ||||||||
Shareholders_Equity
Shareholders Equity | 12 Months Ended |
Dec. 31, 2013 | |
Shareholders Equity | ' |
Shareholders Equity | ' |
Note 11—Shareholders Equity | |
On May 9, 2012, the Company entered into: (i) a binding underwriting agreement with a group of underwriters to sell 8.0 million shares of the Company's common stock for $20.00 per share for an aggregate offering price of $160.0 million; (ii) unit purchase agreements, pursuant to a private placement, with certain institutional accredited investors to sell 2,231,787 warrant units for $20.00 per unit for an aggregate offering price of approximately $44.6 million; and (iii) an agreement to sell 46,043 shares of the Company's common stock, for $20.00 per share to our Manager's deferred compensation plan in another private placement for an aggregate offering price of approximately $0.9 million. | |
Each of the aforementioned warrant units consists of one share of the Company's common stock and a warrant to purchase 0.5 of a share of the Company's common stock, subject to adjustment. At the time of issuance, each warrant had an exercise price of $20.50 per share, subject to adjustment upon the occurrence of customary events triggering an anti-dilution adjustment and certain sales of the Company's common stock (see discussion below). In addition, the warrants are subject to certain limitations on exercise. The warrants expire on May 15, 2019. On October 3, 2012, as a result of the follow-on offering the exercise price of the warrants was reduced from $20.50 to $19.44. In addition, on January 28, 2014, the exercise price was further reduced to $17.59, and the warrant shares purchasable increased to 1,232,916 as a result of the stock portion of the December 19, 2013 dividend which was paid on January 28, 2014. | |
The net proceeds to the Company from the IPO and two concurrent private placements were approximately $204.4 million, net of offering expenses of $1.2 million for which the Company agreed to be responsible. The Manager agreed to be responsible for all offering expenses in excess of $1.2 million, including the underwriting discount and the placement agent fees in the two private placements (in the aggregate, approximately $7.8 million). | |
On September 27, 2012, the Company entered into a binding agreement with a group of underwriters to sell an incremental 12.0 million shares of the Company's common stock, effective as of September 28, 2012, which closed on October 3, 2012. The agreement provided the underwriters with the right to purchase an additional 1.8 million shares (15% of 12.0 million) during the succeeding thirty (30) days. The shares were offered to the market at a price of $22.20 per share and the underwriters exercised their option to purchase the incremental 1.8 million shares on September 28, 2012. Net proceeds to the Company were approximately $301.0 million after subtracting underwriting commissions and offering expenses of approximately $4.8 million. In addition the Company incurred other offering costs of approximately $559 thousand. | |
On November 19, 2012, the Board of Directors of the Company approved the repurchase of up to 2.4 million shares of its common stock through December 31, 2013, either in the open market or through privately-negotiated transactions. The repurchase program does not obligate the Company to acquire any particular amount of common stock. The Company made no share repurchases for the year ended December 31, 2013 nor the period May 15, 2012 (commencement of operations) through December 31, 2012. | |
On December 19, 2013, the Company declared a dividend of $2.35 per common share payable in a combination of cash and stock. For stockholders who elected to receive the entire $2.35 per share dividend in stock, each stockholder received 0.1590 shares in newly issued common stock for each common share that they held as of the dividend record date. For stockholders who elected to receive the dividend in cash, or did not make an election, each stockholder received $0.9159 per share in cash and 0.0970 shares in newly issued common stock for each common share that they held as of the dividend record date. The dividend was paid on January 28, 2014 to shareholders of record as of December 30, 2013. As a result of a portion of the dividend being paid in stock, common shares of 2,548,784 where issued by the Company. | |
Net_Income_loss_per_Common_Sha
Net Income (loss) per Common Share | 12 Months Ended | |||||||
Dec. 31, 2013 | ||||||||
Net Income (Loss) per Common Share | ' | |||||||
Net Income (Loss) per Common Share | ' | |||||||
Note 12—Net Income (loss) per Common Share | ||||||||
The table below presents basic and diluted net income (loss) per share of common stock using the two-class method for the year ended December 31, 2013 and for the period from May 15, 2012 (commencement of operations) through December 31, 2012 (dollars, other than shares and per share amounts, in thousands): | ||||||||
For the Year Ended | For the Period from | |||||||
December 31, 2013 | May 15, 2012 | |||||||
(commencement of | ||||||||
operations) through | ||||||||
December 31, 2012 | ||||||||
Numerator: | ||||||||
Net income (loss) attributable to common stockholders and participating securities for basic and diluted earnings per share | $ | (27,855 | ) | $ | 57,277 | |||
Less: | ||||||||
Dividends and undistributed earnings allocated to participating securities | 961 | 234 | ||||||
| | | | | | | | |
Net income (loss) allocable to common stockholders—basic and diluted | $ | (28,816 | ) | $ | 57,043 | |||
| | | | | | | | |
| | | | | | | | |
Denominator: | ||||||||
Weighted average common shares outstanding for basic earnings per share | 24,185,037 | 15,654,453 | ||||||
| | | | | | | | |
| | | | | | | | |
Weighted average diluted shares outstanding (stock awards) | — | 9,045 | ||||||
Weighted average diluted shares outstanding (warrants) | — | 55,735 | ||||||
| | | | | | | | |
Weighted average common shares outstanding for diluted earnings per share | 24,185,037 | 15,719,233 | ||||||
| | | | | | | | |
| | | | | | | | |
Basic earnings per common share | $ | (1.19 | ) | $ | 3.64 | |||
| | | | | | | | |
| | | | | | | | |
Diluted earnings per common share | $ | (1.19 | ) | $ | 3.63 | |||
| | | | | | | | |
| | | | | | | | |
The following potential common shares, which are securities or other contracts that may entitle its holder to obtain common shares, were excluded from diluted earnings per share for the year ended December 31, 2013 as the Company had a net loss for the period and their inclusion would have been anti-dilutive: 67,257 related to warrants and 13,434 related to stock awards. | ||||||||
Income_Taxes
Income Taxes | 12 Months Ended |
Dec. 31, 2013 | |
Income Taxes | ' |
Income Taxes | ' |
Note 13—Income Taxes | |
Based on the Company's analysis of any potential uncertain income tax positions, the Company concluded that it does not have any uncertain tax positions that meet the recognition or measurement criteria as of December 31, 2013. The Company files U.S. federal and state income tax returns. As of December 31, 2013, tax returns filed by the Company for 2012 are open for examination pursuant to relevant statutes of limitation. In the event that the Company incurs income tax related interest and penalties, the Company's policy is to classify them as a component of provision for income taxes. | |
Contingencies
Contingencies | 12 Months Ended |
Dec. 31, 2013 | |
Contingencies | ' |
Contingencies | ' |
Note 14—Contingencies | |
From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. Management is not aware of any material contingencies at December 31, 2013. | |
Summarized_Quarterly_Results_u
Summarized Quarterly Results (unaudited) | 12 Months Ended | |||||||||||||
Dec. 31, 2013 | ||||||||||||||
Summarized Quarterly Results (unaudited) | ' | |||||||||||||
Summarized Quarterly Results (unaudited) | ' | |||||||||||||
Note 15—Summarized Quarterly Results (unaudited) | ||||||||||||||
The following is a presentation of selected unaudited results of operations: | ||||||||||||||
Quarter Ended | ||||||||||||||
March 31, 2013 | June 30, 2013, | September 30, 2013 | December 31, 2013 | |||||||||||
Revised(1) | ||||||||||||||
Net Interest Income: | ||||||||||||||
Interest income | $ | 33,750 | $ | 32,742 | $ | 30,654 | $ | 28,182 | ||||||
Interest expense | 5,181 | 4,522 | 4,273 | 4,043 | ||||||||||
| | | | | | | | | | | | | | |
Net Interest Income | 28,569 | 28,220 | 26,381 | 24,139 | ||||||||||
| | | | | | | | | | | | | | |
Other Income (Loss): | ||||||||||||||
Interest income on cash balances and other income | 33 | 12 | 11 | 35 | ||||||||||
Realized gain (loss) on sale of Mortgage-backed securities and other securities, net | (11,660 | ) | (6,083 | ) | (46,142 | ) | (46,827 | ) | ||||||
Other loss on Mortgage-backed securities | (2,268 | ) | (3,533 | ) | (2,363 | ) | (3,694 | ) | ||||||
Unrealized gain (loss) on Mortgage-backed securities and other securities, net | (54,759 | ) | (156,286 | ) | 37,528 | 13,408 | ||||||||
Gain (loss) on linked transactions, net | 596 | 3,909 | (547 | ) | 179 | |||||||||
Gain (loss) on derivative instruments, net | 14,840 | 109,474 | (3,809 | ) | 37,042 | |||||||||
| | | | | | | | | | | | | | |
Other Income (Loss), net | (53,218 | ) | (52,507 | ) | (15,322 | ) | 143 | |||||||
| | | | | | | | | | | | | | |
Operating Expenses: | ||||||||||||||
General and administrative | 1,737 | 1,541 | 1,484 | 1,684 | ||||||||||
Management fee—related party | 2,113 | 1,826 | 2,032 | 1,843 | ||||||||||
| | | | | | | | | | | | | | |
Total Operating Expenses | 3,850 | 3,367 | 3,516 | 3,527 | ||||||||||
| | | | | | | | | | | | | | |
Net income (loss) available to Common Stock and participating securities | $ | (28,499 | ) | $ | (27,654 | ) | $ | 7,543 | $ | 20,755 | ||||
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
Net income (loss) per Common Share—Basic | $ | (1.18 | ) | $ | (1.16 | ) | $ | 0.31 | $ | 0.83 | ||||
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
Net income (loss) per Common Share—Diluted | $ | (1.18 | ) | $ | (1.16 | ) | $ | 0.31 | $ | 0.83 | ||||
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
-1 | ||||||||||||||
The Company identified an error relating to Basic and Diluted Net Loss per share amounts of $1.14 for the three month period ended June 30, 2013, as previously reported in the June 30, 2013 Form 10-Q. The error understated Basic and Diluted Net Loss per share by $0.02 per share. Management evaluated the impact of the error on the previously reported financial statements and concluded the impact was not material to the financial statements for the three month period ended June 30, 2013 taken as a whole. However, Management has elected to revise the per share amounts to correct for the impact of this error and the revised amounts of $1.16 per share are reflected above. | ||||||||||||||
For the period from | ||||||||||||||
May 15, 2012 | ||||||||||||||
(commencement of | ||||||||||||||
operations) through | ||||||||||||||
June 30, 2012, as | Quarter Ended | |||||||||||||
Revised | September 30, | December 31, | ||||||||||||
2012, | 2012 | |||||||||||||
as Revised | ||||||||||||||
Net Interest Income: | ||||||||||||||
Interest income | $ | 7,083 | $ | 12,987 | $ | 33,248 | ||||||||
Interest expense | 725 | 1,935 | 5,434 | |||||||||||
| | | | | | | | | | | ||||
Net Interest Income | 6,358 | 11,052 | 27,814 | |||||||||||
| | | | | | | | | | | ||||
Other Income (Loss): | ||||||||||||||
Interest income on cash balances | — | 2 | 9 | |||||||||||
Realized gain on sale of Residential mortgage-backed securities and other securities, net | 1,157 | 6,635 | 12,962 | |||||||||||
Other loss on Residential mortgage-backed securities | (87 | ) | (1,352 | ) | (1,767 | ) | ||||||||
Unrealized gain (loss) on Residential mortgage-backed securities and other securities, net | 2,983 | 26,225 | (15,278 | ) | ||||||||||
Gain (loss) on derivative instruments, net | (5,159 | ) | (12,245 | ) | 4,298 | |||||||||
| | | | | | | | | | | ||||
Other Income (loss), net | (1,106 | ) | 19,265 | 224 | ||||||||||
| | | | | | | | | | | ||||
Operating Expenses: | ||||||||||||||
General and administrative | 584 | 1,321 | 1,292 | |||||||||||
Management fee—related party | 407 | 802 | 1,924 | |||||||||||
| | | | | | | | | | | ||||
Total Operating Expenses | 991 | 2,123 | 3,216 | |||||||||||
| | | | | | | | | | | ||||
Net income available to Common Stock and participating securities | $ | 4,261 | $ | 28,194 | $ | 24,822 | ||||||||
| | | | | | | | | | | ||||
| | | | | | | | | | | ||||
Earnings per Common Share—Basic | $ | 0.41 | $ | 2.73 | $ | 1.04 | ||||||||
| | | | | | | | | | | ||||
| | | | | | | | | | | ||||
Earnings per Common Share—Diluted | $ | 0.41 | $ | 2.72 | $ | 1.04 | ||||||||
| | | | | | | | | | | ||||
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Subsequent_Events
Subsequent Events | 12 Months Ended |
Dec. 31, 2013 | |
Subsequent Events | ' |
Subsequent Events | ' |
Note 16—Subsequent Events | |
On March 12, 2014, the Company granted 15,180 shares of restricted common stock to its chief financial officer under the Equity Plan and 200,000 shares of restricted common stock to the Manager under the Manager Equity Plan. One-third of the chief financial officer's shares will vest on January 1, 2015, one-third will vest on January 1, 2016 and the remaining one-third will vest on January 1, 2017. One-third of the Manager's shares will vest on March 1, 2015, one-third will vest on March 1, 2016 and the remaining one-third will vest on March 1, 2017. | |
Summary_of_Significant_Account1
Summary of Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2013 | |
Summary of Significant Accounting Policies | ' |
Basis of Presentation | ' |
Basis of Presentation | |
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America ("GAAP") requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting periods. Actual results could differ from those estimates. | |
The Company currently operates as one business segment. | |
Cash and Cash Equivalents | ' |
Cash and Cash Equivalents | |
The Company considers all highly-liquid short term investments with original maturities of 90 days or less when purchased to be cash equivalents. Cash and cash equivalents are exposed to concentrations of credit risk. The Company places its cash and cash equivalents with what it believes to be high credit quality institutions. At times such investments may be in excess of the Federal Deposit Insurance Corporation insurance limit. | |
Mortgage-backed and US Treasury securities - Fair value election | ' |
Mortgage-backed and US Treasury securities—Fair value election | |
The Company has elected the fair value option for all of its MBS and US Treasury securities at the date of purchase, which permits the Company to measure these securities at fair value with the change in fair value included as a component of earnings. In the Manager's view, this election more appropriately reflects the results of the Company's operations for a particular reporting period, as financial asset fair value changes are presented in a manner consistent with the presentation and timing of the fair value changes of economic hedging instruments. | |
Balance Sheet Presentation | ' |
Balance Sheet Presentation | |
The Company's mortgage-backed securities purchases and sales are recorded on the trade date, which results in an investment related payable (receivable) for MBS purchased (sold) for which settlement has not taken place as of the balance sheet date. The Company's MBS are pledged as collateral against borrowings under repurchase agreements. Other than MBS which are accounted for as linked transactions, described below, the Company's MBS are included in Mortgage-backed securities at fair value and Investment related receivables on the Balance Sheet, with the fair value of such MBS pledged disclosed parenthetically. | |
Valuation of financial instruments | ' |
Valuation of financial instruments | |
The Company discloses the fair value of its financial instruments according to a fair value hierarchy (Levels I, II, and III, as defined below). In accordance with GAAP, the Company is required to provide enhanced disclosures regarding instruments in the Level III category (which require significant management judgment), including a separate reconciliation of the beginning and ending balances for each major category of assets and liabilities. GAAP establishes a framework for measuring fair value and expands financial statement disclosure requirements for fair value measurements. GAAP further specifies a hierarchy of valuation techniques, which is based on whether the inputs into the valuation technique are observable or unobservable. The hierarchy is as follows: | |
Level I—Quoted prices in active markets for identical assets or liabilities. | |
Level II—Quoted prices for similar assets and liabilities in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. | |
Level III—Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable, for example, when there is little or no market activity for an investment at the end of the period, unobservable inputs may be used. | |
The level in the fair value hierarchy within which a fair value measurement in its entirety falls is based on the lowest level input that is significant to the fair value measurement in its entirety. Transfers between levels are determined by the Company at the end of the reporting period. | |
When available, the Company uses quoted market prices to determine the fair value of an asset or liability. If quoted market prices are not available, the Company consults with independent pricing services or obtains third party broker quotes. If independent pricing service, or third party broker quotes are not available, the Company determines the fair value of the securities using valuation techniques that use, when possible, current market-based or independently-sourced market parameters, such as interest rates and when applicable, estimates of prepayment and credit losses. | |
Valuation techniques for MBS may be based upon models that consider the estimated cash flows of the security. When applicable, the primary inputs to the model include yields for Agency To-Be-Announced securities (also known as "TBAs"), Agency MBS, the U.S. Treasury market and floating rate indices such as the London interbank offered rate or LIBOR, the Constant Maturity Treasury rate and the prime rate as a benchmark yield. In addition, the model may incorporate the current weighted average maturity and additional pool level information such as prepayment speeds, default frequencies and default severities, if applicable. To the extent, such inputs are observable and timely, these MBS are categorized as Level II of the fair value hierarchy; otherwise, unless alternative pricing information as described above is available, they are categorized as Level III. | |
While linked transactions, described below, are treated as derivatives for GAAP, the securities underlying the Company's linked transactions are valued using similar techniques to those used for the Company's securities portfolio. The value of the underlying security is then netted against the carrying amount (which approximates fair value) of the repurchase agreement at the valuation date. Additionally, TBA instruments are similar in substance to the Company's Agency RMBS portfolio, and the Company therefore estimates fair value based on similar methods. | |
The Company determines the fair value of derivative financial instruments by obtaining quotes from a third party pricing service, whose pricing is subject to review by the Manager's pricing committee. In valuing its interest rate derivatives, such as swaps and swaptions, the Company considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each derivative agreement, from the perspective of both the Company and its counterparties. All of the Company's interest rate swaps are either cleared through a central clearing house and subject to the clearing house margin requirements or subject to bilateral collateral arrangements. The Company also has netting arrangements in place with all derivative counterparties, however the Company has elected to report the interest rate swaps on a gross basis. No credit valuation adjustment was made in determining the fair value of interest rate derivatives. | |
Fair value under GAAP represents an exit price in the normal course of business, not a forced liquidation price. If the Company is forced to sell assets in a short period to meet liquidity needs, the prices it receives can be substantially less than their recorded fair values. Furthermore, the analysis of whether it is more likely than not that the Company will not be required to sell securities in an unrealized loss position before recovery of its amortized cost basis, the amount of such expected required sales, and the projected identification of which securities will be sold is also subject to significant judgment, particularly in times of market illiquidity. | |
Any changes to the valuation methodology will be reviewed by the Company and its Manager to ensure the changes are appropriate. As markets and products develop and the pricing for certain products becomes more transparent, the Company will continue to refine its valuation methodologies. The Company utilizes and follows the pricing methodology employed by its Manager, including its review and challenge process. The methods used by the Company may produce a fair value calculation that may not be indicative of net realizable value or reflective of future fair values. Furthermore, while the Company anticipates that its valuation methods will be appropriate and consistent with other market participants, the use of different methodologies, or assumptions, to determine the fair value of certain financial instruments can result in a different estimate of fair value at the reporting date. The Company uses inputs that are current as of the measurement date, which may include periods of market dislocation, during which price transparency may be reduced. | |
