x | 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 |
Delaware | 26-0489289 | |
(State or Other Jurisdiction of Incorporation or Organization) | (I.R.S. Employer Identification No.) | |
53 Forest Avenue, Old Greenwich, Connecticut 06870 | ||
(Address of Principal Executive Office) (Zip Code) |
Large Accelerated Filer | ¨ | Accelerated Filer | x |
Non-Accelerated Filer | ¨ | Smaller Reporting Company | ¨ |
Class | Outstanding at August 2, 2013 | |
Common Shares Representing Limited Liability Company Interests, no par value | 25,417,155 |
June 30, 2013 | December 31, 2012 | ||||||
(In thousands except share amounts) | Expressed in U.S. Dollars | ||||||
ASSETS | |||||||
Cash and cash equivalents | $ | 201,795 | $ | 59,084 | |||
Investments, financial derivatives, and repurchase agreements: | |||||||
Investments at fair value (Cost – $1,675,134 and $1,328,153) | 1,710,422 | 1,375,116 | |||||
Financial derivatives – assets at fair value (Net cost – $47,291 and $65,860) | 46,977 | 48,504 | |||||
Repurchase agreements (Cost – $41,188 and $13,650) | 41,188 | 13,650 | |||||
Total investments, financial derivatives, and repurchase agreements | 1,798,587 | 1,437,270 | |||||
Due from brokers | 48,294 | 22,744 | |||||
Receivable for securities sold | 672,035 | 626,919 | |||||
Interest and principal receivable | 6,571 | 5,719 | |||||
Other assets | 1,125 | 379 | |||||
Total Assets | $ | 2,728,407 | $ | 2,152,115 | |||
LIABILITIES | |||||||
Investments and financial derivatives: | |||||||
Investments sold short at fair value (Proceeds – $614,208 and $621,048) | $ | 608,922 | $ | 622,301 | |||
Financial derivatives – liabilities at fair value (Net proceeds – $16,042 and $13,171) | 18,543 | 15,212 | |||||
Total investments and financial derivatives | 627,465 | 637,513 | |||||
Reverse repurchase agreements | 1,287,992 | 905,718 | |||||
Due to brokers | 30,345 | 30,954 | |||||
Payable for securities purchased | 136,084 | 57,333 | |||||
Securitized debt (Proceeds – $1,150 and $1,311) | 1,168 | 1,335 | |||||
Accounts payable and accrued expenses | 1,917 | 1,995 | |||||
Base management fee payable | 2,405 | 1,934 | |||||
Incentive fee payable | 1,182 | 7,343 | |||||
Other payables | 311 | 903 | |||||
Interest and dividends payable | 1,680 | 732 | |||||
Total Liabilities | 2,090,549 | 1,645,760 | |||||
EQUITY | 637,858 | 506,355 | |||||
TOTAL LIABILITIES AND EQUITY | $ | 2,728,407 | $ | 2,152,115 | |||
ANALYSIS OF EQUITY: | |||||||
Common shares, no par value, 100,000,000 shares authorized; | |||||||
(25,412,011 and 20,370,469 shares issued and outstanding) | $ | 624,096 | $ | 497,373 | |||
Additional paid-in capital – LTIP units | 9,066 | 8,982 | |||||
Total Shareholders' Equity | 633,162 | 506,355 | |||||
Non-controlling interest | 4,696 | — | |||||
Total Equity | $ | 637,858 | $ | 506,355 | |||
PER SHARE INFORMATION: | |||||||
Common shares | $ | 24.92 | $ | 24.86 |
Current Principal/ Notional Value/Number of Shares | Description | Rate | Maturity | Fair Value | ||||||||
(In thousands) | Expressed in U.S. Dollars | |||||||||||
North America (r) | ||||||||||||
Long Investments (268.15%) (a) (p) | ||||||||||||
Mortgage-Backed Securities (260.25%) | ||||||||||||
Agency Securities (147.62%) (b) | ||||||||||||
Fixed Rate Agency Securities (143.67%) | ||||||||||||
Principal and Interest - Fixed Rate Agency Securities (129.00%) | ||||||||||||
$ | 75,125 | Federal National Mortgage Association Pool | 3.50% | 2/43 | $ | 75,620 | ||||||
39,607 | Federal National Mortgage Association Pool | 3.50% | 1/43 | 39,769 | ||||||||
19,593 | Federal National Mortgage Association Pool | 4.50% | 12/41 | 20,895 | ||||||||
