QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 | |
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 | |
(State or Other Jurisdiction of Incorporation or Organization) | (I.R.S. Employer Identification No.) | |
Title of Each Class | Trading Symbol(s) | Name of Each Exchange on Which Registered | ||
Large Accelerated Filer | ☐ | ☒ | ||
Non-Accelerated Filer | ☐ | Smaller Reporting Company | ||
Emerging Growth Company | ||||
PART I. Financial Information | |
Item 1. Consolidated Financial Statements (unaudited) | |
Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations | |
Item 3. Quantitative and Qualitative Disclosures about Market Risk | |
Item 4. Controls and Procedures | |
PART II. Other Information | |
Item 1. Legal Proceedings | |
Item 1A. Risk Factors | |
Item 6. Exhibits | |
June 30, 2020 | December 31, 2019 | ||||||
(In thousands except for share amounts) | |||||||
ASSETS | |||||||
Cash and cash equivalents | $ | $ | |||||
Mortgage-backed securities, at fair value | |||||||
Other investments, at fair value | |||||||
Due from brokers | |||||||
Financial derivatives–assets, at fair value | |||||||
Reverse repurchase agreements | |||||||
Receivable for securities sold | |||||||
Interest receivable | |||||||
Other assets | |||||||
Total Assets | $ | $ | |||||
LIABILITIES AND SHAREHOLDERS' EQUITY | |||||||
LIABILITIES | |||||||
Repurchase agreements | $ | $ | |||||
Payable for securities purchased | |||||||
Due to brokers | |||||||
Financial derivatives–liabilities, at fair value | |||||||
U.S. Treasury securities sold short, at fair value | |||||||
Dividend payable | |||||||
Accrued expenses | |||||||
Management fee payable to affiliate | |||||||
Interest payable | |||||||
Total Liabilities | |||||||
SHAREHOLDERS' EQUITY | |||||||
Preferred shares, par value $0.01 per share, 100,000,000 shares authorized; (0 shares issued and outstanding, respectively) | |||||||
Common shares, par value $0.01 per share, 500,000,000 shares authorized; (12,319,616 and 12,455,758 shares issued and outstanding, respectively) | |||||||
Additional paid-in-capital | |||||||
Accumulated deficit | ( | ) | ( | ) | |||
Total Shareholders' Equity | |||||||
Total Liabilities and Shareholders' Equity | $ | $ | |||||
Three-Month Period Ended | Six-Month Period Ended | |||||||||||||||
June 30, 2020 | June 30, 2019 | June 30, 2020 | June 30, 2019 | |||||||||||||
(In thousands except for per share amounts) | ||||||||||||||||
INTEREST INCOME (EXPENSE) | ||||||||||||||||
Interest income | $ | $ | $ | $ | ||||||||||||
Interest expense | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
Total net interest income | ||||||||||||||||
EXPENSES | ||||||||||||||||
Management fees to affiliate | ||||||||||||||||
Professional fees | ||||||||||||||||
Compensation expense | ||||||||||||||||
Insurance expense | ||||||||||||||||
Other operating expenses | ||||||||||||||||
Total expenses | ||||||||||||||||
OTHER INCOME (LOSS) | ||||||||||||||||
Net realized gains (losses) on securities | ( | ) | ||||||||||||||
Net realized gains (losses) on financial derivatives | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
Change in net unrealized gains (losses) on securities | ||||||||||||||||
Change in net unrealized gains (losses) on financial derivatives | ( | ) | ( | ) | ( | ) | ||||||||||
Total other income (loss) | ( | ) | ||||||||||||||
NET INCOME (LOSS) | $ | $ | ( | ) | $ | $ | ||||||||||
NET INCOME (LOSS) PER COMMON SHARE: | ||||||||||||||||
Basic and Diluted | $ | $ | ( | ) | $ | $ | ||||||||||
Common Shares | Common Shares, par value | Preferred Shares | Preferred Shares, par value | Additional Paid-in-Capital | Accumulated (Deficit) Earnings | Total | |||||||||||||||||||
(In thousands except for share amounts) | |||||||||||||||||||||||||
BALANCE, December 31, 2019 | $ | $ | $ | $ | ( | ) | $ | ||||||||||||||||||
Share based compensation | |||||||||||||||||||||||||
Repurchase of common shares | ( | ) | ( | ) | ( | ) | ( | ) | |||||||||||||||||
Dividends declared(1) | ( | ) | ( | ) | |||||||||||||||||||||
Net income (loss) | ( | ) | ( | ) | |||||||||||||||||||||
BALANCE, March 31, 2020 | ( | ) | |||||||||||||||||||||||
Share based compensation | |||||||||||||||||||||||||
Dividends declared(1) | ( | ) | ( | ) | |||||||||||||||||||||
Net income (loss) | |||||||||||||||||||||||||
BALANCE, June 30, 2020 | $ | $ | $ | $ | ( | ) | $ | ||||||||||||||||||
BALANCE, December 31, 2018 | $ | $ | $ | $ | ( | ) | $ | ||||||||||||||||||
Share based compensation | |||||||||||||||||||||||||
Repurchase of common shares | ( | ) | ( | ) | ( | ) | |||||||||||||||||||
Dividends declared(1) | ( | ) | ( | ) | |||||||||||||||||||||
Net income (loss) | |||||||||||||||||||||||||
BALANCE, March 31, 2019 | ( | ) | |||||||||||||||||||||||
Share based compensation | |||||||||||||||||||||||||
Dividends declared(1) | ( | ) | ( | ) | |||||||||||||||||||||
Net income (loss) | ( | ) | ( | ) | |||||||||||||||||||||
BALANCE, June 30, 2019 | $ | $ | $ | $ | ( | ) | $ | ||||||||||||||||||
(1) | For each of the three-month periods ended June 30, 2020 and 2019, dividends totaling $ |
Six-Month Period Ended | ||||||||
June 30, 2020 | June 30, 2019 | |||||||
(In thousands) | ||||||||
Cash flows provided by (used in) operating activities: | ||||||||
Net income (loss) | $ | $ | ||||||
Reconciliation of net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Net realized (gains) losses on securities | ( | ) | ||||||
Change in net unrealized (gains) losses on securities | ( | ) | ( | ) | ||||
Net realized (gains) losses on financial derivatives | ||||||||
Change in net unrealized (gains) losses on financial derivatives | ||||||||
Amortization of premiums and accretion of discounts, net | ||||||||
Share based compensation | ||||||||
(Increase) decrease in assets: | ||||||||
Interest receivable | ||||||||
Other assets | ( | ) | ||||||
Increase (decrease) in liabilities: | ||||||||
Accrued expenses | ( | ) | ||||||
Interest payable | ( | ) | ( | ) | ||||
Management fees payable to affiliate | ( | ) | ||||||
Net cash provided by (used in) operating activities | ||||||||
Cash flows provided by (used in) investing activities: | ||||||||
Purchases of securities | ( | ) | ( | ) | ||||
Proceeds from sale of securities | ||||||||
Principal repayments of mortgage-backed securities | ||||||||
Proceeds from investments sold short | ||||||||
Repurchase of investments sold short | ( | ) | ( | ) | ||||
Proceeds from disposition of financial derivatives | ||||||||
Purchase of financial derivatives | ( | ) | ( | ) | ||||
Payments made on reverse repurchase agreements | ( | ) | ( | ) | ||||
Proceeds from reverse repurchase agreements | ||||||||
Due from brokers, net | ( | ) | ( | ) | ||||
Due to brokers, net | ( | ) | ||||||
Net cash provided by (used in) investing activities | ||||||||
ELLINGTON RESIDENTIAL MORTGAGE REIT | ||||||||
CONSOLIDATED STATEMENT OF CASH FLOWS (CONTINUED) | ||||||||
(UNAUDITED) | ||||||||
Six-Month Period Ended | ||||||||
June 30, 2020 | June 30, 2019 | |||||||
Cash flows provided by (used in) financing activities: | ||||||||
Repurchase of common shares | ( | ) | ( | ) | ||||
Dividends paid | ( | ) | ( | ) | ||||
Borrowings under repurchase agreements | ||||||||
Repayments of repurchase agreements | ( | ) | ( | ) | ||||
Due from brokers, net | ( | ) | ||||||
Due to brokers, net | ( | ) | ||||||
Cash provided by (used in) financing activities | ( | ) | ( | ) | ||||
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS | ||||||||
CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD | ||||||||
CASH AND CASH EQUIVALENTS, END OF PERIOD | $ | $ | ||||||
Supplemental disclosure of cash flow information: | ||||||||
Interest paid | $ | $ | ||||||
Dividends payable | ||||||||
• | Level 1—inputs to the valuation methodology are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets. Currently, the types of financial instruments the Company generally includes in this category are exchange-traded derivatives and equities; |
• | Level 2—inputs to the valuation methodology other than quoted prices included in Level 1 are observable for the asset or liability, either directly or indirectly. Currently, the types of financial instruments that the Company generally includes in this category are Agency RMBS, U.S. Treasury securities, certain non-Agency RMBS, and actively traded derivatives such as TBAs, interest rate swaps, and swaptions; and |
• | Level 3—inputs to the valuation methodology are unobservable and significant to the fair value measurement. Currently, this category includes certain RMBS, such as certain non-Agency RMBS and certain Agency interest only securities, or "IOs," where there is less price transparency. |
($ in thousands) | Gross Unrealized | Weighted Average | |||||||||||||||||||||||||||
Current Principal | Unamortized Premium (Discount) | Amortized Cost | Gains | Losses | Fair Value | Coupon(1) | Yield | Life (Years)(2) | |||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||||||||||
15-year fixed-rate mortgages | $ | $ | $ | $ | $ | ( | ) | $ | |||||||||||||||||||||
20-year fixed-rate mortgages | |||||||||||||||||||||||||||||
30-year fixed-rate mortgages | ( | ) | |||||||||||||||||||||||||||
Adjustable rate mortgages | |||||||||||||||||||||||||||||
Reverse mortgages | |||||||||||||||||||||||||||||
Interest only securities | n/a | n/a | ( | ) | |||||||||||||||||||||||||
Total Agency RMBS | ( | ) | |||||||||||||||||||||||||||
Non-Agency RMBS | ( | ) | ( | ) | |||||||||||||||||||||||||
Total RMBS | $ | $ | $ | $ | $ | ( | ) | $ | |||||||||||||||||||||
(1) | Weighted average coupon represents the weighted average pass-through rates of the securities rather than the weighted average gross mortgage rates of the underlying collateral. |
(2) | Average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. |
($ in thousands) | Gross Unrealized | Weighted Average | |||||||||||||||||||||||||||
Current Principal | Unamortized Premium (Discount) | Amortized Cost | Gains | Losses | Fair Value | Coupon(1) | Yield | Life (Years)(2) | |||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||||||||||
15-year fixed-rate mortgages | $ | $ | $ | $ | $ | ( | ) | $ | |||||||||||||||||||||
20-year fixed-rate mortgages | |||||||||||||||||||||||||||||
30-year fixed-rate mortgages | ( | ) | |||||||||||||||||||||||||||
Adjustable rate mortgages | ( | ) | |||||||||||||||||||||||||||
Reverse mortgages | ( | ) | |||||||||||||||||||||||||||
Interest only securities | n/a | n/a | ( | ) | |||||||||||||||||||||||||
Total Agency RMBS | ( | ) | |||||||||||||||||||||||||||
Non-Agency RMBS | ( | ) | ( | ) | |||||||||||||||||||||||||
Total RMBS | $ | $ | $ | $ | $ | ( | ) | $ | |||||||||||||||||||||
(1) | Weighted average coupon represents the weighted average pass-through rates of the securities rather than the weighted average gross mortgage rates of the underlying collateral. |
(2) | Average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. |
($ in thousands) | Agency RMBS | Agency Interest Only Securities | Non-Agency RMBS | ||||||||||||||||||||||||||||||
Estimated Weighted Average Life(1) | Fair Value | Amortized Cost | Weighted Average Coupon(2) | Fair Value | Amortized Cost | Weighted Average Coupon(2) | Fair Value | Amortized Cost | Weighted Average Coupon(2) | ||||||||||||||||||||||||
Less than three years | $ | $ | % | $ | $ | % | $ | $ | % | ||||||||||||||||||||||||
Greater than three years and less than seven years | % | % | % | ||||||||||||||||||||||||||||||
Greater than seven years and less than eleven years | % | % | % | ||||||||||||||||||||||||||||||
Greater than eleven years | % | % | % | ||||||||||||||||||||||||||||||
Total | $ | $ | % | $ | $ | % | $ | $ | % | ||||||||||||||||||||||||
(1) | Average lives of RMBS are generally shorter than stated contractual maturities. |
(2) | Weighted average coupon represents the weighted average pass-through rates of the securities rather than the weighted average gross mortgage rates of the underlying collateral. |
($ in thousands) | Agency RMBS | Agency Interest Only Securities | Non-Agency RMBS | ||||||||||||||||||||||||||||||
Estimated Weighted Average Life(1) | Fair Value | Amortized Cost | Weighted Average Coupon(2) | Fair Value | Amortized Cost | Weighted Average Coupon(2) | Fair Value | Amortized Cost | Weighted Average Coupon(2) | ||||||||||||||||||||||||
Less than three years | $ | $ | % | $ | $ | % | $ | $ | % | ||||||||||||||||||||||||
Greater than three years and less than seven years | % | % | % | ||||||||||||||||||||||||||||||
Greater than seven years and less than eleven years | % | % | % | ||||||||||||||||||||||||||||||
Greater than eleven years | % | % | % | ||||||||||||||||||||||||||||||
Total | $ | $ | % | $ | $ | % | $ | $ | % | ||||||||||||||||||||||||
(1) | Average lives of RMBS are generally shorter than stated contractual maturities. |
(2) | Weighted average coupon represents the weighted average pass-through rates of the securities rather than the weighted average gross mortgage rates of the underlying collateral. |
Three-Month Period Ended June 30, 2020 | Six-Month Period Ended June 30, 2020 | |||||||||||||||||||||||
($ in thousands) | Coupon Interest | Net Amortization | Interest Income | Coupon Interest | Net Amortization | Interest Income | ||||||||||||||||||
Agency RMBS | $ | $ | ( | ) | $ | $ | $ | ( | ) | $ | ||||||||||||||
Non-Agency RMBS | ||||||||||||||||||||||||
Total | $ | $ | ( | ) | $ | $ | $ | ( | ) | $ | ||||||||||||||
Three-Month Period Ended June 30, 2019 | Six-Month Period Ended June 30, 2019 | |||||||||||||||||||||||
($ in thousands) | Coupon Interest | Net Amortization | Interest Income | Coupon Interest | Net Amortization | Interest Income | ||||||||||||||||||
Agency RMBS | $ | $ | ( | ) | $ | $ | $ | ( | ) | $ | ||||||||||||||
Non-Agency RMBS | ||||||||||||||||||||||||
Total | $ | $ | ( | ) | $ | $ | $ | ( | ) | $ | ||||||||||||||
(In thousands) | ||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Mortgage-backed securities, at fair value: | ||||||||||||||||
Agency RMBS: | ||||||||||||||||
15-year fixed-rate mortgages | $ | $ | $ | $ | ||||||||||||
20-year fixed-rate mortgages | ||||||||||||||||
30-year fixed-rate mortgages | ||||||||||||||||
Adjustable rate mortgages | ||||||||||||||||
Reverse mortgages | ||||||||||||||||
Interest only securities | ||||||||||||||||
Non-Agency RMBS | ||||||||||||||||
Mortgage-backed securities, at fair value | ||||||||||||||||
Other investments, at fair value: | ||||||||||||||||
Preferred equity securities | ||||||||||||||||
Financial derivatives–assets, at fair value: | ||||||||||||||||
TBAs | ||||||||||||||||
Interest rate swaps | ||||||||||||||||
Futures | ||||||||||||||||
Total financial derivatives–assets, at fair value | ||||||||||||||||
Total mortgage-backed securities, other investments, and financial derivatives–assets, at fair value | $ | $ | $ | $ | ||||||||||||
Liabilities: | ||||||||||||||||
U.S. Treasury securities sold short, at fair value | $ | $ | $ | $ | ||||||||||||
Financial derivatives–liabilities, at fair value: | ||||||||||||||||
TBAs | ( | ) | ( | ) | ||||||||||||
Interest rate swaps | ( | ) | ( | ) | ||||||||||||
Futures | ( | ) | ( | ) | ||||||||||||
Total financial derivatives–liabilities, at fair value | ( | ) | ( | ) | ( | ) | ||||||||||
Total U.S. Treasury securities sold short and financial derivatives–liabilities, at fair value | $ | ( | ) | $ | ( | ) | $ | $ | ( | ) | ||||||
(In thousands) | ||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Mortgage-backed securities, at fair value: | ||||||||||||||||
Agency RMBS: | ||||||||||||||||
15-year fixed-rate mortgages | $ | $ | $ | $ | ||||||||||||
20-year fixed-rate mortgages | ||||||||||||||||
30-year fixed-rate mortgages | ||||||||||||||||
Adjustable rate mortgages | ||||||||||||||||
Reverse mortgages | ||||||||||||||||
Interest only securities | ||||||||||||||||
Non-Agency RMBS | ||||||||||||||||
Mortgage-backed securities, at fair value | ||||||||||||||||
Financial derivatives–assets, at fair value: | ||||||||||||||||
TBAs | ||||||||||||||||
Interest rate swaps | ||||||||||||||||
Futures | ||||||||||||||||
Total financial derivatives–assets, at fair value | ||||||||||||||||
Total mortgage-backed securities and financial derivatives–assets, at fair value | $ | $ | $ | $ | ||||||||||||
Liabilities: | ||||||||||||||||
U.S. Treasury securities sold short, at fair value | $ | $ | ( | ) | $ | $ | ( | ) | ||||||||
Financial derivatives–liabilities, at fair value: | ||||||||||||||||
TBAs | ( | ) | ( | ) | ||||||||||||
Interest rate swaps | ( | ) | ( | ) | ||||||||||||
Futures | ( | ) | ( | ) | ||||||||||||
Total financial derivatives–liabilities, at fair value | ( | ) | ( | ) | ( | ) | ||||||||||
Total U.S. Treasury securities sold short and financial derivatives–liabilities, at fair value | $ | ( | ) | $ | ( | ) | $ | $ | ( | ) | ||||||
(In thousands) | Non-Agency RMBS | Agency RMBS | |||||
Beginning balance as of March 31, 2020 | $ | $ | |||||
Purchases | |||||||
Proceeds from sales | ( | ) | |||||
Principal repayments | ( | ) | |||||
(Amortization)/accretion, net | ( | ) | |||||
Net realized gains (losses) | |||||||
Change in net unrealized gains (losses) | ( | ) | |||||
Transfers: | |||||||
Transfers into level 3 | |||||||
Transfers out of level 3 | ( | ) | |||||
Ending balance as of June 30, 2020 | $ | $ | |||||
(In thousands) | Non-Agency RMBS | Agency RMBS | |||||
Beginning balance as of March 31, 2019 | $ | $ | |||||
Purchases | |||||||
Proceeds from sales | ( | ) | |||||
Principal repayments | ( | ) | |||||
(Amortization)/accretion, net | ( | ) | |||||
Net realized gains (losses) | ( | ) | |||||
Change in net unrealized gains (losses) | ( | ) | |||||
Transfers: | |||||||
Transfers into level 3 | |||||||
Transfers out of level 3 | ( | ) | ( | ) | |||
Ending balance as of June 30, 2019 | $ | $ | |||||
(In thousands) | Non-Agency RMBS | Agency RMBS | |||||
Beginning balance as of December 31, 2019 | $ | $ | |||||
Purchases | |||||||
Proceeds from sales | ( | ) | |||||
Principal repayments | ( | ) | |||||
(Amortization)/accretion, net | ( | ) | |||||
Net realized gains (losses) | ( | ) | |||||
Change in net unrealized gains (losses) | ( | ) | ( | ) | |||
Transfers: | |||||||
Transfers into level 3 | |||||||
Transfers out of level 3 | ( | ) | |||||
Ending balance as of June 30, 2020 | $ | $ | |||||
(In thousands) | Non-Agency RMBS | Agency RMBS | |||||
Beginning balance as of December 31, 2018 | $ | $ | |||||
Purchases | |||||||
Proceeds from sales | ( | ) | |||||
Principal repayments | ( | ) | |||||
(Amortization)/accretion, net | ( | ) | |||||
Net realized gains (losses) | ( | ) | |||||
Change in net unrealized gains (losses) | |||||||
Transfers: | |||||||
Transfers into level 3 | |||||||
Transfers out of level 3 | ( | ) | ( | ) | |||
Ending balance as of June 30, 2019 | $ | $ | |||||
Range | ||||||||||||||||||||
Description | Fair Value | Valuation Technique | Significant Unobservable Input | Min | Max | Weighted Average(1) | ||||||||||||||
(In thousands) | ||||||||||||||||||||
Non-Agency RMBS | $ | Market quotes | Non-Binding Third-Party Valuation | $ | $ | $ | ||||||||||||||
Agency RMBS–Interest Only Securities | Market quotes | Non-Binding Third-Party Valuation | ||||||||||||||||||
Non-Agency RMBS | Discounted Cash Flows | Yield | % | % | % | |||||||||||||||
Projected Collateral Prepayments | % | % | % | |||||||||||||||||
Projected Collateral Losses | % | % | % | |||||||||||||||||
Projected Collateral Recoveries | % | % | % | |||||||||||||||||
Projected Collateral Scheduled Amortization | % | % | % | |||||||||||||||||
% | ||||||||||||||||||||
Agency RMBS–Interest Only Securities | Option Adjusted Spread ("OAS") | LIBOR OAS (2)(3) | 164 | 1,072 | 657 | |||||||||||||||
Projected Collateral Prepayments | % | % | % | |||||||||||||||||
Projected Collateral Scheduled Amortization | % | % | % | |||||||||||||||||
% | ||||||||||||||||||||
(1) | Averages are weighted based on the fair value of the related instrument. |
(2) | Shown in basis points. |
(3) | For the range minimum, the range maximum, and the weighted average of LIBOR OAS, excludes Agency interest only securities with a negative LIBOR OAS, with a total fair value of $ |
Range | ||||||||||||||||||||
Description | Fair Value | Valuation Technique | Significant Unobservable Input | Min | Max | Weighted Average(1) | ||||||||||||||
(In thousands) | ||||||||||||||||||||
Non-Agency RMBS | $ | Market quotes | Non-Binding Third-Party Valuation | $ | $ | $ | ||||||||||||||
Agency RMBS–Interest Only Securities | Market quotes | Non-Binding Third-Party Valuation | ||||||||||||||||||
Non-Agency RMBS | Discounted Cash Flows | Yield | % | % | % | |||||||||||||||
Projected Collateral Prepayments | % | % | % | |||||||||||||||||
Projected Collateral Losses | % | % | % | |||||||||||||||||
Projected Collateral Recoveries | % | % | % | |||||||||||||||||
Projected Collateral Scheduled Amortization | % | % | % | |||||||||||||||||
% | ||||||||||||||||||||
Agency RMBS–Interest Only Securities | Option Adjusted Spread ("OAS") | LIBOR OAS (2) | 77 | 25,553 | 824 | |||||||||||||||
Projected Collateral Prepayments | % | % | % | |||||||||||||||||
Projected Collateral Scheduled Amortization | % | % | % | |||||||||||||||||
% | ||||||||||||||||||||
(1) | Averages are weighted based on the fair value of the related instrument. |
(2) | Shown in basis points. |
June 30, 2020 | December 31, 2019 | |||||||||||||||
(In thousands) | Fair Value | Carrying Value | Fair Value | Carrying Value | ||||||||||||
Assets: | ||||||||||||||||
Cash and cash equivalents | $ | $ | $ | $ | ||||||||||||
Due from brokers | ||||||||||||||||
Reverse repurchase agreements | ||||||||||||||||
Liabilities: | ||||||||||||||||
Repurchase agreements | ||||||||||||||||
Due to brokers | ||||||||||||||||
June 30, 2020 | December 31, 2019 | |||||||
(In thousands) | ||||||||
Financial derivatives–assets, at fair value: | ||||||||
TBA securities purchase contracts | $ | $ | ||||||
TBA securities sale contracts | ||||||||
Fixed payer interest rate swaps | ||||||||
Fixed receiver interest rate swaps | ||||||||
Futures | ||||||||
Total financial derivatives–assets, at fair value | ||||||||
Financial derivatives–liabilities, at fair value: | ||||||||
TBA securities purchase contracts | ( | ) | ( | ) | ||||
TBA securities sale contracts | ( | ) | ( | ) | ||||
Fixed payer interest rate swaps | ( | ) | ( | ) | ||||
Fixed receiver interest rate swaps | ( | ) | ( | ) | ||||
Futures | ( | ) | ( | ) | ||||
Total financial derivatives–liabilities, at fair value | ( | ) | ( | ) | ||||
Total, net | $ | ( | ) | $ | ||||
Weighted Average | ||||||||||||||||
Maturity | Notional Amount | Fair Value | Pay Rate | Receive Rate | Remaining Years to Maturity | |||||||||||
(In thousands) | ||||||||||||||||
2022 | $ | $ | ( | ) | % | % | ||||||||||
2023 | ( | ) | ||||||||||||||
2026 | ( | ) | ||||||||||||||
2027 | ( | ) | ||||||||||||||
2042 | ( | ) | ||||||||||||||
2048 | ( | ) | ||||||||||||||
2049 | ( | ) | ||||||||||||||
Total | $ | $ | ( | ) | % | % | ||||||||||
Weighted Average | ||||||||||||||||
Maturity | Notional Amount | Fair Value | Pay Rate | Receive Rate | Remaining Years to Maturity | |||||||||||
(In thousands) | ||||||||||||||||
2020 | $ | $ | % | % | ||||||||||||
2021 | ( | ) | ||||||||||||||
2022 | ||||||||||||||||
2023 | ( | ) | ||||||||||||||
2024 | ||||||||||||||||
2025 | ||||||||||||||||
2026 | ||||||||||||||||
2027 | ||||||||||||||||
2029 | ||||||||||||||||
2042 | ||||||||||||||||
2048 | ( | ) | ||||||||||||||
2049 | ||||||||||||||||
Total | $ | $ | % | % | ||||||||||||
Weighted Average | ||||||||||||||||
Maturity | Notional Amount | Fair Value | Pay Rate | Receive Rate | Remaining Years to Maturity | |||||||||||
(In thousands) | ||||||||||||||||
2023 | $ | $ | % | % | ||||||||||||
2025 | ||||||||||||||||
2030 | ( | ) | ||||||||||||||
Total | $ | $ | % | % | ||||||||||||
Weighted Average | ||||||||||||||||
Maturity | Notional Amount | Fair Value | Pay Rate | Receive Rate | Remaining Years to Maturity | |||||||||||
(In thousands) | ||||||||||||||||
2023 | $ | $ | % | % | ||||||||||||
2029 | ( | ) | ||||||||||||||
Total | $ | $ | % | % | ||||||||||||
Description | Notional Amount | Fair Value | Remaining Months to Expiration | |||||||
($ in thousands) | ||||||||||
Long Contracts: | ||||||||||
U.S. Treasury Futures | $ | $ | ( | ) | 2.77 | |||||
Short Contracts: | ||||||||||
U.S. Treasury Futures | ( | ) | ( | ) | 2.89 | |||||
Total, net | $ | ( | ) | $ | ( | ) | 2.90 | |||
Description | Notional Amount | Fair Value | Remaining Months to Expiration | |||||||
($ in thousands) | ||||||||||
Long Contracts: | ||||||||||
U.S. Treasury Futures | $ | $ | ( | ) | 2.84 | |||||
Short Contracts: | ||||||||||
U.S. Treasury Futures | ( | ) | 2.72 | |||||||
Total, net | $ | ( | ) | $ | 2.71 | |||||
June 30, 2020 | December 31, 2019 | |||||||||||||||||||||||||||||||
TBA Securities | Notional Amount(1) | Cost Basis(2) | Market Value(3) | Net Carrying Value(4) | Notional Amount (1) | Cost Basis(2) | Market Value(3) | Net Carrying Value(4) | ||||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||||||||
Purchase contracts: | ||||||||||||||||||||||||||||||||
Assets | $ | $ | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||
Liabilities | ( | ) | ( | ) | ||||||||||||||||||||||||||||
( | ) | |||||||||||||||||||||||||||||||
Sale contracts: | ||||||||||||||||||||||||||||||||
Assets | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||||||||||||||
Liabilities | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||||||||||
( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | |||||||||||||||||||
Total TBA securities, net | $ | ( | ) | $ | ( | ) | $ | ( | ) | $ | $ | ( | ) | $ | ( | ) | $ | ( | ) | $ | ( | ) | ||||||||||
(1) | Notional amount represents the principal balance of the underlying Agency RMBS. |
(2) | Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS. |
(3) | Market value represents the current market value of the underlying Agency RMBS (on a forward delivery basis) as of period end. |
(4) | Net carrying value represents the difference between the market value of the TBA contract as of period end and the cost basis and is reported in Financial derivatives-assets at fair value and Financial derivatives-liabilities at fair value on the Consolidated Balance Sheet. |
Derivative Type | Six-Month Period Ended June 30, 2020 | Year Ended December 31, 2019 | ||||||
(In thousands) | ||||||||
Interest rate swaps | $ | $ | ||||||
TBAs | ||||||||
Futures | ||||||||
Options | ||||||||
Three-Month Period Ended June 30, 2020 | ||||||||||||||||||||||||
Derivative Type | Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps | Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps | Net Realized Gains (Losses) on Financial Derivatives | Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps | Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps | Change in Net Unrealized Gains (Losses) on Financial Derivatives | ||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||
Interest rate swaps | $ | ( | ) | $ | ( | ) | $ | ( | ) | $ | $ | $ | ||||||||||||
TBAs | ( | ) | ( | ) | ||||||||||||||||||||
Futures | ( | ) | ( | ) | ||||||||||||||||||||
Total | $ | ( | ) | $ | ( | ) | $ | ( | ) | $ | $ | $ | ||||||||||||
Three-Month Period Ended June 30, 2019 | ||||||||||||||||||||||||
Derivative Type | Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps | Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps | Net Realized Gains (Losses) on Financial Derivatives | Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps | Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps | Change in Net Unrealized Gains (Losses) on Financial Derivatives | ||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||
Interest rate swaps | $ | ( | ) | $ | ( | ) | $ | ( | ) | $ | $ | ( | ) | $ | ( | ) | ||||||||
TBAs | ( | ) | ( | ) | ||||||||||||||||||||
Futures | ( | ) | ( | ) | ||||||||||||||||||||
Total | $ | ( | ) | $ | ( | ) | $ | ( | ) | $ | $ | ( | ) | $ | ( | ) | ||||||||
Six-Month Period Ended June 30, 2020 | ||||||||||||||||||||||||
Derivative Type | Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps | Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps | Net Realized Gains (Losses) on Financial Derivatives | Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps | Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps | Change in Net Unrealized Gains (Losses) on Financial Derivatives | ||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||
Interest rate swaps | $ | $ | ( | ) | $ | ( | ) | $ | ( | ) | $ | ( | ) | $ | ( | ) | ||||||||
TBAs | ( | ) | ( | ) | ||||||||||||||||||||
Futures | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||||||||||
Total | $ | $ | ( | ) | $ | ( | ) | $ | ( | ) | $ | ( | ) | $ | ( | ) | ||||||||
Six-Month Period Ended June 30, 2019 | ||||||||||||||||||||||||
Derivative Type | Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps | Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps | Net Realized Gains (Losses) on Financial Derivatives | Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps | Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps | Change in Net Unrealized Gains (Losses) on Financial Derivatives | ||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||
Interest rate swaps | $ | $ | ( | ) | $ | ( | ) | $ | $ | ( | ) | $ | ( | ) | ||||||||||
TBAs | ( | ) | ( | ) | ||||||||||||||||||||
Futures | ( | ) | ( | ) | ||||||||||||||||||||
Options | ( | ) | ( | ) | ||||||||||||||||||||
Total | $ | $ | ( | ) | $ | ( | ) | $ | $ | ( | ) | $ | ( | ) | ||||||||||
June 30, 2020 | December 31, 2019 | ||||||||||||||||||
Weighted Average | Weighted Average | ||||||||||||||||||
Remaining Days to Maturity | Borrowings Outstanding | Interest Rate | Remaining Days to Maturity | Borrowings Outstanding | Interest Rate | Remaining Days to Maturity | |||||||||||||
(In thousands) | |||||||||||||||||||
30 days or less | $ | % | $ | % | |||||||||||||||
31-60 days | |||||||||||||||||||
61-90 days | |||||||||||||||||||
91-120 days | — | ||||||||||||||||||
151-180 days | — | ||||||||||||||||||
181-360 days | — | ||||||||||||||||||
Total | $ | % | $ | % | |||||||||||||||
Description | Amount of Assets (Liabilities) Presented in the Consolidated Balance Sheet(1) | Financial Instruments Available for Offset | Financial Instruments Transferred or Pledged as Collateral(2)(3) | Cash Collateral (Received) Pledged(2)(3) | Net Amount | |||||||||||||||
(In thousands) | ||||||||||||||||||||
Assets: | ||||||||||||||||||||
Financial derivatives–assets | $ | $ | ( | ) | $ | $ | ( | ) | $ | |||||||||||
Reverse repurchase agreements | ||||||||||||||||||||
Liabilities: | ||||||||||||||||||||
Financial derivatives–liabilities | ( | ) | ( | ) | ||||||||||||||||
Repurchase agreements | ( | ) | ||||||||||||||||||
(1) | In the Company's Consolidated Balance Sheet, all balances associated with repurchase and reverse repurchase agreements and financial derivatives are presented on a gross basis. |
(2) | For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's repurchase agreements and cash collateral pledged on the Company's financial derivative assets and liabilities. Total financial instruments transferred or pledged as collateral on the Company's repurchase agreements as of June 30, 2020 were $ |