All valuations received from independent pricing services are non-binding. The Company primarily utilizes an independent third party pricing service as the primary source for valuing the Company's assets. | |
The Company generally receives one independent pricing service price for each investment in the Company's portfolio. The Manager has established a process to review and validate the pricing received from the independent pricing service and has a process for challenging prices received from the independent pricing service when necessary. The Company utilizes our Manager's policies in this regard. The Company's and the Manager's review of the independent third party pricing data may consist of a review of the daily change in the prices provided by the independent pricing vendor which exceed established tolerances or comparisons to executed transaction prices. The Manager's pricing group, which functions independently from its portfolio management personnel, corroborates the price differences or changes in price by comparing the vendor price to alternate sources including other independent pricing services or broker quotations. If the price change or difference cannot be corroborated, the Manager's pricing group consults with the portfolio management team for market color in reviewing such pricing data as warranted. To the extent that the Manager has information, typically in the form of broker quotations that would indicate that a price received from the independent pricing service is outside of a tolerance range, our Manager generally challenges the independent pricing service price. | |
To ensure proper fair value hierarchy, The Company and the Manager review the methodology used by the third party pricing service to understand whether observable market data is being utilized in the vendor's pricing methodology. Generally, this review is conducted annually, however ad-hoc reviews of the pricing methodology and the data does occur. The review of the assumptive data received from the vendor includes comparing key inputs. In addition, as part of the Company's regular review of pricing, the Manager's pricing group may have informal discussions with the independent pricing vendor regarding their evaluation methodology or the market data utilized in their determination. The conclusion that a price should be overridden in accordance with the Manager's pricing methodology may impact the fair value hierarchy of the security for which such price has been adjusted. | |
Interest income recognition and Impairment | ' |
Interest income recognition and Impairment | |
Agency MBS and Non-Agency MBS, excluding Interest-Only Strips, rated AA and higher at the time of purchase | |
Interest income on mortgage-backed securities is accrued based on the respective outstanding principal balances and corresponding contractual terms. Premiums and discounts associated with Agency MBS and Non-Agency MBS, excluding Interest-Only Strips, rated AA and higher at the time of purchase, are amortized into interest income over the estimated life of such securities using the effective yield method. Adjustments to premium and discount amortization are made for actual prepayment activity. The Company estimates prepayments at least quarterly for its securities and as a result, if prepayments increase (or are expected to increase), the Company will accelerate the rate of amortization on premiums or discounts and make a retrospective adjustment to historical amortization. Alternatively, if prepayments decrease (or are expected to decrease) the Company will reduce the rate of amortization on the premiums or discounts and make a retrospective adjustment to historical amortization. | |
The Company assesses its Agency MBS and its Non-Agency MBS, excluding Interest-Only Strips, rated AA and higher at the time of purchase for other-than-temporary impairment on at least a quarterly basis. When the fair value of an investment is less than its amortized cost at the balance sheet date of the reporting period for which impairment is assessed, the impairment is designated as either "temporary" or "other-than-temporary." In deciding on whether or not a security is other-than-temporarily impaired, the Company considers several factors, including the nature of the investment, communications (if any) from the trustees of securitizations regarding the credit quality of the security, the severity and duration of the impairment, the cause of the impairment, and the Company's intent not to sell the security and whether it is more likely than not that Company will not be required to sell the security until recovery of its amortized cost basis. An other-than-temporary impairment is deemed to have occurred when there is an adverse change in the expected cash flows (principal or interest) to be received and the fair value of the security is less than its carrying amount. In determining whether an adverse change in cash flows occurred, the present value of the remaining cash flows, as estimated at the initial transaction date (or the last date previously revised), is compared to the present value of the expected cash flows at the current reporting date. The estimated cash flows reflect those a "market participant" would use and are discounted at a rate equal to the current yield used to accrete interest income. These adjustments are reflected in the Company's Statement of Operations as Other loss on Mortgage-backed securities. | |
The determination as to whether an other-than-temporary impairment exists is subject to management estimates based on consideration of both factual information available at the time of assessment as well as the Company's estimates of the future performance and projected amount and timing of cash flows expected to be collected on the security. As a result, the timing and amount of an other-than-temporary impairment constitutes an accounting estimate that may change materially over time. | |
Non-Agency MBS that are rated below AA at the time of purchase and Interest-Only Strips that are not classified as derivatives | |
Interest income on Non-Agency MBS that are rated below AA at the time of purchase and Interest-Only Strips that are not classified as derivatives are recognized based on the effective yield method. The effective yield on these securities is based on the projected cash flows from each security, which is estimated based on the Company's observation of the then current information and events and will include assumptions related to interest rates, prepayment rates and the timing and amount of credit losses. On at least a quarterly basis, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on input and analysis received from external sources, internal models, and its judgment about interest rates, prepayment rates, the timing and amount of credit losses (if applicable), and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the yield/interest income recognized on such securities. Actual maturities of the securities are affected by the contractual lives of the associated mortgage collateral, periodic payments of scheduled principal, and prepayments of principal. Therefore, actual maturities of the securities will generally be shorter than stated contractual maturities. | |
Based on the projected cash flow of the Non-Agency MBS purchased at a discount to par value, the Company may designate a portion of such purchase discount as credit protection against future credit losses and, therefore, not accrete such amount into interest income. The amount designated as credit discount may be adjusted over time, based on the actual performance of the security, its underlying collateral, actual and projected cash flow from such collateral, economic conditions and other factors. If the performance of a security with a credit discount is more favorable than forecasted, a portion of the amount designated as credit discount may be accreted into interest income prospectively | |
In addition, an other-than-temporary impairment is deemed to have occurred when there is an adverse change in the expected cash flows (principal or interest) to be received and the fair value of the security is less than its carrying amount. In determining whether an adverse change in cash flows occurred, the present value of the remaining cash flows, as estimated at the initial transaction date (or the last date previously revised), is compared to the present value of the expected cash flows at the current reporting date. The estimated cash flows reflect those a "market participant" would use and are discounted at a rate equal to the current yield used to accrete interest income. These adjustments are reflected in the Company's Statement of Operations as Other loss on Mortgage-backed securities. | |
The determination as to whether an other-than-temporary impairment exists is subject to management estimates based on consideration of both factual information available at the time of assessment as well as the Company's estimates of the future performance and projected amount and timing of cash flows expected to be collected on the security. As a result, the timing and amount of an other-than-temporary impairment constitutes an accounting estimate that may change materially over time. | |
Certain of the Company's MBS that are in an unrealized loss position at December 31, 2013 are not considered other-than-temporarily impaired because the Company has no intent to sell these investments, it is more likely than not that the Company will not be required to sell the investment before recovery of its amortized cost basis and the Company is not required to sell the security for regulatory or other reasons. | |
Sales of securities | ' |
Sales of securities | |
Sales of securities are driven by the Company's portfolio management process. The Company seeks to mitigate risks including those associated with prepayments and will opportunistically rotate the portfolio into securities the Company's Manager believe have more favorable attributes. Strategies may also be employed to manage net capital gains, which need to be distributed for tax purposes. Realized gains or losses on sales of securities, including Agency Interest-Only Strips not characterized as derivatives, are included in the net Realized gain (loss) on sale of Mortgage-backed securities and other securities, net line item on the Statement of Operations, and are recorded at the time of disposition. Realized gains or losses on sales of securities which are part of a linked transaction are included in Gain (loss) on linked transactions, net while realized gains losses on Interest-Only Strips which are characterized as derivatives are included in Gain (loss) on derivative instruments, net line item in the Statement of Operations. The cost of positions sold is calculated using the specific identification method. | |
Securities in an unrealized loss position at the end of each reporting period are evaluated by the Company's Manager to determine whether the Company has the intent to sell such securities. To the extent the Company has no intent to sell such investments and it is more likely than not that the Company will not be required to sell the investment before recovery of its amortized cost basis, such unrealized loss is included in Unrealized gain (loss) on Mortgage-backed securities and other securities, net in the Statement of Operations. Otherwise, when the Company has determined its intent to sell such securities, the unrealized loss is characterized as a realized loss and included in Other loss on Mortgage-backed securities on the Statement of Operations. | |
Due from counterparties/Due to counterparties | ' |
Due from counterparties/Due to counterparties | |
Due from counterparties represents cash posted with its counterparties as collateral for the Company's interest rate swaps and repurchase agreements. Due to counterparties represents cash posted with the Company by its counterparties as collateral under the Company's interest rate swaps, interest rate swaptions and repurchase agreements. In addition, as provided below, Due to counterparties may include non-cash collateral in which the Company has the obligation to return the collateral upon the Company either selling or pledging the non-cash collateral. To the extent the Company receives collateral other than cash from its counterparties such assets are not included in the Company's Balance Sheet. Notwithstanding the foregoing, if the Company either rehypothecates such assets or pledges the assets as collateral pursuant to a repurchase agreement, the cash received and the corresponding liability is reflected on the Balance Sheet. | |
Derivatives and hedging activities | ' |
Derivatives and hedging activities | |
Subject to maintaining its qualification as a REIT for U.S. federal income tax purposes, the Company utilizes derivative financial instruments, including interest rate swaps, swaptions, TBAs and Agency and Non-Agency Interest-Only Strips to hedge the interest rate risk associated with its portfolio and related borrowings. Derivatives are used for hedging purposes rather than speculation. The Company determines the fair value of its derivative positions and obtains quotations from a third party to facilitate the process of determining these fair values. If the Company's hedging activities do not achieve the desired results, reported earnings may be adversely affected. | |
GAAP requires an entity to recognize all derivatives as either assets or liabilities and to measure those instruments at fair value. The accounting for changes in the fair value of derivatives depends on the intended use of the derivative, whether the Company has elected to designate a derivative in a hedging relationship and apply hedge accounting and whether the hedging relationship has satisfied the criteria necessary to apply hedge accounting. Derivatives are classified as either hedges of the fair value of a recognized asset or liability or of an unrecognized firm commitment (fair value hedge) or hedges of a forecasted transaction or the variability of cash flows to be received or paid related to a recognized asset or liability (cash flow hedge). Fair value adjustments are recorded in earnings immediately, if the Company does not elect hedge accounting for a derivative instrument. | |
The Company elected not to apply hedge accounting for its derivative instruments and records the change in fair value and net interest rate swap payments (including accrued amounts) related to interest rate swaps in Gain (loss) on derivative instruments, net in its Statement of Operations. | |
The Company also invests in Agency and Non-Agency Interest-Only Strips, Agency and Non-Agency Inverse Interest-Only Strips, swaptions and TBAs. The Company evaluates the terms and conditions of its holdings of Agency and Non-Agency Interest-Only Strips, Agency and Non-Agency Inverse Interest-Only Strips, swaptions and TBAs to determine if these instruments have the characteristics of an investment or should be considered a derivative under GAAP. Accordingly, Agency and Non-Agency Interest-Only Strips, Agency and Non-Agency Inverse Interest-Only Strips, swaptions and TBAs having the characteristics of derivatives are accounted for at fair value with such changes recognized in Gain (loss) on derivative instruments, net in its Statement of Operations, along with any interest earned (including accrued amounts). The carrying value of these Agency and Non-Agency Interest-Only Strips, Agency and Non-Agency Inverse Interest-Only Strips, swaptions and TBAs is included in Mortgage-backed securities on the Balance Sheet. | |
The Company evaluates all of its financial instruments to determine if such instruments are derivatives or contain features that qualify as embedded derivatives. An embedded derivative is separated from the host contact and accounted for separately when all of the guidance criteria are met. Hybrid instruments that are remeasured at fair value through earnings, including the fair value option are not bifurcated. Derivative instruments, including derivative instruments accounted for as liabilities, are recorded at fair value and are re-valued at each reporting date, with changes in the fair value together with interest earned (including accrued amounts) reported in the Gain (loss) on derivatives, net in the Statements of Operations. See "Warrants" below. | |
Repurchase agreements | ' |
Repurchase agreements | |
Mortgage-backed securities sold under repurchase agreements are treated as collateralized financing transactions, unless they meet sales treatment. Securities financed through a repurchase agreement remain on the Company's Balance Sheet as an asset and cash received from the lender is recorded in the Company's Balance Sheet as a liability, unless they are accounted for as linked transactions, described below. Interest paid in accordance with repurchase agreements is recorded as interest expense, unless they are accounted for as linked transactions, described below. The Company reflects all proceeds from repurchase agreement borrowings and repayment of repurchase agreement borrowings which are not linked transactions, including transactions pertaining to collateral received with respect to certain swap transactions, on a gross basis on the Statement of Cash Flows. | |
Linked transactions | ' |
Linked transactions | |
In instances where the Company acquires securities through repurchase agreements with the same counterparty from whom the securities were purchased, the Company evaluates such transactions in accordance with GAAP. This guidance requires the initial transfer of a financial asset and repurchase financing that are entered into contemporaneously with, or in contemplation of, one another to be considered linked unless all of the criteria found in the guidance are met at the inception of the transaction. If the transaction meets all of the conditions, the initial transfer shall be accounted for separately from the repurchase financing, and the Company will record the securities and the related financing on a gross basis on its Balance Sheet with the corresponding interest income and interest expense in the Statements of Operations. If the transaction is determined to be linked, the Company will record the initial transfer and repurchase financing on a net basis and record a forward commitment to purchase securities as a derivative instrument with changes in market value being recorded on the Statement of Operations. Such forward commitments are recorded at fair value with subsequent changes in fair value recognized in Gain (loss) on linked transactions, net on its Statement of Operations. The Company refers to these transactions as Linked Transactions. When or if a transaction is no longer considered to be linked, the real estate security and related repurchase financing will be reported on a gross basis. The unlinking of a transaction causes a realized event in which the fair value of the real estate security as of the date of unlinking will become the cost basis of the real estate security. The difference between the fair value on the unlinking date and the existing cost basis of the security will be the realized gain or loss. Recognition of effective yield for such security will be calculated prospectively using the new cost basis. For linked transactions, the Company reflects purchases and sales of securities within the investing section of the Statement of Cash Flows. Proceeds from repurchase agreements borrowings and repayments of repurchase agreement borrowings are reflected in the financing section of the Statement of Cash Flows. | |
Share-based compensation | ' |
Share-based compensation | |
The Company accounts for share-based compensation to its independent directors, to its employees, to its Manager and to employees of its Manager and its affiliates using the fair value based methodology prescribed by GAAP. Compensation cost related to restricted common stock issued to the Company's independent directors including any such restricted stock which is subject to a deferred compensation program, and employees of the Company is measured at its fair value at the grant date, and amortized into expense over the service period on a straight-line basis. Compensation cost related to restricted common stock issued to the Manager and to employees of the Manager and its affiliates is initially measured at fair value at the grant date, and amortized into expense over the vesting period on a straight-line basis and re-measured on subsequent dates to the extent the awards are unvested. | |
Warrants | ' |
Warrants | |
For the Company's warrants, the Company uses a variation of the adjusted Black-Scholes option valuation model to record the financial instruments at their relative fair values at issuance. The warrants issued with the Company's common stock in the private placement to certain accredited institutional investors on May 15, 2012, were evaluated by the Company and were recorded at their relative fair value as a component of equity at the date of issuance. See "Derivatives and hedging activities" above. | |
Income taxes | ' |
Income taxes | |
The Company operates and has elected to be taxed as a REIT commencing with its taxable year ended December 31, 2012. Accordingly, the Company will generally not be subject to corporate U.S. federal or state income tax to the extent that the Company makes qualifying distributions to stockholders, and provided that the Company satisfies, on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, the Company will be subject to U.S. federal, state and local income taxes and may be precluded from qualifying as a REIT for the subsequent four taxable years following the year in which the Company lost its REIT qualification. Accordingly, the failure to qualify as a REIT could have a material adverse impact on the Company's results of operations and amounts available for distribution to stockholders. | |
The dividends paid deduction for qualifying dividends paid to stockholders is computed using the Company's taxable income as opposed to net income reported on the financial statements. Taxable income, generally, will differ from net income reported on the financial statements because the determination of taxable income is based on tax provisions and not GAAP. | |
The Company may create and elect to treat certain subsidiaries as Taxable REIT Subsidiaries ("TRS"). In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business. A TRS is subject to U.S. federal, state and local corporate income taxes, and its value may not exceed 25% of the value of the Company. While a TRS will generate net income, a TRS can declare dividends to the Company, which will be included in the Company's taxable income and necessitate a distribution to its stockholders. Conversely, if the Company retains earnings at the TRS level, no distribution is required and it can increase book equity of the consolidated entity. As of December 31, 2013, the Company did not have a TRS, or any other subsidiary. | |
The Company evaluates uncertain tax positions, if any, and classifies interest and penalties, if any, related to unrecognized tax benefits as a component of the provision for income taxes. | |
Offering costs | ' |
Offering costs | |
Offering costs borne by the Company in connection with the IPO and concurrent private placements completed on May 15, 2012 as well as its follow-on public stock offering completed on October 3, 2012 are reflected as a reduction of additional paid-in-capital. | |
Earnings per share | ' |
Earnings per share | |
GAAP requires use of the two-class method of computing earnings per share for all periods presented for each class of common stock and participating securities as if all earnings for the period had been distributed. Under the two-class method, during periods of net income, the net income is first reduced for dividends declared on all classes of securities to arrive at undistributed earnings. During periods of net losses, the net loss is reduced for dividends declared on participating securities only if the security has the right to participate in the earnings of the entity and an objectively determinable contractual obligation to share in net losses of the entity. The Company's participating securities are not allocated a share of the net loss as the participating securities do not have a contractual obligation to share in the net losses of the Company. | |
The remaining earnings are allocated to common stockholders and participating securities, to the extent that each security shares in earnings, as if all of the earnings for the period had been distributed. Each total is then divided by the applicable number of shares to arrive at basic earnings per share. For the diluted earnings, the denominator includes all outstanding common shares and all potential common shares assumed issued if they are dilutive. The numerator is adjusted for any changes in income or loss that would result from the assumed conversion of these potential common shares. | |
Comprehensive Income (Loss) | ' |
Comprehensive Income (Loss) | |
The Company has none of the components of comprehensive income (loss) and therefore comprehensive income (loss) is not presented. | |
Accounting standards applicable to emerging growth companies | ' |
Accounting standards applicable to emerging growth companies | |
The JOBS Act contains provisions that relax certain requirements for "emerging growth companies", which includes the Company. For as long as the Company is an emerging growth company, which may be up to five full fiscal years, unlike other public companies, the Company will not be required to: (i) comply with any new or revised financial accounting standards applicable to public companies until such standards are also applicable to private companies under Section 102(b)(1) of the JOBS Act; (ii) provide an auditor's attestation report on management's assessment of the effectiveness of the Company's system of internal control over financial reporting pursuant to Section 404 of the Sarbanes-Oxley Act; (iii) comply with any new requirements adopted by the PCAOB requiring mandatory audit firm rotation or a supplement to the auditor's report in which the auditor would be required to provide additional information about the audit and the financial statements of the issuer; or (iv) comply with any new audit rules adopted by the PCAOB after April 5, 2012, unless the SEC determines otherwise. | |
As noted above, under the JOBS Act, emerging growth companies can delay adopting new or revised accounting standards that have different effective dates for public and private companies until such time as those standards apply to private companies. The Company intends to take advantage of such extended transition period. Since the Company will not be required to comply with new or revised accounting standards on the relevant dates on which adoption of such standards is required for other public companies, its financial statements may not be comparable to the financial statements of companies that comply with public company effective dates. If the Company were to elect to comply with these public company effective dates, such election would be irrevocable pursuant to Section 107 of the JOBS Act. | |
Recent accounting pronouncements | ' |
Recent accounting pronouncements | |
Accounting Standards Adopted in 2013 | |
In December 2011, the FASB issued guidance requiring additional disclosure information about offsetting and related arrangements. Further in December 2012, the FASB proposed an update intended to address implementation of the December 2011 guidance. In January 2013, the FASB issued guidance to limit the scope of the new balance sheet and offsetting disclosure requirements of prior guidance related to certain derivatives (including bifurcated embedded derivatives), repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions. Entities will be required to disclose both gross information and net information about both instruments and transactions eligible for offset in the balance sheet as well as instruments and transactions subject to an agreement similar to a master netting arrangement. This scope would include derivatives, sale and repurchase agreements, reverse sale and repurchase agreements, and securities lending arrangements. The objective of this disclosure is to facilitate comparison between those entities that prepare their financial statements on the basis of GAAP and those entities that prepare their financial statements on the basis of International Financial Reporting Standards. The guidance is effective for periods beginning on or after January 1, 2013 and interim periods within those annual periods. While this guidance did result in certain additional disclosures, it did not have a material impact on the Company's financial statements. | |
Fair_Value_of_Financial_Instru1
Fair Value of Financial Instruments (Tables) | 12 Months Ended | |||||||||||||
Dec. 31, 2013 | ||||||||||||||
Fair Value of Financial Instruments | ' | |||||||||||||
Schedule of the entity's financial instruments carried at fair value based upon the balance sheet by the valuation hierarchy | ' | |||||||||||||
The following tables present the Company's financial instruments carried at fair value as of December 31, 2013 and December 31, 2012, based upon the valuation hierarchy (dollars in thousands): | ||||||||||||||
December 31, 2013 | ||||||||||||||
Fair Value | ||||||||||||||
Level I | Level II | Level III | Total | |||||||||||
Assets | ||||||||||||||
Agency RMBS | $ | — | $ | 2,360,073 | $ | — | $ | 2,360,073 | ||||||
Agency and Non-Agency Interest-Only Strips accounted for as derivatives, included in MBS | — | 109,235 | — | 109,235 | ||||||||||
Non-Agency RMBS | — | 352,056 | 6,152 | 358,208 | ||||||||||
Agency and Non-Agency CMBS | — | 16,542 | 9,529 | 26,071 | ||||||||||
| | | | | | | | | | | | | | |
Subtotal | — | 2,837,906 | 15,681 | 2,853,587 | ||||||||||
Derivative assets | — | 105,826 | — | 105,826 | ||||||||||
Non-Agency linked transactions | — | 18,559 | — | 18,559 | ||||||||||
| | | | | | | | | | | | | | |
Total | $ | — | $ | 2,962,291 | $ | 15,681 | $ | 2,977,972 | ||||||
| | | | | | | | | | | | | | |
Liabilities | ||||||||||||||
Derivative liabilities | $ | — | $ | 4,673 | $ | — | $ | 4,673 | ||||||
| | | | | | | | | | | | | | |
Total | $ | — | $ | 4,673 | $ | — | $ | 4,673 | ||||||
| | | | | | | | | | | | | | |
December 31, 2012 | ||||||||||||||
Fair value | ||||||||||||||
Level I | Level II | Level III | Total | |||||||||||
Assets | ||||||||||||||
Agency RMBS | $ | — | $ | 5,118,121 | $ | — | $ | 5,118,121 | ||||||
Non-Agency RMBS | 19,073 | 19,073 | ||||||||||||
Agency Interest-Only Strips accounted for as derivatives, included in RMBS | — | 75,387 | — | 75,387 | ||||||||||
| | | | | | | | | | | | | | |
Subtotal | 5,212,581 | 5,212,581 | ||||||||||||
Derivative assets | — | 24,344 | — | 24,344 | ||||||||||
| | | | | | | | | | | | | | |
Total | $ | — | $ | 5,236,925 | $ | — | $ | 5,236,925 | ||||||
| | | | | | | | | | | | | | |
Liabilities | ||||||||||||||
Derivative liabilities | $ | — | $ | 4,771 | $ | — | $ | 4,771 | ||||||
| | | | | | | | | | | | | | |
Total | $ | — | $ | 4,771 | $ | — | $ | 4,771 | ||||||
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
Schedule of additional information about the Company's MBS which is measured at fair value on a recurring basis for which the Company has utilized Level III inputs to determine fair value | ' | |||||||||||||
$ in thousands | Year ended | Period from May 15, 2012 | ||||||||||||
December 31, 2013 | (commencement of | |||||||||||||
operations) through | ||||||||||||||
December 31, 2012 | ||||||||||||||
Beginning balance | — | — | ||||||||||||
Transfers into Level III from Level II | 9,529 | — | ||||||||||||
Transfers out Level III into Level II | — | — | ||||||||||||
Purchases | 6,262 | — | ||||||||||||
Sales and settlements | — | — | ||||||||||||
Principal repayments | — | — | ||||||||||||
Total net gains / (losses) included in net income | — | — | ||||||||||||
Realized gains/(losses), net | — | — | ||||||||||||
Other loss on Mortgage-backed securities | (14 | ) | — | |||||||||||
Unrealized gains/(losses), net | (101 | ) | — | |||||||||||
Premium and discount amortization, net | 5 | — | ||||||||||||
| | | | | | | | |||||||
Ending balance | 15,681 | — | ||||||||||||
| | | | | | | | |||||||
| | | | | | | | |||||||
MortgageBacked_Securities_Tabl
Mortgage-Backed Securities (Tables) | 12 Months Ended | ||||||||||||||||||||||||||||
Dec. 31, 2013 | |||||||||||||||||||||||||||||
Mortgage-Backed Securities | ' | ||||||||||||||||||||||||||||
Summary of certain information about the Company's investment portfolio | ' | ||||||||||||||||||||||||||||
The following table presents certain information about the Company's investment portfolio at December 31, 2013 and December 31, 2012 (dollars in thousands). | |||||||||||||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||||||
Principal | Unamortized | Discount | Amortized | Unrealized | Estimated | Net | |||||||||||||||||||||||
Balance | Premium | Designated as | Cost | Gain | Fair Value | Weighted | |||||||||||||||||||||||
(Discount), | Credit | (Loss), net | Average | ||||||||||||||||||||||||||
net | Reserve and | Coupon(1) | |||||||||||||||||||||||||||
OTTI | |||||||||||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||||||||||
20-Year Mortgage | $ | 504,023 | $ | 28,498 | $ | — | $ | 532,521 | $ | (29,595 | ) | $ | 502,926 | 3.2 | % | ||||||||||||||
30-Year Mortgage | 1,677,863 | 144,356 | — | 1,822,219 | (127,981 | ) | 1,694,238 | 3.8 | % | ||||||||||||||||||||
Agency RMBS Interest-Only Strips | N/A | N/A | N/A | 158,825 | 4,084 | 162,909 | 4.4 | -2% | |||||||||||||||||||||
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives(3) | N/A | N/A | N/A | N/A | N/A | 109,235 | 4.6 | -2% | |||||||||||||||||||||
Non-Agency RMBS | 469,983 | (47,224 | ) | (79,898 | ) | 342,861 | 7,857 | 350,718 | 2.5 | % | |||||||||||||||||||
Non-Agency RMBS Interest-Only Strips | N/A | N/A | N/A | 7,420 | 70 | 7,490 | 5.2 | % | |||||||||||||||||||||
Agency and Non-Agency CMBS | 11,979 | (3,446 | ) | — | 8,533 | 996 | 9,529 | 1.6 | % | ||||||||||||||||||||
CMBS Interest-Only Strips | N/A | N/A | N/A | 16,682 | (140 | ) | 16,542 | 4.7 | -2% | ||||||||||||||||||||
| | | | | | | | | | | | | | | | | | | | | | | |||||||
Total | $ | 2,663,848 | $ | 122,184 | $ | (79,898 | ) | $ | 2,889,061 | $ | (144,709 | ) | $ | 2,853,587 | 3.6 | % | |||||||||||||
| | | | | | | | | | | | | | | | | | | | | | | |||||||
| | | | | | | | | | | | | | | | | | | | | | | |||||||
December 31, 2012 | |||||||||||||||||||||||||||||
Principal | Unamortized | Discount | Amortized | Unrealized | Estimated | Net | |||||||||||||||||||||||
Balance | Premium | Designated as | Cost | Gain | Fair Value | Weighted | |||||||||||||||||||||||
(Discount), | Credit | (Loss), net | Average | ||||||||||||||||||||||||||
net | Reserve and | Coupon(1) | |||||||||||||||||||||||||||
OTTI | |||||||||||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||||||||||
20-Year Mortgage | $ | 299,251 | $ | 20,460 | $ | $ | 319,711 | $ | (827 | ) | $ | 318,884 | 3.2 | % | |||||||||||||||
30-Year Mortgage | 4,180,104 | 352,378 | 4,532,482 | 17,489 | 4,549,971 | 3.7 | % | ||||||||||||||||||||||
CMO—Fixed-rate | 66,000 | 9,776 | 75,776 | (1,546 | ) | 74,230 | 6.5 | % | |||||||||||||||||||||
Agency Interest Only—Strips | N/A | N/A | 176,093 | (1,057 | ) | 175,036 | 4.5 | -2% | |||||||||||||||||||||
Agency Interest-Only Strips, accounted for as derivatives(3) | N/A | N/A | N/A | N/A | 75,387 | 4.9 | -2% | ||||||||||||||||||||||
Non-Agency RMBS | 37,372 | (5,511 | ) | (12,659 | ) | 19,202 | (129 | ) | 19,073 | 0.5 | % | ||||||||||||||||||
| | | | | | | | | | | | | | | | | | | | | | | |||||||
Total | $ | 4,582,727 | $ | 377,103 | $ | (12,659 | ) | $ | 5,123,264 | $ | 13,930 | $ | 5,212,581 | 3.9 | % | ||||||||||||||
| | | | | | | | | | | | | | | | | | | | | | | |||||||
| | | | | | | | | | | | | | | | | | | | | | | |||||||
-1 | |||||||||||||||||||||||||||||
Net weighted average coupon as of December 31, 2013 and December 31, 2012 is presented, net of servicing and other fees. | |||||||||||||||||||||||||||||
-2 | |||||||||||||||||||||||||||||
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives and CMBS Interest-Only Strips have no principal balances and earn contractual interest based on a notional balance. The notional balance is used solely to determine interest distributions on interest-only class of securities. | |||||||||||||||||||||||||||||
-3 | |||||||||||||||||||||||||||||
Interest on these securities is reported as a component of Gain (loss) on derivative instruments, net on the Statement of Operations. | |||||||||||||||||||||||||||||
Summary of the components of the carrying value of the Company's investment portfolio | ' | ||||||||||||||||||||||||||||
December 31, | December 31, | ||||||||||||||||||||||||||||
2013 | 2012 | ||||||||||||||||||||||||||||
Principal balance | $ | 2,663,848 | $ | 4,582,727 | |||||||||||||||||||||||||
Amortized cost of Interest-Only Strips | 182,927 | 176,093 | |||||||||||||||||||||||||||
Carrying value of Agency and Non-Agency Interest-Only Strips accounted for as derivatives | 109,235 | 75,387 | |||||||||||||||||||||||||||
Unamortized premium | 183,324 | 382,614 | |||||||||||||||||||||||||||
Unamortized discount | (61,140 | ) | (5,511 | ) | |||||||||||||||||||||||||
Discount designated as Credit Reserve and OTTI | (79,898 | ) | (12,659 | ) | |||||||||||||||||||||||||
Gross unrealized gains | 19,798 | 25,395 | |||||||||||||||||||||||||||
Gross unrealized losses | (164,507 | ) | (11,465 | ) | |||||||||||||||||||||||||
| | | | | | | | ||||||||||||||||||||||
Fair value | $ | 2,853,587 | $ | 5,212,581 | |||||||||||||||||||||||||
| | | | | | | | ||||||||||||||||||||||
| | | | | | | | ||||||||||||||||||||||
Schedule of changes in the components of purchase discount and amortizable premium on Non-Agency RMBS | ' | ||||||||||||||||||||||||||||
The following tables present the changes in the components of the Company's purchase discount and amortizable premium on its Non-Agency RMBS for the year ended December 31, 2013 and for the period from May 15, 2012 (commencement of operations) through December 31, 2012 (dollars in thousands): | |||||||||||||||||||||||||||||
Year ended December 31, 2013 | |||||||||||||||||||||||||||||
Discount Designated as | Accretable | Amortizable | |||||||||||||||||||||||||||
Credit Reserve and | Discount(1) | Premium | |||||||||||||||||||||||||||
OTTI | |||||||||||||||||||||||||||||
Balance at beginning of period | $ | (12,659 | ) | $ | (5,523 | ) | $ | 12 | |||||||||||||||||||||
Accretion of discount | — | 10,722 | — | ||||||||||||||||||||||||||
Amortization of premium | — | — | (2,001 | ) | |||||||||||||||||||||||||
Realized credit losses | 541 | — | — | ||||||||||||||||||||||||||
Purchases | (133,242 | ) | (89,697 | ) | 35,416 | ||||||||||||||||||||||||
Sales | 81,144 | 34,894 | (20,709 | ) | |||||||||||||||||||||||||
Net impairment losses recognized in earnings | (550 | ) | — | — | |||||||||||||||||||||||||
Unlinking of Linked Transactions | (21,986 | ) | (6,922 | ) | 3,438 | ||||||||||||||||||||||||
Transfers/release of credit reserve | 6,854 | (11,323 | ) | 4,469 | |||||||||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
Balance of end of period | $ | (79,898 | ) | $ | (67,849 | ) | $ | 20,625 | |||||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
-1 | |||||||||||||||||||||||||||||
Together with coupon interest, accretable purchase discount and amortizable premium is recognized as interest income over the life of the security. | |||||||||||||||||||||||||||||
For the period from May 15, 2012 | |||||||||||||||||||||||||||||
(commencement of operations) through | |||||||||||||||||||||||||||||
December 31, 2012 | |||||||||||||||||||||||||||||
Discount Designated as | Accretable | Amortizable | |||||||||||||||||||||||||||
Credit Reserve and | Discount(1) | Premium | |||||||||||||||||||||||||||
OTTI | |||||||||||||||||||||||||||||
Balance at beginning of period | $ | — | $ | — | $ | — | |||||||||||||||||||||||
Accretion of discount | — | 123 | — | ||||||||||||||||||||||||||
Amortization of premium | — | — | — | ||||||||||||||||||||||||||
Realized credit losses | — | — | — | ||||||||||||||||||||||||||
Purchases | (12,659 | ) | (5,634 | ) | — | ||||||||||||||||||||||||
Sales | — | — | — | ||||||||||||||||||||||||||
Net impairment losses recognized in earnings | — | — | — | ||||||||||||||||||||||||||
Unlinking of Linked Transactions | — | — | — | ||||||||||||||||||||||||||
Transfers/release of credit reserve | — | (12 | ) | 12 | |||||||||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
Balance of end of period | $ | (12,659 | ) | $ | (5,523 | ) | $ | 12 | |||||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
-1 | |||||||||||||||||||||||||||||
Together with coupon interest, accretable purchase discount and amortizable premium is recognized as interest income over the life of the security. | |||||||||||||||||||||||||||||
Schedule of gross unrealized losses and estimated fair value of the Company's MBS by length of time that such securities have been in a continuous unrealized loss position | ' | ||||||||||||||||||||||||||||
The following tables present the gross unrealized losses and estimated fair value of the Company's MBS by length of time that such securities have been in a continuous unrealized loss position at December 31, 2013: | |||||||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||||||||
Fair Value | Unrealized | Number of | Fair Value | Unrealized | Number of | Fair Value | Unrealized | Number of | |||||||||||||||||||||
Losses | Securities | Losses | Securities | Losses | Securities | ||||||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||||||||||
20-Year Mortgage | $ | 395,979 | $ | (21,466 | ) | 52 | $ | 106,947 | $ | (8,129 | ) | 8 | $ | 502,926 | $ | (29,595 | ) | 60 | |||||||||||
30-Year Mortgage | 1,242,871 | (94,688 | ) | 151 | 439,811 | (33,328 | ) | 26 | 1,682,682 | (128,016 | ) | 177 | |||||||||||||||||
Agency Interest-Only Strips | 69,773 | (4,210 | ) | 19 | — | — | — | 69,773 | (4,210 | ) | 19 | ||||||||||||||||||
Non-Agency RMBS | 104,706 | (2,546 | ) | 18 | — | — | — | 104,706 | (2,546 | ) | 18 | ||||||||||||||||||
Agency and Non-Agency CMBS | 16,542 | (140 | ) | 3 | — | — | — | 16,542 | (140 | ) | 3 | ||||||||||||||||||
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | $ | 1,829,871 | $ | (123,050 | ) | 243 | $ | 546,758 | $ | (41,457 | ) | 34 | $ | 2,376,629 | $ | (164,507 | ) | 277 | |||||||||||
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Summary of the components of interest income on the Company's MBS | ' | ||||||||||||||||||||||||||||
The following tables present components of interest income on the Company's MBS (dollars in thousands). | |||||||||||||||||||||||||||||
For the year ended December 31, 2013 | |||||||||||||||||||||||||||||
Coupon | Net (Premium | Interest | |||||||||||||||||||||||||||
Interest | Amortization/ | Income | |||||||||||||||||||||||||||
Amortization | |||||||||||||||||||||||||||||
Basis) Discount | |||||||||||||||||||||||||||||
Amortization | |||||||||||||||||||||||||||||
Agency RMBS | $ | 172,171 | $ | (60,320 | ) | $ | 111,851 | ||||||||||||||||||||||
Non-Agency RMBS | 4,757 | 8,282 | 13,039 | ||||||||||||||||||||||||||
Agency and Non-Agency CMBS | 544 | (106 | ) | 438 | |||||||||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
Total | $ | 177,472 | $ | (52,144 | ) | $ | 125,328 | ||||||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
For the period from May 15, 2012 | |||||||||||||||||||||||||||||
(commencement of | |||||||||||||||||||||||||||||
operations) through December 31, 2012 | |||||||||||||||||||||||||||||