(3) | When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a particular asset or liability. As a result, in preparing the above table, the Company has made assumptions in allocating pledged or posted collateral among the various rows. |
Description | Amount of Assets (Liabilities) Presented in the Consolidated Balance Sheet(1) | Financial Instruments Available for Offset | Financial Instruments Transferred or Pledged as Collateral(2)(3) | Cash Collateral (Received) Pledged(2)(3) | Net Amount | |||||||||||||||
(In thousands) | ||||||||||||||||||||
Assets: | ||||||||||||||||||||
Financial derivatives–assets | $ | $ | ( | ) | $ | $ | $ | |||||||||||||
Reverse repurchase agreements | ( | ) | ||||||||||||||||||
Liabilities: | ||||||||||||||||||||
Financial derivatives–liabilities | ( | ) | ( | ) | ||||||||||||||||
Repurchase agreements | ( | ) | ||||||||||||||||||
(1) | In the Company's Consolidated Balance Sheet, all balances associated with repurchase and reverse repurchase agreements and financial derivatives are presented on a gross basis. |
(2) | For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's repurchase agreements and cash collateral pledged on the Company's financial derivative assets and liabilities. Total financial instruments transferred or pledged as collateral on the Company's repurchase agreements as of December 31, 2019 were $ |
(3) | When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a particular asset or liability. As a result, in preparing the above table, the Company has made assumptions in allocating pledged or posted collateral among the various rows. |
Three-Month Period Ended | Six-Month Period Ended | |||||||||||||||
(In thousands except for share amounts) | June 30, 2020 | June 30, 2019 | June 30, 2020 | June 30, 2019 | ||||||||||||
Numerator: | ||||||||||||||||
Net income (loss) | $ | $ | ( | ) | $ | $ | ||||||||||
Denominator: | ||||||||||||||||
Basic and diluted weighted average shares outstanding | ||||||||||||||||
Basic and diluted earnings per share | $ | $ | ( | ) | $ | $ | ||||||||||
Three-Month Period Ended | Six-Month Period Ended | |||||||||||
June 30, 2020 | June 30, 2019 | June 30, 2020 | June 30, 2019 | |||||||||
Common Shares Outstanding (3/31/20, 3/31/19, 12/31/2019, and 12/31/2018, respectively) | ||||||||||||
Share Activity: | ||||||||||||
Shares repurchased | ( | ) | ( | ) | ||||||||
Common Shares Outstanding (6/30/2020, 6/30/19, 6/30/20, and 6/30/2019, respectively) | ||||||||||||
Unvested restricted shares outstanding (6/30/2020, 6/30/19, 6/30/20, and 6/30/2019, respectively) | ||||||||||||
Grant Recipient | Number of Restricted Shares Granted | Grant Date | Vesting Date(1) | ||||
Independent trustees: | |||||||
Partially dedicated employees: | |||||||
(1) | Date at which such restricted shares will vest and become non-forfeitable. |
• | The U.S. Federal Reserve, or the "Federal Reserve," continued its accommodative monetary policy in the second quarter. At its April and June meetings, the Federal Reserve maintained its target range of 0.00%–0.25% for the federal funds rate, noting that "the coronavirus outbreak is causing tremendous human and economic hardship across the United States and around the world" including "sharp declines in economic activity and a surge in job losses." It further noted that "the Federal Reserve is committed to using its full range of tools to support the U.S. economy in this challenging time." After the June meeting, the chairman of the Federal Reserve, Jerome Powell, stated: "We're not thinking about raising rates. We're not even thinking about thinking about raising rates." During the quarter, the Federal Reserve continued to purchase significant amounts of U.S. Treasury securities, Agency RMBS, and other eligible collateral, pursuant to the asset purchase programs it outlined in March. |
• | After implementing several stimulus programs to counteract the economic impact and negative risk sentiment associated with the spread of the novel coronavirus disease ("COVID-19") in the first quarter, the Federal Reserve announced on April 9th that it would provide up to $2.3 trillion in additional loans through the expansion of several programs implemented during the previous quarter, including the Paycheck Protection Program, the Main Street Lending Program, the Primary and Secondary Market Corporate Credit Facilities, and the Term Asset-Backed Securities Loan Facility, as well as through new facilities, including the Municipal Liquidity Facility. Similarly, central banks and governments around the globe continued to implement quantitative easing programs and stimulus packages during the second quarter. |
• | In May, Jerome Powell stated that "additional policy measures" may be necessary, noting that "the path ahead is both highly uncertain and subject to significant downside risks." On May 15th, the U.S. House of Representatives passed the HEROES Act, which would provide for $3 trillion of additional stimulus, but as of August 6th, the bill had not passed in the Senate. Regardless, as the second quarter concluded, many market participants were anticipating additional stimulus measures to be implemented during the second half of 2020. |
• | After dropping dramatically during the first quarter of 2020 as the spread of COVID-19 prompted a flight to safety, interest rates hovered near all-time lows during the second quarter. U.S. Treasury yields changed only slightly quarter over quarter, with the 10-year U.S. Treasury yield finishing the second quarter at 0.66%, virtually unchanged from the start of the quarter and only 12 basis points above the record low reached in March. After a volatile first quarter, interest-rate volatility subsided considerably in the second quarter. After reaching its highest point since the 2008–2009 financial crisis in March, the MOVE index, which measures interest-rate volatility, had reverted to pre-COVID-19 levels by mid-April and remained low through quarter-end. The 10-year U.S. Treasury yield traded in a 33-basis-point range in the second quarter, compared to a 134-basis-point range in the first quarter. |
• | Mortgage rates continued to decline during the second quarter, with the Freddie Mac Survey 30-year mortgage rate decreasing by 37 basis points to close the quarter at 3.13%, and setting a new all-time low of 3.07% on July 2nd. Although down from the 11-year high seen in March, refinancing applications remained elevated with the declining mortgage rates. As of June 30th, the Mortgage Bankers Association's Refinance Index had declined 30% quarter over quarter, but was still up 74% year over year. Overall Fannie Mae 30-year MBS prepayments increased from a CPR of 23.6 in March to 29.8 in April, before declining slightly to 29.3 in May, and then reaching a more than 7-year high of 33.0 in June. |
• | LIBOR rates, which drive many of our financing costs, declined dramatically in the second quarter. One-month LIBOR decreased 83 basis points to end the quarter at 0.16%, and three-month LIBOR fell 115 basis points to 0.30%. |
• | After declining at an annualized rate of 5.0% in the first quarter, U.S. real GDP shrank at an estimated annualized rate of 32.9% in the second quarter, further reflecting the negative impact of the COVID-19 pandemic and associated measures to contain it. U.S. retail sales declined by a record rate in April, before rebounding by a record rate in May and increasing again in June, although a surge in COVID-19 cases in June muddled the picture going forward. Elsewhere, the Eurozone's GDP contracted by 3.8% in the first quarter, the fastest rate of decline on record, while China's GDP shrank by 6.8% in the first quarter, the first decline recorded since data collection began in 1992. For the second quarter, Chinese GDP growth was again positive at 3.2%. |
• | Unemployment claims totaled 38.5 million in the second quarter, and the unemployment rate surged to 11.1% at June 30th, from 4.4% at March 31st. A total of 48.6 million new unemployment claims were filed between March 15th and June 27th, although the weekly pace of filings decreased from 5.0 million per week in April, to 1.5 million per week in June. |
• | Forbearance rates on residential mortgages rose sharply during the second quarter, with the economic slowdown and spike in unemployment. According to the Mortgage Bankers Association, the total forbearance rate increased most significantly during the month of April, from 2.7% as of March 29th to 7.5% as of April 26th, before rising further to 8.5% as of May 31st, and then plateauing during June and finishing the quarter at 8.4%. Notably, many forbearance plans expired on June 30th and with renewed lockdown protocols in place, forbearance rates could increase again. |
• | For the second quarter, the Bloomberg Barclays U.S. MBS Index generated a return of 0.68%, and an excess return (on a duration-adjusted basis) of 0.39% relative to the Bloomberg Barclays U.S. Treasury Index. After underperforming in the first quarter, pay-ups on Agency specified pools performed exceptionally well during the second quarter. |
• | The Bloomberg Barclays U.S. Corporate Bond Index generated a gain of 8.66% and an excess return of 8.10%, while the Bloomberg Barclays U.S. Corporate High Yield Bond Index generated a gain of 8.89% and an excess return of 8.35%. |
• | Despite the negative economic impact of COVID-19, U.S. equities rebounded dramatically in the second quarter, with the Dow Jones Industrial Average ("DJIA") and S&P 500 indexes posting their biggest quarterly gains since 1998 and offsetting most of the losses suffered in March, amidst optimism over the reopening of the economy, possible additional stimulus measures, and advances on COVID-19 treatments and a possible vaccine. The DJIA rose 17.8% and the S&P 500 rose 20.0% quarter over quarter; year-to-date through June 30th, these indexes were down 9.6% and 4.0%, respectively. Meanwhile, the tech-heavy NASDAQ composite index rose 30.6% quarter over quarter and was up 12.1% on the year. Equity volatility declined during the quarter, but remained higher than pre-COVID-19 levels. The CBOE Volatility Index, which measures expected moves in the S&P 500 index, registered an all-time high of 82.69 on March 16th, but then steadily declined for most of the second quarter, finishing at 30.43 at June 30th. Meanwhile, London's FTSE 100 index increased 8.8% quarter over quarter, while the MSCI World global equity index rebounded by 18.8% over the same period. |
Notional Amount of Long TBAs | Notional Amount of Short TBAs | Fair Value of Mortgage-backed Securities | Net Short TBA Underlying Market Value(1) | Net Mortgage Assets-to-Equity Ratio | ||||||||||||||
($ In thousands) | ||||||||||||||||||
June 30, 2020 | $ | 319,280 | $ | (529,888 | ) | $ | 1,154,047 | $ | (229,102 | ) | 5.9:1 | |||||||
March 31, 2020 | 53,800 | (303,388 | ) | 1,050,521 | (266,536 | ) | 5.6:1 | |||||||||||
December 31, 2019 | 70,447 | (246,955 | ) | 1,401,778 | (183,369 | ) | 7.6:1 | |||||||||||
September 30, 2019 | 106,465 | (301,223 | ) | 1,394,568 | (202,014 | ) | 7.7:1 | |||||||||||
June 30, 2019 | 259,155 | (332,583 | ) | 1,459,452 | (74,780 | ) | 9.0:1 | |||||||||||
(1) | Market value represents the current market value of the underlying Agency RMBS (on a forward delivery basis) as of period end. |
Three-Month Period Ended | ||||||||||
June 30, 2020 | March 31, 2020 | December 31, 2019 | September 30, 2019 | June 30, 2019 | ||||||
Three-Month Constant Prepayment Rates | 18.0% | 15.4% | 14.9% | 14.5% | 9.6% | |||||
June 30, 2020 | March 31, 2020 | |||||||||||||||||||||||
Coupon | Current Principal | Fair Value | Weighted Average Loan Age (Months) | Current Principal | Fair Value | Weighted Average Loan Age (Months) | ||||||||||||||||||
(In thousands) | (In thousands) | |||||||||||||||||||||||
Fixed-rate Agency RMBS: | ||||||||||||||||||||||||
15-year fixed-rate mortgages: | ||||||||||||||||||||||||
2.50 | $ | 1,700 | $ | 1,717 | 15 | $ | 1,700 | $ | 1,797 | 6 | ||||||||||||||
3.00 | 8,661 | 9,203 | 56 | 13,167 | 13,891 | 40 | ||||||||||||||||||
3.50 | 28,144 | 30,171 | 46 | 86,460 | 91,906 | 32 | ||||||||||||||||||
4.00 | 25,284 | 27,340 | 39 | 22,408 | 23,965 | 34 | ||||||||||||||||||
4.50 | 702 | 738 | 129 | 776 | 816 | 126 | ||||||||||||||||||
Total 15-year fixed-rate mortgages | 64,491 | 69,169 | 45 | 124,511 | 132,375 | 34 | ||||||||||||||||||
20-year fixed-rate mortgages: | ||||||||||||||||||||||||
5.00 | 1,077 | 1,191 | 22 | 1,087 | 1,187 | 19 | ||||||||||||||||||
Total 20-year fixed-rate mortgages | 1,077 | 1,191 | 22 | 1,087 | 1,187 | 19 | ||||||||||||||||||
30-year fixed-rate mortgages: | ||||||||||||||||||||||||
2.50 | 5,100 | 5,394 | 1 | — | — | — | ||||||||||||||||||
3.00 | 192,302 | 204,478 | 9 | 20,022 | 21,113 | 59 | ||||||||||||||||||
3.03 | 305 | 334 | 96 | 309 | 329 | 93 | ||||||||||||||||||
3.25 | 840 | 895 | 42 | 845 | 897 | 39 | ||||||||||||||||||
3.28 | 99 | 108 | 96 | 100 | 106 | 93 | ||||||||||||||||||
3.50 | 169,826 | 185,633 | 55 | 179,663 | 192,659 | 51 | ||||||||||||||||||
3.75 | 3,022 | 3,215 | 35 | 3,038 | 3,234 | 32 | ||||||||||||||||||
4.00 | 185,495 | 203,089 | 54 | 221,944 | 240,423 | 50 | ||||||||||||||||||
4.50 | 177,959 | 195,351 | 42 | 174,550 | 189,502 | 40 | ||||||||||||||||||
5.00 | 76,871 | 85,867 | 42 | 91,748 | 99,597 | 36 | ||||||||||||||||||
5.50 | 9,071 | 10,158 | 44 | 9,669 | 10,674 | 40 | ||||||||||||||||||
6.00 | 4,960 | 5,481 | 21 | 6,174 | 6,686 | 18 | ||||||||||||||||||
Total 30-year fixed-rate mortgages | 825,850 | 900,003 | 39 | 708,062 | 765,220 | 46 | ||||||||||||||||||
Total fixed-rate Agency RMBS | $ | 891,418 | $ | 970,363 | 39 | $ | 833,660 | $ | 898,782 | 44 | ||||||||||||||
June 30, 2020 | December 31, 2019 | ||||||||||||||||||||||||||||||||||||||
(In thousands) | Current Principal | Fair Value | Average Price(1) | Cost | Average Cost(1) | Current Principal | Fair Value | Average Price(1) | Cost | Average Cost(1) | |||||||||||||||||||||||||||||
Agency RMBS(2) | |||||||||||||||||||||||||||||||||||||||
15-year fixed-rate mortgages | $ | 64,491 | $ | 69,169 | $ | 107.25 | $ | 66,172 | $ | 102.61 | $ | 173,350 | $ | 181,231 | $ | 104.55 | $ | 176,848 | $ | 102.02 | |||||||||||||||||||
20-year fixed-rate mortgages | 1,077 | 1,191 | 110.58 | 1,148 | 106.59 | 1,276 | 1,385 | 108.54 | 1,356 | 106.27 | |||||||||||||||||||||||||||||
30-year fixed-rate mortgages | 825,850 | 900,003 | 108.98 | 861,994 | 104.38 | 996,451 | 1,058,878 | 106.26 | 1,041,550 | 104.53 | |||||||||||||||||||||||||||||
ARMs | 25,471 | 26,827 | 105.32 | 26,030 | 102.19 | 32,122 | 33,255 | 103.53 | 33,049 | 102.89 | |||||||||||||||||||||||||||||
Reverse mortgages | 89,561 | 100,393 | 112.09 | 95,451 | 106.58 | 91,560 | 99,934 | 109.15 | 98,407 | 107.48 | |||||||||||||||||||||||||||||
Total Agency RMBS | 1,006,450 | 1,097,583 | 109.05 | 1,050,795 | 104.41 | 1,294,759 | 1,374,683 | 106.17 | 1,351,210 | 104.36 | |||||||||||||||||||||||||||||
Non-Agency RMBS | 58,642 | 41,987 | 71.60 | 39,016 | 66.53 | 10,947 | 8,851 | 80.85 | 6,924 | 63.25 | |||||||||||||||||||||||||||||
Total RMBS(2) | 1,065,092 | 1,139,570 | 106.99 | 1,089,811 | 102.32 | 1,305,706 | 1,383,534 | 105.96 | 1,358,134 | 104.02 | |||||||||||||||||||||||||||||
Agency IOs | n/a | 14,477 | n/a | 16,023 | n/a | n/a | 18,244 | n/a | 17,795 | n/a | |||||||||||||||||||||||||||||
Total mortgage-backed securities | 1,154,047 | 1,105,834 | 1,401,778 | 1,375,929 | |||||||||||||||||||||||||||||||||||
U.S. Treasury securities sold short | — | — | — | — | — | (2,100 | ) | (2,070 | ) | 98.57 | (2,070 | ) | 98.57 | ||||||||||||||||||||||||||
Reverse repurchase agreements | — | — | — | — | — | 2,084 | 2,084 | 100.00 | 2,084 | 100.00 | |||||||||||||||||||||||||||||
Total | $ | 1,154,047 | $ | 1,105,834 | $ | 1,401,792 | $ | 1,375,943 | |||||||||||||||||||||||||||||||
(1) | Represents the dollar amount (not shown in thousands) per $100 of current principal of the price or cost for the security. |
(2) | Excludes Agency IOs. |
(In thousands) | June 30, 2020 | December 31, 2019 | ||||||
Financial derivatives–assets, at fair value: | ||||||||
TBA securities purchase contracts | $ | 1,147 | $ | 48 | ||||
TBA securities sale contracts | 1,124 | 74 | ||||||
Fixed payer interest rate swaps | — | 3,543 | ||||||
Fixed receiver interest rate swaps | 844 | 81 | ||||||
Futures | — | 434 | ||||||
Total financial derivatives–assets, at fair value | 3,115 | 4,180 | ||||||
Financial derivatives–liabilities, at fair value: | ||||||||
TBA securities purchase contracts | (129 | ) | (71 | ) | ||||
TBA securities sale contracts | (606 | ) | (233 | ) | ||||
Fixed payer interest rate swaps | (11,012 | ) | (1,632 | ) | ||||
Fixed receiver interest rate swaps | (20 | ) | (15 | ) | ||||
Futures | (377 | ) | (96 | ) | ||||
Total financial derivatives–liabilities, at fair value | (12,144 | ) | (2,047 | ) | ||||
Total | $ | (9,029 | ) | $ | 2,133 | |||
• | Interest rate swaps (a contract exchanging a variable rate for a fixed rate, or vice versa); |
• | Interest rate swaptions (options to enter into interest rate swaps at a future date); |
• | TBA forward contracts on Agency pass-through certificates; |
• | Short sales of U.S. Treasury securities; |
• | Eurodollar and U.S. Treasury futures; and |
• | Other derivatives. |
June 30, 2020 | December 31, 2019 | ||||||||||||||||||
Weighted Average | Weighted Average | ||||||||||||||||||
Remaining Days to Maturity | Borrowings Outstanding | Interest Rate | Remaining Days to Maturity | Borrowings Outstanding | Interest Rate | Remaining Days to Maturity | |||||||||||||
(In thousands) | |||||||||||||||||||
30 days or less | $ | 212,165 | 0.54 | % | 16 | $ | 513,092 | 2.10 | % | 15 | |||||||||
31-60 days | 513,347 | 0.33 | 45 | 549,541 | 1.91 | 45 | |||||||||||||
61-90 days | 113,116 | 0.30 | 80 | 233,639 | 1.97 | 74 | |||||||||||||
91-120 days | 12,498 | 0.30 | 107 | — | — | — | |||||||||||||
151-180 days | 4,291 | 1.50 | 167 | — | — | — | |||||||||||||
181-360 days | 54,404 | 0.32 | 346 | — | — | — | |||||||||||||
Total | $ | 909,821 | 0.38 | % | 62 | $ | 1,296,272 | 2.00 | % | 39 | |||||||||
Three-Month Period Ended June 30, | Six-Month Period Ended June 30, | |||||||||||||||
(In thousands except for per share amounts) | 2020 | 2019 | 2020 | 2019 | ||||||||||||
Interest Income (Expense) | ||||||||||||||||
Interest income | $ | 3,489 | $ | 12,139 | $ | 13,370 | $ | 24,752 | ||||||||
Interest expense | (2,330 | ) | (9,662 | ) | (8,430 | ) | (19,217 | ) | ||||||||
Net interest income | 1,159 | 2,477 | 4,940 | 5,535 | ||||||||||||
Expenses | ||||||||||||||||
Management fees to affiliate | 594 | 582 | 1,119 | 1,177 | ||||||||||||
Other operating expenses | 1,138 | 718 | 1,900 | 1,491 | ||||||||||||
Total expenses | 1,732 | 1,300 | 3,019 | 2,668 | ||||||||||||
Other Income (Loss) | ||||||||||||||||
Net realized and change in net unrealized gains (losses) on securities | 20,865 | 15,929 | 28,726 | 36,226 | ||||||||||||
Net realized and change in net unrealized gains (losses) on financial derivatives | 1,053 | (17,213 | ) | (26,047 | ) | (30,272 | ) | |||||||||
Total Other Income (Loss) | 21,918 | (1,284 | ) | 2,679 | 5,954 | |||||||||||
Net Income (Loss) | $ | 21,345 | $ | (107 | ) | $ | 4,600 | $ | 8,821 | |||||||
Net Income (Loss) Per Common Share | $ | 1.73 | $ | (0.01 | ) | $ | 0.37 | $ | 0.71 | |||||||
Three-Month Period Ended June 30, | Six-Month Period Ended June 30, | |||||||||||||||
(In thousands except for share amounts) | 2020 | 2019(1) | 2020 | 2019(1) | ||||||||||||
Net Income (Loss) | $ | 21,345 | $ | (107 | ) | $ | 4,600 | $ | 8,821 | |||||||
Adjustments: | ||||||||||||||||
Net realized (gains) losses on securities | (5,175 | ) | (1,418 | ) | (6,268 | ) | 256 | |||||||||
Change in net unrealized (gains) losses on securities | (15,690 | ) | (14,511 | ) | (22,458 | ) | (36,482 | ) | ||||||||
Net realized (gains) losses on financial derivatives | 8,452 | 8,771 | 14,951 | 20,862 | ||||||||||||
Change in net unrealized (gains) losses on financial derivatives | (9,505 | ) | 8,442 | 11,096 | 9,410 | |||||||||||
Net realized gains (losses) on periodic settlements of interest rate swaps | (1,223 | ) | (383 | ) | 110 | 631 | ||||||||||
Change in net unrealized gains (losses) on accrued periodic settlements of interest rate swaps | 896 | 1,045 | (253 | ) | 711 | |||||||||||
Deferred offering costs expensed | 313 | — | 313 | — | ||||||||||||
Negative (positive) component of interest income represented by Catch-up Premium Amortization Adjustment | 3,782 | 904 | 4,463 | 1,848 | ||||||||||||
Subtotal | (18,150 | ) | 2,850 | 1,954 | (2,746 | ) | ||||||||||
Core Earnings | $ | 3,195 | $ | 2,743 | $ | 6,554 | $ | 6,057 | ||||||||
Weighted Average Shares Outstanding | 12,319,616 | 12,467,103 | 12,377,185 | 12,467,506 | ||||||||||||
Core Earnings Per Share | $ | 0.26 | $ | 0.22 | $ | 0.53 | $ | 0.49 | ||||||||
(1) | Conformed to current period presentation. |
Agency(1) | Non-Agency(1) | Total(1) | ||||||||||||||||||||||||||||||
(In thousands) | Interest Income | Average Holdings | Yield | Interest Income | Average Holdings | Yield | Interest Income | Average Holdings | Yield | |||||||||||||||||||||||
Three-month period ended June 30, 2020 | $ | 3,001 | $ | 941,506 | 1.28 | % | $ | 435 | $ | 23,768 | 7.33 | % | $ | 3,436 | $ | 965,274 | 1.42 | % | ||||||||||||||
Three-month period ended June 30, 2019 | $ | 11,474 | $ | 1,501,355 | 3.06 | % | $ | 240 | $ | 7,695 | 12.49 | % | $ | 11,714 | $ | 1,509,050 | 3.11 | % | ||||||||||||||
(1) | Amounts exclude interest income on cash and cash equivalents (including when posted as margin) and long U.S. Treasury securities. |
Repurchase Agreements | Interest Rate Swaps(2) | Short U.S. Treasury Securities(2) | Total(2) | |||||||||||||||||||||||||||||
Average Borrowed Funds | Interest Expense | Average Cost of Funds | Net periodic expense paid or payable | Average Cost of Funds | Interest expense | Average Cost of Funds | Interest and net periodic expense paid or payable | Average Cost of Funds | ||||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||||||||
Three-month period ended June 30, 2020 | $ | 941,242 | $ | 2,294 | 0.98 | % | $ | 322 | 0.14 | % | $ | 35 | 0.01 | % | $ | 2,651 | 1.13 | % | ||||||||||||||
Three-month period ended June 30, 2019 | $ | 1,412,434 | $ | 9,485 | 2.69 | % | $ | (656 | ) | (0.18 | )% | $ | 172 | 0.05 | % | $ | 9,001 | 2.56 | % | |||||||||||||
(1) | This metric does not take into account other instruments that we use to hedge interest rate risk, such as TBAs, swaptions, and futures. |
(2) | As an alternative cost of funds measure, we add to our repo borrowing cost the net periodic amounts paid or payable by us on our interest rate swaps and the interest expense we incur on our short positions in U.S. Treasury securities, and express the total as a percentage of our average outstanding repurchase agreement borrowings. |
Agency(1) | Non-Agency(1) | Total(1) | ||||||||||||||||||||||||||||||
(In thousands) | Interest Income | Average Holdings | Yield | Interest Income | Average Holdings | Yield | Interest Income | Average Holdings | Yield | |||||||||||||||||||||||
Six-month period ended June 30, 2020 | $ | 12,337 | $ | 1,136,839 | 2.17 | % | $ | 632 | $ | 15,257 | 8.29 | % | $ | 12,969 | $ | 1,152,096 | 2.25 | % | ||||||||||||||
Six-month period ended June 30, 2019 | $ | 23,598 | $ | 1,521,101 | 3.10 | % | $ | 484 | $ | 8,436 | 11.48 | % | $ | 24,082 | $ | 1,529,537 | 3.15 | % | ||||||||||||||
(1) | Amounts exclude interest income on cash and cash equivalents (including when posted as margin) and long U.S. Treasury securities. |
Repurchase Agreements | Interest Rate Swaps(2) | Short U.S. Treasury Securities(2) | Total(2) | |||||||||||||||||||||||||||||
Average Borrowed Funds | Interest Expense | Average Cost of Funds | Net periodic expense paid or payable | Average Cost of Funds | Interest expense | Average Cost of Funds | Interest and net periodic expense paid or payable | Average Cost of Funds | ||||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||||||||
Six-month period ended June 30, 2020 | $ | 1,111,374 | $ | 8,212 | 1.49 | % | $ | 123 | 0.02 | % | $ | 197 | 0.03 | % | $ | 8,532 | 1.54 | % | ||||||||||||||
Six-month period ended June 30, 2019 | $ | 1,417,356 | $ | 18,941 | 2.69 | % | $ | (1,330 | ) | (0.19 | )% | $ | 267 | 0.04 | % | $ | 17,878 | 2.54 | % | |||||||||||||
(1) | This metric does not take into account other instruments that we use to hedge interest rate risk, such as TBAs, swaptions, and futures. |
(2) | As an alternative cost of funds measure, we add to our repo borrowing cost the net periodic amounts paid or payable by us on our interest rate swaps and the interest expense we incur on our short positions in U.S. Treasury securities, and express the total as a percentage of our average outstanding repurchase agreement borrowings. |
Quarter Ended | Borrowings Outstanding at Quarter End | Average Borrowings Outstanding | Maximum Borrowings Outstanding at Any Month End | |||||||||
(In thousands) | ||||||||||||
June 30, 2020 | $ | 909,821 | $ | 941,242 | $ | 920,712 | ||||||
March 31, 2020(1) | 1,109,342 | 1,281,507 | 1,308,377 | |||||||||
December 31, 2019 | 1,296,272 | 1,301,270 | 1,319,839 | |||||||||
September 30, 2019 | 1,337,984 | 1,369,722 | 1,374,080 | |||||||||
June 30, 2019 | 1,442,043 | 1,412,434 | 1,442,043 | |||||||||
March 31, 2019 | 1,427,147 | 1,422,333 | 1,427,147 | |||||||||
December 31, 2018 | 1,481,561 | 1,456,905 | 1,481,561 | |||||||||
September 30, 2018 | 1,500,632 | 1,506,855 | 1,515,617 | |||||||||
June 30, 2018 | 1,537,216 | 1,530,734 | 1,537,216 | |||||||||
March 31, 2018 | 1,589,319 | 1,588,515 | 1,590,790 | |||||||||
December 31, 2017 | 1,597,206 | 1,614,096 | 1,643,683 | |||||||||
September 30, 2017 | 1,642,313 | 1,633,746 | 1,650,729 | |||||||||
(1) | For the quarter ended March 31, 2020 in response to significant volatility and heightened risks in the financial markets as a result of the spread of COVID-19, we significantly reduced our outstanding borrowings to lower leverage and increase our liquidity. |
Dividend Per Share | Dividend Amount | Declaration Date | Record Date | Payment Date | |||||||||
(In thousands) | |||||||||||||
First Quarter | $ | 0.28 | $ | 3,449 | March 4, 2020 | March 31, 2020 | April 27, 2020 | ||||||
Second Quarter | 0.28 | 3,450 | June 10, 2020 | June 30, 2020 | July 27, 2020 | ||||||||
Dividend Per Share | Dividend Amount | Declaration Date | Record Date | Payment Date | |||||||||
(In thousands) | |||||||||||||
First Quarter | $ | 0.34 | $ | 4,239 | March 4, 2019 | March 29, 2019 | April 25, 2019 | ||||||
Second Quarter | 0.28 | 3,491 | June 11, 2019 | June 28, 2019 | July 25, 2019 | ||||||||
(In thousands) | Estimated Change for a Decrease in Interest Rates by | Estimated Change for an Increase in Interest Rates by | ||||||||||||||||||||||||||
50 Basis Points | 100 Basis Points | 50 Basis Points | 100 Basis Points | |||||||||||||||||||||||||
Category of Instruments | Market Value | % of Total Equity | Market Value | % of Total Equity | Market Value | % of Total Equity | Market Value | % of Total Equity | ||||||||||||||||||||
Agency RMBS, excluding TBAs | $ | 9,415 | 5.96 | % | $ | 18,730 | 11.85 | % | $ | (9,517 | ) | (6.02 | )% | $ | (19,134 | ) | (12.11 | )% | ||||||||||
TBAs | (624 | ) | (0.39 | )% | (2,549 | ) | (1.61 | )% | (675 | ) | (0.43 | )% | (2,650 | ) | (1.68 | )% | ||||||||||||
Non-Agency RMBS | 1,112 | 0.70 | % | 2,269 | 1.44 | % | (1,065 | ) | (0.68 | )% | (2,085 | ) | (1.32 | )% | ||||||||||||||
U.S. Treasury Securities, Interest Rate Swaps, and Futures | (10,021 | ) | (6.35 | )% | (20,459 | ) | (12.95 | )% | 9,605 | 6.08 | % | 18,791 | 11.89 | % | ||||||||||||||
Corporate Securities and Derivatives on Corporate Securities | (1 | ) | — | % | (2 | ) | — | % | — | — | % | 1 | — | % | ||||||||||||||
Repurchase and Reverse Repurchase Agreements | (528 | ) | (0.33 | )% | (538 | ) | (0.34 | )% | 786 | 0.50 | % | 1,572 | 1.00 | % | ||||||||||||||
Total | $ | (647 | ) | (0.41 | )% | $ | (2,549 | ) | (1.61 | )% | $ | (866 | ) | (0.55 | )% | $ | (3,505 | ) | (2.22 | )% | ||||||||
Exhibit | Description | |
31.1 | ||
31.2 | ||
32.1* | ||
32.2* | ||
101.INS | Inline XBRL Instance Document | |
101.SCH | Inline XBRL Taxonomy Extension Schema | |
101.CAL | Inline XBRL Taxonomy Extension Calculation Linkbase | |
101.DEF | Inline XBRL Taxonomy Extension Definition Linkbase | |
101.LAB | Inline XBRL Taxonomy Extension Label Linkbase | |
101.PRE | Inline XBRL Taxonomy Extension Presentation Linkbase | |
* | Furnished herewith. These certifications are not deemed "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, as amended. |
ELLINGTON RESIDENTIAL MORTGAGE REIT | ||||
Date: | August 7, 2020 | By: | /s/ LAURENCE PENN | |
Laurence Penn Chief Executive Officer (Principal Executive Officer) | ||||
ELLINGTON RESIDENTIAL MORTGAGE REIT | ||||
Date: | August 7, 2020 | By: | /s/ CHRISTOPHER SMERNOFF | |
Christopher Smernoff Chief Financial Officer (Principal Financial and Accounting Officer) | ||||
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
(d) | Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. |
Date: | August 7, 2020 | |||
/s/ Laurence Penn | ||||
Laurence Penn | ||||
Chief Executive Officer (Principal Executive Officer) | ||||
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
(d) | Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. |
Date: | August 7, 2020 | |||
/s/ Christopher Smernoff | ||||
Christopher Smernoff | ||||
Chief Financial Officer (Principal Financial and Accounting Officer) | ||||
Date: | August 7, 2020 | /s/ Laurence Penn | ||
Laurence Penn Chief Executive Officer (Principal Executive Officer) | ||||
Date: | August 7, 2020 | /s/ Christopher Smernoff | ||
Christopher Smernoff Chief Financial Officer (Principal Financial and Accounting Officer) | ||||
CONSOLIDATED BALANCE SHEET (Parenthetical) - $ / shares |
Jun. 30, 2020 |
Dec. 31, 2019 |
|---|---|---|
| Statement of Financial Position [Abstract] | ||
| Preferred stock, par value | $ 0.01 | $ 0.01 |
| Preferred stock, shares authorized | 100,000,000 | 100,000,000 |
| Preferred stock, shares issued | 0 | 0 |
| Preferred stock, shares outstanding | 0 | 0 |
| Common stock, par value | $ 0.01 | $ 0.01 |
| Common stock, shares authorized | 500,000,000 | 500,000,000 |
| Common stock, shares issued | 12,319,616 | 12,455,758 |
| Common stock, shares outstanding | 12,319,616 | 12,455,758 |
CONSOLIDATED STATEMENT OF OPERATIONS - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
|---|---|---|---|---|
Jun. 30, 2020 |
Jun. 30, 2019 |
Jun. 30, 2020 |
Jun. 30, 2019 |
|
| INTEREST INCOME (EXPENSE) | ||||
| Interest income | $ 3,489 | $ 12,139 | $ 13,370 | $ 24,752 |
| Interest expense | (2,330) | (9,662) | (8,430) | (19,217) |
| Total net interest income | 1,159 | 2,477 | 4,940 | 5,535 |
| EXPENSES | ||||
| Management fees to affiliate | 594 | 582 | 1,119 | 1,177 |
| Professional fees | 598 | 207 | 806 | 436 |
| Compensation expense | 142 | 112 | 293 | 263 |
| Insurance expense | 82 | 74 | 158 | 148 |
| Other operating expenses | 316 | 325 | 643 | 644 |
| Total expenses | 1,732 | 1,300 | 3,019 | 2,668 |
| OTHER INCOME (LOSS) | ||||
| Net realized gains (losses) on securities | 5,175 | 1,418 | 6,268 | (256) |