Coupon | Net (Premium | Interest | |||||||||||||||||||||||||||
Interest | Amortization/ | Income | |||||||||||||||||||||||||||
Amortization | |||||||||||||||||||||||||||||
Basis) Discount | |||||||||||||||||||||||||||||
Amortization | |||||||||||||||||||||||||||||
Agency RMBS | $ | 80,093 | $ | (26,908 | ) | $ | 53,185 | ||||||||||||||||||||||
Non-Agency RMBS | 10 | 123 | 133 | ||||||||||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
Total | $ | 80,103 | $ | (26,785 | ) | $ | 53,318 | ||||||||||||||||||||||
| | | | | | | | | | | |||||||||||||||||||
Schedule of sales of the Company's MBS | ' | ||||||||||||||||||||||||||||
The following tables present the sales of the Company's MBS (dollars in thousands). | |||||||||||||||||||||||||||||
For the year ended December 31, 2013 | |||||||||||||||||||||||||||||
Proceeds | Gross | Gross | Net Gain | ||||||||||||||||||||||||||
Gains | Losses | (Loss) | |||||||||||||||||||||||||||
Agency RMBS(1) | $ | 3,491,805 | $ | 8,646 | $ | (127,252 | ) | $ | (118,606 | ) | |||||||||||||||||||
Non-Agency RMBS | 128,683 | 7,146 | (376 | ) | 6,770 | ||||||||||||||||||||||||
| | | | | | | | | | | | | | ||||||||||||||||
Total | $ | 3,620,488 | $ | 15,792 | $ | (127,628 | ) | $ | (111,836 | ) | |||||||||||||||||||
| | | | | | | | | | | | | | ||||||||||||||||
-1 | |||||||||||||||||||||||||||||
Includes proceeds for Agency Interest-Only Strips, accounted for as derivatives, of approximately $20.4 million and gross realized losses of $1.1 million. | |||||||||||||||||||||||||||||
For the period from May 15, 2012 | |||||||||||||||||||||||||||||
(commencement of | |||||||||||||||||||||||||||||
operations) through December 31, 2012 | |||||||||||||||||||||||||||||
Proceeds | Gross | Gross | Net Gain | ||||||||||||||||||||||||||
Gains | Losses | (Loss) | |||||||||||||||||||||||||||
Agency RMBS(1) | $ | 2,389,472 | $ | 23,169 | $ | (3,434 | ) | $ | 19,735 | ||||||||||||||||||||
Other Securities | 100,854 | 199 | — | 199 | |||||||||||||||||||||||||
| | | | | | | | | | | | | | ||||||||||||||||
Total | $ | 2,490,326 | $ | 23,368 | $ | (3,434 | ) | $ | 19,934 | ||||||||||||||||||||
| | | | | | | | | | | | | | ||||||||||||||||
-1 | |||||||||||||||||||||||||||||
Includes proceeds for Agency Interest-Only Strips, accounted for as derivatives, of approximately $18.5 million and gross realized losses of $820 thousand. | |||||||||||||||||||||||||||||
Borrowings_under_Repurchase_Ag1
Borrowings under Repurchase Agreements (Tables) | 12 Months Ended | ||||||||||
Dec. 31, 2013 | |||||||||||
Borrowings under Repurchase Agreements | ' | ||||||||||
Summary of certain characteristics of the Company's repurchase agreement | ' | ||||||||||
The following tables summarize certain characteristics of the Company's repurchase agreements at December 31, 2013 and December 31, 2012 (dollars in thousands): | |||||||||||
December 31, 2013 | |||||||||||
Securities Pledged | Repurchase | Weighted Average | Weighted Average | ||||||||
Agreement | Interest Rate on | Remaining Maturity | |||||||||
Borrowings | Borrowings | (days) | |||||||||
Outstanding at end | |||||||||||
of period | |||||||||||
Agency RMBS | $ | 2,331,276 | 0.43 | % | 24 | ||||||
Non-Agency RMBS | 230,247 | 1.71 | % | 18 | |||||||
Agency and Non-Agency CMBS | 17,544 | 1.33 | % | 58 | |||||||
| | | | | | | | | | | |
Total | $ | 2,579,067 | 0.55 | % | 24 | ||||||
| | | | | | | | | | | |
| | | | | | | | | | | |
December 31, 2012 | |||||||||||
Securities Pledged | Repurchase | Weighted Average | Weighted Average | ||||||||
Agreement | Interest Rate on | Remaining Maturity | |||||||||
Borrowings | Borrowings | (days) | |||||||||
Outstanding at end | |||||||||||
of period | |||||||||||
Agency RMBS | $ | 4,794,730 | 0.48 | % | 19 | ||||||
| | | | | | | | | | | |
Total | $ | 4,794,730 | 0.48 | % | 19 | ||||||
| | | | | | | | | | | |
| | | | | | | | | | | |
Schedule of repurchase agreements collateralized by MBS | ' | ||||||||||
At December 31, 2013, repurchase agreements collateralized by MBS had the following remaining maturities. | |||||||||||
(dollars in thousands) | Balance | ||||||||||
Overnight | $ | 323,025 | |||||||||
1 to 29 days | 1,393,356 | ||||||||||
30 to 59 days | 799,391 | ||||||||||
60 to 89 days | 63,295 | ||||||||||
90 to 119 days | — | ||||||||||
Greater than or equal to 120 days | — | ||||||||||
| | | | | |||||||
Total | $ | 2,579,067 | |||||||||
| | | | | |||||||
| | | | | |||||||
Schedule of amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty, including linked transactions | ' | ||||||||||
December 31, 2013 (dollars in thousands) | |||||||||||
Counterparty | Amount Collateral | Weighted Average | Percentage of | ||||||||
at Risk, at fair | Remaining | Stockholders' | |||||||||
value | Maturity (days) | Equity | |||||||||
Credit Suisse Securities (USA) LLC | $ | 58,442 | 25 | 14.3 | % | ||||||
Barclays Capital Inc. | 54,029 | 14 | 13.2 | ||||||||
JP Morgan Securities LLC | 47,112 | 1 | 11.5 |
Collateral_Positions_Tables
Collateral Positions (Tables) | 12 Months Ended | ||||||||||
Dec. 31, 2013 | |||||||||||
Collateral Positions | ' | ||||||||||
Summary of collateral positions, with respect to borrowings under repurchase agreements, derivatives and clearing margin account | ' | ||||||||||
The following tables summarize the Company's collateral positions, with respect to its borrowings under repurchase agreements, derivatives and clearing margin account at December 31, 2013 and December 31, 2012 (dollars in thousands): | |||||||||||
December 31, 2013 | |||||||||||
Assets | Accrued | Fair Value of | |||||||||
Pledged—Fair | Interest | Assets Pledged | |||||||||
Value | and Accrued | ||||||||||
Interest | |||||||||||
Assets pledged for borrowings under repurchase agreements: | |||||||||||
Agency RMBS | $ | 2,463,347 | $ | 10,453 | $ | 2,473,800 | |||||
Non-Agency RMBS | 332,003 | 443 | 332,446 | ||||||||
Agency and Non-Agency CMBS | 23,597 | 159 | 23,756 | ||||||||
Cash(1) | 32,597 | — | 32,597 | ||||||||
Cash collateral for derivatives(1): | 22,837 | — | 22,837 | ||||||||
| | | | | | | | | | | |
Total | $ | 2,874,381 | $ | 11,055 | $ | 2,885,436 | |||||
| | | | | | | | | | | |
| | | | | | | | | | | |
December 31, 2012 | |||||||||||
Assets | Accrued | Fair Value of | |||||||||
Pledged—Fair | Interest, as | Assets Pledged | |||||||||
Value | Revised(2) | and Accrued | |||||||||
Interest | |||||||||||
Assets pledged for borrowings under repurchase agreements: | |||||||||||
Agency RMBS | $ | 5,043,824 | $ | 15,552 | $ | 5,059,376 | |||||
Cash(1) | 35,982 | — | 35,982 | ||||||||
Cash collateral for derivatives(1): | 18,160 | — | 18,160 | ||||||||
| | | | | | | | | | | |
Total | $ | 5,097,966 | $ | 15,552 | $ | 5,113,518 | |||||
| | | | | | | | | | | |
| | | | | | | | | | | |
-1 | |||||||||||
Cash posted as collateral is included in Due from counterparties on the Company's Balance Sheets. | |||||||||||
-2 | |||||||||||
The accrued interest related to Agency RMBS was incorrectly disclosed as $67,551 in the Company's 2012 10-K, and has been revised above. | |||||||||||
Derivative_Instruments_Tables
Derivative Instruments (Tables) | 12 Months Ended | ||||||||||||||||||||
Dec. 31, 2013 | |||||||||||||||||||||
Derivative instruments | ' | ||||||||||||||||||||
Schedule of interest rate swaps, interest rate swaptions and TBA derivative instruments and linked transactions | ' | ||||||||||||||||||||
The Company's interest rate swaps, interest rate swaptions, TBA derivative instruments and linked transactions consisted of the following at December 31, 2013 and December 31, 2012 (dollars in thousands): | |||||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||
Derivative Instrument | Designation | Balance Sheet Location | Notional | Fair Value, | Accrued | ||||||||||||||||
Amount | excluding | Interest | |||||||||||||||||||
accrued | Payable | ||||||||||||||||||||
interest | |||||||||||||||||||||
Interest rate swaps, assets | Non-Hedge | Derivative assets, at fair value | $ | 2,135,950 | $ | 94,614 | $ | 9,994 | |||||||||||||
Interest rate swaptions, assets | Non-Hedge | Derivative assets, at fair value | 2,200,000 | 11,177 | — | ||||||||||||||||
TBA securities, assets | Non-Hedge | Derivative assets, at fair value | 13,600 | 35 | — | ||||||||||||||||
| | | | | | | | | | | | | | | |||||||
Total derivative instruments, assets | 4,349,550 | 105,826 | 9,994 | ||||||||||||||||||
| | | | | | | | | | | | | | | |||||||
Interest rate swaps, liability | Non-Hedge | Derivative liability, at fair value | 678,900 | (3,202 | ) | (26 | ) | ||||||||||||||
Interest rate swaptions, liability | Non-Hedge | Derivative liability, at fair value | 100,000 | (264 | ) | — | |||||||||||||||
TBA securities, liabilities | Non-Hedge | Derivative liability, at fair value | 176,400 | (1,207 | ) | — | |||||||||||||||
| | | | | | | | | | | | | | | |||||||
Total derivative instruments, liabilities | 955,300 | (4,673 | ) | (26 | ) | ||||||||||||||||
| | | | | | | | | | | | | | | |||||||
Linked transactions(1) | Non-Hedge | Linked transactions, net, at fair value | 56,028 | 18,559 | (207 | ) | |||||||||||||||
| | | | | | | | | | | | | | | |||||||
Total derivative instruments | $ | 5,360,878 | $ | 119,712 | $ | 9,761 | |||||||||||||||
| | | | | | | | | | | | | | | |||||||
-1 | |||||||||||||||||||||
Notional amount represents the current face of the securities comprising the linked transactions. | |||||||||||||||||||||
December 31, 2012 | |||||||||||||||||||||
Derivative Instrument | Designation | Balance Sheet Location | Notional | Fair Value, | Accrued | ||||||||||||||||
Amount | excluding | Interest | |||||||||||||||||||
accrued | Payable | ||||||||||||||||||||
interest | |||||||||||||||||||||
Interest rate swaps, assets | Non-Hedge | Derivative assets, at fair value | $ | 1,827,300 | $ | 11,201 | $ | 2,519 | |||||||||||||
Interest rate swaptions, assets | Non-Hedge | Derivative assets, at fair value | 520,000 | 10,087 | — | ||||||||||||||||
TBA securities, assets | Non-Hedge | Derivative assets, at fair value | 425,000 | 3,056 | — | ||||||||||||||||
| | | | | | | | | | | | | | | |||||||
Total derivative instruments, assets | 2,772,300 | 24,344 | 2,519 | ||||||||||||||||||
| | | | | | | | | | | | | | | |||||||
Interest rate swaps, liabilities | Non-Hedge | Derivative liability, at fair value | 984,500 | (3,552 | ) | 588 | |||||||||||||||
TBA securities, liabilities | Non-Hedge | Derivative liability, at fair value | 425,000 | (1,219 | ) | — | |||||||||||||||
| | | | | | | | | | | | | | | |||||||
Total derivative instruments, liabilities | 1,409,500 | (4,771 | ) | 588 | |||||||||||||||||
| | | | | | | | | | | | | | | |||||||
Total derivative instruments | $ | 4,181,800 | $ | 19,573 | $ | 3,107 | |||||||||||||||
| | | | | | | | | | | | | | | |||||||
| | | | | | | | | | | | | | | |||||||
Summary of long and short TBA positions reported in Derivative assets, at fair value on the Balance Sheet | ' | ||||||||||||||||||||
Following is a summary of the Company's long and short TBA positions reported in Derivative assets, at fair value on the Balance Sheet as of December 31, 2013 and December 31, 2012 (dollars in thousands): | |||||||||||||||||||||
December 31, 2013 | December 31, 2012 | ||||||||||||||||||||
Notional | Fair Value | Notional | Fair Value | ||||||||||||||||||
Amount | Amount | ||||||||||||||||||||
Purchase contracts, asset | $ | 13,600 | $ | 35 | $ | 425,000 | $ | 3,056 | |||||||||||||
| | | | | | | | | | | | | | ||||||||
TBA securities, asset | 13,600 | 35 | 425,000 | 3,056 | |||||||||||||||||
| | | | | | | | | | | | | | ||||||||
Purchase contracts, liability | 176,400 | (1,207 | ) | — | — | ||||||||||||||||
Sale contracts, liability | — | — | (425,000 | ) | (1,219 | ) | |||||||||||||||
| | | | | | | | | | | | | | ||||||||
TBA securities, liability | 176,400 | (1,207 | ) | (425,000 | ) | (1,219 | ) | ||||||||||||||
| | | | | | | | | | | | | | ||||||||
TBA securities, net | $ | 190,000 | $ | (1,172 | ) | $ | — | $ | 1,837 | ||||||||||||
| | | | | | | | | | | | | | ||||||||
| | | | | | | | | | | | | | ||||||||
Notional | Additions | Settlement, | Notional | ||||||||||||||||||
Amount as of | Termination, | Amount as of | |||||||||||||||||||
December 31, | Expiration | December 31, | |||||||||||||||||||
2012 | or Exercise | 2013 | |||||||||||||||||||
Purchase of TBAs | $ | 425,000 | 2,507,600 | $ | (2,742,600 | ) | $ | 190,000 | |||||||||||||
Sale of TBAs | $ | 425,000 | 2,350,000 | $ | (2,775,000 | ) | $ | — | |||||||||||||
Summary of the effect of interest rate swaps, swaptions, options, Agency and Non-Agency Interest-Only Strips as derivatives and TBAs reported in Gain (loss) on derivative instruments, net on the statement of Operations related to the Company's derivative instruments | ' | ||||||||||||||||||||
The below table summarizes the effect of interest rate swaps, swaptions, options, Agency and Non-Agency Interest-Only Strips as derivatives and TBAs reported in Gain (loss) on derivative instruments, net on our Statement of Operations for the year ended December 31, 2013 and for the period from May 15, 2012 (commencement of operations) through December 31, 2012 (dollars in thousands): | |||||||||||||||||||||
Year ended December 31, 2013 | |||||||||||||||||||||
Description | Realized | Contractual | Basis Recovery | Mark-to- | Total | ||||||||||||||||
Gain | interest income | market adjustments | |||||||||||||||||||
(Loss), net | (expense), | ||||||||||||||||||||
net(1) | |||||||||||||||||||||
Interest rate swaps | $ | 65,305 | $ | (22,932 | ) | $ | — | $ | 83,764 | $ | 126,137 | ||||||||||
Interest rate swaptions | 23,671 | — | — | 4,733 | 28,404 | ||||||||||||||||
Agency and Non-Agency Interest-Only Strips—accounted for as derivatives | (1,124 | ) | 28,273 | (18,010 | ) | (700 | ) | 8,439 | |||||||||||||
Options | (925 | ) | — | — | — | (925 | ) | ||||||||||||||
TBAs | (1,499 | ) | — | — | (3,009 | ) | (4,508 | ) | |||||||||||||
| | | | | | | | | | | | | | | | | |||||
Total | $ | 85,428 | $ | 5,341 | $ | (18,010 | ) | $ | 84,788 | $ | 157,547 | ||||||||||
| | | | | | | | | | | | | | | | | |||||
| | | | | | | | | | | | | | | | | |||||
For the period from May 15, 2012 (commencement of operations) | |||||||||||||||||||||
through December 31, 2012 | |||||||||||||||||||||
Description | Realized | Contractual | Basis | Mark-to- | Total | ||||||||||||||||
Gain | interest income | Recovery | market | ||||||||||||||||||
(Loss), net | (expense), | adjustments | |||||||||||||||||||
net(1) | |||||||||||||||||||||
Interest rate swaps | $ | (10,928 | ) | $ | (6,321 | ) | $ | — | $ | 7,649 | $ | (9,600 | ) | ||||||||
Interest rate swaptions | — | — | — | (3,180 | ) | (3,180 | ) | ||||||||||||||
Agency Interest-Only Strips—accounted for as derivatives | (820 | ) | 8,570 | (4,848 | ) | (5,065 | ) | (2,163 | ) | ||||||||||||
Options | — | — | — | — | — | ||||||||||||||||
TBAs | — | — | — | 1,837 | 1,837 | ||||||||||||||||
| | | | | | | | | | | | | | | | | |||||
| | | | | | | | | | | | | | | | | |||||
Total | $ | (11,748 | ) | $ | 2,249 | $ | (4,848 | ) | $ | 1,241 | $ | (13,106 | ) | ||||||||
| | | | | | | | | | | | | | | | | |||||
| | | | | | | | | | | | | | | | | |||||
-1 | |||||||||||||||||||||
Contractual interest income (expense), net on derivative instruments includes interest settlement paid or received. | |||||||||||||||||||||
Schedule of information related to the securities and repurchase agreements accounted for as part of linked transaction which is reported Gain (loss) on linked transactions, net on the Statement of Operations | ' | ||||||||||||||||||||
The following table presents certain information related to the securities and repurchase agreements accounted for as part of linked transaction which is reported in Linked transactions, net, at fair value on the Balance Sheet at December 31, 2013 and Gain (loss) on linked transactions, net on the Statement of Operations for the year ended December 31, 2013 (dollars in thousands): | |||||||||||||||||||||
For the Year Ended December 31, 2013 | Weighted | ||||||||||||||||||||
Average | |||||||||||||||||||||
Life (years)/ | |||||||||||||||||||||
Weighted | |||||||||||||||||||||
Average | |||||||||||||||||||||
days to | |||||||||||||||||||||
Instrument | Fair | Net Interest | Mark-to-market | Net Realized | Gain (loss) | Weighted | Maturity(2) | ||||||||||||||
Value(2) | Income(1) | adjustments | Gain (loss) | on linked | Average | ||||||||||||||||
(Expense) | on linked | transactions, | Coupon / Cost | ||||||||||||||||||
transactions | net | of Funds(2) | |||||||||||||||||||
Agency RMBS | $ | — | $ | 44 | $ | — | $ | (254 | ) | $ | (210 | ) | n/a | n/a | |||||||
Non-Agency RMBS | 79,746 | 1,371 | (56 | ) | 3,303 | 4,618 | 27.06 | % | 9.6 years | ||||||||||||
Agency Repurchase Agreement | — | (6 | ) | — | — | (6 | ) | n/a | n/a | ||||||||||||
Non-Agency Repurchase Agreement | (61,187 | ) | (265 | ) | — | — | (265 | ) | 1.7 | % | 63 days | ||||||||||
| | | | | | | | | | | | | | | | | | | | | |
Linked transactions, net, at fair value | $ | 18,559 | $ | 1,144 | $ | (56 | ) | $ | 3,049 | $ | 4,137 | n/a | n/a | ||||||||
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
-1 | |||||||||||||||||||||
Net interest income includes amortization of premium of $9 thousand for Agency RMBS and accretion of discount of $555 thousand for Non-Agency RMBS. | |||||||||||||||||||||
-2 | |||||||||||||||||||||
Includes information only for linked transactions at December 31, 2013. | |||||||||||||||||||||
Average Fixed Pay Rate | ' | ||||||||||||||||||||
Derivative instruments | ' | ||||||||||||||||||||
Summary of average fixed or variable pay rate and average maturity for the Company's interest rate swaps | ' | ||||||||||||||||||||
The following tables summarize the average fixed pay rate and average maturity for the Company's interest rate swaps as of December 31, 2013 and December 31, 2012 (excludes interest rate swaptions) (dollars in thousands): | |||||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||
Remaining Interest Rate interest rate swap Term | Notional | Average Fixed | Average | Forward | |||||||||||||||||
Amount | Pay Rate | Maturity | Starting | ||||||||||||||||||
(Years) | |||||||||||||||||||||
1 year or less | $ | 215,900 | 0.4 | % | 0.8 | — | % | ||||||||||||||
Greater than 1 year and less than 3 years | 179,100 | 0.5 | 1.9 | — | |||||||||||||||||
Greater than 3 years and less than 5 years | 574,200 | 1.3 | 4.4 | — | |||||||||||||||||
Greater than 5 years | 1,718,650 | 2.4 | 10.8 | 28.6 | |||||||||||||||||
| | | | | | | | | | | | | | ||||||||
Total | $ | 2,687,850 | 1.9 | % | 8 | 18.3 | % | ||||||||||||||
| | | | | | | | | | | | | | ||||||||
| | | | | | | | | | | | | | ||||||||
December 31, 2012 | |||||||||||||||||||||
Remaining Interest Rate interest rate swap Term | Notional | Average Fixed | Average | Forward | |||||||||||||||||
Amount | Pay Rate | Maturity | Starting | ||||||||||||||||||
(Years) | |||||||||||||||||||||
Greater than 1 year and less than 3 years | $ | 762,800 | 0.4 | % | 2.3 | 22.7 | % | ||||||||||||||
Greater than 3 years and less than 5 years | 439,500 | 0.8 | 4.8 | 10.2 | |||||||||||||||||
Greater than 5 years | 1,609,500 | 1.7 | 10.2 | 30.1 | |||||||||||||||||
| | | | | | | | | | | | | | ||||||||
Total | $ | 2,811,800 | 1.2 | % | 7.2 | 25 | % | ||||||||||||||
| | | | | | | | | | | | | | ||||||||
| | | | | | | | | | | | | | ||||||||
Average Variable Pay Rate | ' | ||||||||||||||||||||
Derivative instruments | ' | ||||||||||||||||||||
Summary of average fixed or variable pay rate and average maturity for the Company's interest rate swaps | ' | ||||||||||||||||||||
The following tables summarize the average variable pay-rate and average maturity for the Company's interest rate swaps as of December 31, 2013 (excludes interest rate swaptions) (dollars in thousands), the Company had no variable pay rate swaps at December 31, 2012: | |||||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||
Remaining Interest Rate interest rate swap Term | Notional | Average Variable | Average | Forward | |||||||||||||||||
Amount | Pay Rate | Maturity | Starting | ||||||||||||||||||
(Years) | |||||||||||||||||||||
Greater than 3 years and less than 5 years | $ | 81,000 | 0.2 | % | 4.8 | — | % | ||||||||||||||
Greater than 5 years | 46,000 | 0.2 | 24.1 | — | |||||||||||||||||
| | | | | | | | | | | | | | ||||||||
Total | $ | 127,000 | 0.2 | % | 11.8 | — | % | ||||||||||||||
| | | | | | | | | | | | | | ||||||||
| | | | | | | | | | | | | | ||||||||
Offsetting_Assets_and_Liabilit1
Offsetting Assets and Liabilities (Tables) | 12 Months Ended | |||||||||||||||||||
Dec. 31, 2013 | ||||||||||||||||||||
Offsetting Assets and Liabilities | ' | |||||||||||||||||||
Schedule of gross and net information about the Company's assets subject to master netting arrangements | ' | |||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||
Gross Amounts Not Offset | ||||||||||||||||||||
Net Amounts | in the Balance Sheet | |||||||||||||||||||
of Assets | ||||||||||||||||||||
presented in the | ||||||||||||||||||||
$s in thousands Description | Gross Amounts | Gross Amounts | Balance Sheet | Financial | Cash | Net Amount | ||||||||||||||
of Recognized | Offset in the | Instruments(1) | Collateral | |||||||||||||||||
Assets | Balance Sheet | Received | ||||||||||||||||||
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS | $ | 109,235 | $ | — | $ | 109,235 | $ | (109,235 | ) | $ | — | $ | — | |||||||
| | | | | | | | | | | | | | | | | | | | |
Derivative asset, at fair value | 105,826 | — | 105,826 | (3,501 | ) | (62,651 | ) | 39,674 | ||||||||||||
Linked transactions, net, at fair value | 79,746 | (61,187 | ) | 18,859 | — | — | 18,559 | |||||||||||||
| | | | | | | | | | | | | | | | | | | | |
Total | $ | 294,807 | $ | (61,187 | ) | $ | 233,620 | $ | (112,736 | ) | $ | (62,651 | ) | $ | 58,233 | |||||
| | | | | | | | | | | | | | | | | | | | |
As of December 31, 2012 | ||||||||||||||||||||
Gross Amounts Not Offset | ||||||||||||||||||||
Net Amounts | in the Balance Sheet | |||||||||||||||||||
of Assets | ||||||||||||||||||||