| Net realized gains (losses) on financial derivatives | (8,452) | (8,771) | (14,951) | (20,862) |
| Change in net unrealized gains (losses) on securities | 15,690 | 14,511 | 22,458 | 36,482 |
| Change in net unrealized gains (losses) on financial derivatives | 9,505 | (8,442) | (11,096) | (9,410) |
| Total other income (loss) | 21,918 | (1,284) | 2,679 | 5,954 |
| NET INCOME (LOSS) | $ 21,345 | $ (107) | $ 4,600 | $ 8,821 |
| NET INCOME (LOSS) PER COMMON SHARE: | ||||
| Basic and Diluted (in dollars per share) | $ 1.73 | $ (0.01) | $ 0.37 | $ 0.71 |
CONSOLIDATED STATEMENT OF CASH FLOWS - USD ($) $ in Thousands |
6 Months Ended | |
|---|---|---|
Jun. 30, 2020 |
Jun. 30, 2019 |
|
| Cash flows provided by (used in) operating activities: | ||
| Net income (loss) | $ 4,600 | $ 8,821 |
| Reconciliation of net income (loss) to net cash provided by (used in) operating activities: | ||
| Net realized (gains) losses on securities | (6,268) | 256 |
| Change in net unrealized (gains) losses on securities | (22,458) | (36,482) |
| Net realized (gains) losses on financial derivatives | 14,951 | 20,862 |
| Change in net unrealized (gains) losses on financial derivatives | 11,096 | 9,410 |
| Amortization of premiums and accretion of discounts, net | 9,282 | 6,106 |
| Share based compensation | 118 | 106 |
| (Increase) decrease in assets: | ||
| Interest receivable | 727 | 403 |
| Other assets | 65 | (159) |
| Increase (decrease) in liabilities: | ||
| Accrued expenses | 249 | (174) |
| Interest payable | (3,237) | (16) |
| Management fees payable to affiliate | (11) | 3 |
| Net cash provided by (used in) operating activities | 9,114 | 9,136 |
| Cash flows provided by (used in) investing activities: | ||
| Purchases of securities | (408,505) | (861,386) |
| Proceeds from sale of securities | 708,337 | 888,047 |
| Principal repayments of mortgage-backed securities | 120,681 | 81,160 |
| Proceeds from investments sold short | 222,741 | 267,205 |
| Repurchase of investments sold short | (227,522) | (233,841) |
| Proceeds from disposition of financial derivatives | 10,574 | 8,126 |
| Purchase of financial derivatives | (26,417) | (29,017) |
| Payments made on reverse repurchase agreements | (3,839,520) | (2,774,397) |
| Proceeds from reverse repurchase agreements | 3,841,604 | 2,734,679 |
| Due from brokers, net | (11,551) | (11,108) |
| Due to brokers, net | 1,024 | (182) |
| Net cash provided by (used in) investing activities | 391,446 | 69,286 |
| Cash flows provided by (used in) financing activities: | ||
| Repurchase of common shares | (986) | (414) |
| Dividends paid | (6,937) | (8,491) |
| Borrowings under repurchase agreements | 1,274,931 | 893,858 |
| Repayments of repurchase agreements | (1,661,382) | (933,376) |
| Due from brokers, net | 9,234 | (6,643) |
| Due to brokers, net | 164 | (468) |
| Cash provided by (used in) financing activities | (384,976) | (55,534) |
| NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS | 15,584 | 22,888 |
| CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD | 35,351 | 18,585 |
| CASH AND CASH EQUIVALENTS, END OF PERIOD | 50,935 | 41,473 |
| Supplemental disclosure of cash flow information: | ||
| Interest paid | 11,668 | 19,233 |
| Dividend payable | $ 3,450 | $ 3,491 |
Organization and Investment Objective |
6 Months Ended |
|---|---|
Jun. 30, 2020 | |
| Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
| Organization and Investment Objective | Organization and Investment Objective Ellington Residential Mortgage REIT, or "EARN," was formed as a Maryland real estate investment trust, or "REIT," on August 2, 2012, and commenced operations on September 25, 2012. EARN conducts its business through its wholly owned subsidiaries, EARN OP GP LLC, or the "General Partner," and Ellington Residential Mortgage LP, or the "Operating Partnership," which were formed as a Delaware limited liability company and a Delaware limited partnership, respectively, on July 31, 2012 and commenced operations on September 25, 2012. The Operating Partnership conducts its business of acquiring, investing in, and managing residential mortgage- and real estate-related assets through its wholly owned subsidiaries. EARN, the General Partner, the Operating Partnership, and their consolidated subsidiaries are hereafter defined as the "Company." Ellington Residential Mortgage Management LLC, or the "Manager," serves as the Manager of the Company pursuant to the terms of the Fifth Amended and Restated Management Agreement, or the "Management Agreement." The Manager is an affiliate of Ellington Management Group, L.L.C., or "EMG," an investment management firm that is an SEC-registered investment adviser with a 25-year history of investing in a broad spectrum of mortgage-backed securities and related derivatives, with an emphasis on the residential mortgage-backed securities, or "RMBS," market. In accordance with the terms of the Management Agreement and the Services Agreement (as described in Note 9), the Manager is responsible for administering the Company's business activities and day-to-day operations, and performs certain services, subject to oversight by the Board of Trustees. See Note 9 for further information on the Management Agreement. The Company acquires and manages RMBS, for which the principal and interest payments are guaranteed by a U.S. government agency or a U.S. government-sponsored entity, or "Agency RMBS," and RMBS that do not carry such guarantees, or "non-Agency RMBS," such as RMBS backed by prime jumbo, Alternative A-paper, manufactured housing, and subprime residential mortgage loans. Agency RMBS include both Agency pools and Agency collateralized mortgage obligations, or "CMOs," and non-Agency RMBS primarily consist of non-Agency CMOs, both investment grade and non-investment grade. The Company may also acquire and manage CMBS, mortgage servicing rights, credit risk transfer securities, residential mortgage loans, and other mortgage- and real estate-related assets. The Company may also invest in other instruments including, but not limited to, forward-settling To-Be-Announced Agency pass-through certificates, or "TBAs," interest rate swaps and swaptions, U.S. Treasury securities, Eurodollar and U.S. Treasury futures, other financial derivatives, and cash equivalents. The Company's targeted investments may range from unrated first loss securities to AAA senior securities. The Company has elected to be taxed as a REIT under the Internal Revenue Code of 1986, as amended, or "the Code," and conducts its operations to qualify and be taxed as a REIT. As a REIT, the Company is required to distribute annually at least 90% of its taxable income. As long as the Company continues to qualify as a REIT, it will not be subject to U.S. federal corporate taxes on its taxable income to the extent that it distributes all of its annual taxable income to its shareholders within the time limits prescribed by the Code. It is the intention of the Company to distribute at least 100% of its taxable income, after application of available tax attributes, within the time limits prescribed by the Code, which may extend into the subsequent taxable year. COVID-19 Impact During the first quarter of 2020, there was a worldwide outbreak of a novel coronavirus disease, or "COVID-19." The outbreak was declared a pandemic by the World Health Organization and numerous countries, including the United States, have responded by instituting quarantines or lockdowns, imposing restrictions on travel, restrictions on the ability of individuals to assemble in groups, and restrictions on the ability of certain businesses to operate, all of which have resulted in significant disruptions in the U.S. and global economies. In mid-March 2020, adverse economic conditions related to the COVID-19 pandemic began to impact the Company's financial position and results of operations. The COVID-19 pandemic has contributed to volatility, dislocations in the financial markets, and illiquidity. As a result, the Company received margin calls under its repurchase agreements that were higher than typical historical levels. The Company satisfied all of these margin calls. Actions during the second half of March 2020 by the U.S. Federal Reserve helped stabilize the market for Agency RMBS. In light of the heightened levels of market volatility and systemic liquidity risk experienced during the first quarter of 2020, the Company proactively reduced the size of its Agency RMBS portfolio, thereby bolstering its liquidity and lowering its leverage. Actions by the Federal Reserve continued to stabilize the market for Agency RMBS during the second quarter, and margin calls under our financing arrangements reverted to more typical levels. The Company's management team has implemented business continuity plans, and the Company, the Manager, and EMG continue to be fully operational in a largely work-from-home environment. |
Significant Accounting Policies |
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| Accounting Policies [Abstract] | |||||||||||||
| Significant Accounting Policies | Significant Accounting Policies (A) Basis of Presentation: The Company's unaudited interim consolidated financial statements have been prepared in conformity with generally accepted accounting principles in the United States of America, or "U.S. GAAP," and Regulation S-X. Entities in which the Company has a controlling financial interest, through ownership of the majority of the entities' voting equity interests, or through other contractual rights that give the Company control, are consolidated by the Company. All inter-company balances and transactions have been eliminated. The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be material (particularly in light of the significant volatility, lack of pricing transparency, and market dislocations that have been caused by the COVID-19 pandemic, and associated responses to the pandemic). In management's opinion, all material adjustments considered necessary for a fair statement of the Company's interim consolidated financial statements have been included and are only of a normal recurring nature. Interim results are not necessarily indicative of the results that may be expected for the entire fiscal year. The information included in this Quarterly Report on Form 10-Q should be read in conjunction with the Company's Annual Report on Form 10-K for the year ended December 31, 2019 and Part II. Item 1A—Risk Factors, included in our Quarterly Report on Form 10-Q for the quarter ended March 31, 2020. (B) Valuation: The Company applies ASC 820-10, Fair Value Measurement ("ASC 820-10"), to its holdings of financial instruments. ASC 820-10 establishes a three-level valuation hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the observability of inputs to the valuation of an asset or liability as of the measurement date. The three levels are defined as follows:
For certain financial instruments, the various inputs that management uses to measure fair value may fall into different levels of the fair value hierarchy. For each such financial instrument, the determination of which category within the fair value hierarchy is appropriate is based on the lowest level of input that is significant to the fair value measurement. ASC 820 prioritizes the various inputs that management uses to measure fair value, with the highest priority given to inputs that are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets (Level 1), and the lowest priority given to inputs that are unobservable and significant to the fair value measurement (Level 3). The assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the financial instrument. The Company may use valuation techniques consistent with the market and income approaches to measure the fair value of its assets and liabilities. The market approach uses third-party valuations and information obtained from market transactions involving identical or similar assets or liabilities. The income approach uses projections of the future economic benefits of an instrument to determine its fair value, such as in the discounted cash flow methodology. The inputs or methodology used for valuing financial instruments are not necessarily an indication of the risk associated with investing in these financial instruments. The leveling of each financial instrument is reassessed at the end of each period. Transfers between levels of the fair value hierarchy are assumed to occur at the end of the reporting period. Summary Valuation Techniques For financial instruments that are traded in an "active market," the best measure of fair value is the quoted market price. However, many of the Company's financial instruments are not traded in an active market. Therefore, management generally uses third-party valuations when available. If third-party valuations are not available, management uses other valuation techniques, such as the discounted cash flow methodology. The following are summary descriptions, for the various categories of financial instruments, of the valuation methodologies management uses in determining fair value of the Company's financial instruments in such categories. Management utilizes such methodologies to assign a fair value (the estimated price that, in an orderly transaction at the valuation date, would be received to sell an asset, or paid to transfer a liability, as the case may be) to each such financial instrument. For the Company's RMBS investments and TBAs, management seeks to obtain at least one third-party valuation, and often obtains multiple valuations when available. Management has been able to obtain third-party valuations on the vast majority of these instruments and expects to continue to solicit third-party valuations in the future. Management generally values each financial instrument at the average of third-party valuations received and not rejected as described below. Third-party valuations are not binding, management may adjust the valuations it receives (e.g., downward adjustments for odd lots), and management may challenge or reject a valuation when, based on its validation criteria, management determines that such valuation is unreasonable or erroneous. Furthermore, based on its validation criteria, management may determine that the average of the third-party valuations received for a given instrument does not result in what management believes to be the fair value of such instrument, and in such circumstances management may override this average with its own good faith valuation. The validation criteria may take into account output from management's own models, recent trading activity in the same or similar instruments, and valuations received from third parties. The use of proprietary models requires the use of a significant amount of judgment and the application of various assumptions including, but not limited to, assumptions concerning future prepayment rates and default rates. Given their relatively high level of price transparency, Agency RMBS pass-throughs and TBAs are typically designated as Level 2 assets. Non-Agency RMBS and Agency interest only and inverse interest only RMBS are generally classified as either Level 2 or Level 3 based on the analysis of available market data and/or third-party valuations. Furthermore, the methodology used by the third-party valuation providers is reviewed at least annually by management, so as to ascertain whether such providers are utilizing observable market data to determine the valuations that they provide. Interest rate swaps and swaptions are typically valued based on internal models that use observable market data, including applicable interest rates in effect as of the measurement date; the model-generated valuations are then typically compared to counterparty valuations for reasonableness. These financial derivatives are generally designated as Level 2 instruments. In valuing its derivatives, the Company also considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each derivative agreement. The Company's repurchase and reverse repurchase agreements are carried at cost, which approximates fair value. Repurchase agreements and reverse repurchase agreements are classified as Level 2 assets and liabilities based on the adequacy of the collateral and their short term nature. The Company's valuation process, including the application of validation criteria, is overseen by the Manager's Valuation Committee ("Valuation Committee"). The Valuation Committee includes senior level executives from various departments within the Manager, and each quarter the Valuation Committee reviews and approves the valuations of the Company's investments. The valuation process also includes a monthly review by the Company's third party administrator. The goal of this review is to replicate various aspects of the Company's valuation process based on the Company's documented procedures. Because of the inherent uncertainty of valuation, the estimated fair value of the Company's financial instruments may differ significantly from the values that would have been used had a ready market for the financial instruments existed, and the differences could be material to the consolidated financial statements. (C) Accounting for Securities: Purchases and sales of securities are recorded on trade date and realized and unrealized gains and losses are calculated based on identified cost. The Company has chosen to make a fair value election pursuant to ASC 825-10, Financial Instruments, for its securities portfolio. Electing the fair value option, or "FVO," allows the Company to record changes in fair value in the Consolidated Statement of Operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. As such, securities are recorded at fair value on the Consolidated Balance Sheet and the period change in fair value is recorded in current period earnings on the Consolidated Statement of Operations as a component of Change in net unrealized gains (losses) on securities. Periods after January 1, 2020—For periods subsequent to the Company's application of the principles of ASU 2016-13, Financial Instruments—Credit Losses ("ASU 2016-13"), as discussed below, the Company evaluates the cost basis of its securities on at least a quarterly basis under ASC 326-30, Financial Instruments—Credit Losses: Available-for-Sale Debt Securities ("ASC 326-30"). When the fair value of a security is less than its amortized cost basis as of the balance sheet date, the security's cost basis is considered impaired. The Company must evaluate the decline in the fair value of the impaired security and determine whether such decline resulted from a credit loss or non-credit related factors. In its assessment of whether a credit loss exists, the Company compares the present value of estimated future cash flows of the impaired security with the amortized cost basis of such security. The estimated future cash flows reflect those that a "market participant" would use and typically include assumptions related to fluctuations in interest rates, prepayment speeds, default rates, collateral performance, and the timing and amount of projected credit losses, as well as incorporating observations of current market developments and events. Cash flows are discounted at an interest rate equal to the current yield used to accrete interest income. If the present value of estimated future cash flows is less than the amortized cost basis of the security, an expected credit loss exists and is included in Unrealized gains (losses) on securities and loans, net, on the Consolidated Statement of Operations. If it is determined as of the financial reporting date that all or a portion of a security's cost basis is not collectible, then the Company will recognize a realized loss to the extent of the adjustment to the security's cost basis. This adjustment to the amortized cost basis of the security is reflected in Net realized gains (losses) on securities, on the Consolidated Statement of Operations. Periods prior to January 1, 2020—For periods prior to the Company's application of the principles of ASU 2016-13, the Company evaluated the cost basis of its Agency IOs and non-Agency RMBS for other-than-temporary impairment, or "OTTI," on at least a quarterly basis. When the fair value of a security was less than its amortized cost basis as of the balance sheet date, the security was considered impaired, and the impairment was designated as either temporary or other-than-temporary. When a security's cost basis was impaired, an OTTI was considered to have occurred if (i) the Company intended to sell the security (i.e., a decision had been made as of the reporting date), (ii) it was more likely than not that the Company would have been required to sell the security before recovery of its amortized cost basis, or (iii) the Company did not expect to recover the security's amortized cost basis, even if the Company did not intend to sell the security and it was not more likely than not that the Company would have been required to sell the security. If any of these conditions existed as of the financial reporting date, the entire amount of the impairment loss, if any, was recognized in earnings as a realized loss and the cost basis of the security was adjusted. Any resulting OTTI adjustments made to the amortized cost basis of the security were reflected in Net realized gains (losses) on securities, on the Consolidated Statement of Operations. (D) Interest Income: Coupon interest income on investment securities is accrued based on the outstanding principal balance or notional amount and the current coupon rate on each security. The Company amortizes purchase premiums and accretes purchase discounts on its fixed-income securities. For RMBS that are deemed to be of high credit quality at the time of purchase, premiums and discounts are generally amortized/accreted into interest income over the life of such securities using the effective interest method. For such RMBS whose cash flows vary depending on prepayments, an effective yield retroactive to the time of purchase is periodically recomputed based on actual prepayments and changes in projected prepayment activity, and a catch-up adjustment, or "Catch-up Premium Amortization Adjustment," is made to amortization to reflect the cumulative impact of the change in effective yield. For RMBS that are deemed not to be of high credit quality at the time of purchase, interest income is recognized based on the effective interest method. For purposes of estimating future expected cash flows, management uses assumptions including, but not limited to, assumptions for future prepayment rates, default rates, and loss severities (each of which may in turn incorporate various macro-economic assumptions, such as future housing prices). These assumptions are re-evaluated not less than quarterly. Changes in estimated future cash flows, as applied to the current amortized cost of the security, may result in a prospective change in the yield/interest income recognized on such securities. Certain of the Company's debt securities, at the date of acquisition, have experienced or are expected to experience more-than-insignificant deterioration in credit quality since origination. For periods subsequent to the Company's application of the principles of ASU 2016-13, if at the date of acquisition for a particular asset the Company projects a significant difference between contractual cash flows and expected cash flows, it establishes an initial estimate for credit losses as an upward adjustment to the acquisition cost of the asset for the purpose of calculating interest income using the effective yield method. The Company's accretion of discounts and amortization of premiums on securities for U.S. federal and other tax purposes is likely to differ from the accounting treatment under U.S. GAAP of these items as described above. (E) Cash and Cash Equivalents: Cash and cash equivalents include cash and short term investments with original maturities of three months or less at the date of acquisition. Cash and cash equivalents typically include amounts held in interest bearing overnight accounts and amounts held in money market funds, and these balances generally exceed insured limits. The Company holds its cash at institutions that it believes to be highly creditworthy. (F) Due from brokers/Due to brokers: Due from brokers and Due to brokers accounts on the Consolidated Balance Sheet include collateral transferred to or received from counterparties, including clearinghouses, along with receivables and payables for open and/or closed derivative positions. (G) Financial Derivatives: The Company enters into various types of financial derivatives subject to its investment guidelines, which include restrictions associated with maintaining its qualification as a REIT. The Company's financial derivatives are predominantly subject to bilateral collateral arrangements or clearing in accordance with the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010. The Company may be required to deliver or may receive cash or securities as collateral upon entering into derivative transactions. In addition, changes in the relative value of financial derivative transactions may require the Company or the counterparty to post or receive additional collateral. In the case of cleared financial derivatives, the clearinghouse becomes the Company's counterparty and a futures commission merchant acts as intermediary between the Company and the clearinghouse with respect to all facets of the related transaction, including the posting and receipt of required collateral. Collateral received by the Company is reflected on the Consolidated Balance Sheet as "Due to Brokers." Conversely, collateral posted by the Company is reflected as "Due from Brokers" on the Consolidated Balance Sheet. The types of financial derivatives that have been utilized by the Company to date include interest rate swaps, TBAs, swaptions, and futures. Swaps: The Company enters into interest rate swaps. Interest rate swaps are contractual agreements whereby one party pays a floating interest rate on a notional principal amount and receives a fixed-rate payment on the same notional principal, or vice versa, for a fixed period of time. The Company enters into interest rate swap contracts primarily to mitigate interest rate risk. The Company is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Swaps change in value with movements in interest rates or total return of the reference securities. During the term of swap contracts, changes in value are recognized as unrealized gains or losses on the Consolidated Statement of Operations. When a contract is terminated, the Company realizes a gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Company's basis in the contract, if any. Periodic payments or receipts required by swap agreements are recorded as unrealized gains or losses when accrued and realized gains or losses when received or paid. Upfront payments paid and/or received by the Company to open swap contracts are recorded as an asset and/or liability on the Consolidated Balance Sheet and are recorded as a realized gain or loss on the termination date. TBA Securities: The Company transacts in the forward settling TBA market. A TBA position is a forward contract for the purchase ("long position") or sale ("short position") of Agency RMBS at a predetermined price, face amount, issuer, coupon, and maturity on an agreed-upon future delivery date. For each TBA contract and delivery month, a uniform settlement date for all market participants is determined by the Securities Industry and Financial Markets Association. The specific Agency RMBS to be delivered into the contract at the settlement date are not known at the time of the transaction. The Company typically does not take delivery of TBAs, but rather enters into offsetting transactions and settles the associated receivable and payable balances with its counterparties. The Company uses TBAs to mitigate interest rate risk, usually by taking short positions. The Company also invests in TBAs as a means of acquiring additional exposure to Agency RMBS, or for speculative purposes, including holding long positions. TBAs are accounted for by the Company as financial derivatives. The difference between the contract price and the fair value of the TBA position as of the reporting date is included in Change in net unrealized gains (losses) on financial derivatives in the Consolidated Statement of Operations. Upon settlement of the TBA contract, the realized gain (loss) on the TBA contract is equal to the net cash amount received (paid). Options: The Company enters into swaption contracts. It may purchase or write put, call, straddle, or other similar options contracts. The Company enters into options contracts primarily to help mitigate interest rate risk. When the Company purchases an options contract, the option asset is initially recorded at an amount equal to the premium paid, if any, and is subsequently marked-to-market. Premiums paid for purchasing options contracts that expire unexercised are recognized on the expiration date as realized losses. If an options contract is exercised, the premium paid is subtracted from the proceeds of the sale or added to the cost of the purchase to determine whether the Company has realized a gain or loss on the related investment transaction. When the Company writes an options contract, the option liability is initially recorded at an amount equal to the premium received, if any, and is subsequently marked-to-market. Premiums received for writing options contracts that expire unexercised are recognized on the expiration date as realized gains. If an options contract is exercised, the premium received is subtracted from the cost of the purchase or added to the proceeds of the sale to determine whether the Company has realized a gain or loss on the related investment transaction. When the Company enters into a closing transaction, the Company will realize a gain or loss depending upon whether the amount from the closing transaction is greater or less than the premiums paid or received. In general, the Company's options contracts contain forward-settling premiums. In this case, no money is exchanged upfront; instead, the agreed-upon premium is paid by the buyer upon expiration of the options contract, regardless of whether or not the options contract is exercised. Unrealized gains or (losses) resulting from the options contract being marked-to-market are included in Change in net unrealized gains (losses) on financial derivatives in the Consolidated Statement of Operations. Realized gains or (losses) are included in Net realized gains (losses) on financial derivatives on the Consolidated Statement of Operations. Futures Contracts: The Company enters into Eurodollar futures contracts and U.S. Treasury futures contracts. A futures contract is an exchange-traded agreement to buy or sell an asset for a set price on a future date. Initial margin deposits are made upon entering into futures contracts and can be either in the form of cash or securities. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by marking-to-market to reflect the current market value of the contract. Unrealized gains or (losses) are included in Change in net unrealized gains (losses) on financial derivatives in the Consolidated Statement of Operations. Variation margin payments are made or received periodically, depending upon whether unrealized losses or gains are incurred. When the contract is closed, the Company records a realized gain or loss equal to the difference between the proceeds of the closing transaction and the Company's basis in the contract. Realized gains or (losses) are included in Net realized gains (losses) on financial derivatives on the Consolidated Statement of Operations. Financial derivative assets are included in Financial derivatives–assets, at fair value on the Consolidated Balance Sheet while financial derivative liabilities are included in Financial derivatives–liabilities, at fair value on the Consolidated Balance Sheet. The Company has chosen to elect the FVO for its financial derivatives. Electing the FVO allows the Company to record changes in fair value in the Consolidated Statement of Operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. Changes in unrealized gains and losses on financial derivatives are included in Change in net unrealized gains (losses) on financial derivatives, on the Consolidated Statement of Operations. Realized gains and losses on financial derivatives are included in Net realized gains (losses) on financial derivatives on the Consolidated Statement of Operations. (H) Repurchase Agreements: The Company enters into repurchase agreements with third-party broker-dealers, whereby it sells securities under agreements to repurchase at an agreed upon price and date. The Company accounts for repurchase agreements as collateralized borrowings, with the initial sale price representing the amount borrowed, and with the future repurchase price consisting of the amount borrowed plus interest, at the implied interest rate of the repurchase agreement, on the amount borrowed over the term of the repurchase agreement. The interest rate on a repurchase agreement is based on competitive market rates (or competitive market spreads, in the case of agreements with floating interest rates) at the time such agreement is entered into. When the Company enters into a repurchase agreement, the lender establishes and maintains an account containing cash and/or securities having a value not less than the repurchase price, including accrued interest, of the repurchase agreement. Repurchase agreements are carried at their contractual amounts, which approximate fair value due to their short-term nature. (I) Reverse Repurchase Agreements: The Company enters into reverse repurchase agreement transactions with third-party broker-dealers, whereby it purchases securities under agreements to resell at an agreed upon price and date. The interest rate on a reverse repurchase agreement is based on competitive market rates (or competitive market spreads, in the case of agreements with floating interest rates) at the time such agreement is entered into. Reverse repurchase agreements are carried at their contractual amounts, which approximate fair value due to their short-term nature. Repurchase and reverse repurchase agreements that are conducted with the same counterparty can be reported on a net basis if they meet the requirements of ASC 210-20, Balance Sheet Offsetting. There are currently no repurchase and reverse repurchase agreements reported on a net basis in the Company's consolidated financial statements. (J) Securities Sold Short: The Company may purchase or engage in short sales of U.S. Treasury securities to mitigate the potential impact of changes in interest rates on the performance of its portfolio. When the Company sells securities short, it typically satisfies its security delivery settlement obligation by borrowing or purchasing the security sold short from the same or a different counterparty. When borrowing a security sold short from a counterparty, the Company generally is required to deliver cash or securities to such counterparty as collateral for the Company's obligation to return the borrowed security. The Company has chosen to make the fair value election pursuant to ASC 825-10, Financial Instruments, for its securities sold short. Electing the FVO allows the Company to record changes in fair value in the Consolidated Statement of Operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. As such, securities sold short are recorded at fair value on the Consolidated Balance Sheet and the period change in fair value is recorded in current period earnings on the Consolidated Statement of Operations as a component of Change in net unrealized gains (losses) on securities. A realized gain or loss will be recognized upon the termination of a short sale if the market price is less or greater than the original sale price. Such realized gain or loss is recorded on the Company's Consolidated Statement of Operations in Net realized gains (losses) on securities. (K) Offering Costs/Deferred Offering Costs/Underwriters' Discounts: Offering costs, underwriters' discounts and commissions and fees, are charged against shareholders' equity within Additional paid-in-capital. Offering costs typically include legal, accounting, and other fees associated with the cost of raising equity capital. (L) Share Based Compensation: The Company applies the provisions of ASC 718, Compensation—Stock Compensation ("ASC 718"), with regard to its equity incentive plan. ASC 718 covers a wide range of share-based compensation arrangements including share options, restricted share plans, performance-based awards, share appreciation rights, and employee share purchase plans. ASC 718 requires that compensation cost relating to share-based payment transactions be recognized in the financial statements. The cost is measured based on the fair value, at the grant date, of the equity or liability instruments issued and is amortized over the vesting period. Restricted shares issued to the Company's independent trustees and partially dedicated personnel are participating securities and receive dividends prior to vesting. Fair value for such awards is based on the closing stock price on the New York Stock Exchange at the grant date. The vesting period for restricted share awards is typically one to two years. Shares issued to the Company's independent trustees and partially dedicated personnel are subject to tax withholding upon vesting. The Company's independent trustees and partially dedicated personnel are permitted to forfeit a portion of their vested shares to pay such withholding tax. Forfeited shares decrease the total number of shares issued and outstanding and are immediately retired upon settlement. (M) Dividends: Dividends payable are recorded on the declaration date. (N) Expenses: Expenses are recognized as incurred on the Consolidated Statement of Operations. (O) Earnings Per Share: In accordance with the provisions of ASC 260, Earnings per Share, the Company calculates basic income (loss) per share by dividing net income (loss) for the period by the weighted average of the Company's common shares outstanding for that period. Diluted income (loss) per share takes into account the effect of dilutive instruments, such as share options and warrants, and uses the average share price for the period in determining the number of incremental shares that are to be added to the weighted average number of shares outstanding. (P) Share Repurchases: Common shares that are repurchased by the Company subsequent to issuance are immediately retired upon settlement and decrease the total number of shares issued and outstanding. The cost of such share repurchases is charged against Additional paid-in-capital on the Company's Consolidated Balance Sheet. (Q) Income Taxes: The Company has elected to be taxed as a REIT under Sections 856 through 860 of the Code. As a REIT, the Company is generally not subject to corporate-level federal and state income tax on net income it distributes to its shareholders within the prescribed timeframes. To qualify as a REIT, the Company must meet a number of organizational and operational requirements, including distributing at least 90% of its annual taxable income to shareholders. Even if the Company qualifies as a REIT, it may be subject to certain federal, state, local and foreign taxes on its income and property, and to federal income and excise taxes on its undistributed taxable income. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, it will be subject to U.S. federal, state, and local income taxes and may be precluded from qualifying as a REIT for the four taxable years following the year in which the Company fails to qualify as a REIT. The Company follows the authoritative guidance on accounting for and disclosure of uncertainty on tax positions, which requires management to determine whether a tax position of the Company is more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals or litigation processes, based on the technical merits of the position. For uncertain tax positions, the tax benefit to be recognized is measured as the largest amount of benefit that is greater than 50% likely of being realized upon ultimate settlement. The Company did not have any unrecognized tax benefits resulting from tax positions related to the current period or its open tax years. In the normal course of business, the Company may be subject to examination by federal, state, local, and foreign jurisdictions, where applicable, for the current period and its open tax years. The Company may take positions with respect to certain tax issues which depend on legal interpretation of facts or applicable tax regulations. Should the relevant tax regulators successfully challenge any of such positions, the Company might be found to have a tax liability that has not been recorded in the accompanying consolidated financial statements. Also, management's conclusions regarding the authoritative guidance may be subject to review and adjustment at a later date based on changing tax laws, regulations, and interpretations thereof. There were no amounts accrued for penalties or interest as of or during the periods presented in these consolidated financial statements. (R) Recent Accounting Pronouncements: In August 2018, the Financial Accounting Standards Board, or "FASB," issued ASU 2018-13, Fair Value Measurement—Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement ("ASU 2018-13"). This amends ASC 820, Fair Value Measurement, to remove or modify various current disclosure requirements related to fair value measurement. Additionally ASU 2018-13 requires certain additional disclosures around fair value measurement. ASU 2018-13 is effective for annual periods beginning after December 15, 2019 and interim periods within those years, with early adoption permitted. Entities are permitted to early adopt any removed or modified disclosures and delay adoption of the additional disclosures until their effective date. The adoption of the additional disclosure requirements, as required under ASU 2018-13, did not have a material impact on the Company's consolidated financial statements. In June 2016, the FASB issued ASU 2016-13, which introduced a new model related to the accounting for credit losses on financial assets subject to credit losses and measured at amortized cost, and certain off-balance sheet credit exposures. ASU 2016-13 is effective for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. ASU 2016-13 amends the guidance which required an OTTI charge only when fair value is below the amortized cost of an asset. The length of time the fair value of an available-for-sale debt security has been below the amortized cost will no longer impact the determination of whether a credit loss exists; as a result, there is no longer an other-than-temporary impairment model. In addition, credit losses on available-for-sale debt securities will now be limited to the difference between the security's amortized cost basis and its fair value. The new debt security model will also require the use of an allowance to record estimated credit losses. While ASU 2016-13 is generally not applicable for securities for which the fair value option has been elected, the Company has applied the principles of ASU 2016-13 as described above. The adoption of ASU 2016-13 did not have a material impact on the Company's consolidated financial statements. In March 2020, the FASB issued ASU 2020-04, Reference Rate Reform—Facilitation of the Effects of Reference Rate Reform on Financial Reporting ("ASU 2020-04"), which provides optional guidance for a limited period meant to ease the potential burden in accounting for, or recognizing the effects of, reform to LIBOR and certain other reference rates. The standard is effective for all entities beginning on March 12, 2020 and may be elected over time. However, ASU 2020-04 is only applicable to contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform, and that were entered into or evaluated prior to January 1, 2023. The Company is currently evaluating the impact that the adoption of ASU 2020-04 would have on its consolidated financial statements. |
Mortgage-Backed Securities |
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| Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Mortgage-Backed Securities | Mortgage-Backed Securities The following tables present details of the Company's mortgage-backed securities portfolio at June 30, 2020 and December 31, 2019, respectively. The Company's Agency RMBS include mortgage pass-through certificates and CMOs representing interests in or obligations backed by pools of residential mortgage loans issued or guaranteed by a U.S. government agency or government-sponsored enterprise, or "GSE." The non-Agency RMBS portfolio is not issued or guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, or any agency of the U.S. Government and is therefore subject to greater credit risk. By RMBS Type June 30, 2020:
December 31, 2019:
By Estimated Weighted Average Life As of June 30, 2020:
As of December 31, 2019:
The following tables reflect the components of interest income on the Company's RMBS for the three- and six-month periods ended June 30, 2020 and 2019:
For the three-month periods ended June 30, 2020 and 2019, the Catch-up Premium Amortization Adjustment was $(3.8) million and $(0.9) million, respectively. For the six-month periods ended June 30, 2020 and 2019, the Catch-up Premium Amortization Adjustment was $(4.5) million and $(1.8) million, respectively. At June 30, 2020, the Company had gross unrealized losses on RMBS of $(2.2) million, of which $(1.8) million relates to adverse changes in estimated future cash flows on Agency IOs and non-Agency RMBS, primarily resulting from an increase in expected prepayments. Certain of the Company's securities, at the date of acquisition, have experienced or are expected to experience more-than-insignificant deterioration in credit quality since origination and the Company has established an initial estimate for credit losses on such securities for the purpose of calculating interest income; as of June 30, 2020, the estimated credit losses on such securities was $(3.4) million. For the three- and six-month periods ended June 30, 2019, the Company recognized an impairment charge of $2.1 million and $3.2 million, respectively, relating to its Agency IOs, which is included in Net realized gains (losses) on securities, on the Consolidated Statement of Operations. This impairment charge was due to an adverse change in estimated future cash flows resulting from an increase in expected prepayments. |
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Valuation |
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| Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Valuation | Valuation The following tables present the Company's financial instruments measured at fair value on: June 30, 2020:
December 31, 2019:
The following tables present additional information about the Company's investments which are measured at fair value for which the Company has utilized Level 3 inputs to determine fair value. Three-Month Period Ended June 30, 2020:
All amounts of net realized and changes in net unrealized gains (losses) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gains (losses) for both Level 3 financial instruments held by the Company at June 30, 2020, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended June 30, 2020. For Level 3 financial instruments held by the Company as of June 30, 2020, change in net unrealized gains (losses) of $0.2 million and $(28) thousand, for the three-month period ended June 30, 2020 relate to non-Agency RMBS and Agency RMBS, respectively. At June 30, 2020, the Company transferred $4.1 million of RMBS from Level 3 to Level 2 and $0.4 million of RMBS from Level 2 to Level 3. Transfers between hierarchy levels are based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The level designation of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third party pricing sources. Three-month period ended June 30, 2019:
All amounts of net realized and changes in net unrealized gains (losses) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gains (losses) for both Level 3 financial instruments held by the Company at June 30, 2019, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended June 30, 2019. For Level 3 financial instruments held by the Company as of June 30, 2019, change in net unrealized gains (losses) of $(0.1) million and $(89) thousand, for the three-month period ended June 30, 2019 relate to non-Agency RMBS and Agency RMBS, respectively. At June 30, 2019, the Company transferred $2.0 million of RMBS from Level 3 to Level 2 and $3.4 million of RMBS from Level 2 to Level 3. Transfers between hierarchy levels are based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The level designation of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third party pricing sources. Six-Month Period Ended June 30, 2020:
All amounts of net realized and changes in net unrealized gains (losses) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gains (losses) for both Level 3 financial instruments held by the Company at June 30, 2020, as well as Level 3 financial instruments disposed of by the Company during the six-month period ended June 30, 2020. For Level 3 financial instruments held by the Company as of June 30, 2020, change in net unrealized gains (losses) of $(63) thousand and $(0.6) million, for the six-month period ended June 30, 2020 relate to non-Agency RMBS and Agency RMBS, respectively. At June 30, 2020, the Company transferred $4.9 million of RMBS from Level 3 to Level 2 and $1.4 million of RMBS from Level 2 to Level 3. Transfers between hierarchy levels are based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The level designation of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third party pricing sources. Six-Month Period Ended June 30, 2019:
All amounts of net realized and changes in net unrealized gains (losses) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gains (losses) for both Level 3 financial instruments held by the Company as of June 30, 2019, as well as Level 3 financial instruments disposed of by the Company during the six-month period ended June 30, 2019. For Level 3 financial instruments held by the Company as of June 30, 2019, change in net unrealized gains (losses) of $0.2 million and $(27) thousand, for the six-month period ended June 30, 2019 relate to non-Agency RMBS and Agency RMBS, respectively. At June 30, 2019, the Company transferred $1.2 million of RMBS from Level 3 to Level 2 and $3.4 million of RMBS from Level 2 to Level 3. Transfers between these hierarchy levels are based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The level designation of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third party pricing sources. The following tables identify the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of June 30, 2020 and December 31, 2019: June 30, 2020:
December 31, 2019:
Third-party non-binding valuations are validated by comparing such valuations to internally generated prices based on the Company's models and, when available, to recent trading activity in the same or similar instruments. For those instruments valued using discounted cash flows, collateral prepayments, losses, recoveries, and scheduled amortization are projected over the remaining life of the collateral and expressed as a percentage of the collateral's current principal balance. For those assets valued using the LIBOR Option Adjusted Spread, or "OAS," valuation methodology, cash flows are projected using the Company's models over multiple interest rate scenarios, and these projected cash flows are then discounted using the LIBOR rates implied by each interest rate scenario. The LIBOR OAS of an asset is then computed as the unique constant yield spread that, when added to all LIBOR rates in each interest rate scenario generated by the model, will equate (a) the expected present value of the projected asset cash flows over all model scenarios to (b) the actual current market price of the asset. LIBOR OAS is therefore model-dependent. Generally speaking, LIBOR OAS measures the additional yield spread over LIBOR that an asset provides at its current market price after taking into account any interest rate options embedded in the asset. Material changes in any of the inputs above in isolation could result in a significant change to reported fair value measurements. Fair value measurements are impacted by the interrelationships of these inputs. For example, a higher expectation of collateral prepayments will generally result in a lower expectation of collateral losses. Conversely, higher losses will generally result in lower prepayments. The following table summarizes the estimated fair value of all other financial instruments not included in the disclosures above as of June 30, 2020 and December 31, 2019:
Cash and cash equivalents includes cash held in interest bearing overnight accounts, for which fair value equals the carrying value, and cash held in money market accounts, which are liquid in nature and for which fair value equals the carrying value; such assets are considered Level 1 assets. Due from brokers and Due to brokers include collateral transferred to or received from counterparties, along with receivables and payables for open and/or closed derivative positions. These receivables and payables are short term in nature and any collateral transferred consists primarily of cash; fair value of these items approximates carrying value and such items are considered Level 1 assets and liabilities. The Company's repurchase and reverse repurchase agreements are carried at cost, which approximates fair value due to their short term nature. Repurchase agreements and reverse repurchase agreements are classified as Level 2 assets and liabilities based on the adequacy of the collateral and their short term nature. |
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Derivative Instruments |
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| Derivative Instrument Detail [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Derivative Instruments and Hedging Activities Disclosure [Text Block] | Financial Derivatives The Company is exposed to certain risks arising from both its business operations and economic conditions. Specifically, the Company's primary source of financing is repurchase agreements and the Company enters into financial derivative and other instruments to manage exposure to variable cash flows on portions of its borrowings under those repurchase agreements. Since the interest rates on repurchase agreements typically change with market interest rates such as LIBOR, the Company is exposed to constantly changing interest rates, which accordingly affects cash flows associated with the Company's borrowings. To mitigate the effect of changes in these interest rates and their related cash flows, the Company may enter into a variety of derivative contracts, including interest rate swaps, futures, swaptions, and TBAs. Additionally, from time to time, the Company may use short positions in U.S. Treasury securities to mitigate its interest rate risk. The following table details the fair value of the Company's holdings of financial derivatives as of June 30, 2020 and December 31, 2019:
Interest Rate Swaps The following tables provide information about the Company's fixed payer interest rate swaps as of June 30, 2020 and December 31, 2019: June 30, 2020:
December 31, 2019:
The following tables provide information about the Company's fixed receiver interest rate swaps as of June 30, 2020 and December 31, 2019. June 30, 2020:
December 31, 2019:
Futures The following tables provide information about the Company's futures as of June 30, 2020 and December 31, 2019. June 30, 2020:
December 31, 2019:
TBAs The Company transacts in the forward settling TBA market. Pursuant to these TBA transactions, the Company agrees to purchase or sell, for future delivery, Agency RMBS with certain principal and interest terms and certain types of underlying collateral, but the particular Agency RMBS to be delivered is not identified until shortly before the TBA settlement date. TBAs are generally liquid, have quoted market prices, and represent the most actively traded class of MBS. The Company uses TBAs to mitigate interest rate risk, usually by taking short positions. The Company also invests in TBAs as a means of acquiring additional exposure to Agency RMBS, or for speculative purposes, including holding long positions. The Company does not generally take delivery of TBAs; rather, it settles the associated receivable and payable with its trading counterparties on a net basis. Transactions with the same counterparty for the same TBA that result in a reduction of the position are treated as extinguished. As of June 30, 2020 and December 31, 2019, the Company had outstanding contracts to purchase ("long positions") and sell ("short positions") TBA securities as follows:
The table below details the average notional values of the Company's financial derivatives, using absolute value of month end notional values, for the six-month period ended June 30, 2020 and the year ended December 31, 2019:
Gains and losses on the Company's financial derivatives for the three- and six-month periods ended June 30, 2020 and 2019 are summarized in the tables below:
From time to time, the Company uses short positions in U.S. Treasury positions as a component of its interest rate hedging portfolio. As of December 31, 2019, the Company held short positions in U.S. Treasury securities, with a principal amount of $2.1 million and a fair value of $2.1 million; as of June 30, 2020, the Company did not hold any short positions in U.S. Treasury securities. Such securities are included on the Company's Consolidated Balance Sheet under the caption U.S. Treasury securities sold short, at fair value. |
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Borrowings under Repurchase Agreements |
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| Disclosure of Repurchase Agreements [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Repurchase Agreements Disclosure [Text Block] | Borrowings under Repurchase Agreements The Company enters into repurchase agreements. A repurchase agreement involves the sale of an asset to a counterparty together with a simultaneous agreement to repurchase the transferred asset or similar asset from such counterparty at a future date. The Company accounts for its repurchase agreements as collateralized borrowings, with the transferred assets effectively serving as collateral for the related borrowing. The Company's repurchase agreements typically range in term from 30 to 180 days. The principal economic terms of each repurchase agreement—such as loan amount, interest rate, and maturity date—are typically negotiated on a transaction-by-transaction basis. Other terms and conditions, such as relating to events of default, are typically governed under the Company's master repurchase agreements. Absent an event of default, the Company maintains beneficial ownership of the transferred securities during the term of the repurchase agreement and receives the related principal and interest payments. Interest rates on these borrowings are generally fixed based on prevailing rates corresponding to the terms of the borrowings, and interest is paid at the termination of the repurchase agreement at which time the Company may enter into a new repurchase agreement at prevailing market rates with the same counterparty, repay that counterparty and possibly negotiate financing terms with a different counterparty, or choose to no longer finance the related asset. In response to a decline in the fair value of the transferred securities, whether as a result of changes in market conditions, security paydowns, or other factors, repurchase agreement counterparties will typically make a margin call, whereby the Company will be required to post additional securities and/or cash as collateral with the counterparty in order to re-establish the agreed-upon collateralization requirements. In the event of increases in fair value of the transferred securities, the Company generally can require the counterparty to post collateral with it in the form of cash or securities. The Company is generally permitted to sell or re-pledge any securities posted by the counterparty as collateral; however, upon termination of the repurchase agreement, or other circumstance in which the counterparty is no longer required to post such margin, the Company must return to the counterparty the same security that had been posted. The contractual amount (loan amount) of the Company's repurchase agreements approximates fair value, based on the short-term nature of the debt and the adequacy of the collateral. At any given time, the Company seeks to have its outstanding borrowings under repurchase agreements with several different counterparties in order to reduce the exposure to any single counterparty. As of June 30, 2020 and December 31, 2019, the Company had outstanding borrowings under repurchase agreements with 16 and 15 counterparties, respectively. The following table details the Company's outstanding borrowings under repurchase agreements as of June 30, 2020 and December 31, 2019:
Repurchase agreements involving underlying investments that the Company sold prior to period end, for settlement following period end, are shown using their original maturity dates even though such repurchase agreements may be expected to be terminated early upon settlement of the sale of the underlying investment. As of June 30, 2020 and December 31, 2019, the fair value of RMBS transferred as collateral under outstanding borrowings under repurchase agreements was $0.9 billion and $1.3 billion, respectively. Collateral transferred under outstanding borrowings as of December 31, 2019 includes RMBS in the amount of $3.0 million that were sold prior to year end but for which such sale had not yet settled. In addition as of June 30, 2020 and December 31, 2019, the Company was posting to repurchase agreement counterparties net cash collateral of $15.6 million and $24.9 million, respectively, as a result of margin calls with various repurchase agreement counterparties. Amount at risk represents the excess, if any, for each counterparty of the fair value of collateral held by such counterparty over the amounts outstanding under repurchase agreements. There was no counterparty for which the amount at risk was greater than 10% of shareholders' equity as of June 30, 2020 or December 31, 2019. |