presented in the | ||||||||||||||||||||
$s in thousands Description | Gross Amounts | Gross Amounts | Balance Sheet | Financial | Cash | Net Amount | ||||||||||||||
of Recognized | Offset in the | Instruments(1) | Collateral | |||||||||||||||||
Assets | Balance Sheet | Received | ||||||||||||||||||
Agency Interest-Only Strips, accounted for as derivatives included in MBS | $ | 75,387 | $ | — | $ | 75,387 | $ | (46,686 | ) | $ | — | $ | 28,701 | |||||||
Derivative asset, at fair value | 24,344 | — | 24,344 | (3,552 | ) | — | 20,792 | |||||||||||||
| | | | | | | | | | | | | | | | | | | | |
Total | $ | 99,731 | $ | — | $ | 99,731 | $ | (50,238 | ) | $ | — | $ | 49,493 | |||||||
| | | | | | | | | | | | | | | | | | | | |
Schedule of gross and net information about the Company's liabilities subject to master netting arrangements | ' | |||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||||
Gross Amounts Not Offset | ||||||||||||||||||||
Net Amounts of | in the Balance Sheet | |||||||||||||||||||
Liabilities | ||||||||||||||||||||
presented in the | ||||||||||||||||||||
$s in thousands Description | Gross Amounts | Gross Amounts | Balance Sheet | Financial | Cash | Net Amount | ||||||||||||||
of Recognized | Offset in the | Instruments(1) | Collateral | |||||||||||||||||
Liabilities | Balance Sheet | Pledged(1) | ||||||||||||||||||
Derivative liability, at fair value(2) | $ | 4,673 | $ | — | $ | 4,673 | $ | (3,501 | ) | $ | — | $ | 1,172 | |||||||
Repurchase Agreements(3) | 2,579,067 | — | 2,579,067 | (2,579,067 | ) | — | — | |||||||||||||
| | | | | | | | | | | | | | | | | | | | |
$ | 2,583,740 | $ | — | $ | 2,583,740 | $ | (2,582,568 | ) | $ | — | $ | 1,172 | ||||||||
| | | | | | | | | | | | | | | | | | | | |
-1 | ||||||||||||||||||||
Amounts disclosed in the Financial Instruments column of the table above represent securities collateral pledged that is available to be offset against liability balances associated with repurchase agreement and derivative transactions. Amounts disclosed in the Cash Collateral Pledged column of the table above represents amounts pledged as collateral against derivative transactions. | ||||||||||||||||||||
-2 | ||||||||||||||||||||
Cash collateral pledged against the Company's Swaps was approximately $22.8 million as of December 31, 2013. | ||||||||||||||||||||
-3 | ||||||||||||||||||||
The fair value of securities pledged against the Company's repurchase agreements was approximately $2.8 billion as of December 31, 2013. | ||||||||||||||||||||
As of December 31, 2012 | ||||||||||||||||||||
Gross Amounts Not Offset | ||||||||||||||||||||
Net Amounts | in the Balance Sheet | |||||||||||||||||||
of Liabilities | ||||||||||||||||||||
presented in the | ||||||||||||||||||||
$s in thousands Description | Gross Amounts | Gross Amounts | Balance Sheet | Financial | Cash | Net Amount | ||||||||||||||
of Recognized | Offset in the | Instruments(1) | Collateral | |||||||||||||||||
Liabilities | Balance Sheet | Pledged(1) | ||||||||||||||||||
Derivative liability, at fair value(2) | $ | 4,771 | $ | — | $ | 4,771 | $ | (3,552 | ) | $ | — | $ | 1,219 | |||||||
Repurchase Agreements(3) | 4,794,730 | — | 4,794,730 | (4,794,730 | ) | — | ||||||||||||||
| | | | | | | | | | | | | | | | | | | | |
Total | $ | 4,799,501 | $ | — | $ | 4,799,501 | $ | (4,798,282 | ) | $ | — | $ | 1,219 | |||||||
| | | | | | | | | | | | | | | | | | | | |
-1 | ||||||||||||||||||||
Amounts disclosed in the Financial Instruments column of the table above represent securities collateral pledged that is available to be offset against liability balances associated with repurchase agreement and derivative transactions. Amounts disclosed in the Cash Collateral Pledged column of the table above represents amounts pledged as collateral against derivative transactions. | ||||||||||||||||||||
-2 | ||||||||||||||||||||
Cash collateral pledged against the Company's Swaps was approximately $18.2 million at December 31, 2012. | ||||||||||||||||||||
-3 | ||||||||||||||||||||
The fair value of securities pledged against the Company's repurchase agreements was approximately $5.1 billion at December 31, 2012. | ||||||||||||||||||||
ShareBased_Payments_Tables
Share-Based Payments (Tables) | 12 Months Ended | |||||||
Dec. 31, 2013 | ||||||||
Share-Based Payments | ' | |||||||
Summary of restricted common stock vesting dates | ' | |||||||
December 31, 2013 | December 31, 2012 | |||||||
Vesting Date | Shares Vesting | Shares Vesting | ||||||
Jan-13 | — | 3,485 | ||||||
May-13 | — | 21,553 | ||||||
Jan-14 | 7,685 | 3,485 | ||||||
Mar-14 | 54,852 | — | ||||||
May-14 | 18,707 | 17,053 | ||||||
Jun-14 | 6,279 | — | ||||||
Jan-15 | 7,685 | 3,485 | ||||||
Mar-15 | 54,852 | — | ||||||
May-15 | 18,707 | 17,053 | ||||||
Jan-16 | 3,860 | — | ||||||
Mar-16 | 54,852 | — | ||||||
| | | | | | | | |
227,479 | 66,114 | |||||||
| | | | | | | | |
| | | | | | | | |
Schedule of restricted stock activity | ' | |||||||
The following table presents information with respect to the Company's restricted stock for the year ended December 31, 2013 including shares whose issuance has been deferred under the Director Deferred Fee Plan: | ||||||||
Shares of | Weighted Average | |||||||
Restricted Stock | Grant Date Fair | |||||||
Value(1) | ||||||||
Outstanding at beginning of period | 66,114 | $ | 19.86 | |||||
Granted(2) | 186,403 | 20.51 | ||||||
Cancelled/forfeited | — | — | ||||||
| | | | | | | | |
Outstanding at end of year | 252,517 | $ | 20.34 | |||||
| | | | | | | | |
Unvested at end of year | 227,479 | $ | 20.39 | |||||
| | | | | | | | |
| | | | | | | | |
-1 | ||||||||
The grant date fair value of restricted stock awards is based on the closing market price of the Company's common stock at the grant date. | ||||||||
-2 | ||||||||
Included in Granted are restricted stock attributed to the stock portion of the December 19, 2013 dividend on restricted stock of 19,565 shares and restricted stock attributed to dividends on restricted stock under the Director Deferred Fee Plan of 1,392 shares. | ||||||||
The following table presents information with respect to the Company's restricted stock for the period ended December 31, 2012: | ||||||||
Shares of | Weighted Average | |||||||
Restricted Stock | Grant Date Fair | |||||||
Value(1) | ||||||||
Outstanding at beginning of period | — | $ | — | |||||
Granted | 66,114 | $ | 19.86 | |||||
Cancelled/forfeited | — | $ | — | |||||
| | | | | | | | |
Outstanding at end of year | 66,114 | $ | 19.86 | |||||
| | | | | | | | |
Unvested at end of year | 66,114 | $ | 19.86 | |||||
| | | | | | | | |
| | | | | | | | |
-1 | ||||||||
The grant date fair value of restricted stock awards is based on the closing market price of the Company's common stock at the grant date. | ||||||||
Net_Income_loss_per_Common_Sha1
Net Income (loss) per Common Share (Tables) | 12 Months Ended | |||||||
Dec. 31, 2013 | ||||||||
Net Income (Loss) per Common Share | ' | |||||||
Schedule of basic and diluted net income (loss) per share of common stock | ' | |||||||
The table below presents basic and diluted net income (loss) per share of common stock using the two-class method for the year ended December 31, 2013 and for the period from May 15, 2012 (commencement of operations) through December 31, 2012 (dollars, other than shares and per share amounts, in thousands): | ||||||||
For the Year Ended | For the Period from | |||||||
December 31, 2013 | May 15, 2012 | |||||||
(commencement of | ||||||||
operations) through | ||||||||
December 31, 2012 | ||||||||
Numerator: | ||||||||
Net income (loss) attributable to common stockholders and participating securities for basic and diluted earnings per share | $ | (27,855 | ) | $ | 57,277 | |||
Less: | ||||||||
Dividends and undistributed earnings allocated to participating securities | 961 | 234 | ||||||
| | | | | | | | |
Net income (loss) allocable to common stockholders—basic and diluted | $ | (28,816 | ) | $ | 57,043 | |||
| | | | | | | | |
| | | | | | | | |
Denominator: | ||||||||
Weighted average common shares outstanding for basic earnings per share | 24,185,037 | 15,654,453 | ||||||
| | | | | | | | |
| | | | | | | | |
Weighted average diluted shares outstanding (stock awards) | — | 9,045 | ||||||
Weighted average diluted shares outstanding (warrants) | — | 55,735 | ||||||
| | | | | | | | |
Weighted average common shares outstanding for diluted earnings per share | 24,185,037 | 15,719,233 | ||||||
| | | | | | | | |
| | | | | | | | |
Basic earnings per common share | $ | (1.19 | ) | $ | 3.64 | |||
| | | | | | | | |
| | | | | | | | |
Diluted earnings per common share | $ | (1.19 | ) | $ | 3.63 | |||
| | | | | | | | |
| | | | | | | | |
Summarized_Quarterly_Results_T
Summarized Quarterly Results (Tables) | 12 Months Ended | |||||||||||||
Dec. 31, 2013 | ||||||||||||||
Summarized Quarterly Results (unaudited) | ' | |||||||||||||
Schedule of presentation of selected unaudited results of operations | ' | |||||||||||||
Quarter Ended | ||||||||||||||
March 31, 2013 | June 30, 2013, | September 30, 2013 | December 31, 2013 | |||||||||||
Revised(1) | ||||||||||||||
Net Interest Income: | ||||||||||||||
Interest income | $ | 33,750 | $ | 32,742 | $ | 30,654 | $ | 28,182 | ||||||
Interest expense | 5,181 | 4,522 | 4,273 | 4,043 | ||||||||||
| | | | | | | | | | | | | | |
Net Interest Income | 28,569 | 28,220 | 26,381 | 24,139 | ||||||||||
| | | | | | | | | | | | | | |
Other Income (Loss): | ||||||||||||||
Interest income on cash balances and other income | 33 | 12 | 11 | 35 | ||||||||||
Realized gain (loss) on sale of Mortgage-backed securities and other securities, net | (11,660 | ) | (6,083 | ) | (46,142 | ) | (46,827 | ) | ||||||
Other loss on Mortgage-backed securities | (2,268 | ) | (3,533 | ) | (2,363 | ) | (3,694 | ) | ||||||
Unrealized gain (loss) on Mortgage-backed securities and other securities, net | (54,759 | ) | (156,286 | ) | 37,528 | 13,408 | ||||||||
Gain (loss) on linked transactions, net | 596 | 3,909 | (547 | ) | 179 | |||||||||
Gain (loss) on derivative instruments, net | 14,840 | 109,474 | (3,809 | ) | 37,042 | |||||||||
| | | | | | | | | | | | | | |
Other Income (Loss), net | (53,218 | ) | (52,507 | ) | (15,322 | ) | 143 | |||||||
| | | | | | | | | | | | | | |
Operating Expenses: | ||||||||||||||
General and administrative | 1,737 | 1,541 | 1,484 | 1,684 | ||||||||||
Management fee—related party | 2,113 | 1,826 | 2,032 | 1,843 | ||||||||||
| | | | | | | | | | | | | | |
Total Operating Expenses | 3,850 | 3,367 | 3,516 | 3,527 | ||||||||||
| | | | | | | | | | | | | | |
Net income (loss) available to Common Stock and participating securities | $ | (28,499 | ) | $ | (27,654 | ) | $ | 7,543 | $ | 20,755 | ||||
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
Net income (loss) per Common Share—Basic | $ | (1.18 | ) | $ | (1.16 | ) | $ | 0.31 | $ | 0.83 | ||||
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
Net income (loss) per Common Share—Diluted | $ | (1.18 | ) | $ | (1.16 | ) | $ | 0.31 | $ | 0.83 | ||||
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
-1 | ||||||||||||||
The Company identified an error relating to Basic and Diluted Net Loss per share amounts of $1.14 for the three month period ended June 30, 2013, as previously reported in the June 30, 2013 Form 10-Q. The error understated Basic and Diluted Net Loss per share by $0.02 per share. Management evaluated the impact of the error on the previously reported financial statements and concluded the impact was not material to the financial statements for the three month period ended June 30, 2013 taken as a whole. However, Management has elected to revise the per share amounts to correct for the impact of this error and the revised amounts of $1.16 per share are reflected above. | ||||||||||||||
For the period from | ||||||||||||||
May 15, 2012 | ||||||||||||||
(commencement of | ||||||||||||||
operations) through | ||||||||||||||
June 30, 2012, as | Quarter Ended | |||||||||||||
Revised | September 30, | December 31, | ||||||||||||
2012, | 2012 | |||||||||||||
as Revised | ||||||||||||||
Net Interest Income: | ||||||||||||||
Interest income | $ | 7,083 | $ | 12,987 | $ | 33,248 | ||||||||
Interest expense | 725 | 1,935 | 5,434 | |||||||||||
| | | | | | | | | | | ||||
Net Interest Income | 6,358 | 11,052 | 27,814 | |||||||||||
| | | | | | | | | | | ||||
Other Income (Loss): | ||||||||||||||
Interest income on cash balances | — | 2 | 9 | |||||||||||
Realized gain on sale of Residential mortgage-backed securities and other securities, net | 1,157 | 6,635 | 12,962 | |||||||||||
Other loss on Residential mortgage-backed securities | (87 | ) | (1,352 | ) | (1,767 | ) | ||||||||
Unrealized gain (loss) on Residential mortgage-backed securities and other securities, net | 2,983 | 26,225 | (15,278 | ) | ||||||||||
Gain (loss) on derivative instruments, net | (5,159 | ) | (12,245 | ) | 4,298 | |||||||||
| | | | | | | | | | | ||||
Other Income (loss), net | (1,106 | ) | 19,265 | 224 | ||||||||||
| | | | | | | | | | | ||||
Operating Expenses: | ||||||||||||||
General and administrative | 584 | 1,321 | 1,292 | |||||||||||
Management fee—related party | 407 | 802 | 1,924 | |||||||||||
| | | | | | | | | | | ||||
Total Operating Expenses | 991 | 2,123 | 3,216 | |||||||||||
| | | | | | | | | | | ||||
Net income available to Common Stock and participating securities | $ | 4,261 | $ | 28,194 | $ | 24,822 | ||||||||
| | | | | | | | | | | ||||
| | | | | | | | | | | ||||
Earnings per Common Share—Basic | $ | 0.41 | $ | 2.73 | $ | 1.04 | ||||||||
| | | | | | | | | | | ||||
| | | | | | | | | | | ||||
Earnings per Common Share—Diluted | $ | 0.41 | $ | 2.72 | $ | 1.04 | ||||||||
| | | | | | | | | | | ||||
| | | | | | | | | | | ||||
Organization_Details
Organization (Details) (Manager, USD $) | Dec. 31, 2013 |
In Millions, unless otherwise specified | |
Manager | ' |
Organization | ' |
Offering and other related organization costs reimbursed | $1.20 |
Summary_of_Significant_Account2
Summary of Significant Accounting Policies (Details) (USD $) | 12 Months Ended |
In Thousands, unless otherwise specified | Dec. 31, 2013 |
price | |
segment | |
Summary of Significant Accounting Policies | ' |
Number of business segments | 1 |
Credit valuation adjustment- interest rate derivative assets | $0 |
Credit valuation adjustment- interest rate derivative liabilities | $0 |
Number of independent pricing service price for each investment in its portfolio | 1 |
Income taxes | ' |
Number of years the entity will be precluded from qualifying as a REIT | '4 years |
Maximum value of TRS expressed as a percentage of the value of the entity | 25.00% |
Fair_Value_of_Financial_Instru2
Fair Value of Financial Instruments (Details) (USD $) | 1 Months Ended | 3 Months Ended | 8 Months Ended | 12 Months Ended | |||||
In Thousands, unless otherwise specified | Jun. 30, 2012 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Dec. 31, 2012 | Dec. 31, 2013 |
transfer | |||||||||
price | |||||||||
Assets | ' | ' | ' | ' | ' | ' | ' | ' | ' |
MBS | ' | $2,853,587 | ' | ' | ' | $5,212,581 | ' | $5,212,581 | $2,853,587 |
Derivative assets | ' | 105,826 | ' | ' | ' | 24,344 | ' | 24,344 | 105,826 |
Non-Agency linked transactions | ' | 18,559 | ' | ' | ' | ' | ' | ' | 18,559 |
Liabilities | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Derivative liabilities | ' | 4,673 | ' | ' | ' | 4,771 | ' | 4,771 | 4,673 |
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Other loss on Mortgage-backed securities | -87 | -3,694 | -2,363 | -3,533 | -2,268 | -1,767 | -1,352 | -3,206 | -11,858 |
Premium and discount amortization, net | ' | ' | ' | ' | ' | ' | ' | -16,725 | -21,053 |
Number of transfers between hierarchy levels | ' | ' | ' | ' | ' | ' | ' | ' | 1 |
Number of independent pricing service price for each investment in its portfolio | ' | ' | ' | ' | ' | ' | ' | ' | 1 |
Agency RMBS | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Premium and discount amortization, net | ' | ' | ' | ' | ' | ' | ' | -26,908 | -60,320 |
Agency Interest-Only Strips accounted for as derivatives, included in RMBS | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Assets | ' | ' | ' | ' | ' | ' | ' | ' | ' |
MBS | ' | ' | ' | ' | ' | 75,387 | ' | 75,387 | ' |
Agency and Non-Agency Interest-Only Strips accounted for as derivatives, included in MBS | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Assets | ' | ' | ' | ' | ' | ' | ' | ' | ' |
MBS | ' | 109,235 | ' | ' | ' | ' | ' | ' | 109,235 |
Non-Agency RMBS | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Assets | ' | ' | ' | ' | ' | ' | ' | ' | ' |
MBS | ' | 350,718 | ' | ' | ' | 19,073 | ' | 19,073 | 350,718 |
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Other loss on Mortgage-backed securities | ' | ' | ' | ' | ' | ' | ' | ' | -550 |
Premium and discount amortization, net | ' | ' | ' | ' | ' | ' | ' | 123 | 8,282 |
Agency and Non-Agency CMBS | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Assets | ' | ' | ' | ' | ' | ' | ' | ' | ' |
MBS | ' | 9,529 | ' | ' | ' | ' | ' | ' | 9,529 |
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Premium and discount amortization, net | ' | ' | ' | ' | ' | ' | ' | ' | -106 |
Mortgage-Backed Securities | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Assets | ' | ' | ' | ' | ' | ' | ' | ' | ' |
MBS | ' | 2,853,587 | ' | ' | ' | 5,212,581 | ' | 5,212,581 | 2,853,587 |
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Premium and discount amortization, net | ' | ' | ' | ' | ' | ' | ' | -26,785 | -52,144 |
Level II | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Assets | ' | ' | ' | ' | ' | ' | ' | ' | ' |
MBS | ' | 2,837,906 | ' | ' | ' | 5,212,581 | ' | 5,212,581 | 2,837,906 |
Derivative assets | ' | 105,826 | ' | ' | ' | 24,344 | ' | 24,344 | 105,826 |
Non-Agency linked transactions | ' | 18,559 | ' | ' | ' | ' | ' | ' | 18,559 |
Total | ' | 2,962,291 | ' | ' | ' | 5,236,925 | ' | 5,236,925 | 2,962,291 |
Liabilities | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Derivative liabilities | ' | 4,673 | ' | ' | ' | 4,771 | ' | 4,771 | 4,673 |
Total | ' | 4,673 | ' | ' | ' | 4,771 | ' | 4,771 | 4,673 |
Level II | Agency RMBS | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Assets | ' | ' | ' | ' | ' | ' | ' | ' | ' |
MBS | ' | 2,360,073 | ' | ' | ' | 5,118,121 | ' | 5,118,121 | 2,360,073 |
Level II | Agency Interest-Only Strips accounted for as derivatives, included in RMBS | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Assets | ' | ' | ' | ' | ' | ' | ' | ' | ' |
MBS | ' | ' | ' | ' | ' | 75,387 | ' | 75,387 | ' |
Level II | Agency and Non-Agency Interest-Only Strips accounted for as derivatives, included in MBS | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Assets | ' | ' | ' | ' | ' | ' | ' | ' | ' |
MBS | ' | 109,235 | ' | ' | ' | ' | ' | ' | 109,235 |
Level II | Non-Agency RMBS | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Assets | ' | ' | ' | ' | ' | ' | ' | ' | ' |
MBS | ' | 352,056 | ' | ' | ' | 19,073 | ' | 19,073 | 352,056 |
Level II | Agency and Non-Agency CMBS | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Assets | ' | ' | ' | ' | ' | ' | ' | ' | ' |
MBS | ' | 16,542 | ' | ' | ' | ' | ' | ' | 16,542 |
Level III | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Assets | ' | ' | ' | ' | ' | ' | ' | ' | ' |
MBS | ' | 15,681 | ' | ' | ' | ' | ' | ' | 15,681 |
Total | ' | 15,681 | ' | ' | ' | ' | ' | ' | 15,681 |
Level III | Non-Agency RMBS | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Assets | ' | ' | ' | ' | ' | ' | ' | ' | ' |
MBS | ' | 6,152 | ' | ' | ' | ' | ' | ' | 6,152 |
Level III | Agency and Non-Agency CMBS | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Assets | ' | ' | ' | ' | ' | ' | ' | ' | ' |
MBS | ' | 9,529 | ' | ' | ' | ' | ' | ' | 9,529 |
Level III | Recurring basis | Mortgage-Backed Securities | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Transfers into Level III from Level II | ' | ' | ' | ' | ' | ' | ' | ' | 9,529 |
Purchases | ' | ' | ' | ' | ' | ' | ' | ' | 6,262 |
Other loss on Mortgage-backed securities | ' | ' | ' | ' | ' | ' | ' | ' | -14 |
Unrealized gains/(losses), net | ' | ' | ' | ' | ' | ' | ' | ' | -101 |
Premium and discount amortization, net | ' | ' | ' | ' | ' | ' | ' | ' | 5 |
Ending balance | ' | 15,681 | ' | ' | ' | ' | ' | ' | 15,681 |
Total | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Assets | ' | ' | ' | ' | ' | ' | ' | ' | ' |
MBS | ' | 2,853,587 | ' | ' | ' | 5,212,581 | ' | 5,212,581 | 2,853,587 |
Derivative assets | ' | 105,826 | ' | ' | ' | 24,344 | ' | 24,344 | 105,826 |
Non-Agency linked transactions | ' | 18,559 | ' | ' | ' | ' | ' | ' | 18,559 |
Total | ' | 2,977,972 | ' | ' | ' | 5,236,925 | ' | 5,236,925 | 2,977,972 |
Liabilities | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Derivative liabilities | ' | 4,673 | ' | ' | ' | 4,771 | ' | 4,771 | 4,673 |
Total | ' | 4,673 | ' | ' | ' | 4,771 | ' | 4,771 | 4,673 |
Total | Agency RMBS | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Assets | ' | ' | ' | ' | ' | ' | ' | ' | ' |
MBS | ' | 2,360,073 | ' | ' | ' | 5,118,121 | ' | 5,118,121 | 2,360,073 |
Total | Agency Interest-Only Strips accounted for as derivatives, included in RMBS | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Assets | ' | ' | ' | ' | ' | ' | ' | ' | ' |
MBS | ' | ' | ' | ' | ' | 75,387 | ' | 75,387 | ' |
Total | Agency and Non-Agency Interest-Only Strips accounted for as derivatives, included in MBS | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Assets | ' | ' | ' | ' | ' | ' | ' | ' | ' |
MBS | ' | 109,235 | ' | ' | ' | ' | ' | ' | 109,235 |
Total | Non-Agency RMBS | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Assets | ' | ' | ' | ' | ' | ' | ' | ' | ' |
MBS | ' | 358,208 | ' | ' | ' | 19,073 | ' | 19,073 | 358,208 |
Total | Agency and Non-Agency CMBS | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Assets | ' | ' | ' | ' | ' | ' | ' | ' | ' |
MBS | ' | $26,071 | ' | ' | ' | ' | ' | ' | $26,071 |
Fair_Value_of_Financial_Instru3
Fair Value of Financial Instruments (Details 2) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Financial Liabilities: | ' | ' |
Repurchase agreements | $2,579,067 | $4,794,730 |
Carrying Value | ' | ' |
Financial Liabilities: | ' | ' |
Repurchase agreements | 2,600,000 | ' |
Estimated Fair Value | ' | ' |
Financial Liabilities: | ' | ' |
Repurchase agreements | $2,600,000 | ' |
MortgageBacked_Securities_Deta
Mortgage-Backed Securities (Details) (USD $) | 8 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Dec. 31, 2012 | Dec. 31, 2013 |
Mortgage-Backed Securities | ' | ' |
Estimated fair value | $5,212,581 | $2,853,587 |
Mortgage-Backed Securities | ' | ' |
Mortgage-Backed Securities | ' | ' |
Principal balance | 4,582,727 | 2,663,848 |
Unamortized Premium (Discount), net | 377,103 | 122,184 |
Discount Designated as Credit Reserve and OTTI | -12,659 | -79,898 |
Amortized Cost | 5,123,264 | 2,889,061 |
Unrealized Gain (Loss), net | 13,930 | -144,709 |
Estimated fair value | 5,212,581 | 2,853,587 |
Net Weighted Average Coupon (as a percent) | 3.90% | 3.60% |
Weighted average expected remaining term to the expected maturity of investment portfolio | ' | '8 years 6 months |
20-Year Mortgage | ' | ' |
Mortgage-Backed Securities | ' | ' |
Maturity period | '20 years | '20 years |
Principal balance | 299,251 | 504,023 |
Unamortized Premium (Discount), net | 20,460 | 28,498 |
Amortized Cost | 319,711 | 532,521 |
Unrealized Gain (Loss), net | -827 | -29,595 |
Estimated fair value | 318,884 | 502,926 |
Net Weighted Average Coupon (as a percent) | 3.20% | 3.20% |
30-Year Mortgage | ' | ' |
Mortgage-Backed Securities | ' | ' |
Maturity period | '30 years | '30 years |
Principal balance | 4,180,104 | 1,677,863 |
Unamortized Premium (Discount), net | 352,378 | 144,356 |
Amortized Cost | 4,532,482 | 1,822,219 |
Unrealized Gain (Loss), net | 17,489 | -127,981 |
Estimated fair value | 4,549,971 | 1,694,238 |
Net Weighted Average Coupon (as a percent) | 3.70% | 3.80% |
Agency RMBS Interest-Only Strips | ' | ' |
Mortgage-Backed Securities | ' | ' |
Amortized Cost | 176,093 | 158,825 |
Unrealized Gain (Loss), net | -1,057 | 4,084 |
Estimated fair value | 175,036 | 162,909 |
Net Weighted Average Coupon (as a percent) | 4.50% | 4.40% |
Agency and Non-Agency Interest-Only Strips accounted for as derivatives, included in MBS | ' | ' |
Mortgage-Backed Securities | ' | ' |
Estimated fair value | ' | 109,235 |
Net Weighted Average Coupon (as a percent) | ' | 4.60% |
CMO-Fixed Rate | ' | ' |
Mortgage-Backed Securities | ' | ' |
Principal balance | 66,000 | ' |
Unamortized Premium (Discount), net | 9,776 | ' |
Amortized Cost | 75,776 | ' |
Unrealized Gain (Loss), net | -1,546 | ' |
Estimated fair value | 74,230 | ' |
Net Weighted Average Coupon (as a percent) | 6.50% | ' |
Agency Interest-Only Strips accounted as derivatives | ' | ' |
Mortgage-Backed Securities | ' | ' |
Estimated fair value | 75,387 | ' |
Net Weighted Average Coupon (as a percent) | 4.90% | ' |
Non-Agency RMBS | ' | ' |
Mortgage-Backed Securities | ' | ' |
Principal balance | 37,372 | 469,983 |
Unamortized Premium (Discount), net | -5,511 | -47,224 |
Discount Designated as Credit Reserve and OTTI | -12,659 | -79,898 |
Amortized Cost | 19,202 | 342,861 |
Unrealized Gain (Loss), net | -129 | 7,857 |
Estimated fair value | 19,073 | 350,718 |
Net Weighted Average Coupon (as a percent) | 0.50% | 2.50% |
Non-Agency RMBS Interest- Only Strips | ' | ' |
Mortgage-Backed Securities | ' | ' |
Amortized Cost | ' | 7,420 |
Unrealized Gain (Loss), net | ' | 70 |
Estimated fair value | ' | 7,490 |
Net Weighted Average Coupon (as a percent) | ' | 5.20% |
Agency and Non-Agency CMBS | ' | ' |
Mortgage-Backed Securities | ' | ' |
Principal balance | ' | 11,979 |
Unamortized Premium (Discount), net | ' | -3,446 |
Amortized Cost | ' | 8,533 |
Unrealized Gain (Loss), net | ' | 996 |
Estimated fair value | ' | 9,529 |
Net Weighted Average Coupon (as a percent) | ' | 1.60% |
CMBS Interest-Only Strips | ' | ' |
Mortgage-Backed Securities | ' | ' |
Amortized Cost | ' | 16,682 |
Unrealized Gain (Loss), net | ' | -140 |
Estimated fair value | ' | $16,542 |
Net Weighted Average Coupon (as a percent) | ' | 4.70% |
MortgageBacked_Securities_Deta1
Mortgage-Backed Securities (Details 2) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Mortgage-Backed Securities | ' | ' |
Estimated fair value | $2,853,587 | $5,212,581 |
Mortgage-Backed Securities | ' | ' |
Mortgage-Backed Securities | ' | ' |
Principal balance | 2,663,848 | 4,582,727 |
Amortized cost of Interest-Only Strips | 182,927 | 176,093 |
Carrying value of Agency and Non-Agency Interest-Only Strips accounted for as derivatives | 109,235 | 75,387 |
Unamortized premium | 183,324 | 382,614 |
Unamortized discount | -61,140 | -5,511 |
Discount designated as Credit Reserve and OTTI | -79,898 | -12,659 |
Gross unrealized gains | 19,798 | 25,395 |
Gross unrealized losses | -164,507 | -11,465 |
Estimated fair value | $2,853,587 | $5,212,581 |
MortgageBacked_Securities_Deta2
Mortgage-Backed Securities (Details 3) (USD $) | 1 Months Ended | 3 Months Ended | 8 Months Ended | 12 Months Ended | |||||
In Thousands, unless otherwise specified | Jun. 30, 2012 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Dec. 31, 2012 | Dec. 31, 2013 |
Discount Designated as Credit Reserve and OTTI | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Net impairment losses recognized in earnings | ($87) | ($3,694) | ($2,363) | ($3,533) | ($2,268) | ($1,767) | ($1,352) | ($3,206) | ($11,858) |
Non-Agency RMBS | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Discount Designated as Credit Reserve and OTTI | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Balance at beginning of period | ' | ' | ' | ' | -12,659 | ' | ' | ' | -12,659 |
Realized credit losses | ' | ' | ' | ' | ' | ' | ' | ' | 541 |
Purchases | ' | ' | ' | ' | ' | ' | ' | -12,659 | -133,242 |
Sales | ' | ' | ' | ' | ' | ' | ' | ' | 81,144 |
Net impairment losses recognized in earnings | ' | ' | ' | ' | ' | ' | ' | ' | -550 |
Unlinking of Linked Transactions | ' | ' | ' | ' | ' | ' | ' | ' | -21,986 |
Transfers/release of credit reserve | ' | ' | ' | ' | ' | ' | ' | ' | 6,854 |
Balance of end of period | ' | -79,898 | ' | ' | ' | -12,659 | ' | -12,659 | -79,898 |
Accretable Discount | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Balance at beginning of period | ' | ' | ' | ' | -5,523 | ' | ' | ' | -5,523 |
Accretion of discount | ' | ' | ' | ' | ' | ' | ' | 123 | 10,722 |
Purchases | ' | ' | ' | ' | ' | ' | ' | -5,634 | -89,697 |
Sales | ' | ' | ' | ' | ' | ' | ' | ' | 34,894 |
Unlinking of Linked Transactions | ' | ' | ' | ' | ' | ' | ' | ' | -6,922 |
Transfers/release of credit reserve | ' | ' | ' | ' | ' | ' | ' | -12 | -11,323 |
Balance of end of period | ' | -67,849 | ' | ' | ' | -5,523 | ' | -5,523 | -67,849 |
Amortizable Premium | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Balance at beginning of period | ' | ' | ' | ' | 12 | ' | ' | ' | 12 |
Amortization of premium | ' | ' | ' | ' | ' | ' | ' | ' | -2,001 |
Purchases | ' | ' | ' | ' | ' | ' | ' | ' | 35,416 |
Sales | ' | ' | ' | ' | ' | ' | ' | ' | -20,709 |
Unlinking of Linked Transactions | ' | ' | ' | ' | ' | ' | ' | ' | 3,438 |
Transfers/release of credit reserve | ' | ' | ' | ' | ' | ' | ' | 12 | 4,469 |
Balance of end of period | ' | $20,625 | ' | ' | ' | $12 | ' | $12 | $20,625 |
MortgageBacked_Securities_Deta3
Mortgage-Backed Securities (Details 4) (USD $) | Dec. 31, 2013 |
In Thousands, unless otherwise specified | item |
Fair Value | ' |
Fair value - Less than 12 months | $1,829,871 |
12 Months or More Fair Value | 546,758 |
Total Fair Value | 2,376,629 |
Unrealized Losses | ' |
Less than 12 Months Unrealized Losses | -123,050 |
12 Months or More Unrealized Losses | -41,457 |
Total Unrealized Losses | -164,507 |
Number of Securities | ' |
Less than 12 Months Number of Securities | 243 |
12 Months or More Number of Securities | 34 |
Total Number of Securities | 277 |
20-Year Mortgage | ' |
Fair Value | ' |
Fair value - Less than 12 months | 395,979 |
12 Months or More Fair Value | 106,947 |
Total Fair Value | 502,926 |
Unrealized Losses | ' |
Less than 12 Months Unrealized Losses | -21,466 |
12 Months or More Unrealized Losses | -8,129 |
Total Unrealized Losses | -29,595 |
Number of Securities | ' |
Less than 12 Months Number of Securities | 52 |
12 Months or More Number of Securities | 8 |
Total Number of Securities | 60 |
30-Year Mortgage | ' |
Fair Value | ' |
Fair value - Less than 12 months | 1,242,871 |
12 Months or More Fair Value | 439,811 |
Total Fair Value | 1,682,682 |
Unrealized Losses | ' |
Less than 12 Months Unrealized Losses | -94,688 |
12 Months or More Unrealized Losses | -33,328 |
Total Unrealized Losses | -128,016 |
Number of Securities | ' |
Less than 12 Months Number of Securities | 151 |
12 Months or More Number of Securities | 26 |
Total Number of Securities | 177 |
Agency Interest Only- Strips | ' |
Fair Value | ' |
Fair value - Less than 12 months | 69,773 |
Total Fair Value | 69,773 |
Unrealized Losses | ' |
Less than 12 Months Unrealized Losses | -4,210 |
Total Unrealized Losses | -4,210 |
Number of Securities | ' |
Less than 12 Months Number of Securities | 19 |
Total Number of Securities | 19 |
Non-Agency RMBS | ' |
Fair Value | ' |
Fair value - Less than 12 months | 104,706 |
Total Fair Value | 104,706 |
Unrealized Losses | ' |
Less than 12 Months Unrealized Losses | -2,546 |
Total Unrealized Losses | -2,546 |
Number of Securities | ' |
Less than 12 Months Number of Securities | 18 |
Total Number of Securities | 18 |
Agency and Non-Agency CMBS | ' |
Fair Value | ' |
Fair value - Less than 12 months | 16,542 |
Total Fair Value | 16,542 |
Unrealized Losses | ' |
Less than 12 Months Unrealized Losses | -140 |
Total Unrealized Losses | ($140) |
Number of Securities | ' |
Less than 12 Months Number of Securities | 3 |
Total Number of Securities | 3 |
MortgageBacked_Securities_Deta4
Mortgage-Backed Securities (Details 5) (USD $) | 1 Months Ended | 3 Months Ended | 8 Months Ended | 12 Months Ended | |||||
In Thousands, unless otherwise specified | Jun. 30, 2012 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Dec. 31, 2012 | Dec. 31, 2013 |
Mortgage-Backed Securities | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Other loss on Mortgage-backed securities | $87 | $3,694 | $2,363 | $3,533 | $2,268 | $1,767 | $1,352 | $3,206 | $11,858 |
Components of interest income | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Net (Premium Amortization/Amortization Basis) Discount Amortization | ' | ' | ' | ' | ' | ' | ' | -16,725 | -21,053 |
Interest Income | 7,083 | 28,182 | 30,654 | 32,742 | 33,750 | 33,248 | 12,987 | 53,318 | 125,328 |
Mortgage-Backed Securities | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Components of interest income | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Coupon Interest | ' | ' | ' | ' | ' | ' | ' | 80,103 | 177,472 |
Net (Premium Amortization/Amortization Basis) Discount Amortization | ' | ' | ' | ' | ' | ' | ' | -26,785 | -52,144 |
Interest Income | ' | ' | ' | ' | ' | ' | ' | 53,318 | 125,328 |
Agency IOs, Agency IIOs and 20-year Agency RMBS | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Mortgage-Backed Securities | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Other loss on Mortgage-backed securities | ' | ' | ' | ' | ' | ' | ' | 3,200 | 11,300 |
Non-Agency MBS | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Mortgage-Backed Securities | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Other loss on Mortgage-backed securities | ' | ' | ' | ' | ' | ' | ' | 0 | 550 |
Non-Agency RMBS | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Mortgage-Backed Securities | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Other loss on Mortgage-backed securities | ' | ' | ' | ' | ' | ' | ' | ' | 550 |
Components of interest income | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Coupon Interest | ' | ' | ' | ' | ' | ' | ' | 10 | 4,757 |
Net (Premium Amortization/Amortization Basis) Discount Amortization | ' | ' | ' | ' | ' | ' | ' | 123 | 8,282 |
Interest Income | ' | ' | ' | ' | ' | ' | ' | 133 | 13,039 |
Agency RMBS | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Components of interest income | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Coupon Interest | ' | ' | ' | ' | ' | ' | ' | 80,093 | 172,171 |
Net (Premium Amortization/Amortization Basis) Discount Amortization | ' | ' | ' | ' | ' | ' | ' | -26,908 | -60,320 |
Interest Income | ' | ' | ' | ' | ' | ' | ' | 53,185 | 111,851 |
Agency and Non-Agency CMBS | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Components of interest income | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Coupon Interest | ' | ' | ' | ' | ' | ' | ' | ' | 544 |
Net (Premium Amortization/Amortization Basis) Discount Amortization | ' | ' | ' | ' | ' | ' | ' | ' | -106 |
Interest Income | ' | ' | ' | ' | ' | ' | ' | ' | 438 |
CMBS Interest-Only Strips | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Mortgage-Backed Securities | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Other loss on Mortgage-backed securities | ' | ' | ' | ' | ' | ' | ' | $0 | $8 |
MortgageBacked_Securities_Deta5
Mortgage-Backed Securities (Details 6) (USD $) | 1 Months Ended | 3 Months Ended | 8 Months Ended | 12 Months Ended | |||||
Jun. 30, 2012 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Dec. 31, 2012 | Dec. 31, 2013 | |
Mortgage-Backed Securities | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Net Gain (Loss) | $1,157,000 | ($46,827,000) | ($46,142,000) | ($6,083,000) | ($11,660,000) | $12,962,000 | $6,635,000 | $20,754,000 | ($110,712,000) |
Agency Interest-Only Strips accounted for as derivatives | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Mortgage-Backed Securities | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Proceeds for Agency interest-Only Strips accounted for as derivatives | ' | ' | ' | ' | ' | ' | ' | 18,500,000 | 20,400,000 |
Gross realized losses | ' | ' | ' | ' | ' | ' | ' | 820,000 | 1,100,000 |
Mortgage-Backed Securities | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Mortgage-Backed Securities | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Proceeds | ' | ' | ' | ' | ' | ' | ' | 2,490,326,000 | 3,620,488,000 |
Gross Gains | ' | ' | ' | ' | ' | ' | ' | 23,368,000 | 15,792,000 |
Gross Losses | ' | ' | ' | ' | ' | ' | ' | -3,434,000 | -127,628,000 |
Net Gain (Loss) | ' | ' | ' | ' | ' | ' | ' | 19,934,000 | -111,836,000 |
Agency RMBS | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Mortgage-Backed Securities | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Proceeds | ' | ' | ' | ' | ' | ' | ' | 2,389,472,000 | 3,491,805,000 |
Gross Gains | ' | ' | ' | ' | ' | ' | ' | 23,169,000 | 8,646,000 |
Gross Losses | ' | ' | ' | ' | ' | ' | ' | -3,434,000 | -127,252,000 |
Net Gain (Loss) | ' | ' | ' | ' | ' | ' | ' | 19,735,000 | -118,606,000 |
Non-Agency RMBS | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Mortgage-Backed Securities | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Proceeds | ' | ' | ' | ' | ' | ' | ' | ' | 128,683,000 |
Gross Gains | ' | ' | ' | ' | ' | ' | ' | ' | 7,146,000 |
Gross Losses | ' | ' | ' | ' | ' | ' | ' | ' | -376,000 |
Net Gain (Loss) | ' | ' | ' | ' | ' | ' | ' | ' | 6,770,000 |
Other Securities | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Mortgage-Backed Securities | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Proceeds | ' | ' | ' | ' | ' | ' | ' | 100,854,000 | ' |
Gross Gains | ' | ' | ' | ' | ' | ' | ' | 199,000 | ' |
Net Gain (Loss) | ' | ' | ' | ' | ' | ' | ' | $199,000 | ' |
Borrowings_under_Repurchase_Ag2
Borrowings under Repurchase Agreements (Details) (USD $) | 8 Months Ended | 12 Months Ended | |
Dec. 31, 2012 | Dec. 31, 2013 | Jun. 30, 2013 | |
counterparty | item | ||
Borrowings Under Repurchase Agreements | ' | ' | ' |
Number of counterparties to master repurchase agreement | ' | 20 | ' |
Number of counterparties from whom the Company had borrowings | ' | 16 | ' |
Certain characteristics of the Company's repurchase agreements | ' | ' | ' |
Repurchase Agreement Borrowings | $4,794,730,000 | $2,579,067,000 | ' |
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent) | 0.48% | 0.55% | ' |
Weighted Average Remaining Maturity (days) | '19 days | '24 days | ' |
Accrued interest payable | 6,561,000 | 12,534,000 | ' |
Ratio of Agency MBS to Total Assets (as a percent) | ' | ' | 89.60% |
Threshold ratio of Agency MBS to Total Assets (as a percent) | ' | ' | 90.00% |
Number of master repurchase agreements | ' | ' | 2 |
Number of master repurchase agreements with transactions outstanding | ' | ' | 1 |
Borrowings under repurchase agreement | ' | ' | ' |
Certain characteristics of the Company's repurchase agreements | ' | ' | ' |
Average borrowings under repurchase agreements | 2,900,000,000 | 3,800,000,000 | ' |
Maximum balance | 4,900,000,000 | 4,800,000,000 | ' |
Accrued interest payable | 3,500,000 | 1,700,000 | ' |
Borrowings under repurchase agreement | Agency RMBS | ' | ' | ' |
Certain characteristics of the Company's repurchase agreements | ' | ' | ' |
Repurchase Agreement Borrowings | 4,794,730,000 | 2,331,276,000 | ' |
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent) | 0.48% | 0.43% | ' |
Weighted Average Remaining Maturity (days) | '19 days | '24 days | ' |
Borrowings under repurchase agreement | Non-Agency RMBS | ' | ' | ' |
Certain characteristics of the Company's repurchase agreements | ' | ' | ' |
Repurchase Agreement Borrowings | ' | 230,247,000 | ' |
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent) | ' | 1.71% | ' |
Weighted Average Remaining Maturity (days) | ' | '18 days | ' |
Borrowings under repurchase agreement | Agency and Non-Agency CMBS | ' | ' | ' |
Certain characteristics of the Company's repurchase agreements | ' | ' | ' |
Repurchase Agreement Borrowings | ' | 17,544,000 | ' |
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent) | ' | 1.33% | ' |
Weighted Average Remaining Maturity (days) | ' | '58 days | ' |
Borrowings under repurchase agreement | Rehypothecated securities | ' | ' | ' |
Certain characteristics of the Company's repurchase agreements | ' | ' | ' |
Maximum balance | ' | $130,700,000 | ' |
Borrowings under repurchase agreement | Minimum | ' | ' | ' |
Certain characteristics of the Company's repurchase agreements | ' | ' | ' |
Term of repurchase agreements | ' | '1 month | ' |
Borrowings under repurchase agreement | Maximum | ' | ' | ' |
Certain characteristics of the Company's repurchase agreements | ' | ' | ' |
Term of repurchase agreements | ' | '3 months | ' |
Borrowings_under_Repurchase_Ag3
Borrowings under Repurchase Agreements (Details 2) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | item | |
Certain characteristics of the Company's repurchase agreements | ' | ' |
Total | $2,579,067 | $4,794,730 |
Number of linked transactions | ' | 0 |
Linked Transactions | ' | ' |
Certain characteristics of the Company's repurchase agreements | ' | ' |
Total | 61,200 | ' |
Overnight | ' | ' |
Certain characteristics of the Company's repurchase agreements | ' | ' |
Total | 323,025 | ' |
1 to 29 days | ' | ' |
Certain characteristics of the Company's repurchase agreements | ' | ' |
Total | 1,393,356 | ' |
30 to 59 days | ' | ' |
Certain characteristics of the Company's repurchase agreements | ' | ' |
Total | 799,391 | ' |
60 to 89 days | ' | ' |
Certain characteristics of the Company's repurchase agreements | ' | ' |
Total | $63,295 | ' |
Borrowings_under_Repurchase_Ag4
Borrowings under Repurchase Agreements (Details 3) (USD $) | 12 Months Ended |
In Thousands, unless otherwise specified | Dec. 31, 2013 |
Credit Suisse Securities (USA) LLC | ' |
Amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty | ' |
Amount Collateral at Risk, at fair value | $58,442 |
Weighted Average Remaining Maturity | '25 days |
Percentage of Stockholders' Equity (as a percent) | 14.30% |
Barclays Capital Inc. | ' |
Amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty | ' |
Amount Collateral at Risk, at fair value | 54,029 |
Weighted Average Remaining Maturity | '14 days |
Percentage of Stockholders' Equity (as a percent) | 13.20% |
JP Morgan Securities LLC | ' |
Amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty | ' |
Amount Collateral at Risk, at fair value | $47,112 |
Weighted Average Remaining Maturity | '1 day |
Percentage of Stockholders' Equity (as a percent) | 11.50% |
Collateral_Positions_Details
Collateral Positions (Details) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 |
Collateral Positions | ' | ' |
Assets Pledged- Fair Value | $2,874,381,000 | $5,097,966,000 |
Cash collateral for derivatives | 22,800,000 | 18,200,000 |
Accrued interest | 11,055,000 | 15,552,000 |
Fair Value of Assets Pledged and Accrued Interest | 2,885,436,000 | 5,113,518,000 |
Cash collateral held by counterparties | 55,434,000 | 54,142,000 |
Cash posted by counterparties | 65,861,000 | 0 |
Securities received as collateral | 0 | 2,600,000 |
MBS | Borrowings under repurchase agreement | ' | ' |
Collateral Positions | ' | ' |
MBS pledged for borrowings under repurchase agreements | 2,800,000,000 | 5,000,000,000 |
Agency RMBS | Borrowings under repurchase agreement | ' | ' |
Collateral Positions | ' | ' |
MBS pledged for borrowings under repurchase agreements | 2,463,347,000 | 5,043,824,000 |
Accrued interest | 10,453,000 | 15,552,000 |
Fair Value of Assets Pledged and Accrued Interest | 2,473,800,000 | 5,059,376,000 |
Agency RMBS | Borrowings under repurchase agreement | In the Company's 2012 10-K | ' | ' |
Collateral Positions | ' | ' |
Accrued interest | ' | 67,551,000 |
Non-Agency RMBS | Borrowings under repurchase agreement | ' | ' |
Collateral Positions | ' | ' |
MBS pledged for borrowings under repurchase agreements | 332,003,000 | ' |
Accrued interest | 443,000 | ' |
Fair Value of Assets Pledged and Accrued Interest | 332,446,000 | ' |
Agency and Non-Agency CMBS | Borrowings under repurchase agreement | ' | ' |