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Offsetting of Assets and Liabilities |
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| Offsetting of Assets and Liabilities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| OffsettingOfAssetsAndLiabilities [Text Block] | Offsetting of Assets and Liabilities The Company records certain financial instruments at fair value as described in Note 2. In connection with its financial derivatives, repurchase agreements, and related trading agreements, the Company and its counterparties are required to pledge collateral. Cash or other collateral is exchanged as required with each of the Company's counterparties in connection with open derivative positions and repurchase agreements. The following tables present information about certain assets and liabilities representing financial instruments as of June 30, 2020 and December 31, 2019. The Company has not previously entered into master netting agreements with any of its counterparties. Certain of the Company's repurchase and reverse repurchase agreements and financial derivative transactions are governed by underlying agreements that generally provide a right of net settlement, as well as a right of offset in the event of default or in the event of a bankruptcy of either party to the transaction. June 30, 2020:
December 31, 2019:
(3) When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a particular asset or liability. As a result, in preparing the above table, the Company has made assumptions in allocating pledged or posted collateral among the various rows. |
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| Earnings per Share | Earnings Per Share Basic earnings per share, or "EPS," is calculated by dividing net income (loss) for the period by the weighted average of the Company's common shares outstanding for the period. Diluted EPS takes into account the effect of outstanding dilutive instruments, such as share options and warrants, if any, and uses the average share price for the period in determining the number of incremental shares that are to be added to the weighted average number of shares outstanding. As of June 30, 2020 and 2019, the Company did not have any dilutive instruments outstanding. The following table presents a reconciliation of the earnings/(losses) and shares used in calculating basic EPS for the three- and six-month periods ended June 30, 2020 and 2019:
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Related Party Transactions |
6 Months Ended |
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Jun. 30, 2020 | |
| Related Party Transactions [Abstract] | |
| Related Party Transactions | Related Party Transactions Management Agreement The Company is party to the Management Agreement, which has a current term that expires on September 24, 2020, and has been, and is expected to be, renewed automatically each year thereafter for an additional one-year period, subject to certain termination rights. The Company is externally managed and advised by the Manager. Pursuant to the terms of the Management Agreement, the Manager provides the Company with its management team, including its officers, and appropriate support personnel. The Company does not have any employees. The Manager is responsible for the day-to-day operations of the Company. The Manager receives an annual management fee in an amount equal to 1.50% per annum of shareholders' equity (as defined in the Management Agreement) as of the end of each fiscal quarter (before deductions for any management fee with respect to such fiscal period). The management fee is payable quarterly in arrears. For each of the three-month periods ended June 30, 2020 and 2019, the total management fee incurred was $0.6 million. For the six-month periods ended June 30, 2020 and 2019, the total management fee incurred was $1.1 million and $1.2 million, respectively. Services Agreement The Manager and EMG are parties to a services agreement, pursuant to which EMG is required to provide to the Manager sufficient personnel, services, and resources to enable the Manager to carry out its obligations and responsibilities under the Management Agreement. The Company is a named third-party beneficiary to the services agreement and, as a result, has, as a non-exclusive remedy, a direct right of action against EMG in the event of any breach by the Manager of any of its duties, obligations, or agreements under the Management Agreement that arise out of or result from any breach by EMG of its obligations under the services agreement. The services agreement will terminate upon the termination of the Management Agreement. Pursuant to the services agreement, the Manager makes certain payments to EMG in connection with the services provided. The Manager and EMG have overlapping ownership and are under common control. Expense Reimbursement Under the terms of the Management Agreement, the Company is required to reimburse the Manager for operating expenses related to the Company that are incurred by the Manager, including expenses relating to legal, accounting, due diligence, other services, and all other costs and expenses. The Company's reimbursement obligation is not subject to any dollar limitation. Expenses will be reimbursed in cash within 60 days following delivery of the expense statement by the Manager; provided, however, that such reimbursement may be offset by the Manager against amounts due to the Company from the Manager. The Company will not reimburse the Manager for the salaries and other compensation of the Manager's personnel except that the Company will be responsible for expenses incurred by the Manager in employing certain dedicated or partially dedicated personnel as further described below. The Company reimburses the Manager for the allocable share of the compensation, including, without limitation, wages, salaries, and employee benefits paid or reimbursed, as approved by the Compensation Committee of the Board of Trustees, to certain dedicated or partially dedicated personnel who spend all or a portion of their time managing the Company's affairs, based upon the percentage of time devoted by such personnel to the Company's affairs. In their capacities as officers or personnel of the Manager or its affiliates, such personnel will devote such portion of their time to the Company's affairs as is necessary to enable the Company to operate its business. For the six-month periods ended June 30, 2020 and 2019, the Company reimbursed the Manager $1.2 million and $1.4 million, respectively, for previously incurred operating and compensation expenses. As of both June 30, 2020 and December 31, 2019, the outstanding payable to the Manager for operating and compensation expenses was $0.2 million which are included in Accrued expenses on the Consolidated Balance Sheet. Termination Fee The Management Agreement requires the Company to pay a termination fee to the Manager in the event of (1) the Company's termination or non-renewal of the Management Agreement without cause or (2) the Manager's termination of the Management Agreement upon a default by the Company in the performance of any material term of the Management Agreement. Such termination fee will be equal to 5% of Shareholders' Equity, as defined in the Management Agreement as of the month-end preceding the date of the notice of termination or non-renewal of the Management Agreement. Registration Rights Agreement The Company is a party to a registration rights agreement with an affiliate of EMG and with the Blackstone Tactical Opportunities Funds (the "Blackstone Funds") pursuant to which the Company has granted its initial investors and each of their permitted transferees and other holders of the Company's "registrable common shares" (as such term is defined in the registration rights agreement) who become parties to the registration rights agreement with certain demand and/or piggy-back registration and shelf takedown rights. |
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| Equity [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Capital | Capital The Company has authorized 500,000,000 common shares, $0.01 par value per share, and 100,000,000 preferred shares, $0.01 par value per share. The Board of Trustees may authorize the issuance of additional shares of either class. As of June 30, 2020 and December 31, 2019, there were 12,319,616 and 12,455,758 common shares outstanding, respectively. No preferred shares have been issued. Detailed below is a roll forward of the Company's common shares outstanding for the three- and six-month periods ended June 30, 2020 and 2019:
The below table provides details on the Company's restricted shares granted pursuant to share award agreements which are unvested at June 30, 2020:
As of June 30, 2020, there were 298,724 shares available for future issuance under the Company's 2013 Equity Incentive Plan. On June 13, 2018, the Company's Board of Trustees approved the adoption of a share repurchase program under which the Company is authorized to repurchase up to 1.2 million common shares. The program, which is open-ended in duration, allows the Company to make repurchases from time to time on the open market or in negotiated transactions, including through Rule 10b5-1 plans. Repurchases are at the Company's discretion, subject to applicable law, share availability, price and its financial performance, among other considerations. During the six-month period ended June 30, 2020, the Company repurchased 136,142 of its common shares at an aggregate cost of $1.0 million, and an average price per share of $7.24. The Company did not purchase any of its common shares during the three-month period ended June 30, 2020. From inception of the current share repurchase program adopted on June 13, 2018 through June 30, 2020, the Company repurchased 434,171 of its common shares at an aggregate cost of $4.1 million, and an average price per share of $9.45. Distribution Policy The timing and frequency of distributions will be determined by the Board of Trustees based upon a variety of factors deemed relevant by the Company's trustees, including restrictions under applicable law, capital requirements of the Company, and the REIT requirements of the Code. Distributions to shareholders generally will be taxable as ordinary income, although a portion of such distributions may be designated as long-term capital gain or qualified dividend income, or may constitute a return of capital. The Company will furnish annually to each shareholder a statement setting forth distributions paid or deemed paid during the preceding year and their U.S. federal income tax treatment. It is the intention of the Company to distribute at least 100% of its taxable income, after application of available tax attributes, within the time limits prescribed by the Internal Revenue Code, which may extend into the subsequent taxable year. |
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Commitments and Contingencies |
6 Months Ended |
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Jun. 30, 2020 | |
| Commitments and Contingencies Disclosure [Abstract] | |
| Commitments and Contingencies | Commitments and Contingencies From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. The Company provides current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Company. In the normal course of business the Company may also enter into contracts that contain a variety of representations, warranties, and general indemnifications. The Company's maximum exposure under these arrangements, including future claims that may be made against the Company that have not yet occurred, is unknown. The Company has not incurred any costs to defend lawsuits or settle claims related to these indemnification agreements. The Company has no liabilities recorded for these agreements as of June 30, 2020 and December 31, 2019 and management is not aware of any significant contingencies at June 30, 2020. |
Significant Accounting Policies Significant Accounting Policies (Policies) |
6 Months Ended | ||||||||||||
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| Accounting Policies [Abstract] | |||||||||||||
| Basis of Presentation | Basis of Presentation: The Company's unaudited interim consolidated financial statements have been prepared in conformity with generally accepted accounting principles in the United States of America, or "U.S. GAAP," and Regulation S-X. Entities in which the Company has a controlling financial interest, through ownership of the majority of the entities' voting equity interests, or through other contractual rights that give the Company control, are consolidated by the Company. All inter-company balances and transactions have been eliminated. The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be material (particularly in light of the significant volatility, lack of pricing transparency, and market dislocations that have been caused by the COVID-19 pandemic, and associated responses to the pandemic). In management's opinion, all material adjustments considered necessary for a fair statement of the Company's interim consolidated financial statements have been included and are only of a normal recurring nature. Interim results are not necessarily indicative of the results that may be expected for the entire fiscal year. The information included in this Quarterly Report on Form 10-Q should be read in conjunction with the Company's Annual Report on Form 10-K for the year ended December 31, 2019 and Part II. Item 1A—Risk Factors, included in our Quarterly Report on Form 10-Q for the quarter ended March 31, 2020. | ||||||||||||
| Valuation | Valuation: The Company applies ASC 820-10, Fair Value Measurement ("ASC 820-10"), to its holdings of financial instruments. ASC 820-10 establishes a three-level valuation hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the observability of inputs to the valuation of an asset or liability as of the measurement date. The three levels are defined as follows:
For certain financial instruments, the various inputs that management uses to measure fair value may fall into different levels of the fair value hierarchy. For each such financial instrument, the determination of which category within the fair value hierarchy is appropriate is based on the lowest level of input that is significant to the fair value measurement. ASC 820 prioritizes the various inputs that management uses to measure fair value, with the highest priority given to inputs that are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets (Level 1), and the lowest priority given to inputs that are unobservable and significant to the fair value measurement (Level 3). The assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the financial instrument. The Company may use valuation techniques consistent with the market and income approaches to measure the fair value of its assets and liabilities. The market approach uses third-party valuations and information obtained from market transactions involving identical or similar assets or liabilities. The income approach uses projections of the future economic benefits of an instrument to determine its fair value, such as in the discounted cash flow methodology. The inputs or methodology used for valuing financial instruments are not necessarily an indication of the risk associated with investing in these financial instruments. The leveling of each financial instrument is reassessed at the end of each period. Transfers between levels of the fair value hierarchy are assumed to occur at the end of the reporting period. Summary Valuation Techniques For financial instruments that are traded in an "active market," the best measure of fair value is the quoted market price. However, many of the Company's financial instruments are not traded in an active market. Therefore, management generally uses third-party valuations when available. If third-party valuations are not available, management uses other valuation techniques, such as the discounted cash flow methodology. The following are summary descriptions, for the various categories of financial instruments, of the valuation methodologies management uses in determining fair value of the Company's financial instruments in such categories. Management utilizes such methodologies to assign a fair value (the estimated price that, in an orderly transaction at the valuation date, would be received to sell an asset, or paid to transfer a liability, as the case may be) to each such financial instrument. For the Company's RMBS investments and TBAs, management seeks to obtain at least one third-party valuation, and often obtains multiple valuations when available. Management has been able to obtain third-party valuations on the vast majority of these instruments and expects to continue to solicit third-party valuations in the future. Management generally values each financial instrument at the average of third-party valuations received and not rejected as described below. Third-party valuations are not binding, management may adjust the valuations it receives (e.g., downward adjustments for odd lots), and management may challenge or reject a valuation when, based on its validation criteria, management determines that such valuation is unreasonable or erroneous. Furthermore, based on its validation criteria, management may determine that the average of the third-party valuations received for a given instrument does not result in what management believes to be the fair value of such instrument, and in such circumstances management may override this average with its own good faith valuation. The validation criteria may take into account output from management's own models, recent trading activity in the same or similar instruments, and valuations received from third parties. The use of proprietary models requires the use of a significant amount of judgment and the application of various assumptions including, but not limited to, assumptions concerning future prepayment rates and default rates. Given their relatively high level of price transparency, Agency RMBS pass-throughs and TBAs are typically designated as Level 2 assets. Non-Agency RMBS and Agency interest only and inverse interest only RMBS are generally classified as either Level 2 or Level 3 based on the analysis of available market data and/or third-party valuations. Furthermore, the methodology used by the third-party valuation providers is reviewed at least annually by management, so as to ascertain whether such providers are utilizing observable market data to determine the valuations that they provide. Interest rate swaps and swaptions are typically valued based on internal models that use observable market data, including applicable interest rates in effect as of the measurement date; the model-generated valuations are then typically compared to counterparty valuations for reasonableness. These financial derivatives are generally designated as Level 2 instruments. In valuing its derivatives, the Company also considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each derivative agreement. The Company's repurchase and reverse repurchase agreements are carried at cost, which approximates fair value. Repurchase agreements and reverse repurchase agreements are classified as Level 2 assets and liabilities based on the adequacy of the collateral and their short term nature. The Company's valuation process, including the application of validation criteria, is overseen by the Manager's Valuation Committee ("Valuation Committee"). The Valuation Committee includes senior level executives from various departments within the Manager, and each quarter the Valuation Committee reviews and approves the valuations of the Company's investments. The valuation process also includes a monthly review by the Company's third party administrator. The goal of this review is to replicate various aspects of the Company's valuation process based on the Company's documented procedures. Because of the inherent uncertainty of valuation, the estimated fair value of the Company's financial instruments may differ significantly from the values that would have been used had a ready market for the financial instruments existed, and the differences could be material to the consolidated financial statements. |
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| Accounting for Securities | Accounting for Securities: Purchases and sales of securities are recorded on trade date and realized and unrealized gains and losses are calculated based on identified cost. The Company has chosen to make a fair value election pursuant to ASC 825-10, Financial Instruments, for its securities portfolio. Electing the fair value option, or "FVO," allows the Company to record changes in fair value in the Consolidated Statement of Operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. As such, securities are recorded at fair value on the Consolidated Balance Sheet and the period change in fair value is recorded in current period earnings on the Consolidated Statement of Operations as a component of Change in net unrealized gains (losses) on securities. Periods after January 1, 2020—For periods subsequent to the Company's application of the principles of ASU 2016-13, Financial Instruments—Credit Losses ("ASU 2016-13"), as discussed below, the Company evaluates the cost basis of its securities on at least a quarterly basis under ASC 326-30, Financial Instruments—Credit Losses: Available-for-Sale Debt Securities ("ASC 326-30"). When the fair value of a security is less than its amortized cost basis as of the balance sheet date, the security's cost basis is considered impaired. The Company must evaluate the decline in the fair value of the impaired security and determine whether such decline resulted from a credit loss or non-credit related factors. In its assessment of whether a credit loss exists, the Company compares the present value of estimated future cash flows of the impaired security with the amortized cost basis of such security. The estimated future cash flows reflect those that a "market participant" would use and typically include assumptions related to fluctuations in interest rates, prepayment speeds, default rates, collateral performance, and the timing and amount of projected credit losses, as well as incorporating observations of current market developments and events. Cash flows are discounted at an interest rate equal to the current yield used to accrete interest income. If the present value of estimated future cash flows is less than the amortized cost basis of the security, an expected credit loss exists and is included in Unrealized gains (losses) on securities and loans, net, on the Consolidated Statement of Operations. If it is determined as of the financial reporting date that all or a portion of a security's cost basis is not collectible, then the Company will recognize a realized loss to the extent of the adjustment to the security's cost basis. This adjustment to the amortized cost basis of the security is reflected in Net realized gains (losses) on securities, on the Consolidated Statement of Operations. Periods prior to January 1, 2020—For periods prior to the Company's application of the principles of ASU 2016-13, the Company evaluated the cost basis of its Agency IOs and non-Agency RMBS for other-than-temporary impairment, or "OTTI," on at least a quarterly basis. When the fair value of a security was less than its amortized cost basis as of the balance sheet date, the security was considered impaired, and the impairment was designated as either temporary or other-than-temporary. When a security's cost basis was impaired, an OTTI was considered to have occurred if (i) the Company intended to sell the security (i.e., a decision had been made as of the reporting date), (ii) it was more likely than not that the Company would have been required to sell the security before recovery of its amortized cost basis, or (iii) the Company did not expect to recover the security's amortized cost basis, even if the Company did not intend to sell the security and it was not more likely than not that the Company would have been required to sell the security. If any of these conditions existed as of the financial reporting date, the entire amount of the impairment loss, if any, was recognized in earnings as a realized loss and the cost basis of the security was adjusted. Any resulting OTTI adjustments made to the amortized cost basis of the security were reflected in Net realized gains (losses) on securities, on the Consolidated Statement of Operations. |
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| Interest Income | Interest Income: Coupon interest income on investment securities is accrued based on the outstanding principal balance or notional amount and the current coupon rate on each security. The Company amortizes purchase premiums and accretes purchase discounts on its fixed-income securities. For RMBS that are deemed to be of high credit quality at the time of purchase, premiums and discounts are generally amortized/accreted into interest income over the life of such securities using the effective interest method. For such RMBS whose cash flows vary depending on prepayments, an effective yield retroactive to the time of purchase is periodically recomputed based on actual prepayments and changes in projected prepayment activity, and a catch-up adjustment, or "Catch-up Premium Amortization Adjustment," is made to amortization to reflect the cumulative impact of the change in effective yield. For RMBS that are deemed not to be of high credit quality at the time of purchase, interest income is recognized based on the effective interest method. For purposes of estimating future expected cash flows, management uses assumptions including, but not limited to, assumptions for future prepayment rates, default rates, and loss severities (each of which may in turn incorporate various macro-economic assumptions, such as future housing prices). These assumptions are re-evaluated not less than quarterly. Changes in estimated future cash flows, as applied to the current amortized cost of the security, may result in a prospective change in the yield/interest income recognized on such securities. Certain of the Company's debt securities, at the date of acquisition, have experienced or are expected to experience more-than-insignificant deterioration in credit quality since origination. For periods subsequent to the Company's application of the principles of ASU 2016-13, if at the date of acquisition for a particular asset the Company projects a significant difference between contractual cash flows and expected cash flows, it establishes an initial estimate for credit losses as an upward adjustment to the acquisition cost of the asset for the purpose of calculating interest income using the effective yield method. The Company's accretion of discounts and amortization of premiums on securities for U.S. federal and other tax purposes is likely to differ from the accounting treatment under U.S. GAAP of these items as described above. |
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| Cash and Cash Equivalents | Cash and Cash Equivalents: Cash and cash equivalents include cash and short term investments with original maturities of three months or less at the date of acquisition. Cash and cash equivalents typically include amounts held in interest bearing overnight accounts and amounts held in money market funds, and these balances generally exceed insured limits. The Company holds its cash at institutions that it believes to be highly creditworthy. | ||||||||||||
| Deposits with Dealers Held as Collateral/Due to Brokers | Due from brokers/Due to brokers: Due from brokers and Due to brokers accounts on the Consolidated Balance Sheet include collateral transferred to or received from counterparties, including clearinghouses, along with receivables and payables for open and/or closed derivative positions. | ||||||||||||