Collateral Positions | ' | ' |
MBS pledged for borrowings under repurchase agreements | 23,597,000 | ' |
Accrued interest | 159,000 | ' |
Fair Value of Assets Pledged and Accrued Interest | 23,756,000 | ' |
Cash | Derivatives | ' | ' |
Collateral Positions | ' | ' |
Cash collateral for derivatives | 22,837,000 | 18,160,000 |
Fair Value of Assets Pledged and Accrued Interest | 22,837,000 | 18,160,000 |
Cash | Borrowings under repurchase agreement | ' | ' |
Collateral Positions | ' | ' |
Assets Pledged- Fair Value | 32,597,000 | 35,982,000 |
Fair Value of Assets Pledged and Accrued Interest | $32,597,000 | $35,982,000 |
Derivative_Instruments_Details
Derivative Instruments (Details) (USD $) | 8 Months Ended | 12 Months Ended |
Dec. 31, 2012 | Dec. 31, 2013 | |
Estimated Fair Value | ' | ' |
Estimated Fair value, assets | $24,344,000 | $105,826,000 |
Estimated Fair value, liabilities | -4,771,000 | -4,673,000 |
Linked transactions, net, at fair value | ' | 18,559,000 |
Accrued Interest Payable | ' | ' |
Total derivative instruments | 6,561,000 | 12,534,000 |
Derivative instruments not accounted as hedges under GAAP | ' | ' |
Derivative Instruments | ' | ' |
Realized Gain (Loss), net | -11,748,000 | 85,428,000 |
Notional Amount | ' | ' |
Notional Amount, assets | 2,772,300,000 | 4,349,550,000 |
Notional Amount, liabilities | 1,409,500,000 | 955,300,000 |
Linked transactions | ' | 56,028,000 |
Total derivative instruments | 4,181,800,000 | 5,360,878,000 |
Estimated Fair Value | ' | ' |
Estimated Fair value, assets | 24,344,000 | 105,826,000 |
Estimated Fair value, liabilities | -4,771,000 | -4,673,000 |
Linked transactions, net, at fair value | ' | 18,559,000 |
Total derivative instruments | 19,573,000 | 119,712,000 |
Accrued Interest Payable | ' | ' |
Accrued Interest, assets | 2,519,000 | 9,994,000 |
Accrued Interest, liabilities | 588,000 | -26,000 |
Linked transactions, accrued interest payable | ' | -207,000 |
Total derivative instruments | 3,107,000 | 9,761,000 |
Interest rate swaps | ' | ' |
Derivative Instruments | ' | ' |
Notional amount terminated | ' | 2,800,000,000 |
Realized Gain (Loss), net | ' | 65,300,000 |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | ' | ' |
Derivative Instruments | ' | ' |
Realized Gain (Loss), net | -10,928,000 | 65,305,000 |
Notional Amount | ' | ' |
Notional Amount, assets | 1,827,300,000 | 2,135,950,000 |
Notional Amount, liabilities | 984,500,000 | 678,900,000 |
Estimated Fair Value | ' | ' |
Estimated Fair value, assets | 11,201,000 | 94,614,000 |
Estimated Fair value, liabilities | -3,552,000 | -3,202,000 |
Accrued Interest Payable | ' | ' |
Accrued Interest, assets | 2,519,000 | 9,994,000 |
Accrued Interest, liabilities | 588,000 | -26,000 |
Interest rate swaption | ' | ' |
Derivative Instruments | ' | ' |
Realized Gain (Loss), net | ' | 26,700,000 |
Interest rate swaption | Derivative instruments not accounted as hedges under GAAP | ' | ' |
Derivative Instruments | ' | ' |
Realized Gain (Loss), net | ' | 23,671,000 |
Notional Amount | ' | ' |
Notional Amount, assets | 520,000,000 | 2,200,000,000 |
Notional Amount, liabilities | ' | 100,000,000 |
Estimated Fair Value | ' | ' |
Estimated Fair value, assets | 10,087,000 | 11,177,000 |
Estimated Fair value, liabilities | ' | -264,000 |
TBA securities | Derivative instruments not accounted as hedges under GAAP | ' | ' |
Derivative Instruments | ' | ' |
Realized Gain (Loss), net | ' | -1,499,000 |
Notional Amount | ' | ' |
Notional Amount, assets | 425,000,000 | 13,600,000 |
Notional Amount, liabilities | 425,000,000 | 176,400,000 |
Total derivative instruments | ' | 190,000,000 |
Estimated Fair Value | ' | ' |
Estimated Fair value, assets | 3,056,000 | 35,000 |
Estimated Fair value, liabilities | -1,219,000 | -1,207,000 |
Total derivative instruments | $1,837,000 | ($1,172,000) |
Derivative_Instruments_Details1
Derivative Instruments (Details 2) (USD $) | 8 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Dec. 31, 2012 | Dec. 31, 2013 |
Derivative instruments not accounted as hedges under GAAP | ' | ' |
Average fixed or variable pay rate and average maturity for the Company's interest rate swaps | ' | ' |
Notional Amount | $4,181,800 | $5,360,878 |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Average Fixed Pay Rate | ' | ' |
Average fixed or variable pay rate and average maturity for the Company's interest rate swaps | ' | ' |
Notional Amount | 2,811,800 | 2,687,850 |
Average Fixed Pay Rate (as a percent) | 1.20% | 1.90% |
Average Maturity (years) | '7 years 2 months 12 days | '8 years |
Forward Starting (as a percent) | 25.00% | 18.30% |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Average Variable Pay Rate | ' | ' |
Average fixed or variable pay rate and average maturity for the Company's interest rate swaps | ' | ' |
Notional Amount | 0 | 127,000 |
Average Variable Pay Rate | ' | 0.20% |
Average Maturity (years) | ' | '11 years 9 months 18 days |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | 1 year or less | Maximum | ' | ' |
Average fixed or variable pay rate and average maturity for the Company's interest rate swaps | ' | ' |
Remaining Interest Rate interest rate swap Term | ' | '1 year |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | 1 year or less | Average Fixed Pay Rate | ' | ' |
Average fixed or variable pay rate and average maturity for the Company's interest rate swaps | ' | ' |
Notional Amount | ' | 215,900 |
Average Fixed Pay Rate (as a percent) | ' | 0.40% |
Average Maturity (years) | ' | '9 months 18 days |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 1 year and less than 3 years | Minimum | ' | ' |
Average fixed or variable pay rate and average maturity for the Company's interest rate swaps | ' | ' |
Remaining Interest Rate interest rate swap Term | '1 year | '1 year |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 1 year and less than 3 years | Maximum | ' | ' |
Average fixed or variable pay rate and average maturity for the Company's interest rate swaps | ' | ' |
Remaining Interest Rate interest rate swap Term | '3 years | '3 years |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 1 year and less than 3 years | Average Fixed Pay Rate | ' | ' |
Average fixed or variable pay rate and average maturity for the Company's interest rate swaps | ' | ' |
Notional Amount | 762,800 | 179,100 |
Average Fixed Pay Rate (as a percent) | 0.40% | 0.50% |
Average Maturity (years) | '2 years 3 months 18 days | '1 year 10 months 24 days |
Forward Starting (as a percent) | 22.70% | ' |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 3 years and less than 5 years | Minimum | ' | ' |
Average fixed or variable pay rate and average maturity for the Company's interest rate swaps | ' | ' |
Remaining Interest Rate interest rate swap Term | '3 years | '3 years |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 3 years and less than 5 years | Maximum | ' | ' |
Average fixed or variable pay rate and average maturity for the Company's interest rate swaps | ' | ' |
Remaining Interest Rate interest rate swap Term | '5 years | '5 years |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 3 years and less than 5 years | Average Fixed Pay Rate | ' | ' |
Average fixed or variable pay rate and average maturity for the Company's interest rate swaps | ' | ' |
Notional Amount | 439,500 | 574,200 |
Average Fixed Pay Rate (as a percent) | 0.80% | 1.30% |
Average Maturity (years) | '4 years 9 months 18 days | '4 years 4 months 24 days |
Forward Starting (as a percent) | 10.20% | ' |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 3 years and less than 5 years | Average Variable Pay Rate | ' | ' |
Average fixed or variable pay rate and average maturity for the Company's interest rate swaps | ' | ' |
Notional Amount | ' | 81,000 |
Average Variable Pay Rate | ' | 0.20% |
Average Maturity (years) | ' | '4 years 9 months 18 days |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 5 years | Minimum | ' | ' |
Average fixed or variable pay rate and average maturity for the Company's interest rate swaps | ' | ' |
Remaining Interest Rate interest rate swap Term | '5 years | '5 years |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 5 years | Average Fixed Pay Rate | ' | ' |
Average fixed or variable pay rate and average maturity for the Company's interest rate swaps | ' | ' |
Notional Amount | 1,609,500 | 1,718,650 |
Average Fixed Pay Rate (as a percent) | 1.70% | 2.40% |
Average Maturity (years) | '10 years 2 months 12 days | '10 years 9 months 18 days |
Forward Starting (as a percent) | 30.10% | 28.60% |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 5 years | Average Variable Pay Rate | ' | ' |
Average fixed or variable pay rate and average maturity for the Company's interest rate swaps | ' | ' |
Notional Amount | ' | 46,000 |
Average Variable Pay Rate | ' | 0.20% |
Average Maturity (years) | ' | '24 years 1 month 6 days |
Interest rate swaption one | ' | ' |
Average fixed or variable pay rate and average maturity for the Company's interest rate swaps | ' | ' |
Number of derivative instruments | ' | 6 |
Interest rate swaption one | Minimum | ' | ' |
Average fixed or variable pay rate and average maturity for the Company's interest rate swaps | ' | ' |
Notional Amount | ' | 100,000 |
Interest rate swaption one | Minimum | If swaptions exercised | ' | ' |
Average fixed or variable pay rate and average maturity for the Company's interest rate swaps | ' | ' |
Remaining Interest Rate interest rate swap Term | ' | '7 years |
Interest rate swaption one | Maximum | ' | ' |
Average fixed or variable pay rate and average maturity for the Company's interest rate swaps | ' | ' |
Notional Amount | ' | 1,500,000 |
Interest rate swaption one | Maximum | If swaptions exercised | ' | ' |
Average fixed or variable pay rate and average maturity for the Company's interest rate swaps | ' | ' |
Remaining Interest Rate interest rate swap Term | ' | '10 years |
Interest rate swaption two | ' | ' |
Average fixed or variable pay rate and average maturity for the Company's interest rate swaps | ' | ' |
Notional Amount | ' | $100,000 |
Interest rate swaption two | If swaptions exercised | ' | ' |
Average fixed or variable pay rate and average maturity for the Company's interest rate swaps | ' | ' |
Remaining Interest Rate interest rate swap Term | ' | '10 years |
Derivative_Instruments_Details2
Derivative Instruments (Details 3) (USD $) | 12 Months Ended | |
In Thousands, unless otherwise specified | Dec. 31, 2013 | Dec. 31, 2012 |
counterparty | counterparty | |
Additional disclosure | ' | ' |
Cash collateral for derivatives | $22,800 | $18,200 |
Fair value of assets | 105,826 | 24,344 |
Fair value of liability | -4,673 | -4,771 |
Cash pledged as collateral to the Company by counterparties | 62,651 | ' |
Derivative instruments not accounted as hedges under GAAP | ' | ' |
Additional disclosure | ' | ' |
Notional Amount | 5,360,878 | 4,181,800 |
Fair Value | 119,712 | 19,573 |
Notional Amount, assets | 4,349,550 | 2,772,300 |
Fair value of assets | 105,826 | 24,344 |
Notional Amount, liabilities | -955,300 | -1,409,500 |
Fair value of liability | -4,673 | -4,771 |
Cash pledged as collateral to the Company by counterparties | 62,700 | 0 |
Interest rate swaps | ' | ' |
Additional disclosure | ' | ' |
Cash collateral for derivatives | 22,800 | 18,200 |
Interest rate swaps | Two counterparties based in England and Switzerland | ' | ' |
Additional disclosure | ' | ' |
Cash collateral for derivatives | ' | 6,600 |
Number of counterparties | 2 | 2 |
Cash pledged as collateral to the Company by counterparties | 42,700 | ' |
Interest rate swaps | Counterparty based in England | ' | ' |
Additional disclosure | ' | ' |
Notional Amount | 321,800 | 572,000 |
Fair value of assets | 19,400 | 681 |
Interest rate swaps | Counterparty based in Switzerland | ' | ' |
Additional disclosure | ' | ' |
Notional Amount | 825,100 | 1,400,000 |
Fair value of assets | 34,200 | 280 |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | ' | ' |
Additional disclosure | ' | ' |
Notional Amount, assets | 2,135,950 | 1,827,300 |
Fair value of assets | 94,614 | 11,201 |
Notional Amount, liabilities | -678,900 | -984,500 |
Fair value of liability | -3,202 | -3,552 |
TBA securities | Derivative instruments not accounted as hedges under GAAP | ' | ' |
Additional disclosure | ' | ' |
Notional Amount | 190,000 | ' |
Fair Value | -1,172 | 1,837 |
Notional Amount, assets | 13,600 | 425,000 |
Fair value of assets | 35 | 3,056 |
Notional Amount, liabilities | -176,400 | -425,000 |
Fair value of liability | -1,207 | -1,219 |
TBA securities | Derivative instruments not accounted as hedges under GAAP | Purchase contracts | ' | ' |
Additional disclosure | ' | ' |
Notional Amount | 190,000 | 425,000 |
Notional Amount, assets | 13,600 | 425,000 |
Fair value of assets | 35 | 3,056 |
Notional Amount, liabilities | -176,400 | ' |
Fair value of liability | -1,207 | ' |
TBA securities | Derivative instruments not accounted as hedges under GAAP | Sale contracts | ' | ' |
Additional disclosure | ' | ' |
Notional Amount | ' | 425,000 |
Notional Amount, liabilities | ' | -425,000 |
Fair value of liability | ' | ($1,219) |
Derivative_Instruments_Details3
Derivative Instruments (Details 4) (Derivative instruments not accounted as hedges under GAAP, USD $) | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | TBA securities | TBA securities | TBA securities | ||
Purchase contracts | Sale contracts | ||||
Changes in notional amount | ' | ' | ' | ' | ' |
Notional Amount at the beginning of the period | $5,360,878 | $4,181,800 | $190,000 | $425,000 | $425,000 |
Additions | ' | ' | ' | 2,507,600 | 2,350,000 |
Settlement, Termination, Expiration or Exercise | ' | ' | ' | -2,742,600 | -2,775,000 |
Notional Amount at the end of the period | $5,360,878 | $4,181,800 | $190,000 | $190,000 | ' |
Derivative_Instruments_Details4
Derivative Instruments (Details 5) (USD $) | 1 Months Ended | 3 Months Ended | 8 Months Ended | 12 Months Ended | |||||
In Thousands, unless otherwise specified | Jun. 30, 2012 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Dec. 31, 2012 | Dec. 31, 2013 |
Amounts recognized on the statements of operations related to the Company's derivatives | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Mark-to-market adjustments | ' | ' | ' | ' | ' | ' | ' | $1,241 | $84,788 |
Total | -5,159 | 37,042 | -3,809 | 109,474 | 14,840 | 4,298 | -12,245 | -13,106 | 157,547 |
Derivative instruments not accounted as hedges under GAAP | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Amounts recognized on the statements of operations related to the Company's derivatives | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Realized Gain (Loss), net | ' | ' | ' | ' | ' | ' | ' | -11,748 | 85,428 |
Contractual interest income (expense), net | ' | ' | ' | ' | ' | ' | ' | 2,249 | 5,341 |
Basis Recovery | ' | ' | ' | ' | ' | ' | ' | -4,848 | -18,010 |
Mark-to-market adjustments | ' | ' | ' | ' | ' | ' | ' | 1,241 | 84,788 |
Total | ' | ' | ' | ' | ' | ' | ' | -13,106 | 157,547 |
Interest rate swaps | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Amounts recognized on the statements of operations related to the Company's derivatives | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Realized Gain (Loss), net | ' | ' | ' | ' | ' | ' | ' | ' | 65,300 |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Amounts recognized on the statements of operations related to the Company's derivatives | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Realized Gain (Loss), net | ' | ' | ' | ' | ' | ' | ' | -10,928 | 65,305 |
Contractual interest income (expense), net | ' | ' | ' | ' | ' | ' | ' | -6,321 | -22,932 |
Mark-to-market adjustments | ' | ' | ' | ' | ' | ' | ' | 7,649 | 83,764 |
Total | ' | ' | ' | ' | ' | ' | ' | -9,600 | 126,137 |
Interest rate swaption | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Amounts recognized on the statements of operations related to the Company's derivatives | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Realized Gain (Loss), net | ' | ' | ' | ' | ' | ' | ' | ' | 26,700 |
Interest rate swaption | Derivative instruments not accounted as hedges under GAAP | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Amounts recognized on the statements of operations related to the Company's derivatives | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Realized Gain (Loss), net | ' | ' | ' | ' | ' | ' | ' | ' | 23,671 |
Mark-to-market adjustments | ' | ' | ' | ' | ' | ' | ' | -3,180 | 4,733 |
Total | ' | ' | ' | ' | ' | ' | ' | -3,180 | 28,404 |
Agency and Non-Agency Interest-Only Strips- accounted for as derivatives | Derivative instruments not accounted as hedges under GAAP | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Amounts recognized on the statements of operations related to the Company's derivatives | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Realized Gain (Loss), net | ' | ' | ' | ' | ' | ' | ' | ' | -1,124 |
Contractual interest income (expense), net | ' | ' | ' | ' | ' | ' | ' | ' | 28,273 |
Basis Recovery | ' | ' | ' | ' | ' | ' | ' | ' | -18,010 |
Mark-to-market adjustments | ' | ' | ' | ' | ' | ' | ' | ' | -700 |
Total | ' | ' | ' | ' | ' | ' | ' | ' | 8,439 |
Agency Interest-Only Strips - accounted for as derivatives | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Amounts recognized on the statements of operations related to the Company's derivatives | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Realized Gain (Loss), net | ' | ' | ' | ' | ' | ' | ' | -820 | -1,100 |
Agency Interest-Only Strips - accounted for as derivatives | Derivative instruments not accounted as hedges under GAAP | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Amounts recognized on the statements of operations related to the Company's derivatives | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Realized Gain (Loss), net | ' | ' | ' | ' | ' | ' | ' | -820 | ' |
Contractual interest income (expense), net | ' | ' | ' | ' | ' | ' | ' | 8,570 | ' |
Basis Recovery | ' | ' | ' | ' | ' | ' | ' | -4,848 | ' |
Mark-to-market adjustments | ' | ' | ' | ' | ' | ' | ' | -5,065 | ' |
Total | ' | ' | ' | ' | ' | ' | ' | -2,163 | ' |
Options | Derivative instruments not accounted as hedges under GAAP | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Amounts recognized on the statements of operations related to the Company's derivatives | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Realized Gain (Loss), net | ' | ' | ' | ' | ' | ' | ' | ' | -925 |
Total | ' | ' | ' | ' | ' | ' | ' | ' | -925 |
TBA securities | Derivative instruments not accounted as hedges under GAAP | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Amounts recognized on the statements of operations related to the Company's derivatives | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Realized Gain (Loss), net | ' | ' | ' | ' | ' | ' | ' | ' | -1,499 |
Mark-to-market adjustments | ' | ' | ' | ' | ' | ' | ' | 1,837 | -3,009 |
Total | ' | ' | ' | ' | ' | ' | ' | $1,837 | ($4,508) |
Derivative_Instruments_Details5
Derivative Instruments (Details 6) (USD $) | 3 Months Ended | 8 Months Ended | 12 Months Ended | |||
In Thousands, unless otherwise specified | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2013 |
item | ||||||
Derivative Instruments | ' | ' | ' | ' | ' | ' |
Number of linked transactions | ' | ' | ' | ' | 0 | ' |
Linked Transactions | ' | ' | ' | ' | ' | ' |
Fair Value | $18,559 | ' | ' | ' | ' | $18,559 |
Mark-to-market adjustments on linked transactions | ' | ' | ' | ' | 1,241 | 84,788 |
Gain (loss) on linked transactions, net | 179 | -547 | 3,909 | 596 | ' | 4,137 |
Linked Transactions | ' | ' | ' | ' | ' | ' |
Linked Transactions | ' | ' | ' | ' | ' | ' |
Fair Value | 18,559 | ' | ' | ' | ' | 18,559 |
Net Interest Income (Expense) | ' | ' | ' | ' | ' | 1,144 |
Mark-to-market adjustments on linked transactions | ' | ' | ' | ' | ' | -56 |
Net Realized Gain (loss) | ' | ' | ' | ' | ' | 3,049 |
Gain (loss) on linked transactions, net | ' | ' | ' | ' | ' | 4,137 |
Linked Transactions | Borrowings under repurchase agreement | ' | ' | ' | ' | ' | ' |
Linked Transactions | ' | ' | ' | ' | ' | ' |
MBS accounted for as linked transactions pledged for related linked repurchase agreements | 79,700 | ' | ' | ' | ' | 79,700 |
Linked Transactions | Agency RMBS | ' | ' | ' | ' | ' | ' |
Linked Transactions | ' | ' | ' | ' | ' | ' |
Net Interest Income (Expense) | ' | ' | ' | ' | ' | 44 |
Net Realized Gain (loss) | ' | ' | ' | ' | ' | -254 |
Gain (loss) on linked transactions, net | ' | ' | ' | ' | ' | -210 |
Amortization of premium and accretion of discount | ' | ' | ' | ' | ' | -9 |
Linked Transactions | Agency RMBS | Borrowings under repurchase agreement | ' | ' | ' | ' | ' | ' |
Linked Transactions | ' | ' | ' | ' | ' | ' |
Net Interest Income (Expense) | ' | ' | ' | ' | ' | -6 |
Gain (loss) on linked transactions, net | ' | ' | ' | ' | ' | -6 |
Linked Transactions | Non-Agency RMBS | ' | ' | ' | ' | ' | ' |
Linked Transactions | ' | ' | ' | ' | ' | ' |
Fair Value- RMBS | 79,746 | ' | ' | ' | ' | 79,746 |
Net Interest Income (Expense) | ' | ' | ' | ' | ' | 1,371 |
Mark-to-market adjustments on linked transactions | ' | ' | ' | ' | ' | -56 |
Net Realized Gain (loss) | ' | ' | ' | ' | ' | 3,303 |
Gain (loss) on linked transactions, net | ' | ' | ' | ' | ' | 4,618 |
Weighted Average Coupon / Cost of Funds (as a percent) | ' | ' | ' | ' | ' | 27.06% |
Weighted Average Life (years)/ Weighted Average days to Maturity (years) | ' | ' | ' | ' | ' | '9 years 7 months 6 days |
Amortization of premium and accretion of discount | ' | ' | ' | ' | ' | 555 |
Linked Transactions | Non-Agency RMBS | Borrowings under repurchase agreement | ' | ' | ' | ' | ' | ' |
Linked Transactions | ' | ' | ' | ' | ' | ' |
Fair Value- Repurchase Agreement | -61,187 | ' | ' | ' | ' | -61,187 |
Net Interest Income (Expense) | ' | ' | ' | ' | ' | -265 |
Gain (loss) on linked transactions, net | ' | ' | ' | ' | ' | ($265) |