| Financial Derivatives | Financial Derivatives: The Company enters into various types of financial derivatives subject to its investment guidelines, which include restrictions associated with maintaining its qualification as a REIT. The Company's financial derivatives are predominantly subject to bilateral collateral arrangements or clearing in accordance with the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010. The Company may be required to deliver or may receive cash or securities as collateral upon entering into derivative transactions. In addition, changes in the relative value of financial derivative transactions may require the Company or the counterparty to post or receive additional collateral. In the case of cleared financial derivatives, the clearinghouse becomes the Company's counterparty and a futures commission merchant acts as intermediary between the Company and the clearinghouse with respect to all facets of the related transaction, including the posting and receipt of required collateral. Collateral received by the Company is reflected on the Consolidated Balance Sheet as "Due to Brokers." Conversely, collateral posted by the Company is reflected as "Due from Brokers" on the Consolidated Balance Sheet. The types of financial derivatives that have been utilized by the Company to date include interest rate swaps, TBAs, swaptions, and futures. Swaps: The Company enters into interest rate swaps. Interest rate swaps are contractual agreements whereby one party pays a floating interest rate on a notional principal amount and receives a fixed-rate payment on the same notional principal, or vice versa, for a fixed period of time. The Company enters into interest rate swap contracts primarily to mitigate interest rate risk. The Company is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Swaps change in value with movements in interest rates or total return of the reference securities. During the term of swap contracts, changes in value are recognized as unrealized gains or losses on the Consolidated Statement of Operations. When a contract is terminated, the Company realizes a gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Company's basis in the contract, if any. Periodic payments or receipts required by swap agreements are recorded as unrealized gains or losses when accrued and realized gains or losses when received or paid. Upfront payments paid and/or received by the Company to open swap contracts are recorded as an asset and/or liability on the Consolidated Balance Sheet and are recorded as a realized gain or loss on the termination date. TBA Securities: The Company transacts in the forward settling TBA market. A TBA position is a forward contract for the purchase ("long position") or sale ("short position") of Agency RMBS at a predetermined price, face amount, issuer, coupon, and maturity on an agreed-upon future delivery date. For each TBA contract and delivery month, a uniform settlement date for all market participants is determined by the Securities Industry and Financial Markets Association. The specific Agency RMBS to be delivered into the contract at the settlement date are not known at the time of the transaction. The Company typically does not take delivery of TBAs, but rather enters into offsetting transactions and settles the associated receivable and payable balances with its counterparties. The Company uses TBAs to mitigate interest rate risk, usually by taking short positions. The Company also invests in TBAs as a means of acquiring additional exposure to Agency RMBS, or for speculative purposes, including holding long positions. TBAs are accounted for by the Company as financial derivatives. The difference between the contract price and the fair value of the TBA position as of the reporting date is included in Change in net unrealized gains (losses) on financial derivatives in the Consolidated Statement of Operations. Upon settlement of the TBA contract, the realized gain (loss) on the TBA contract is equal to the net cash amount received (paid). Options: The Company enters into swaption contracts. It may purchase or write put, call, straddle, or other similar options contracts. The Company enters into options contracts primarily to help mitigate interest rate risk. When the Company purchases an options contract, the option asset is initially recorded at an amount equal to the premium paid, if any, and is subsequently marked-to-market. Premiums paid for purchasing options contracts that expire unexercised are recognized on the expiration date as realized losses. If an options contract is exercised, the premium paid is subtracted from the proceeds of the sale or added to the cost of the purchase to determine whether the Company has realized a gain or loss on the related investment transaction. When the Company writes an options contract, the option liability is initially recorded at an amount equal to the premium received, if any, and is subsequently marked-to-market. Premiums received for writing options contracts that expire unexercised are recognized on the expiration date as realized gains. If an options contract is exercised, the premium received is subtracted from the cost of the purchase or added to the proceeds of the sale to determine whether the Company has realized a gain or loss on the related investment transaction. When the Company enters into a closing transaction, the Company will realize a gain or loss depending upon whether the amount from the closing transaction is greater or less than the premiums paid or received. In general, the Company's options contracts contain forward-settling premiums. In this case, no money is exchanged upfront; instead, the agreed-upon premium is paid by the buyer upon expiration of the options contract, regardless of whether or not the options contract is exercised. Unrealized gains or (losses) resulting from the options contract being marked-to-market are included in Change in net unrealized gains (losses) on financial derivatives in the Consolidated Statement of Operations. Realized gains or (losses) are included in Net realized gains (losses) on financial derivatives on the Consolidated Statement of Operations. Futures Contracts: The Company enters into Eurodollar futures contracts and U.S. Treasury futures contracts. A futures contract is an exchange-traded agreement to buy or sell an asset for a set price on a future date. Initial margin deposits are made upon entering into futures contracts and can be either in the form of cash or securities. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by marking-to-market to reflect the current market value of the contract. Unrealized gains or (losses) are included in Change in net unrealized gains (losses) on financial derivatives in the Consolidated Statement of Operations. Variation margin payments are made or received periodically, depending upon whether unrealized losses or gains are incurred. When the contract is closed, the Company records a realized gain or loss equal to the difference between the proceeds of the closing transaction and the Company's basis in the contract. Realized gains or (losses) are included in Net realized gains (losses) on financial derivatives on the Consolidated Statement of Operations. Financial derivative assets are included in Financial derivatives–assets, at fair value on the Consolidated Balance Sheet while financial derivative liabilities are included in Financial derivatives–liabilities, at fair value on the Consolidated Balance Sheet. The Company has chosen to elect the FVO for its financial derivatives. Electing the FVO allows the Company to record changes in fair value in the Consolidated Statement of Operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. Changes in unrealized gains and losses on financial derivatives are included in Change in net unrealized gains (losses) on financial derivatives, on the Consolidated Statement of Operations. Realized gains and losses on financial derivatives are included in Net realized gains (losses) on financial derivatives on the Consolidated Statement of Operations. |
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| Repurchase Agreements | Repurchase Agreements: The Company enters into repurchase agreements with third-party broker-dealers, whereby it sells securities under agreements to repurchase at an agreed upon price and date. The Company accounts for repurchase agreements as collateralized borrowings, with the initial sale price representing the amount borrowed, and with the future repurchase price consisting of the amount borrowed plus interest, at the implied interest rate of the repurchase agreement, on the amount borrowed over the term of the repurchase agreement. The interest rate on a repurchase agreement is based on competitive market rates (or competitive market spreads, in the case of agreements with floating interest rates) at the time such agreement is entered into. When the Company enters into a repurchase agreement, the lender establishes and maintains an account containing cash and/or securities having a value not less than the repurchase price, including accrued interest, of the repurchase agreement. Repurchase agreements are carried at their contractual amounts, which approximate fair value due to their short-term nature. | ||||||||||||
| Reverse Repurchase Agreements | Reverse Repurchase Agreements: The Company enters into reverse repurchase agreement transactions with third-party broker-dealers, whereby it purchases securities under agreements to resell at an agreed upon price and date. The interest rate on a reverse repurchase agreement is based on competitive market rates (or competitive market spreads, in the case of agreements with floating interest rates) at the time such agreement is entered into. Reverse repurchase agreements are carried at their contractual amounts, which approximate fair value due to their short-term nature. Repurchase and reverse repurchase agreements that are conducted with the same counterparty can be reported on a net basis if they meet the requirements of ASC 210-20, Balance Sheet Offsetting. There are currently no repurchase and reverse repurchase agreements reported on a net basis in the Company's consolidated financial statements. |
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| Securities Sold Short | Securities Sold Short: The Company may purchase or engage in short sales of U.S. Treasury securities to mitigate the potential impact of changes in interest rates on the performance of its portfolio. When the Company sells securities short, it typically satisfies its security delivery settlement obligation by borrowing or purchasing the security sold short from the same or a different counterparty. When borrowing a security sold short from a counterparty, the Company generally is required to deliver cash or securities to such counterparty as collateral for the Company's obligation to return the borrowed security. The Company has chosen to make the fair value election pursuant to ASC 825-10, Financial Instruments, for its securities sold short. Electing the FVO allows the Company to record changes in fair value in the Consolidated Statement of Operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. As such, securities sold short are recorded at fair value on the Consolidated Balance Sheet and the period change in fair value is recorded in current period earnings on the Consolidated Statement of Operations as a component of Change in net unrealized gains (losses) on securities. A realized gain or loss will be recognized upon the termination of a short sale if the market price is less or greater than the original sale price. Such realized gain or loss is recorded on the Company's Consolidated Statement of Operations in Net realized gains (losses) on securities. |
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| Offering Costs/Deferred Offering Costs/Underwriters' Discounts | Offering Costs/Deferred Offering Costs/Underwriters' Discounts: Offering costs, underwriters' discounts and commissions and fees, are charged against shareholders' equity within Additional paid-in-capital. Offering costs typically include legal, accounting, and other fees associated with the cost of raising equity capital. | ||||||||||||
| Share Based Compensation | Share Based Compensation: The Company applies the provisions of ASC 718, Compensation—Stock Compensation ("ASC 718"), with regard to its equity incentive plan. ASC 718 covers a wide range of share-based compensation arrangements including share options, restricted share plans, performance-based awards, share appreciation rights, and employee share purchase plans. ASC 718 requires that compensation cost relating to share-based payment transactions be recognized in the financial statements. The cost is measured based on the fair value, at the grant date, of the equity or liability instruments issued and is amortized over the vesting period. Restricted shares issued to the Company's independent trustees and partially dedicated personnel are participating securities and receive dividends prior to vesting. Fair value for such awards is based on the closing stock price on the New York Stock Exchange at the grant date. The vesting period for restricted share awards is typically one to two years. Shares issued to the Company's independent trustees and partially dedicated personnel are subject to tax withholding upon vesting. The Company's independent trustees and partially dedicated personnel are permitted to forfeit a portion of their vested shares to pay such withholding tax. Forfeited shares decrease the total number of shares issued and outstanding and are immediately retired upon settlement. |
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| Dividends | Dividends: Dividends payable are recorded on the declaration date. | ||||||||||||
| Expenses | Expenses: Expenses are recognized as incurred on the Consolidated Statement of Operations. | ||||||||||||
| Earnings Per Share | Earnings Per Share: In accordance with the provisions of ASC 260, Earnings per Share, the Company calculates basic income (loss) per share by dividing net income (loss) for the period by the weighted average of the Company's common shares outstanding for that period. Diluted income (loss) per share takes into account the effect of dilutive instruments, such as share options and warrants, and uses the average share price for the period in determining the number of incremental shares that are to be added to the weighted average number of shares outstanding. | ||||||||||||
| Share Repurchases | Share Repurchases: Common shares that are repurchased by the Company subsequent to issuance are immediately retired upon settlement and decrease the total number of shares issued and outstanding. The cost of such share repurchases is charged against Additional paid-in-capital on the Company's Consolidated Balance Sheet. | ||||||||||||
| Income Taxes | Income Taxes: The Company has elected to be taxed as a REIT under Sections 856 through 860 of the Code. As a REIT, the Company is generally not subject to corporate-level federal and state income tax on net income it distributes to its shareholders within the prescribed timeframes. To qualify as a REIT, the Company must meet a number of organizational and operational requirements, including distributing at least 90% of its annual taxable income to shareholders. Even if the Company qualifies as a REIT, it may be subject to certain federal, state, local and foreign taxes on its income and property, and to federal income and excise taxes on its undistributed taxable income. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, it will be subject to U.S. federal, state, and local income taxes and may be precluded from qualifying as a REIT for the four taxable years following the year in which the Company fails to qualify as a REIT. The Company follows the authoritative guidance on accounting for and disclosure of uncertainty on tax positions, which requires management to determine whether a tax position of the Company is more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals or litigation processes, based on the technical merits of the position. For uncertain tax positions, the tax benefit to be recognized is measured as the largest amount of benefit that is greater than 50% likely of being realized upon ultimate settlement. The Company did not have any unrecognized tax benefits resulting from tax positions related to the current period or its open tax years. In the normal course of business, the Company may be subject to examination by federal, state, local, and foreign jurisdictions, where applicable, for the current period and its open tax years. The Company may take positions with respect to certain tax issues which depend on legal interpretation of facts or applicable tax regulations. Should the relevant tax regulators successfully challenge any of such positions, the Company might be found to have a tax liability that has not been recorded in the accompanying consolidated financial statements. Also, management's conclusions regarding the authoritative guidance may be subject to review and adjustment at a later date based on changing tax laws, regulations, and interpretations thereof. There were no amounts accrued for penalties or interest as of or during the periods presented in these consolidated financial statements. |
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| Recent Accounting Pronouncements | Recent Accounting Pronouncements: In August 2018, the Financial Accounting Standards Board, or "FASB," issued ASU 2018-13, Fair Value Measurement—Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement ("ASU 2018-13"). This amends ASC 820, Fair Value Measurement, to remove or modify various current disclosure requirements related to fair value measurement. Additionally ASU 2018-13 requires certain additional disclosures around fair value measurement. ASU 2018-13 is effective for annual periods beginning after December 15, 2019 and interim periods within those years, with early adoption permitted. Entities are permitted to early adopt any removed or modified disclosures and delay adoption of the additional disclosures until their effective date. The adoption of the additional disclosure requirements, as required under ASU 2018-13, did not have a material impact on the Company's consolidated financial statements. In June 2016, the FASB issued ASU 2016-13, which introduced a new model related to the accounting for credit losses on financial assets subject to credit losses and measured at amortized cost, and certain off-balance sheet credit exposures. ASU 2016-13 is effective for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. ASU 2016-13 amends the guidance which required an OTTI charge only when fair value is below the amortized cost of an asset. The length of time the fair value of an available-for-sale debt security has been below the amortized cost will no longer impact the determination of whether a credit loss exists; as a result, there is no longer an other-than-temporary impairment model. In addition, credit losses on available-for-sale debt securities will now be limited to the difference between the security's amortized cost basis and its fair value. The new debt security model will also require the use of an allowance to record estimated credit losses. While ASU 2016-13 is generally not applicable for securities for which the fair value option has been elected, the Company has applied the principles of ASU 2016-13 as described above. The adoption of ASU 2016-13 did not have a material impact on the Company's consolidated financial statements. In March 2020, the FASB issued ASU 2020-04, Reference Rate Reform—Facilitation of the Effects of Reference Rate Reform on Financial Reporting ("ASU 2020-04"), which provides optional guidance for a limited period meant to ease the potential burden in accounting for, or recognizing the effects of, reform to LIBOR and certain other reference rates. The standard is effective for all entities beginning on March 12, 2020 and may be elected over time. However, ASU 2020-04 is only applicable to contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform, and that were entered into or evaluated prior to January 1, 2023. The Company is currently evaluating the impact that the adoption of ASU 2020-04 would have on its consolidated financial statements. |
Mortgage-Backed Securities (Tables) |
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| Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Mortgage-backed securities [Table Text Block] | The following tables present details of the Company's mortgage-backed securities portfolio at June 30, 2020 and December 31, 2019, respectively. The Company's Agency RMBS include mortgage pass-through certificates and CMOs representing interests in or obligations backed by pools of residential mortgage loans issued or guaranteed by a U.S. government agency or government-sponsored enterprise, or "GSE." The non-Agency RMBS portfolio is not issued or guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, or any agency of the U.S. Government and is therefore subject to greater credit risk. By RMBS Type June 30, 2020:
December 31, 2019:
(2) Average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. |
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| Weighted Average Life Classifications [Table Text Block] | By Estimated Weighted Average Life As of June 30, 2020:
As of December 31, 2019:
(2) Weighted average coupon represents the weighted average pass-through rates of the securities rather than the weighted average gross mortgage rates of the underlying collateral. |
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| Interest Income Components - Investments [Table Text Block] | The following tables reflect the components of interest income on the Company's RMBS for the three- and six-month periods ended June 30, 2020 and 2019:
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Valuation (Tables) |
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| Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Schedule of Fair Value Measurements | The following tables present the Company's financial instruments measured at fair value on: June 30, 2020:
December 31, 2019:
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| Unobservable Input Reconciliation | The following tables present additional information about the Company's investments which are measured at fair value for which the Company has utilized Level 3 inputs to determine fair value. Three-Month Period Ended June 30, 2020:
All amounts of net realized and changes in net unrealized gains (losses) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gains (losses) for both Level 3 financial instruments held by the Company at June 30, 2020, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended June 30, 2020. For Level 3 financial instruments held by the Company as of June 30, 2020, change in net unrealized gains (losses) of $0.2 million and $(28) thousand, for the three-month period ended June 30, 2020 relate to non-Agency RMBS and Agency RMBS, respectively. At June 30, 2020, the Company transferred $4.1 million of RMBS from Level 3 to Level 2 and $0.4 million of RMBS from Level 2 to Level 3. Transfers between hierarchy levels are based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The level designation of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third party pricing sources. Three-month period ended June 30, 2019:
All amounts of net realized and changes in net unrealized gains (losses) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gains (losses) for both Level 3 financial instruments held by the Company at June 30, 2019, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended June 30, 2019. For Level 3 financial instruments held by the Company as of June 30, 2019, change in net unrealized gains (losses) of $(0.1) million and $(89) thousand, for the three-month period ended June 30, 2019 relate to non-Agency RMBS and Agency RMBS, respectively. At June 30, 2019, the Company transferred $2.0 million of RMBS from Level 3 to Level 2 and $3.4 million of RMBS from Level 2 to Level 3. Transfers between hierarchy levels are based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The level designation of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third party pricing sources. Six-Month Period Ended June 30, 2020:
All amounts of net realized and changes in net unrealized gains (losses) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gains (losses) for both Level 3 financial instruments held by the Company at June 30, 2020, as well as Level 3 financial instruments disposed of by the Company during the six-month period ended June 30, 2020. For Level 3 financial instruments held by the Company as of June 30, 2020, change in net unrealized gains (losses) of $(63) thousand and $(0.6) million, for the six-month period ended June 30, 2020 relate to non-Agency RMBS and Agency RMBS, respectively. At June 30, 2020, the Company transferred $4.9 million of RMBS from Level 3 to Level 2 and $1.4 million of RMBS from Level 2 to Level 3. Transfers between hierarchy levels are based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The level designation of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third party pricing sources. Six-Month Period Ended June 30, 2019:
All amounts of net realized and changes in net unrealized gains (losses) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gains (losses) for both Level 3 financial instruments held by the Company as of June 30, 2019, as well as Level 3 financial instruments disposed of by the Company during the six-month period ended June 30, 2019. For Level 3 financial instruments held by the Company as of June 30, 2019, change in net unrealized gains (losses) of $0.2 million and $(27) thousand, for the six-month period ended June 30, 2019 relate to non-Agency RMBS and Agency RMBS, respectively. At June 30, 2019, the Company transferred $1.2 million of RMBS from Level 3 to Level 2 and $3.4 million of RMBS from Level 2 to Level 3. Transfers between these hierarchy levels are based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The level designation of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third party pricing sources. |
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| Quantitative Information | The following tables identify the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of June 30, 2020 and December 31, 2019: June 30, 2020:
December 31, 2019:
(2) Shown in basis points. |
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| Fair Value, Other Financial Instruments | The following table summarizes the estimated fair value of all other financial instruments not included in the disclosures above as of June 30, 2020 and December 31, 2019:
Cash and cash equivalents includes cash held in interest bearing overnight accounts, for which fair value equals the carrying value, and cash held in money market accounts, which are liquid in nature and for which fair value equals the carrying value; such assets are considered Level 1 assets. Due from brokers and Due to brokers include collateral transferred to or received from counterparties, along with receivables and payables for open and/or closed derivative positions. These receivables and payables are short term in nature and any collateral transferred consists primarily of cash; fair value of these items approximates carrying value and such items are considered Level 1 assets and liabilities. The Company's repurchase and reverse repurchase agreements are carried at cost, which approximates fair value due to their short term nature. Repurchase agreements and reverse repurchase agreements are classified as Level 2 assets and liabilities based on the adequacy of the collateral and their short term nature. |
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Derivative Instruments (Tables) |
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| Derivative Instrument Detail [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Schedule of Derivative Instruments [Table Text Block] | The following table details the fair value of the Company's holdings of financial derivatives as of June 30, 2020 and December 31, 2019:
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| Interest Rate Swaps By Remaining Maturity [Table Text Block] | The following tables provide information about the Company's fixed payer interest rate swaps as of June 30, 2020 and December 31, 2019: June 30, 2020:
December 31, 2019:
The following tables provide information about the Company's fixed receiver interest rate swaps as of June 30, 2020 and December 31, 2019. June 30, 2020:
December 31, 2019:
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| Futures [Table Text Block] | The following tables provide information about the Company's futures as of June 30, 2020 and December 31, 2019. June 30, 2020:
December 31, 2019:
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| Schedule of To-be-announced securities (TBAs) [Table Text Block] | As of June 30, 2020 and December 31, 2019, the Company had outstanding contracts to purchase ("long positions") and sell ("short positions") TBA securities as follows:
(4) Net carrying value represents the difference between the market value of the TBA contract as of period end and the cost basis and is reported in Financial derivatives-assets at fair value and Financial derivatives-liabilities at fair value on the Consolidated Balance Sheet. |
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| Derivative Activity, Volume [Table Text Block] | The table below details the average notional values of the Company's financial derivatives, using absolute value of month end notional values, for the six-month period ended June 30, 2020 and the year ended December 31, 2019:
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| Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance [Table Text Block] | Gains and losses on the Company's financial derivatives for the three- and six-month periods ended June 30, 2020 and 2019 are summarized in the tables below:
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Borrowings under Repurchase Agreements (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Disclosure of Repurchase Agreements [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Schedule of Repurchase Agreements [Table Text Block] | The following table details the Company's outstanding borrowings under repurchase agreements as of June 30, 2020 and December 31, 2019:
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Offsetting of Assets and Liabilities (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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| Offsetting of Assets and Liabilities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Offsetting of Assets and Liabilities [Table Text Block] | The following tables present information about certain assets and liabilities representing financial instruments as of June 30, 2020 and December 31, 2019. The Company has not previously entered into master netting agreements with any of its counterparties. Certain of the Company's repurchase and reverse repurchase agreements and financial derivative transactions are governed by underlying agreements that generally provide a right of net settlement, as well as a right of offset in the event of default or in the event of a bankruptcy of either party to the transaction. June 30, 2020:
December 31, 2019:
(3) When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a particular asset or liability. As a result, in preparing the above table, the Company has made assumptions in allocating pledged or posted collateral among the various rows. |
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Earnings per Share (Tables) |
6 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2020 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Earnings Per Share [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Schedule of Earnings Per Share Reconciliation | The following table presents a reconciliation of the earnings/(losses) and shares used in calculating basic EPS for the three- and six-month periods ended June 30, 2020 and 2019:
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Capital (Tables) |
6 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2020 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Equity [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Summary of Common Shares Outstanding [Table Text Block] | Detailed below is a roll forward of the Company's common shares outstanding for the three- and six-month periods ended June 30, 2020 and 2019:
|
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| Vesting schedule for restricted shares [Table Text Block] | The below table provides details on the Company's restricted shares granted pursuant to share award agreements which are unvested at June 30, 2020:
(1) Date at which such restricted shares will vest and become non-forfeitable. |
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Organization and Investment Objective (Details) |
6 Months Ended |
|---|---|
Jun. 30, 2020 | |
| Organization and Investment Objective [Line Items] | |
| Required Distribution of Taxable Net Income, Percentage on Annual Basis | 90.00% |
| Intended Distribution of Taxable Net Income, Percentage on Annual Basis | 100.00% |
Significant Accounting Policies (Details) |
6 Months Ended |
|---|---|
Jun. 30, 2020 | |
| Significant Accounting Policies [Line Items] | |
| Required Distribution of Taxable Net Income, Percentage on Annual Basis | 90.00% |
| Minimum | |
| Significant Accounting Policies [Line Items] | |
| Share-based Compensation Arrangement by Share-based Payment Award, Award Vesting Period | 1 year |
| Maximum | |
| Significant Accounting Policies [Line Items] | |
| Share-based Compensation Arrangement by Share-based Payment Award, Award Vesting Period | 2 years |
Schedule of Mortgage-Backed Securities (Details) - USD ($) $ in Thousands |
6 Months Ended | 12 Months Ended |
|---|---|---|
Jun. 30, 2020 |
Dec. 31, 2019 |
|
| Mortgage-Backed Securities [Line Items] | ||
| Mortgage-backed securities, at fair value | $ 1,154,047 | $ 1,401,778 |
| Residential Mortgage Backed Securities [Member] | ||
| Mortgage-Backed Securities [Line Items] | ||
| Current Principal | 1,065,092 | 1,305,706 |
| Unamortized Premium (Discount) | 24,719 | 52,428 |
| Amortized Cost | 1,105,834 | 1,375,929 |
| Gross Unrealized Gain on Securities | 50,424 | 28,518 |
| Gross Unrealized Losses on Securities | (2,211) | (2,669) |
| Mortgage-backed securities, at fair value | $ 1,154,047 | $ 1,401,778 |
| Weighted Average Coupon | 3.66% | 3.98% |
| Weighted Average Yield | 2.95% | 3.17% |
| Weighted Average Life (Years) | 4 years 3 months | 5 years 11 months 1 day |
| Non-Agency RMBS [Member] | ||
| Mortgage-Backed Securities [Line Items] | ||
| Current Principal | $ 58,642 | $ 10,947 |
| Unamortized Premium (Discount) | (19,626) | (4,023) |
| Amortized Cost | 39,016 | 6,924 |
| Gross Unrealized Gain on Securities | 2,991 | 1,928 |
| Gross Unrealized Losses on Securities | (20) | (1) |
| Mortgage-backed securities, at fair value | $ 41,987 | $ 8,851 |
| Weighted Average Coupon | 1.31% | 3.73% |
| Weighted Average Yield | 6.37% | 13.48% |
| Weighted Average Life (Years) | 6 years 6 months 14 days | 5 years 11 months 4 days |
| 15-year fixed rate mortgages [Member] | Agency RMBS [Member] | ||
| Mortgage-Backed Securities [Line Items] | ||
| Current Principal | $ 64,491 | $ 173,350 |
| Unamortized Premium (Discount) | 1,681 | 3,498 |
| Amortized Cost | 66,172 | 176,848 |
| Gross Unrealized Gain on Securities | 3,004 | 4,424 |
| Gross Unrealized Losses on Securities | (7) | (41) |
| Mortgage-backed securities, at fair value | $ 69,169 | $ 181,231 |
| Weighted Average Coupon | 3.61% | 3.45% |
| Weighted Average Yield | 2.66% | 2.89% |
| Weighted Average Life (Years) | 3 years 3 months 14 days | 4 years 21 days |
| 20-year fixed rate mortgages [Member] | Agency RMBS [Member] | ||
| Mortgage-Backed Securities [Line Items] | ||
| Current Principal | $ 1,077 | $ 1,276 |
| Unamortized Premium (Discount) | 71 | 80 |
| Amortized Cost | 1,148 | 1,356 |
| Gross Unrealized Gain on Securities | 43 | 29 |
| Gross Unrealized Losses on Securities | 0 | 0 |
| Mortgage-backed securities, at fair value | $ 1,191 | $ 1,385 |
| Weighted Average Coupon | 5.00% | 5.00% |
| Weighted Average Yield | 3.19% | 3.34% |
| Weighted Average Life (Years) | 4 years 5 months 15 days | 5 years 1 month 2 days |
| 30-year fixed rate mortgages [Member] | Agency RMBS [Member] | ||
| Mortgage-Backed Securities [Line Items] | ||
| Current Principal | $ 825,850 | $ 996,451 |
| Unamortized Premium (Discount) | 36,144 | 45,099 |
| Amortized Cost | 861,994 | 1,041,550 |
| Gross Unrealized Gain on Securities | 38,247 | 19,676 |
| Gross Unrealized Losses on Securities | (238) | (2,348) |
| Mortgage-backed securities, at fair value | $ 900,003 | $ 1,058,878 |
| Weighted Average Coupon | 3.88% | 4.18% |
| Weighted Average Yield | 2.84% | 3.12% |
| Weighted Average Life (Years) | 4 years 3 months 3 days | 6 years 8 months 15 days |
| Adjustable Rate Mortgages | Agency RMBS [Member] | ||
| Mortgage-Backed Securities [Line Items] | ||
| Current Principal | $ 25,471 | $ 32,122 |
| Unamortized Premium (Discount) | 559 | 927 |
| Amortized Cost | 26,030 | 33,049 |
| Gross Unrealized Gain on Securities | 797 | 264 |
| Gross Unrealized Losses on Securities | 0 | (58) |
| Mortgage-backed securities, at fair value | $ 26,827 | $ 33,255 |
| Weighted Average Coupon | 3.59% | 3.79% |
| Weighted Average Yield | 2.24% | 2.41% |
| Weighted Average Life (Years) | 3 years 2 months 12 days | 4 years 2 months 12 days |
| Reverse mortgages [Member] | Agency RMBS [Member] | ||
| Mortgage-Backed Securities [Line Items] | ||
| Current Principal | $ 89,561 | $ 91,560 |
| Unamortized Premium (Discount) | 5,890 | 6,847 |
| Amortized Cost | 95,451 | 98,407 |
| Gross Unrealized Gain on Securities | 4,942 | 1,549 |
| Gross Unrealized Losses on Securities | 0 | (22) |
| Mortgage-backed securities, at fair value | $ 100,393 | $ 99,934 |
| Weighted Average Coupon | 4.10% | 4.53% |
| Weighted Average Yield | 2.51% | 2.73% |
| Weighted Average Life (Years) | 5 years 2 months 23 days | 5 years 7 months 28 days |
| Interest-Only [Member] | Agency RMBS [Member] | ||
| Mortgage-Backed Securities [Line Items] | ||
| Amortized Cost | $ 16,023 | $ 17,795 |
| Gross Unrealized Gain on Securities | 400 | 648 |
| Gross Unrealized Losses on Securities | (1,946) | (199) |
| Mortgage-backed securities, at fair value | $ 14,477 | $ 18,244 |
| Weighted Average Coupon | 3.21% | 3.22% |
| Weighted Average Yield | 5.01% | 9.11% |
| Weighted Average Life (Years) | 3 years 5 months 4 days | 3 years 11 months 19 days |
| Agency Securities [Member] | Agency RMBS [Member] | ||
| Mortgage-Backed Securities [Line Items] | ||
| Current Principal | $ 1,006,450 | $ 1,294,759 |
| Unamortized Premium (Discount) | 44,345 | 56,451 |
| Amortized Cost | 1,066,818 | 1,369,005 |
| Gross Unrealized Gain on Securities | 47,433 | 26,590 |
| Gross Unrealized Losses on Securities | (2,191) | (2,668) |
| Mortgage-backed securities, at fair value | $ 1,112,060 | $ 1,392,927 |
| Weighted Average Coupon | 3.78% | 3.99% |
| Weighted Average Yield | 2.82% | 3.12% |
| Weighted Average Life (Years) | 4 years 1 month 17 days | 5 years 11 months 1 day |
Schedule of Mortgage-Backed Securities by Weighted Average Life (Details) - USD ($) $ in Thousands |
Jun. 30, 2020 |
Dec. 31, 2019 |
|---|---|---|
| Mortgage-Backed Securities [Line Items] | ||
| Mortgage-backed securities, at fair value | $ 1,154,047 | $ 1,401,778 |
| Non-Agency RMBS [Member] | ||
| Mortgage-Backed Securities [Line Items] | ||
| Mortgage-backed securities, at fair value | 41,987 | 8,851 |
| Amortized Cost | $ 39,016 | $ 6,924 |
| Weighted Average Coupon Rate, Percent | 1.31% | 3.73% |
| Less than three years [Member] | Non-Agency RMBS [Member] | ||
| Mortgage-Backed Securities [Line Items] | ||
| Mortgage-backed securities, at fair value | $ 4,885 | $ 4,000 |
| Amortized Cost | $ 4,739 | $ 3,823 |
| Weighted Average Coupon Rate, Percent | 4.66% | 5.35% |
| Greater than three years and less than seven years [Member] | Non-Agency RMBS [Member] | ||
| Mortgage-Backed Securities [Line Items] | ||
| Mortgage-backed securities, at fair value | $ 26,198 | $ 784 |
| Amortized Cost | $ 23,808 | $ 307 |
| Weighted Average Coupon Rate, Percent | 0.54% | 3.88% |
| Greater than seven years and less than eleven years [Member] | Non-Agency RMBS [Member] | ||
| Mortgage-Backed Securities [Line Items] | ||
| Mortgage-backed securities, at fair value | $ 7,916 | $ 4,067 |
| Amortized Cost | $ 7,512 | $ 2,794 |
| Weighted Average Coupon Rate, Percent | 0.80% | 2.29% |
| Greater than eleven years [Member] | Non-Agency RMBS [Member] | ||
| Mortgage-Backed Securities [Line Items] | ||
| Mortgage-backed securities, at fair value | $ 2,988 | $ 0 |
| Amortized Cost | $ 2,957 | $ 0 |
| Weighted Average Coupon Rate, Percent | 4.72% | 0.00% |
| Fixed Rate [Member] | Agency RMBS [Member] | ||
| Mortgage-Backed Securities [Line Items] | ||
| Mortgage-backed securities, at fair value | $ 1,097,583 | $ 1,374,683 |
| Amortized Cost | $ 1,050,795 | $ 1,351,210 |
| Weighted Average Coupon Rate, Percent | 3.88% | 4.10% |
| Fixed Rate [Member] | Less than three years [Member] | Agency RMBS [Member] | ||
| Mortgage-Backed Securities [Line Items] | ||
| Mortgage-backed securities, at fair value | $ 132,974 | $ 53,620 |
| Amortized Cost | $ 128,750 | $ 52,683 |
| Weighted Average Coupon Rate, Percent | 4.19% | 4.72% |
| Fixed Rate [Member] | Greater than three years and less than seven years [Member] | Agency RMBS [Member] | ||
| Mortgage-Backed Securities [Line Items] | ||
| Mortgage-backed securities, at fair value | $ 921,243 | $ 793,820 |
| Amortized Cost | $ 880,846 | $ 778,950 |
| Weighted Average Coupon Rate, Percent | 3.86% | 4.18% |
| Fixed Rate [Member] | Greater than seven years and less than eleven years [Member] | Agency RMBS [Member] | ||
| Mortgage-Backed Securities [Line Items] | ||
| Mortgage-backed securities, at fair value | $ 43,366 | $ 496,334 |
| Amortized Cost | $ 41,199 | $ 488,956 |
| Weighted Average Coupon Rate, Percent | 3.30% | 3.92% |
| Fixed Rate [Member] | Greater than eleven years [Member] | Agency RMBS [Member] | ||
| Mortgage-Backed Securities [Line Items] | ||
| Mortgage-backed securities, at fair value | $ 0 | $ 30,909 |
| Amortized Cost | $ 0 | $ 30,621 |
| Weighted Average Coupon Rate, Percent | 0.00% | 3.97% |
| Interest-Only [Member] | Agency RMBS [Member] | ||
| Mortgage-Backed Securities [Line Items] | ||
| Mortgage-backed securities, at fair value | $ 14,477 | $ 18,244 |
| Amortized Cost | $ 16,023 | $ 17,795 |
| Weighted Average Coupon Rate, Percent | 3.21% | 3.22% |
| Interest-Only [Member] | Less than three years [Member] | Agency RMBS [Member] | ||
| Mortgage-Backed Securities [Line Items] | ||
| Mortgage-backed securities, at fair value | $ 4,693 | $ 3,695 |
| Amortized Cost | $ 5,222 | $ 3,407 |
| Weighted Average Coupon Rate, Percent | 4.69% | 4.53% |
| Interest-Only [Member] | Greater than three years and less than seven years [Member] | Agency RMBS [Member] | ||
| Mortgage-Backed Securities [Line Items] | ||
| Mortgage-backed securities, at fair value | $ 9,685 | $ 14,446 |
| Amortized Cost | $ 10,699 | $ 14,283 |
| Weighted Average Coupon Rate, Percent | 2.64% | 2.93% |
| Interest-Only [Member] | Greater than seven years and less than eleven years [Member] | Agency RMBS [Member] | ||
| Mortgage-Backed Securities [Line Items] | ||
| Mortgage-backed securities, at fair value | $ 99 | $ 103 |
| Amortized Cost | $ 102 | $ 105 |
| Weighted Average Coupon Rate, Percent | 0.24% | 0.33% |
| Interest-Only [Member] | Greater than eleven years [Member] | Agency RMBS [Member] | ||
| Mortgage-Backed Securities [Line Items] | ||
| Mortgage-backed securities, at fair value | $ 0 | $ 0 |
| Amortized Cost | $ 0 | $ 0 |
| Weighted Average Coupon Rate, Percent | 0.00% | 0.00% |
Mortgage-Backed Securities Interest Income Components (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
|---|---|---|---|---|
Jun. 30, 2020 |
Jun. 30, 2019 |
Jun. 30, 2020 |
Jun. 30, 2019 |
|
| Interest Income Components [Line Items] | ||||
| Net Amortization | $ (9,282) | $ (6,106) | ||
| Interest income | $ 3,489 | $ 12,139 | 13,370 | 24,752 |
| Agency RMBS [Member] | ||||
| Interest Income Components [Line Items] | ||||
| Coupon Interest | 10,333 | 15,683 | 24,512 | 31,953 |
| Net Amortization | (7,332) | (4,209) | (12,175) | (8,355) |
| Interest income | 3,001 | 11,474 | 12,337 | 23,598 |
| Non-Agency RMBS [Member] | ||||
| Interest Income Components [Line Items] | ||||
| Coupon Interest | 161 | 109 | 250 | 221 |
| Net Amortization | 274 | 131 | 382 | 263 |
| Interest income | 435 | 240 | 632 | 484 |
| Residential Mortgage Backed Securities [Member] | ||||
| Interest Income Components [Line Items] | ||||
| Coupon Interest | 10,494 | 15,792 | 24,762 | 32,174 |
| Net Amortization | (7,058) | (4,078) | (11,793) | (8,092) |
| Interest income | $ 3,436 | $ 11,714 | $ 12,969 | $ 24,082 |
Mortgage-Backed Securities Narrative (Details) - USD ($) $ in Millions |
3 Months Ended | 6 Months Ended | ||
|---|---|---|---|---|
Jun. 30, 2020 |
Jun. 30, 2019 |
Jun. 30, 2020 |
Jun. 30, 2019 |
|
| Investments, Debt and Equity Securities [Abstract] | ||||
| Catch-up Premium Amortization Adjustment | $ (3.8) | $ (0.9) | $ (4.5) | $ (1.8) |
| Available-for-sale Securities, Gross Unrealized Loss | (2.2) | |||
| Debt Securities, Available-for-sale, Allowance for Credit Loss | $ (1.8) | (1.8) | ||
| Debt Securities, Available-for-sale, Purchased with Credit Deterioration, Allowance for Credit Loss at Acquisition Date | $ (3.4) | |||
| Other-than-temporary Impairment Loss, Debt Securities, Portion Recognized in Earnings | $ (2.1) | $ (3.2) | ||
Valuation Schedule of Fair Value Measurements (Details) - USD ($) $ in Thousands |
Jun. 30, 2020 |
Dec. 31, 2019 |
|---|---|---|
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Financial derivatives-assets, at fair value | $ 3,115 | $ 4,180 |
| Financial derivatives–liabilities, at fair value | (12,144) | (2,047) |
| Fair Value, Recurring [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Financial derivatives-assets, at fair value | 3,115 | 4,180 |
| Total mortgage-backed securities, other investments, and financial derivatives–assets, at fair value | 1,157,573 | 1,405,958 |
| Financial derivatives–liabilities, at fair value | (12,144) | (2,047) |
| Total U.S. Treasury securities and financial derivatives-liabilities, at fair value | (12,144) | (4,117) |
| Fair Value, Recurring [Member] | TBA securities [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Financial derivatives-assets, at fair value | 2,271 | 122 |
| Financial derivatives–liabilities, at fair value | (735) | (304) |
| Fair Value, Recurring [Member] | Interest Rate Swap [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Financial derivatives-assets, at fair value | 844 | 3,624 |
| Financial derivatives–liabilities, at fair value | (11,032) | (1,647) |
| Fair Value, Recurring [Member] | Futures [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Financial derivatives-assets, at fair value | 0 | 434 |
| Financial derivatives–liabilities, at fair value | (377) | (96) |
| Fair Value, Recurring [Member] | Agency RMBS [Member] | 15-year fixed rate mortgages [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Mortgage-backed securities, at fair value | 69,169 | 181,231 |
| Fair Value, Recurring [Member] | Agency RMBS [Member] | 20-year fixed rate mortgages [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Mortgage-backed securities, at fair value | 1,191 | 1,385 |
| Fair Value, Recurring [Member] | Agency RMBS [Member] | 30-year fixed rate mortgages [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Mortgage-backed securities, at fair value | 900,003 | 1,058,878 |
| Fair Value, Recurring [Member] | Agency RMBS [Member] | Adjustable Rate Mortgages | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Mortgage-backed securities, at fair value | 26,827 | 33,255 |
| Fair Value, Recurring [Member] | Agency RMBS [Member] | Reverse mortgages [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Mortgage-backed securities, at fair value | 100,393 | 99,934 |
| Fair Value, Recurring [Member] | Agency RMBS [Member] | Interest-Only [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Mortgage-backed securities, at fair value | 14,477 | 18,244 |
| Fair Value, Recurring [Member] | Residential Mortgage Backed Securities [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Mortgage-backed securities, at fair value | 1,154,047 | 1,401,778 |
| Fair Value, Recurring [Member] | Other Investments [Member] | Preferred Stock [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Mortgage-backed securities, at fair value | 411 | |
| Fair Value, Recurring [Member] | Non-Agency RMBS [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Mortgage-backed securities, at fair value | 41,987 | 8,851 |
| Fair Value, Recurring [Member] | US Treasury Securities [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| U.S. Treasury securities sold short, at fair value | 0 | (2,070) |
| Fair Value, Recurring [Member] | Level 1 [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Financial derivatives-assets, at fair value | 0 | 434 |
| Total mortgage-backed securities, other investments, and financial derivatives–assets, at fair value | 411 | 434 |
| Financial derivatives–liabilities, at fair value | (377) | (96) |
| Total U.S. Treasury securities and financial derivatives-liabilities, at fair value | (377) | (96) |
| Fair Value, Recurring [Member] | Level 1 [Member] | TBA securities [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Financial derivatives-assets, at fair value | 0 | 0 |
| Financial derivatives–liabilities, at fair value | 0 | 0 |
| Fair Value, Recurring [Member] | Level 1 [Member] | Interest Rate Swap [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Financial derivatives-assets, at fair value | 0 | 0 |
| Financial derivatives–liabilities, at fair value | 0 | 0 |
| Fair Value, Recurring [Member] | Level 1 [Member] | Futures [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Financial derivatives-assets, at fair value | 0 | 434 |
| Financial derivatives–liabilities, at fair value | (377) | (96) |
| Fair Value, Recurring [Member] | Level 1 [Member] | Agency RMBS [Member] | 15-year fixed rate mortgages [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Mortgage-backed securities, at fair value | 0 | 0 |
| Fair Value, Recurring [Member] | Level 1 [Member] | Agency RMBS [Member] | 20-year fixed rate mortgages [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Mortgage-backed securities, at fair value | 0 | 0 |
| Fair Value, Recurring [Member] | Level 1 [Member] | Agency RMBS [Member] | 30-year fixed rate mortgages [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Mortgage-backed securities, at fair value | 0 | 0 |
| Fair Value, Recurring [Member] | Level 1 [Member] | Agency RMBS [Member] | Adjustable Rate Mortgages | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Mortgage-backed securities, at fair value | 0 | 0 |
| Fair Value, Recurring [Member] | Level 1 [Member] | Agency RMBS [Member] | Reverse mortgages [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Mortgage-backed securities, at fair value | 0 | 0 |
| Fair Value, Recurring [Member] | Level 1 [Member] | Agency RMBS [Member] | Interest-Only [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Mortgage-backed securities, at fair value | 0 | 0 |
| Fair Value, Recurring [Member] | Level 1 [Member] | Residential Mortgage Backed Securities [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Mortgage-backed securities, at fair value | 0 | 0 |
| Fair Value, Recurring [Member] | Level 1 [Member] | Other Investments [Member] | Preferred Stock [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Mortgage-backed securities, at fair value | 411 | |
| Fair Value, Recurring [Member] | Level 1 [Member] | Non-Agency RMBS [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Mortgage-backed securities, at fair value | 0 | 0 |
| Fair Value, Recurring [Member] | Level 1 [Member] | US Treasury Securities [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| U.S. Treasury securities sold short, at fair value | 0 | 0 |
| Fair Value, Recurring [Member] | Level 2 [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Financial derivatives-assets, at fair value | 3,115 | 3,746 |
| Total mortgage-backed securities, other investments, and financial derivatives–assets, at fair value | 1,142,499 | 1,394,612 |
| Financial derivatives–liabilities, at fair value | (11,767) | (1,951) |
| Total U.S. Treasury securities and financial derivatives-liabilities, at fair value | (11,767) | (4,021) |
| Fair Value, Recurring [Member] | Level 2 [Member] | TBA securities [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Financial derivatives-assets, at fair value | 2,271 | 122 |
| Financial derivatives–liabilities, at fair value | (735) | (304) |
| Fair Value, Recurring [Member] | Level 2 [Member] | Interest Rate Swap [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Financial derivatives-assets, at fair value | 844 | 3,624 |
| Financial derivatives–liabilities, at fair value | (11,032) | (1,647) |
| Fair Value, Recurring [Member] | Level 2 [Member] | Futures [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Financial derivatives-assets, at fair value | 0 | 0 |
| Financial derivatives–liabilities, at fair value | 0 | 0 |
| Fair Value, Recurring [Member] | Level 2 [Member] | Agency RMBS [Member] | 15-year fixed rate mortgages [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Mortgage-backed securities, at fair value | 69,169 | 181,231 |
| Fair Value, Recurring [Member] | Level 2 [Member] | Agency RMBS [Member] | 20-year fixed rate mortgages [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Mortgage-backed securities, at fair value | 1,191 | 1,385 |
| Fair Value, Recurring [Member] | Level 2 [Member] | Agency RMBS [Member] | 30-year fixed rate mortgages [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Mortgage-backed securities, at fair value | 900,003 | 1,058,878 |
| Fair Value, Recurring [Member] | Level 2 [Member] | Agency RMBS [Member] | Adjustable Rate Mortgages | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Mortgage-backed securities, at fair value | 26,827 | 33,255 |
| Fair Value, Recurring [Member] | Level 2 [Member] | Agency RMBS [Member] | Reverse mortgages [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Mortgage-backed securities, at fair value | 100,393 | 99,934 |
| Fair Value, Recurring [Member] | Level 2 [Member] | Agency RMBS [Member] | Interest-Only [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Mortgage-backed securities, at fair value | 11,957 | 10,605 |
| Fair Value, Recurring [Member] | Level 2 [Member] | Residential Mortgage Backed Securities [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Mortgage-backed securities, at fair value | 1,139,384 | 1,390,866 |
| Fair Value, Recurring [Member] | Level 2 [Member] | Other Investments [Member] | Preferred Stock [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Mortgage-backed securities, at fair value | 0 | |
| Fair Value, Recurring [Member] | Level 2 [Member] | Non-Agency RMBS [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Mortgage-backed securities, at fair value | 29,844 | 5,578 |
| Fair Value, Recurring [Member] | Level 2 [Member] | US Treasury Securities [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| U.S. Treasury securities sold short, at fair value | 0 | (2,070) |
| Fair Value, Recurring [Member] | Level 3 [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Financial derivatives-assets, at fair value | 0 | 0 |
| Total mortgage-backed securities, other investments, and financial derivatives–assets, at fair value | 14,663 | 10,912 |
| Financial derivatives–liabilities, at fair value | 0 | 0 |
| Total U.S. Treasury securities and financial derivatives-liabilities, at fair value | 0 | 0 |
| Fair Value, Recurring [Member] | Level 3 [Member] | TBA securities [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Financial derivatives-assets, at fair value | 0 | 0 |
| Financial derivatives–liabilities, at fair value | 0 | 0 |
| Fair Value, Recurring [Member] | Level 3 [Member] | Interest Rate Swap [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Financial derivatives-assets, at fair value | 0 | 0 |
| Financial derivatives–liabilities, at fair value | 0 | 0 |
| Fair Value, Recurring [Member] | Level 3 [Member] | Futures [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Financial derivatives-assets, at fair value | 0 | 0 |
| Financial derivatives–liabilities, at fair value | 0 | 0 |
| Fair Value, Recurring [Member] | Level 3 [Member] | Agency RMBS [Member] | 15-year fixed rate mortgages [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Mortgage-backed securities, at fair value | 0 | 0 |
| Fair Value, Recurring [Member] | Level 3 [Member] | Agency RMBS [Member] | 20-year fixed rate mortgages [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Mortgage-backed securities, at fair value | 0 | 0 |
| Fair Value, Recurring [Member] | Level 3 [Member] | Agency RMBS [Member] | 30-year fixed rate mortgages [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Mortgage-backed securities, at fair value | 0 | 0 |
| Fair Value, Recurring [Member] | Level 3 [Member] | Agency RMBS [Member] | Adjustable Rate Mortgages | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Mortgage-backed securities, at fair value | 0 | 0 |
| Fair Value, Recurring [Member] | Level 3 [Member] | Agency RMBS [Member] | Reverse mortgages [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Mortgage-backed securities, at fair value | 0 | 0 |
| Fair Value, Recurring [Member] | Level 3 [Member] | Agency RMBS [Member] | Interest-Only [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Mortgage-backed securities, at fair value | 2,520 | 7,639 |
| Fair Value, Recurring [Member] | Level 3 [Member] | Residential Mortgage Backed Securities [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Mortgage-backed securities, at fair value | 14,663 | 10,912 |
| Fair Value, Recurring [Member] | Level 3 [Member] | Other Investments [Member] | Preferred Stock [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Mortgage-backed securities, at fair value | 0 | |
| Fair Value, Recurring [Member] | Level 3 [Member] | Non-Agency RMBS [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| Mortgage-backed securities, at fair value | 12,143 | 3,273 |
| Fair Value, Recurring [Member] | Level 3 [Member] | US Treasury Securities [Member] | ||
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
| U.S. Treasury securities sold short, at fair value | $ 0 | $ 0 |
Valuation Unobservable Input Reconciliation (Details) - Level 3 [Member] - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
|---|---|---|---|---|
Jun. 30, 2020 |
Jun. 30, 2019 |
Jun. 30, 2020 |
Jun. 30, 2019 |
|
| Agency RMBS [Member] | ||||
| Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
| Beginning balance | $ 6,966 | $ 3,316 | $ 7,639 | $ 2,832 |
| Purchases | 0 | 0 | 77 | 0 |
| Proceeds from sales | 0 | 0 | 0 | 0 |
| Principal repayments | 0 | 0 | 0 | 0 |
| (Amortization)/accretion, net | (705) | (304) | (1,144) | (503) |
| Net realized gains (losses) | 0 | (199) | (1) | (862) |
| Change in net unrealized gains (losses) | (68) | 56 | (542) | 592 |
| Transfers | ||||
| Transfers into level 3 | 420 | 3,353 | 1,401 | 3,353 |
| Transfers out of level 3 | (4,093) | (1,272) | (4,910) | 462 |
| Ending balance | 2,520 | 4,950 | 2,520 | 4,950 |
| Change in net unrealized gains (losses) for level 3 assets still held | (28) | (89) | (600) | (27) |
| Non-Agency RMBS [Member] | ||||
| Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
| Beginning balance | 3,001 | 4,610 | 3,273 | 4,634 |
| Purchases | 14,289 | 0 | 14,289 | 0 |
| Proceeds from sales | (5,574) | (1,372) | (5,574) | 1,371 |
| Principal repayments | (175) | (119) | (269) | 572 |
| (Amortization)/accretion, net | 116 | 91 | 207 | 176 |
| Net realized gains (losses) | 280 | 55 | 280 | 54 |
| Change in net unrealized gains (losses) | 206 | (147) | (63) | 197 |
| Transfers | ||||
| Transfers into level 3 | 0 | 0 | 0 | 0 |
| Transfers out of level 3 | 0 | (758) | 0 | 758 |
| Ending balance | 12,143 | 2,360 | 12,143 | 2,360 |
| Change in net unrealized gains (losses) for level 3 assets still held | 200 | (100) | (63) | 200 |
| Residential Mortgage Backed Securities [Member] | ||||
| Transfers | ||||
| Transfers into level 3 | 400 | 3,400 | 1,400 | 3,400 |
| Transfers out of level 3 | $ (4,100) | $ (2,000) | $ (4,900) | $ (1,200) |
Valuation Qualtitative Information (Details) - Level 3 [Member] - USD ($) |
Jun. 30, 2020 |
Dec. 31, 2019 |
|---|---|---|
| Non-Agency RMBS [Member] | Market Quotes [Member] | ||
| Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
| Assets, Fair Value Disclosure | $ 6,898,000 | $ 1,558,000 |
| Non-Agency RMBS [Member] | Market Quotes [Member] | Minimum | ||
| Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
| Non-Binding Third-Party Valuation | 40.68 | 64.56 |
| Non-Agency RMBS [Member] | Market Quotes [Member] | Maximum | ||
| Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
| Non-Binding Third-Party Valuation | 88.41 | 89.04 |
| Non-Agency RMBS [Member] | Market Quotes [Member] | Weighted Average [Member] | ||
| Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
| Non-Binding Third-Party Valuation | 69.07 | 81.56 |
| Non-Agency RMBS [Member] | Discounted Cash Flows [Member] | ||
| Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
| Assets, Fair Value Disclosure | $ 5,245,000 | $ 1,715,000 |
| Non-Agency RMBS [Member] | Discounted Cash Flows [Member] | Minimum | ||
| Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
| Yield | 2.70% | 1.30% |
| Projected Collateral Prepayments | 37.80% | 50.50% |
| Projected Collateral Losses | 7.00% | 2.20% |
| Projected Collateral Recoveries | 13.10% | 6.60% |
| Projected Collateral Scheduled Amortization | 23.90% | 21.60% |
| Non-Agency RMBS [Member] | Discounted Cash Flows [Member] | Maximum | ||
| Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
| Yield | 5.00% | 9.90% |
| Projected Collateral Prepayments | 49.80% | 61.80% |
| Projected Collateral Losses | 15.00% | 2.20% |
| Projected Collateral Recoveries | 19.40% | 14.50% |
| Projected Collateral Scheduled Amortization | 35.70% | 40.70% |
| Non-Agency RMBS [Member] | Discounted Cash Flows [Member] | Weighted Average [Member] | ||
| Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
| Yield | 4.30% | 4.40% |
| Projected Collateral Prepayments | 43.40% | 57.70% |
| Projected Collateral Losses | 11.60% | 2.20% |
| Projected Collateral Recoveries | 16.40% | 11.60% |
| Projected Collateral Scheduled Amortization | 28.60% | 28.50% |
| Projected Total | 100.00% | 100.00% |
| Interest-Only [Member] | Agency RMBS [Member] | Market Quotes [Member] | ||
| Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
| Assets, Fair Value Disclosure | $ 394,000 | $ 2,615,000 |
| Interest-Only [Member] | Agency RMBS [Member] | Market Quotes [Member] | Minimum | ||
| Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
| Non-Binding Third-Party Valuation | 13.07 | 6.67 |
| Interest-Only [Member] | Agency RMBS [Member] | Market Quotes [Member] | Maximum | ||
| Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
| Non-Binding Third-Party Valuation | 13.07 | 17.14 |
| Interest-Only [Member] | Agency RMBS [Member] | Market Quotes [Member] | Weighted Average [Member] | ||
| Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
| Non-Binding Third-Party Valuation | 13.07 | 11.96 |
| Interest-Only [Member] | Agency RMBS [Member] | Valuation, Income Approach [Member] | ||
| Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
| Fair Value | $ 900,000 | |
| Assets, Fair Value Disclosure | $ 2,126,000 | $ 5,024,000 |
| Interest-Only [Member] | Agency RMBS [Member] | Valuation, Income Approach [Member] | Minimum | ||
| Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
| Projected Collateral Prepayments | 54.20% | 41.70% |
| Projected Collateral Scheduled Amortization | 11.20% | 19.70% |
| LIBOR OAS | 1.64% | 0.77% |
| Interest-Only [Member] | Agency RMBS [Member] | Valuation, Income Approach [Member] | Maximum | ||
| Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
| Projected Collateral Prepayments | 88.80% | 80.30% |
| Projected Collateral Scheduled Amortization | 45.80% | 58.30% |
| LIBOR OAS | 10.72% | 255.53% |
| Interest-Only [Member] | Agency RMBS [Member] | Valuation, Income Approach [Member] | Weighted Average [Member] | ||
| Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
| Fair Value Inputs LIBOR OAS Including Negative | 6.71% | |
| Projected Collateral Prepayments | 83.50% | 73.40% |
| Projected Collateral Scheduled Amortization | 16.50% | 26.60% |
| Projected Total | 100.00% | 100.00% |
| LIBOR OAS | 6.57% | 8.24% |
Valuation Fair Value, Other Financial Instruments (Details) - USD ($) $ in Thousands |
Jun. 30, 2020 |
Dec. 31, 2019 |
Jun. 30, 2019 |
Dec. 31, 2018 |
|---|---|---|---|---|
| Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
| Cash and cash equivalents | $ 50,935 | $ 35,351 | $ 41,473 | $ 18,585 |
| Due from brokers | 38,024 | 34,596 | ||
| Reverse repurchase agreements | 0 | 2,084 | ||
| Repurchase agreements | 909,821 | 1,296,272 | ||
| Due to brokers | 1,372 | 33 | ||
| Estimate of Fair Value Measurement [Member] | ||||
| Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
| Cash and Cash Equivalents | 50,935 | 35,351 | ||
| Due from brokers | 38,024 | 34,596 | ||
| Reverse repurchase agreements | 0 | 2,084 | ||
| Repurchase agreements | 909,821 | 1,296,272 | ||
| Due to brokers | 1,372 | 33 | ||
| Reported Value Measurement [Member] | ||||
| Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
| Cash and cash equivalents | 50,935 | 35,351 | ||
| Due from brokers | 38,024 | 34,596 | ||
| Reverse repurchase agreements | 0 | 2,084 | ||
| Repurchase agreements | 909,821 | 1,296,272 | ||
| Due to brokers | $ 1,372 | $ 33 |
Derivative Instruments Schedule of Derivatves (Details) - USD ($) $ in Thousands |
Jun. 30, 2020 |
Dec. 31, 2019 |
|---|---|---|
| Derivative [Line Items] | ||
| Financial derivatives–assets, at fair value | $ 3,115 | $ 4,180 |
| Financial derivatives–liabilities, at fair value | (12,144) | (2,047) |
| Derivative, Fair Value, Net | (9,029) | 2,133 |
| TBA securities- purchase contracts [Member] | ||
| Derivative [Line Items] | ||
| Derivative, Fair Value, Net | 1,018 | (23) |
| TBA securities- sale contracts [Member] | ||
| Derivative [Line Items] | ||
| Derivative, Fair Value, Net | 518 | (159) |
| Derivative Financial Instruments, Assets [Member] | TBA securities- purchase contracts [Member] | ||
| Derivative [Line Items] | ||
| Financial derivatives–assets, at fair value | 1,147 | 48 |
| Derivative Financial Instruments, Assets [Member] | TBA securities- sale contracts [Member] | ||
| Derivative [Line Items] | ||
| Financial derivatives–assets, at fair value | 1,124 | 74 |
| Derivative Financial Instruments, Liabilities [Member] | TBA securities- purchase contracts [Member] | ||
| Derivative [Line Items] | ||
| Financial derivatives–liabilities, at fair value | (129) | (71) |
| Derivative Financial Instruments, Liabilities [Member] | TBA securities- sale contracts [Member] | ||
| Derivative [Line Items] | ||
| Financial derivatives–liabilities, at fair value | (606) | (233) |
| Derivative Financial Instruments, Liabilities [Member] | Futures [Member] | ||
| Derivative [Line Items] | ||
| Financial derivatives–liabilities, at fair value | (377) | (96) |
| Short [Member] | Interest Rate Swap [Member] | ||
| Derivative [Line Items] | ||
| Derivative, Fair Value, Net | (11,012) | 1,911 |
| Short [Member] | Derivative Financial Instruments, Assets [Member] | Interest Rate Swap [Member] | ||
| Derivative [Line Items] | ||
| Financial derivatives–assets, at fair value | 0 | 3,543 |
| Short [Member] | Derivative Financial Instruments, Liabilities [Member] | Interest Rate Swap [Member] | ||
| Derivative [Line Items] | ||
| Financial derivatives–liabilities, at fair value | (11,012) | (1,632) |
| Long [Member] | Interest Rate Swap [Member] | ||
| Derivative [Line Items] | ||
| Derivative, Fair Value, Net | 824 | 66 |
| Long [Member] | Derivative Financial Instruments, Assets [Member] | Interest Rate Swap [Member] | ||
| Derivative [Line Items] | ||
| Financial derivatives–assets, at fair value | 844 | 81 |
| Long [Member] | Derivative Financial Instruments, Assets [Member] | Futures [Member] | ||
| Derivative [Line Items] | ||
| Financial derivatives–assets, at fair value | 0 | 434 |
| Long [Member] | Derivative Financial Instruments, Liabilities [Member] | Interest Rate Swap [Member] | ||
| Derivative [Line Items] | ||
| Financial derivatives–liabilities, at fair value | $ (20) | $ (15) |
Derivative Instruments Schedule of Interest Rate Swaps by Maturity (Details) - USD ($) $ in Thousands |
6 Months Ended | 12 Months Ended |
|---|---|---|
Jun. 30, 2020 |
Dec. 31, 2019 |
|
| Derivative [Line Items] | ||
| Derivative, Fair Value, Net | $ (9,029) | $ 2,133 |
| Short [Member] | Interest Rate Swap [Member] | ||
| Derivative [Line Items] | ||
| Derivative, Fair Value, Net | $ (11,012) | $ 1,911 |
| Weighted Average Pay Rate | 1.10% | 1.69% |
| Weighted Average Receive Rate | 0.38% | 1.93% |
| Derivative, Average Remaining Maturity | 4 years 6 months | 3 years 10 months 13 days |
| Derivative, Notional Amount | $ 298,922 | $ 610,997 |
| Short [Member] | Year 2022 [Member] | Interest Rate Swap [Member] | ||
| Derivative [Line Items] | ||
| Derivative, Fair Value, Net | $ (2,542) | $ 292 |
| Weighted Average Pay Rate | 1.05% | 1.54% |
| Weighted Average Receive Rate | 0.34% | 1.91% |
| Derivative, Average Remaining Maturity | 2 years 1 month 6 days | 2 years 11 months 1 day |
| Derivative, Notional Amount | $ 127,777 | $ 74,370 |
| Short [Member] | Year 2020 [Member] | Interest Rate Swap [Member] | ||
| Derivative [Line Items] | ||
| Derivative, Fair Value, Net | $ 148 | |
| Weighted Average Pay Rate | 1.60% | |
| Weighted Average Receive Rate | 1.97% | |
| Derivative, Average Remaining Maturity | 3 months 25 days | |
| Derivative, Notional Amount | $ 86,000 | |
| Short [Member] | Year 2021 [Member] | Interest Rate Swap [Member] | ||
| Derivative [Line Items] | ||
| Derivative, Fair Value, Net | $ (134) | |
| Weighted Average Pay Rate | 1.79% | |
| Weighted Average Receive Rate | 1.92% | |
| Derivative, Average Remaining Maturity | 1 year 6 months 18 days | |
| Derivative, Notional Amount | $ 161,581 | |
| Short [Member] | Year 2023 [Member] | Interest Rate Swap [Member] | ||
| Derivative [Line Items] | ||
| Derivative, Fair Value, Net | $ (2,589) | $ (1,223) |
| Weighted Average Pay Rate | 1.10% | 1.97% |
| Weighted Average Receive Rate | 0.46% | 1.91% |
| Derivative, Average Remaining Maturity | 2 years 11 months 23 days | 3 years 7 months 9 days |
| Derivative, Notional Amount | $ 89,849 | $ 84,373 |
| Short [Member] | Year 2024 [Member] | Interest Rate Swap [Member] | ||
| Derivative [Line Items] | ||
| Derivative, Fair Value, Net | $ 246 | |
| Weighted Average Pay Rate | 1.46% | |
| Weighted Average Receive Rate | 2.04% | |
| Derivative, Average Remaining Maturity | 4 years 9 months 3 days | |
| Derivative, Notional Amount | $ 19,073 | |
| Short [Member] | Year 2025 [Member] | Interest Rate Swap [Member] | ||
| Derivative [Line Items] | ||
| Derivative, Fair Value, Net | $ 1,129 | |
| Weighted Average Pay Rate | 1.56% | |
| Weighted Average Receive Rate | 1.92% | |
| Derivative, Average Remaining Maturity | 5 years 10 months 28 days | |
| Derivative, Notional Amount | $ 106,812 | |
| Short [Member] | Year 2026 [Member] | Interest Rate Swap [Member] | ||
| Derivative [Line Items] | ||
| Derivative, Fair Value, Net | $ (2,123) | $ 402 |
| Weighted Average Pay Rate | 1.57% | 1.57% |
| Weighted Average Receive Rate | 0.36% | 1.91% |
| Derivative, Average Remaining Maturity | 6 years 5 months 1 day | 6 years 11 months 1 day |
| Derivative, Notional Amount | $ 28,502 | $ 28,502 |
| Short [Member] | Year 2027 [Member] | Interest Rate Swap [Member] | ||
| Derivative [Line Items] | ||
| Derivative, Fair Value, Net | $ (428) | $ 547 |
| Weighted Average Pay Rate | 0.62% | 1.61% |
| Weighted Average Receive Rate | 0.30% | 1.92% |
| Derivative, Average Remaining Maturity | 7 years 10 days | 7 years 10 months 28 days |
| Derivative, Notional Amount | $ 38,228 | $ 35,550 |
| Short [Member] | Year 2029 [Member] [Domain] | Interest Rate Swap [Member] | ||
| Derivative [Line Items] | ||
| Derivative, Fair Value, Net | $ 2 | |
| Weighted Average Pay Rate | 1.72% | |
| Weighted Average Receive Rate | 1.90% | |
| Derivative, Average Remaining Maturity | 9 years 10 months 20 days | |
| Derivative, Notional Amount | $ 170 | |
| Short [Member] | Year 2042 [Member] | Interest Rate Swap [Member] | ||
| Derivative [Line Items] | ||
| Derivative, Fair Value, Net | $ (2,002) | $ 501 |
| Weighted Average Pay Rate | 1.81% | 1.81% |
| Weighted Average Receive Rate | 0.36% | 1.91% |
| Derivative, Average Remaining Maturity | 22 years 5 months 4 days | 22 years 11 months 4 days |
| Derivative, Notional Amount | $ 10,303 | $ 10,303 |
| Short [Member] | Year 2048 [Member] | Interest Rate Swap [Member] | ||
| Derivative [Line Items] | ||
| Derivative, Fair Value, Net | $ (375) | $ (157) |
| Weighted Average Pay Rate | 3.18% | 3.18% |
| Weighted Average Receive Rate | 0.37% | 1.92% |
| Derivative, Average Remaining Maturity | 28 years 5 months 4 days | 28 years 11 months 4 days |
| Derivative, Notional Amount | $ 630 | $ 630 |
| Short [Member] | Year 2049 [Member] | Interest Rate Swap [Member] | ||
| Derivative [Line Items] | ||
| Derivative, Fair Value, Net | $ (953) | $ 158 |
| Weighted Average Pay Rate | 1.89% | 1.89% |
| Weighted Average Receive Rate | 1.02% | 1.94% |
| Derivative, Average Remaining Maturity | 29 years 4 months 2 days | 29 years 10 months 2 days |
| Derivative, Notional Amount | $ 3,633 | $ 3,633 |
| Long [Member] | Interest Rate Swap [Member] | ||
| Derivative [Line Items] | ||
| Derivative, Fair Value, Net | $ 824 | $ 66 |
| Weighted Average Pay Rate | 0.77% | 1.93% |
| Weighted Average Receive Rate | 1.07% | 1.87% |
| Derivative, Average Remaining Maturity | 4 years 11 months 23 days | 6 years 2 months 1 day |
| Derivative, Notional Amount | $ 36,224 | $ 23,102 |
| Long [Member] | Year 2023 [Member] | Interest Rate Swap [Member] | ||
| Derivative [Line Items] | ||
| Derivative, Fair Value, Net | $ 596 | $ 81 |
| Weighted Average Pay Rate | 1.02% | 1.94% |
| Weighted Average Receive Rate | 1.87% | 1.87% |
| Derivative, Average Remaining Maturity | 2 years 9 months 25 days | 3 years 3 months 25 days |
| Derivative, Notional Amount | $ 13,200 | $ 13,200 |
| Long [Member] | Year 2025 [Member] | Interest Rate Swap [Member] | ||
| Derivative [Line Items] | ||
| Derivative, Fair Value, Net | $ 229 | |
| Weighted Average Pay Rate | 0.31% | |
| Weighted Average Receive Rate | 0.58% | |
| Derivative, Average Remaining Maturity | 4 years 8 months 26 days | |
| Derivative, Notional Amount | $ 16,294 | |
| Long [Member] | Year 2029 [Member] [Domain] | Interest Rate Swap [Member] | ||
| Derivative [Line Items] | ||
| Derivative, Fair Value, Net | $ (15) | |
| Weighted Average Pay Rate | 1.92% | |
| Weighted Average Receive Rate | 1.87% | |
| Derivative, Average Remaining Maturity | 9 years 11 months 23 days | |
| Derivative, Notional Amount | $ 9,902 | |
| Long [Member] | Year 2030 [Member] | Interest Rate Swap [Member] | ||
| Derivative [Line Items] | ||
| Derivative, Fair Value, Net | $ (1) | |
| Weighted Average Pay Rate | 1.42% | |
| Weighted Average Receive Rate | 0.69% | |
| Derivative, Average Remaining Maturity | 9 years 9 months 7 days | |
| Derivative, Notional Amount | $ 6,730 |
Derivative Instruments Schedule of Futures (Details) - USD ($) $ in Thousands |
6 Months Ended | 12 Months Ended |
|---|---|---|
Jun. 30, 2020 |
Dec. 31, 2019 |
|
| Derivative [Line Items] | ||
| Derivative, Fair Value, Net | $ (9,029) | $ 2,133 |
| Futures [Member] | Short [Member] | ||
| Derivative [Line Items] | ||
| Derivative, Notional Amount | (122,200) | (33,400) |
| US Treasury Note Futures [Member] | Futures [Member] | ||
| Derivative [Line Items] | ||
| Derivative, Fair Value, Net | $ (377) | $ 338 |
| Derivative, Average Remaining Maturity | 2 months 28 days | 2 months 22 days |
| US Treasury Note Futures [Member] | Futures [Member] | Long [Member] | ||
| Derivative [Line Items] | ||
| Derivative, Notional Amount | $ (2,200) | $ (4,100) |
| Derivative, Fair Value, Net | $ (3) | $ (96) |
| Derivative, Average Remaining Maturity | 2 months 23 days | 2 months 26 days |
| US Treasury Note Futures [Member] | Futures [Member] | Short [Member] | ||
| Derivative [Line Items] | ||
| Derivative, Notional Amount | $ (124,400) | $ (37,500) |
| Derivative, Fair Value, Net | $ (374) | $ 434 |
| Derivative, Average Remaining Maturity | 2 months 27 days | 2 months 22 days |
Derivative Instruments Schedule of TBA Securities (Details) - USD ($) $ in Thousands |
Jun. 30, 2020 |
Dec. 31, 2019 |
|---|---|---|
| Derivative [Line Items] | ||
| Financial derivatives–assets, at fair value | $ 3,115 | $ 4,180 |
| Financial derivatives–liabilities, at fair value | (12,144) | (2,047) |
| Derivative, Fair Value, Net | (9,029) | 2,133 |
| TBA securities- purchase contracts [Member] | ||
| Derivative [Line Items] | ||
| Derivative notional | 319,280 | 70,447 |
| Derivative cost basis | 330,332 | 72,716 |
| Market Value, Underyling | 331,350 | 72,693 |
| Derivative, Fair Value, Net | 1,018 | (23) |
| TBA securities- sale contracts [Member] | ||
| Derivative [Line Items] | ||
| Derivative notional | (529,888) | (246,955) |
| Derivative cost basis | (560,970) | (255,903) |
| Market Value, Underyling | (560,452) | (256,062) |
| Derivative, Fair Value, Net | 518 | (159) |
| TBA securities [Member] | ||
| Derivative [Line Items] | ||
| Derivative notional, net | (210,608) | (176,508) |
| Derivative cost basis | (230,638) | (183,187) |
| Market Value, Underyling | (229,102) | (183,369) |
| Derivative, Fair Value, Net | 1,536 | (182) |
| Derivative Financial Instruments, Assets [Member] | TBA securities- purchase contracts [Member] | ||
| Derivative [Line Items] | ||
| Derivative notional | 279,500 | 26,877 |
| Derivative cost basis | 288,024 | 27,087 |
| Market Value, Underyling | 289,171 | 27,135 |
| Financial derivatives–assets, at fair value | 1,147 | 48 |
| Derivative Financial Instruments, Assets [Member] | TBA securities- sale contracts [Member] | ||
| Derivative [Line Items] | ||
| Derivative notional | (237,905) | (82,520) |
| Derivative cost basis | (252,708) | (85,124) |
| Market Value, Underyling | (251,584) | (85,050) |
| Financial derivatives–assets, at fair value | 1,124 | 74 |
| Derivative Financial Instruments, Liabilities [Member] | TBA securities- purchase contracts [Member] | ||
| Derivative [Line Items] | ||
| Derivative notional | 39,780 | 43,570 |
| Derivative cost basis | 42,308 | 45,629 |
| Market Value, Underyling | 42,179 | 45,558 |
| Financial derivatives–liabilities, at fair value | (129) | (71) |
| Derivative Financial Instruments, Liabilities [Member] | TBA securities- sale contracts [Member] | ||
| Derivative [Line Items] | ||
| Derivative notional | (291,983) | (164,435) |
| Derivative cost basis | (308,262) | (170,779) |
| Market Value, Underyling | (308,868) | (171,012) |
| Financial derivatives–liabilities, at fair value | $ (606) | $ (233) |
Schedule of Derivative Activity (Details) - USD ($) $ in Thousands |
6 Months Ended | 12 Months Ended |
|---|---|---|
Jun. 30, 2020 |
Dec. 31, 2019 |
|
| Interest Rate Swap [Member] | ||
| Derivative [Line Items] | ||
| Financial derivative average monthly notional | $ 470,836 | $ 651,793 |
| TBA securities [Member] | ||
| Derivative [Line Items] | ||
| Financial derivative average monthly notional | 475,838 | 474,555 |
| Futures [Member] | ||
| Derivative [Line Items] | ||
| Financial derivative average monthly notional | 82,400 | 114,277 |
| Options Held [Member] | ||
| Derivative [Line Items] | ||
| Financial derivative average monthly notional | $ 0 | $ 1,492 |
Derivative Instruments Schedule of Gains and Losses on Derivative Instruments (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | |||
|---|---|---|---|---|---|
Jun. 30, 2020 |
Jun. 30, 2019 |
Jun. 30, 2020 |
Jun. 30, 2019 |
Dec. 31, 2019 |
|
| Derivative [Line Items] | |||||
| Net realized gains (losses) on periodic settements of interest rate swaps | $ (1,223) | $ (383) | $ 110 | $ 631 | |
| Net realized gains (losses) other than on periodic settements of interest rate swaps | (7,229) | (8,388) | (15,061) | (21,493) | |
| Net realized gains (losses) on financial derivatives | (8,452) | (8,771) | (14,951) | (20,862) | |
| Change in net unrealized gains (losses) on accrued periodic settlements on interest rate swaps | 896 | 1,045 | (253) | 711 | |
| Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 8,609 | (9,487) | (10,843) | (10,121) | |
| Change in net unrealized gains (losses) on financial derivatives | 9,505 | (8,442) | (11,096) | (9,410) | |
| Interest Rate Swap [Member] | |||||
| Derivative [Line Items] | |||||
| Net realized gains (losses) on periodic settements of interest rate swaps | (1,223) | (383) | 110 | 631 | |
| Net realized gains (losses) other than on periodic settements of interest rate swaps | (1,698) | (324) | (6,282) | (2,293) | |
| Net realized gains (losses) on financial derivatives | (2,921) | (707) | (6,172) | (1,662) | |
| Change in net unrealized gains (losses) on accrued periodic settlements on interest rate swaps | 896 | 1,045 | (253) | 711 | |
| Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 1,281 | (13,169) | (11,846) | (18,695) | |
| Change in net unrealized gains (losses) on financial derivatives | 2,177 | (12,124) | (12,099) | (17,984) | |
| TBA securities [Member] | |||||
| Derivative [Line Items] | |||||
| Net realized gains (losses) other than on periodic settements of interest rate swaps | (1,886) | (2,323) | (2,686) | (4,993) | |
| Net realized gains (losses) on financial derivatives | (1,886) | (2,323) | (2,686) | (4,993) | |
| Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 4,336 | 179 | 1,718 | 504 | |
| Change in net unrealized gains (losses) on financial derivatives | 4,336 | 179 | 1,718 | 504 | |
| Futures [Member] | |||||
| Derivative [Line Items] | |||||
| Net realized gains (losses) other than on periodic settements of interest rate swaps | (3,645) | (5,741) | (6,093) | (14,107) | |
| Net realized gains (losses) on financial derivatives | (3,645) | (5,741) | (6,093) | (14,107) | |
| Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 2,992 | 3,503 | (715) | 8,070 | |
| Change in net unrealized gains (losses) on financial derivatives | 2,992 | $ 3,503 | (715) | 8,070 | |
| Options Held [Member] | |||||
| Derivative [Line Items] | |||||
| Net realized gains (losses) other than on periodic settements of interest rate swaps | (100) | ||||
| Net realized gains (losses) on financial derivatives | (100) | ||||
| Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 0 | ||||
| Change in net unrealized gains (losses) on financial derivatives | $ 0 | ||||
| Short [Member] | Interest Rate Swap [Member] | |||||
| Derivative [Line Items] | |||||
| Derivative, Notional Amount | 298,922 | 298,922 | $ 610,997 | ||
| Short [Member] | Futures [Member] | |||||
| Derivative [Line Items] | |||||
| Derivative, Notional Amount | $ 122,200 | $ 122,200 | $ 33,400 | ||
Financial Derivatives Narrative (Details) - USD ($) $ in Thousands |
Jun. 30, 2020 |
Dec. 31, 2019 |
|---|---|---|
| Derivative [Line Items] | ||
| U.S. Treasury securities sold short, at fair value | $ 0 | $ 2,070 |
| US Treasury Securities [Member] | ||
| Derivative [Line Items] | ||
| U.S. Treasury securities sold short, at fair value | 2,100 | |
| Investment Sold, Not yet Purchased, Balance, Principal Amount | $ 2,100 |
Borrowings under Repurchase Agreements Schedule of Repurchase Agreements by Maturity (Details) - USD ($) $ in Thousands |
6 Months Ended | 12 Months Ended |
|---|---|---|
Jun. 30, 2020 |
Dec. 31, 2019 |
|
| Repurchase Agreements [Line Items] | ||
| Repurchase agreements | $ 909,821 | $ 1,296,272 |
| Debt, Weighted Average Interest Rate | 0.38% | 2.00% |
| Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | 62 days | 39 days |
| Maturity up to 30 days [Member] | ||
| Repurchase Agreements [Line Items] | ||
| Repurchase agreements | $ 212,165 | $ 513,092 |
| Debt, Weighted Average Interest Rate | 0.54% | 2.10% |
| Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | 16 days | 15 days |
| Maturity 31 to 60 days [Member] | ||
| Repurchase Agreements [Line Items] | ||
| Repurchase agreements | $ 513,347 | $ 549,541 |
| Debt, Weighted Average Interest Rate | 0.33% | 1.91% |
| Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | 45 days | 45 days |
| Maturity 61 to 90 days [Member] | ||
| Repurchase Agreements [Line Items] | ||
| Repurchase agreements | $ 113,116 | $ 233,639 |
| Debt, Weighted Average Interest Rate | 0.30% | 1.97% |
| Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | 80 days | 74 days |
| Maturity 91 to 120 days [Member] | ||
| Repurchase Agreements [Line Items] | ||
| Repurchase agreements | $ 12,498 | $ 0 |
| Debt, Weighted Average Interest Rate | 0.30% | 0.00% |
| Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | 107 days | 0 days |
| Maturity 151 to 180 days [Member] [Member] | ||
| Repurchase Agreements [Line Items] | ||
| Repurchase agreements | $ 4,291 | $ 0 |
| Debt, Weighted Average Interest Rate | 1.50% | 0.00% |
| Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | 167 days | 0 days |
| Maturity 181 to 360 days [Member] | ||
| Repurchase Agreements [Line Items] | ||
| Repurchase agreements | $ 54,404 | $ 0 |
| Debt, Weighted Average Interest Rate | 0.32% | 0.00% |
| Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | 346 days | 0 days |
Borrowings under Repurchase Agreements Borrowings under Repurchase Agreements Schedule of Repurchase Agreement by Counterparty (Details) |
6 Months Ended | 12 Months Ended |
|---|---|---|
Jun. 30, 2020 |
Dec. 31, 2019 |
|
| Repurchase Agreement Counterparty [Line Items] | ||
| Repurchase Agreement Counterparty Concentration Risk Threshold | 10.00% | |
| Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | 62 days | 39 days |
Borrowings under Repurchase Agreements (Details) $ in Millions |
6 Months Ended | |
|---|---|---|
|
Jun. 30, 2020
USD ($)
counterparties
|
Dec. 31, 2019
USD ($)
counterparties
|
|
| Repurchase Agreements [Line Items] | ||
| Number of Counterparties with Outstanding Repurchase Agreements | counterparties | 16 | 15 |
| Repurchase Agreements, collateral amount | $ 900.0 | $ 1,300.0 |
| Minimum | ||
| Repurchase Agreements [Line Items] | ||
| Repurchase Agreements Maturity | 30 days | |
| Maximum | ||
| Repurchase Agreements [Line Items] | ||
| Repurchase Agreements Maturity | 180 days | |
| Repurchase Agreements [Member] | ||
| Repurchase Agreements [Line Items] | ||
| Pledged Assets, Unsettled | 3.0 | |
| Cash Collateral (Received) Pledged | $ 15.6 | $ 24.9 |
Offsetting of Assets and Liabilities (Details) - USD ($) $ in Thousands |
Jun. 30, 2020 |
Dec. 31, 2019 |
|---|---|---|
| Offsetting Assets and Liabilities [Line Items] | ||
| Financial derivatives–assets, at fair value | $ 3,115 | $ 4,180 |
| Reverse repurchase agreements | 0 | 2,084 |
| Financial derivatives–liabilities, at fair value | (12,144) | (2,047) |
| Repurchase agreements | (909,821) | (1,296,272) |
| Derivative Liability, Fair Value, Amount Offset Against Collateral | (1,967) | (1,756) |
| Securities sold under agreements to repurchase available for offset | 0 | (2,084) |
| Derivative Asset, Fair Value, Amount Offset Against Collateral | 1,967 | 1,756 |
| Securities purchased under agreements to resell available for offset | 0 | 2,084 |
| Derivative, Collateral, Obligation to Return Cash | (208) | 0 |
| Cash collateral received | 0 | 0 |
| Derivative, Collateral, Right to Reclaim Cash | 10,143 | 211 |
| Cash Collateral Pledged | 15,612 | 24,924 |
| Derivative Asset, Fair Value, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | 940 | 2,424 |
| Reverse Repurchase Agreements and Related Collateral Net | 0 | 0 |
| Derivatives and related collateral, net | (34) | (80) |
| Repurchase agreements and related collateral, net | 0 | 0 |
| Securities Sold under Agreements to Repurchase, Fair Value of Collateral | 900,000 | 1,300,000 |
| Derivative Financial Instruments, Assets [Member] | ||
| Offsetting Assets and Liabilities [Line Items] | ||
| Excess cash collateral | 4,900 | 8,300 |
| Derivative Financial Instruments, Liabilities [Member] | ||
| Offsetting Assets and Liabilities [Line Items] | ||
| Excess cash collateral | 5,200 | 1,100 |
| Repurchase Agreements [Member] | ||
| Offsetting Assets and Liabilities [Line Items] | ||
| Financial Instruments Pledged as Collateral | 894,209 | 1,269,264 |
| Reverse Repurchase Agreements [Member] | ||
| Offsetting Assets and Liabilities [Line Items] | ||
| Financial Instruments Pledged as Collateral | 0 | 0 |
| Derivative Financial Instruments, Assets [Member] | ||
| Offsetting Assets and Liabilities [Line Items] | ||
| Financial Instruments Pledged as Collateral | 0 | 0 |
| Derivative Financial Instruments, Liabilities [Member] | ||
| Offsetting Assets and Liabilities [Line Items] | ||
| Financial Instruments Pledged as Collateral | $ 0 | $ 0 |
Earnings per Share (Details) - USD ($) $ / shares in Units, $ in Thousands |
3 Months Ended | 6 Months Ended | ||||
|---|---|---|---|---|---|---|
Jun. 30, 2020 |
Mar. 31, 2020 |
Jun. 30, 2019 |
Mar. 31, 2019 |
Jun. 30, 2020 |
Jun. 30, 2019 |
|
| Earnings Per Share [Abstract] | ||||||
| Net income (loss) | $ 21,345 | $ (16,745) | $ (107) | $ 8,928 | $ 4,600 | $ 8,821 |
| Basic and diluted weighted average shares outstanding | 12,319,616 | 12,467,103 | 12,377,185 | 12,467,506 | ||
| Basic and Diluted Earnings Per Share (in dollars per share) | $ 1.73 | $ (0.01) | $ 0.37 | $ 0.71 | ||
Related Party Transactions (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | |||
|---|---|---|---|---|---|
Jun. 30, 2020 |
Jun. 30, 2019 |
Jun. 30, 2020 |
Jun. 30, 2019 |
Dec. 31, 2019 |
|
| Related Party Transaction [Line Items] | |||||
| Accrued expenses | $ 837 | $ 837 | $ 588 | ||
| Management Fee, Description | The Manager receives an annual management fee in an amount equal to 1.50% per annum of shareholders' equity (as defined in the Management Agreement) as of the end of each fiscal quarter (before deductions for any management fee with respect to such fiscal period). The management fee is payable quarterly in arrears. | ||||
| Management agreement renewal period | 1 year | ||||
| Annual Base Management Fee, Percent | 1.50% | 1.50% | |||
| Management fees to affiliate | $ 594 | $ 582 | $ 1,119 | $ 1,177 | |
| Expense reimbursement period | 60 days | ||||
| Expenses Reimbursed to Related Party | $ 1,200 | $ 1,400 | |||
| Termination fee percentage | 5.00% | ||||
| Termination Fee, Description | The Management Agreement requires the Company to pay a termination fee to the Manager in the event of (1) the Company's termination or non-renewal of the Management Agreement without cause or (2) the Manager's termination of the Management Agreement upon a default by the Company in the performance of any material term of the Management Agreement. Such termination fee will be equal to 5% of Shareholders' Equity, as defined in the Management Agreement as of the month-end preceding the date of the notice of termination or non-renewal of the Management Agreement. | ||||
| Affiliated Entity [Member] | |||||
| Related Party Transaction [Line Items] | |||||
| Accrued expenses | $ 200 | $ 200 | $ 200 | ||
Capital Summary of Common Shares Outstanding (Details) - shares |
3 Months Ended | 6 Months Ended | 25 Months Ended | ||||
|---|---|---|---|---|---|---|---|
Jun. 30, 2020 |
Mar. 31, 2020 |
Jun. 30, 2019 |
Mar. 31, 2019 |
Jun. 30, 2020 |
Jun. 30, 2019 |
Jun. 30, 2020 |
|
| Equity [Abstract] | |||||||
| Common Shares Outstanding, beginning of period | 12,319,616 | 12,455,758 | 12,467,103 | 12,507,213 | 12,455,758 | 12,507,213 | |
| Shares repurchased | 0 | 0 | (136,142) | (40,110) | (434,171) | ||
| Common Shares Outstanding, end of period | 12,319,616 | 12,319,616 | 12,467,103 | 12,467,103 | 12,319,616 | 12,467,103 | 12,319,616 |
| Unvested restricted shares outstanding | 25,476 | 21,159 | 25,476 | 21,159 | 25,476 | ||
Capital Vesting Schedule for restricted shares (Details) |
6 Months Ended | |||
|---|---|---|---|---|
|
Jun. 30, 2020
shares
| ||||
| Vest September 11, 2018 [Member] | Independent Trustees [Member] | ||||
| Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
| Restricted shares issued | 15,024 | |||
| Restricted share grant date | Sep. 11, 2019 | |||
| Restricted share vesting date | Sep. 10, 2020 | [1] | ||
| Vest December 13, 2020 [Member] | Partially dedicated employees [Member] | ||||
| Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
| Restricted shares issued | 3,669 | |||
| Restricted share grant date | Dec. 13, 2019 | |||
| Restricted share vesting date | Dec. 13, 2020 | [1] | ||
| Vest December 13, 2021 [Member] | Partially dedicated employees [Member] | ||||
| Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
| Restricted shares issued | 3,668 | |||
| Restricted share grant date | Dec. 13, 2019 | |||
| Restricted share vesting date | Dec. 13, 2021 | [1] | ||
| Vest December 11, 2020 [Member] | Partially dedicated employees [Member] | ||||
| Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
| Restricted shares issued | 3,115 | |||
| Restricted share grant date | Dec. 11, 2018 | |||
| Restricted share vesting date | Dec. 11, 2020 | [1] | ||
| ||||
Capital (Details) - USD ($) $ / shares in Units, $ in Thousands |
3 Months Ended | 6 Months Ended | 25 Months Ended | ||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2020 |
Mar. 31, 2020 |
Jun. 30, 2019 |
Mar. 31, 2019 |
Jun. 30, 2020 |
Jun. 30, 2019 |
Jun. 30, 2020 |
Dec. 31, 2019 |
Jun. 13, 2018 |
|||
| Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||||
| Common stock authorized | 500,000,000 | 500,000,000 | 500,000,000 | 500,000,000 | |||||||
| Common stock par value | $ 0.01 | $ 0.01 | $ 0.01 | $ 0.01 | |||||||
| Preferred stock authorized | 100,000,000 | 100,000,000 | 100,000,000 | 100,000,000 | |||||||
| Preferred stock par value | $ 0.01 | $ 0.01 | $ 0.01 | $ 0.01 | |||||||
| Common stock, shares issued | 12,319,616 | 12,319,616 | 12,319,616 | 12,455,758 | |||||||
| Preferred shares issued | 0 | 0 | 0 | 0 | |||||||
| Common Stock, Dividends, Per Share, Declared | $ 0.28 | $ 0.28 | $ 0.56 | $ 0.62 | |||||||
| Dividends | [1] | $ (3,450) | $ (3,449) | $ (3,491) | $ (4,239) | ||||||
| Common Stock, Capital Shares Reserved for Future Issuance | 298,724 | 298,724 | 298,724 | ||||||||
| Stock Repurchase Program, Authorized Amount | 1,200,000 | ||||||||||
| Repurchase of common shares, shares | 0 | 0 | (136,142) | (40,110) | (434,171) | ||||||
| Repurchase of common shares, Value | $ (986) | $ (414) | $ (1,000) | $ (4,100) | |||||||
| Stock Repurchases Average Price Per Share | $ 7.24 | $ 9.45 | |||||||||
| Intended Distribution of Taxable Net Income, Percentage on Annual Basis | 100.00% | ||||||||||
| Vest December 13, 2020 [Member] | Partially dedicated employees [Member] | |||||||||||
| Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||||
| Stock Issued During Period, Shares, Restricted Stock Award, Gross | 3,669 | ||||||||||
| Vest December 13, 2021 [Member] | Partially dedicated employees [Member] | |||||||||||
| Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||||
| Stock Issued During Period, Shares, Restricted Stock Award, Gross | 3,668 | ||||||||||
| |||||||||||