Weighted Average Coupon / Cost of Funds (as a percent) | ' | ' | ' | ' | ' | 1.70% |
Weighted Average Life (years)/ Weighted Average days to Maturity (years) | ' | ' | ' | ' | ' | '63 days |
Offsetting_Assets_and_Liabilit2
Offsetting Assets and Liabilities (Details) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Offsetting of Derivative Assets | ' | ' |
Gross Amounts of Recognized Assets | $294,807 | $99,731 |
Gross Amounts offset in the Balance Sheets | -61,187 | ' |
Net Amounts of Assets presented in the Balance Sheets | 233,620 | 99,731 |
Gross Amounts Not Offset in the Balance Sheets | ' | ' |
Financial Instruments | -112,736 | -50,238 |
Cash Collateral Received | -62,651 | ' |
Net Amount | 58,233 | 49,493 |
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS | ' | ' |
Offsetting of Derivative Assets | ' | ' |
Gross Amounts of Recognized Assets | 109,235 | ' |
Net Amounts of Assets presented in the Balance Sheets | 109,235 | ' |
Gross Amounts Not Offset in the Balance Sheets | ' | ' |
Financial Instruments | -109,235 | ' |
Agency Interest-Only Strips accounted for as derivatives included in MBS | ' | ' |
Offsetting of Derivative Assets | ' | ' |
Gross Amounts of Recognized Assets | ' | 75,387 |
Net Amounts of Assets presented in the Balance Sheets | ' | 75,387 |
Gross Amounts Not Offset in the Balance Sheets | ' | ' |
Financial Instruments | ' | -46,686 |
Net Amount | ' | 28,701 |
Derivative asset, at fair value | ' | ' |
Offsetting of Derivative Assets | ' | ' |
Gross Amounts of Recognized Assets | 105,826 | 24,344 |
Net Amounts of Assets presented in the Balance Sheets | 105,826 | 24,344 |
Gross Amounts Not Offset in the Balance Sheets | ' | ' |
Financial Instruments | -3,501 | -3,552 |
Cash Collateral Received | -62,651 | ' |
Net Amount | 39,674 | 20,792 |
Linked transactions, net, at fair value | ' | ' |
Offsetting of Derivative Assets | ' | ' |
Gross Amounts of Recognized Assets | 79,746 | ' |
Gross Amounts offset in the Balance Sheets | -61,187 | ' |
Net Amounts of Assets presented in the Balance Sheets | 18,859 | ' |
Gross Amounts Not Offset in the Balance Sheets | ' | ' |
Net Amount | $18,559 | ' |
Offsetting_Assets_and_Liabilit3
Offsetting Assets and Liabilities (Details 2) (USD $) | Dec. 31, 2013 | Dec. 31, 2012 |
Offsetting of Derivative Liabilities and Repurchase agreements | ' | ' |
Gross Amounts of Recognized Liabilities | $4,673,000 | $4,771,000 |
Net Amounts of Liabilities Presented in the Balance Sheets | 4,673,000 | 4,771,000 |
Gross Amounts Not Offset in the Balance Sheets | ' | ' |
Financial Instruments | -3,501,000 | -3,552,000 |
Net Amount | 1,172,000 | 1,219,000 |
Repurchase agreement | ' | ' |
Gross Amounts of Recognized Liabilities | 2,579,067,000 | 4,794,730,000 |
Total | 2,579,067,000 | 4,794,730,000 |
Gross Amounts Not Offset in the Balance Sheets | ' | ' |
Financial Instruments | -2,579,067,000 | -4,794,730,000 |
Total | ' | ' |
Gross Amounts of Recognized Liabilities | 2,583,740,000 | 4,799,501,000 |
Net Amounts of Liabilities presented in the Balance Sheet | 2,583,740,000 | 4,799,501,000 |
Gross Amounts Not Offset in the Balance Sheet | ' | ' |
Financial Instruments | -2,582,568,000 | -4,798,282,000 |
Net Amount | 1,172,000 | 1,219,000 |
Cash collateral pledged against Swaps | 22,800,000 | 18,200,000 |
Fair value of securities pledged against repurchase agreements | 2,800,000,000 | 5,100,000,000 |
Swaps | ' | ' |
Gross Amounts Not Offset in the Balance Sheet | ' | ' |
Cash collateral pledged against Swaps | $22,800,000 | $18,200,000 |
Related_Party_Transactions_Det
Related Party Transactions (Details) (USD $) | 1 Months Ended | 3 Months Ended | 8 Months Ended | 12 Months Ended | |||||
Jun. 30, 2012 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Dec. 31, 2012 | Dec. 31, 2013 | |
Related Party Transactions | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Management fees | $407,000 | $1,843,000 | $2,032,000 | $1,826,000 | $2,113,000 | $1,924,000 | $802,000 | $3,133,000 | $7,814,000 |
Manager | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Related Party Transactions | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Management fees (as a percent) | ' | ' | ' | ' | ' | ' | ' | ' | 1.50% |
Renewal term of management agreement | ' | ' | ' | ' | ' | ' | ' | ' | '1 year |
Notice period to terminate the Management Agreement following initial term | ' | ' | ' | ' | ' | ' | ' | ' | '180 days |
Multiple of average annual management fees used to calculate termination fee | ' | ' | ' | ' | ' | ' | ' | ' | 3 |
Prior period over which management fees were incurred used to calculate the termination fee under the Management Agreement | ' | ' | ' | ' | ' | ' | ' | ' | '24 months |
Notice period to terminate the Management Agreement for cause | ' | ' | ' | ' | ' | ' | ' | ' | '30 days |
Management fees | ' | ' | ' | ' | ' | ' | ' | 3,100,000 | 7,800,000 |
Management fees due to related party | ' | 1,800,000 | ' | ' | ' | 1,900,000 | ' | 1,900,000 | 1,800,000 |
Employee benefit | ' | ' | ' | ' | ' | ' | ' | $23,000 | $76,000 |
Manager | Minimum | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Related Party Transactions | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Proportion of affirmative votes by the entity's independent directors to terminate the Management Agreement (as a percent) | ' | ' | ' | ' | ' | ' | ' | ' | 67.00% |
Proportion of votes required by the entity's independent directors for acceptance of reduction in management fees (as a percent) | ' | ' | ' | ' | ' | ' | ' | ' | 67.00% |
ShareBased_Payments_Details
Share-Based Payments (Details) (USD $) | 0 Months Ended | 8 Months Ended | 12 Months Ended | 0 Months Ended | 8 Months Ended | 12 Months Ended | 13 Months Ended | 12 Months Ended | 0 Months Ended | ||||||||||||||||||||||||||||||||||
In Thousands, except Share data, unless otherwise specified | Dec. 19, 2013 | Dec. 31, 2012 | Dec. 31, 2013 | 15-May-12 | Dec. 19, 2013 | Dec. 31, 2012 | Dec. 31, 2013 | Jun. 10, 2013 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2013 | Jun. 10, 2013 | 31-May-12 | Mar. 01, 2013 | Jun. 25, 2012 | Jan. 02, 2013 | Mar. 01, 2013 | Jun. 25, 2012 | Mar. 01, 2013 | Jun. 25, 2012 | Mar. 01, 2013 | Mar. 01, 2013 | 31-May-12 | 15-May-12 | 15-May-13 | Mar. 01, 2013 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2012 |
Restricted common stock | Restricted common stock | Restricted common stock | Restricted common stock | Restricted common stock | Restricted common stock | Restricted common stock | Restricted common stock | Restricted common stock | Restricted common stock | Restricted common stock | Restricted common stock | Restricted common stock | Restricted common stock | Restricted common stock | Restricted common stock | Restricted common stock | Restricted common stock | Restricted common stock | Restricted common stock | Restricted common stock | Restricted common stock | Restricted common stock | Restricted common stock | Restricted common stock | Restricted common stock | Restricted common stock | Restricted common stock | Restricted common stock | Restricted common stock | Restricted common stock | Restricted common stock | Restricted common stock | Restricted common stock | Restricted common stock | Equity awards | Equity awards | Liability awards | Liability awards | |||||
Director Deferred Fee Plan | Jan-13 | May-13 | Jan-14 | Jan-14 | Mar-14 | May-14 | May-14 | Jun-14 | Jan-15 | Jan-15 | Mar-15 | May-15 | May-15 | Jan-16 | Mar-16 | Independent directors | Independent directors | Chief financial officer | Chief financial officer | Chief financial officer | Chief financial officer | Chief financial officer | Chief financial officer | Chief financial officer | Chief financial officer | Manager | Manager | Manager | Manager | Manager | |||||||||||||
director | director | Jan-13 | Jan-14 | Jan-14 | Jan-15 | Jan-15 | Jan-16 | May-13 | Mar-14 | ||||||||||||||||||||||||||||||||||
Share-Based Payments | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Shares granted as a percentage of aggregate number of shares of common stock sold in the IPO | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0.50% | ' | ' | ' | ' | ' | ' | ' |
Awards granted to each of the entity's independent directors (in shares) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1,629 | 1,500 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Number of independent directors to whom awards were granted | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 3 | 3 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Awards vested or to be vested (as a percent) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 33.00% | 33.00% | 33.00% | 33.00% | 33.00% | 33.00% | ' | ' | ' | 33.00% | 33.00% | ' | ' | ' | ' |
Percentage to be vested on each of the second and third anniversaries of the grant date | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 33.00% | ' | 33.00% | ' | ' | ' | ' | ' | ' |
Shares authorized (as a percent) | ' | ' | 3.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Shares reserved for issuance under the Equity plan (in shares) | 798,211 | ' | ' | 308,335 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
General and administrative, non-cash stock based compensation | ' | $367 | $1,087 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Unamortized compensation expense | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $423 | $360 | $3,200 | $811 |
Summary of restricted common stock vesting dates | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Shares Vesting (in shares) | ' | ' | ' | ' | ' | 66,114 | 227,479 | ' | ' | 3,485 | 21,553 | 7,685 | 3,485 | 54,852 | 18,707 | 17,053 | 6,279 | 7,685 | 3,485 | 54,852 | 18,707 | 17,053 | 3,860 | 54,852 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Shares of Restricted Stock | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Outstanding at beginning of period (in shares) | ' | ' | ' | ' | ' | ' | 66,114 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Granted (in shares) | ' | ' | ' | ' | ' | 66,114 | 186,403 | 231,560 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 4,887 | 4,500 | 10,559 | 10,455 | ' | ' | ' | ' | ' | ' | 150,000 | 51,159 | ' | ' | ' | ' | ' | ' | ' |
Outstanding at end of year (in shares) | ' | ' | ' | ' | ' | 66,114 | 252,517 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Unvested at end of year (in shares) | ' | ' | ' | ' | ' | 66,114 | 227,479 | ' | ' | 3,485 | 21,553 | 7,685 | 3,485 | 54,852 | 18,707 | 17,053 | 6,279 | 7,685 | 3,485 | 54,852 | 18,707 | 17,053 | 3,860 | 54,852 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Weighted Average Grant Date Fair Value | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Outstanding at beginning of period (in dollars per share) | ' | ' | ' | ' | ' | ' | $19.86 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Granted (in dollars per share) | ' | ' | ' | ' | ' | $19.86 | $20.51 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Outstanding at end of year (in dollars per share) | ' | ' | ' | ' | ' | $19.86 | $20.34 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Unvested at end of year (in dollars per share) | ' | ' | ' | ' | ' | $19.86 | $20.39 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Stock dividends granted (in shares) | 2,548,784 | ' | ' | ' | 20,957 | ' | 19,565 | ' | 1,392 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Shareholders_Equity_Details
Shareholders Equity (Details) (USD $) | 0 Months Ended | 8 Months Ended | 12 Months Ended | 12 Months Ended | 0 Months Ended | 12 Months Ended | |||||||
Dec. 19, 2013 | Dec. 31, 2012 | Dec. 31, 2013 | Jan. 28, 2014 | Nov. 19, 2012 | Oct. 03, 2012 | 9-May-12 | Dec. 31, 2013 | 9-May-12 | 9-May-12 | 9-May-12 | Sep. 27, 2012 | Dec. 31, 2013 | |
item | Manager | Initial public offering through underwriters | Private placement | Private placement | Follow-On Offering | Initial Public Offering and Private Placements | |||||||
Manager | Certain institutional accredited investors | ||||||||||||
Shareholders equity | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Number of shares or units authorized to be sold | ' | ' | ' | ' | ' | ' | ' | ' | 8,000,000 | 46,043 | 2,231,787 | 12,000,000 | ' |
Offering price (in dollars per share) | ' | ' | ' | ' | ' | ' | ' | ' | $20 | $20 | ' | $22.20 | ' |
Offering price per unit (in dollars per share) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $20 | ' | ' |
Aggregate offering price | ' | ' | ' | ' | ' | ' | ' | ' | $160,000,000 | $900,000 | $44,600,000 | ' | ' |
Number of shares of common stock for each unit | ' | ' | ' | ' | ' | ' | 1 | ' | ' | ' | ' | ' | ' |
Number of common shares that can be acquired upon exercise of each whole warrant | ' | ' | ' | ' | ' | ' | 0.5 | ' | ' | ' | ' | ' | ' |
Exercise price (in dollars per share) | ' | ' | ' | $17.59 | ' | $19.44 | $20.50 | ' | ' | ' | ' | ' | ' |
Shares purchasable by warrant holders (in shares) | ' | ' | ' | 1,232,916 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Number of private placements | ' | ' | 2 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Net proceeds from IPO and private placements | ' | ' | 204,400,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Offering expenses | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 4,800,000 | 1,200,000 |
Threshold limit for reimbursement of offering expenses by manager | ' | ' | ' | ' | ' | ' | ' | 1,200,000 | ' | ' | ' | ' | ' |
Amount of the underwriting discount and other costs in the initial public offering and placement agent fees paid by related party | ' | ' | ' | ' | ' | ' | ' | 7,800,000 | ' | ' | ' | ' | ' |
Additional number of shares to be purchased by underwriters | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1,800,000 | ' |
Percentage of shares authorized for sale for computation of shares issuable to underwriters | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 15.00% | ' |
Period from agreement date within which shares be purchased by underwriters | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '30 days | ' |
Number of shares exercised by underwriters | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1,800,000 | ' |
Net proceeds after subtracting underwriting commissions and offering expenses | ' | 461,530,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | 301,000,000 | ' |
Offering costs incurred | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $559,000 | ' |
Shares authorized to repurchase | ' | ' | ' | ' | 2,400,000 | ' | ' | ' | ' | ' | ' | ' | ' |
Number of shares repurchased | ' | 0 | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Dividends declared per share (in dollars per share) | $2.35 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Shares received as dividend by shareholder under option of dividend to be paid in stock | 0.159 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Cash received per share as dividend by shareholder under option of dividend to be paid in cash | $0.92 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Shares received as dividend by shareholder under option of dividend to be paid in cash | 0.097 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Common shares issued for dividend | 2,548,784 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Net_Income_loss_per_Common_Sha2
Net Income (loss) per Common Share (Details) (USD $) | 1 Months Ended | 3 Months Ended | 8 Months Ended | 12 Months Ended | ||||||
In Thousands, except Share data, unless otherwise specified | Jun. 30, 2012 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Dec. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2012 |
Numerator: | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Net income (loss) attributable to common stockholders and participating securities for basic and diluted earnings per share (in dollars) | $4,261 | $20,755 | $7,543 | ($27,654) | ($28,499) | $24,822 | $28,194 | $57,277 | ($27,855) | $57,277 |
Less: Dividends and undistributed earnings allocated to participating securities | ' | ' | ' | ' | ' | ' | ' | 234 | 961 | ' |
Net income (loss) attributable to common stockholders - basic and diluted | ' | ' | ' | ' | ' | ' | ' | $57,043 | ($28,816) | ' |
Denominator: | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Weighted average common shares outstanding for basic earnings per share | ' | ' | ' | ' | ' | ' | ' | 15,654,453 | 24,185,037 | ' |
Weighted average diluted shares outstanding (stock awards) | ' | ' | ' | ' | ' | ' | ' | 9,045 | ' | ' |
Weighted average diluted shares outstanding (warrants) | ' | ' | ' | ' | ' | ' | ' | 55,735 | ' | ' |
Weighted average common share outstanding for diluted earnings per share | ' | ' | ' | ' | ' | ' | ' | 15,719,233 | 24,185,037 | ' |
Basic earnings per common share (in dollars per share) | $0.41 | $0.83 | $0.31 | ($1.16) | ($1.18) | $1.04 | $2.73 | $3.64 | ($1.19) | ' |
Diluted earnings per common share (in dollars per share) | $0.41 | $0.83 | $0.31 | ($1.16) | ($1.18) | $1.04 | $2.72 | $3.63 | ($1.19) | ' |
Net_Income_loss_per_Common_Sha3
Net Income (loss) per Common Share (Details 2) | 12 Months Ended |
Dec. 31, 2013 | |
Warrants | ' |
Antidilutive common shares | ' |
Potential common shares were excluded from diluted earnings per share | 67,257 |
Stock awards | ' |
Antidilutive common shares | ' |
Potential common shares were excluded from diluted earnings per share | 13,434 |
Summarized_Quarterly_Results_u1
Summarized Quarterly Results (unaudited) (Details) (USD $) | 1 Months Ended | 3 Months Ended | 8 Months Ended | 12 Months Ended | ||||||
In Thousands, except Per Share data, unless otherwise specified | Jun. 30, 2012 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Dec. 31, 2012 | Dec. 31, 2013 | Dec. 31, 2012 |
Net interest income: | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Interest income | $7,083 | $28,182 | $30,654 | $32,742 | $33,750 | $33,248 | $12,987 | $53,318 | $125,328 | ' |
Interest expense | 725 | 4,043 | 4,273 | 4,522 | 5,181 | 5,434 | 1,935 | 8,094 | 18,019 | ' |
Net Interest Income | 6,358 | 24,139 | 26,381 | 28,220 | 28,569 | 27,814 | 11,052 | 45,224 | 107,309 | ' |
Other Income (loss): | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Interest income on cash balances and other income | ' | 35 | 11 | 12 | 33 | 9 | 2 | 11 | 91 | ' |
Realized gain (loss) on sale of Residential mortgage-backed securities and other securities, net | 1,157 | -46,827 | -46,142 | -6,083 | -11,660 | 12,962 | 6,635 | 20,754 | -110,712 | ' |
Other loss on Mortgage-backed securities | -87 | -3,694 | -2,363 | -3,533 | -2,268 | -1,767 | -1,352 | -3,206 | -11,858 | ' |
Unrealized gain (loss) on Residential mortgage-backed securities and other securities, net | 2,983 | 13,408 | 37,528 | -156,286 | -54,759 | -15,278 | 26,225 | 13,930 | -160,109 | ' |
Gain (loss) on linked transactions, net | ' | 179 | -547 | 3,909 | 596 | ' | ' | ' | 4,137 | ' |
Gain (loss) on derivative instruments, net | -5,159 | 37,042 | -3,809 | 109,474 | 14,840 | 4,298 | -12,245 | -13,106 | 157,547 | ' |
Other Income (Loss), net | -1,106 | 143 | -15,322 | -52,507 | -53,218 | 224 | 19,265 | 18,383 | -120,904 | ' |
Operating Expenses: | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
General and administrative | 584 | 1,684 | 1,484 | 1,541 | 1,737 | 1,292 | 1,321 | 3,197 | 6,446 | ' |
Management fee - related party | 407 | 1,843 | 2,032 | 1,826 | 2,113 | 1,924 | 802 | 3,133 | 7,814 | ' |
Total Operating Expenses | 991 | 3,527 | 3,516 | 3,367 | 3,850 | 3,216 | 2,123 | 6,330 | 14,260 | ' |
Net income (loss) available to Common Stock and participating securities | $4,261 | $20,755 | $7,543 | ($27,654) | ($28,499) | $24,822 | $28,194 | $57,277 | ($27,855) | $57,277 |
Net income (loss) per Common Share - Basic (in dollars per share) | $0.41 | $0.83 | $0.31 | ($1.16) | ($1.18) | $1.04 | $2.73 | $3.64 | ($1.19) | ' |
Net income (loss) per Common Share - Diluted (in dollars per share) | $0.41 | $0.83 | $0.31 | ($1.16) | ($1.18) | $1.04 | $2.72 | $3.63 | ($1.19) | ' |
Earnings per share | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Basic and Diluted Net Loss per share | ' | ' | ' | $1.16 | ' | ' | ' | ' | ' | ' |
As Originally Reported | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Earnings per share | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Basic and Diluted Net Loss per share | ' | ' | ' | $1.14 | ' | ' | ' | ' | ' | ' |
Adjustments | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Earnings per share | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Basic and Diluted Net Loss per share | ' | ' | ' | $0.02 | ' | ' | ' | ' | ' | ' |
Subsequent_Events_Details
Subsequent Events (Details) (Restricted common stock) | 8 Months Ended | 12 Months Ended | 13 Months Ended | 0 Months Ended | ||||||||||||||
Dec. 31, 2012 | Dec. 31, 2013 | Jun. 10, 2013 | Mar. 01, 2013 | 31-May-12 | Mar. 01, 2013 | Jun. 25, 2012 | Mar. 01, 2013 | Jun. 25, 2012 | Mar. 01, 2013 | Mar. 12, 2014 | Mar. 12, 2014 | Mar. 12, 2014 | Mar. 12, 2014 | Mar. 12, 2014 | Mar. 12, 2014 | Mar. 12, 2014 | Mar. 12, 2014 | |
Manager | Manager | Chief financial officer | Chief financial officer | Chief financial officer | Chief financial officer | Chief financial officer | Subsequent event | Subsequent event | Subsequent event | Subsequent event | Subsequent event | Subsequent event | Subsequent event | Subsequent event | ||||
Jan-15 | Jan-15 | Jan-16 | Manager | Manager | Manager | Manager | Chief financial officer | Chief financial officer | Chief financial officer | Chief financial officer | ||||||||
March 1 2015 | March 1 2016 | March 1 2017 | Jan-15 | Jan-16 | Jan-17 | |||||||||||||
Subsequent events | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Granted (in shares) | 66,114 | 186,403 | 231,560 | 150,000 | 51,159 | 10,559 | 10,455 | ' | ' | ' | 200,000 | ' | ' | ' | 15,180 | ' | ' | ' |
Awards vested or to be vested (as a percent) | ' | ' | ' | ' | ' | ' | ' | 33.00% | 33.00% | 33.00% | ' | 33.00% | 33.00% | 33.00% | ' | 33.00% | 33.00% | 33.00% |