16,806 | Federal National Mortgage Association Pool | 4.50% | 9/41 | 17,922 | ||||||||
17,552 | Federal National Mortgage Association Pool | 3.50% | 8/42 | 17,846 | ||||||||
16,329 | Federal National Mortgage Association Pool | 5.00% | 8/41 | 17,740 | ||||||||
17,128 | Federal National Mortgage Association Pool | 3.00% | 6/28 | 17,574 | ||||||||
16,033 | Federal National Mortgage Association Pool | 4.50% | 10/41 | 17,098 | ||||||||
15,831 | Federal Home Loan Mortgage Corporation Pool | 5.00% | 7/41 | 17,076 | ||||||||
13,767 | Federal National Mortgage Association Pool | 5.00% | 3/41 | 15,027 | ||||||||
12,008 | Federal National Mortgage Association Pool | 4.00% | 8/42 | 12,523 | ||||||||
12,607 | Federal Home Loan Mortgage Corporation Pool | 3.00% | 10/42 | 12,308 | ||||||||
11,105 | Federal National Mortgage Association Pool | 4.50% | 9/41 | 11,775 | ||||||||
11,076 | Federal National Mortgage Association Pool | 4.00% | 11/41 | 11,558 | ||||||||
10,519 | Federal National Mortgage Association Pool | 5.00% | 7/41 | 11,480 | ||||||||
9,995 | Federal Home Loan Mortgage Corporation Pool | 4.00% | 7/43 | 10,447 | ||||||||
9,753 | Federal National Mortgage Association Pool | 4.00% | 1/42 | 10,177 | ||||||||
9,853 | Federal Home Loan Mortgage Corporation Pool | 3.00% | 2/43 | 9,618 | ||||||||
8,923 | Federal Home Loan Mortgage Corporation Pool | 4.50% | 10/41 | 9,454 | ||||||||
8,372 | Federal National Mortgage Association Pool | 4.50% | 4/26 | 8,905 | ||||||||
6,614 | Federal National Mortgage Association Pool | 5.50% | 10/39 | 7,250 | ||||||||
6,788 | Federal Home Loan Mortgage Corporation Pool | 4.50% | 2/41 | 7,203 | ||||||||
6,480 | Federal Home Loan Mortgage Corporation Pool | 3.00% | 1/43 | 6,325 | ||||||||
6,446 | Federal Home Loan Mortgage Corporation Pool | 3.00% | 4/43 | 6,291 | ||||||||
5,593 | Government National Mortgage Association Pool | 4.54% | 11/62 | 6,177 | ||||||||
5,542 | Government National Mortgage Association Pool | 4.46% | 2/63 | 6,108 | ||||||||
5,965 | Federal National Mortgage Association Pool | 3.50% | 5/43 | 6,064 | ||||||||
5,647 | Federal National Mortgage Association Pool | 4.00% | 7/26 | 5,955 | ||||||||
5,385 | Government National Mortgage Association Pool | 4.58% | 10/62 | 5,952 | ||||||||
5,319 | Government National Mortgage Association Pool | 4.52% | 1/63 | 5,875 | ||||||||
5,771 | Federal National Mortgage Association Pool | 3.50% | 6/43 | 5,869 | ||||||||
5,178 | Government National Mortgage Association Pool | 4.60% | 6/62 | 5,718 |
Current Principal/ Notional Value/Number of Shares | Description | Rate | Maturity | Fair Value | ||||||||
(In thousands) | Expressed in U.S. Dollars | |||||||||||
Principal and Interest - Fixed Rate Agency Securities (129.00%) (continued) | ||||||||||||
$ | 5,157 | Government National Mortgage Association Pool | 4.63% | 6/61 | $ | 5,661 | ||||||
5,062 | Federal National Mortgage Association Pool | 5.00% | 6/41 | 5,474 | ||||||||
5,252 | Federal Home Loan Mortgage Corporation Pool | 4.00% | 5/42 | 5,473 | ||||||||
5,355 | Federal National Mortgage Association Pool | 3.50% | 8/42 | 5,444 | ||||||||
5,034 | Federal National Mortgage Association Pool | 4.00% | 4/42 | 5,277 | ||||||||
5,040 | Federal National Mortgage Association Pool | 4.00% | 10/41 | 5,260 | ||||||||
5,023 | Federal National Mortgage Association Pool | 3.50% | 6/43 | 5,056 | ||||||||
4,638 | Federal National Mortgage Association Pool | 5.00% | 11/40 | 5,038 | ||||||||
4,624 | Federal National Mortgage Association Pool | 5.00% | 7/41 | 4,999 | ||||||||
5,092 | Federal Home Loan Mortgage Corporation Pool | 3.00% | 6/43 | 4,970 | ||||||||
4,658 | Federal National Mortgage Association Pool | 4.50% | 8/41 | 4,939 | ||||||||
4,669 | Federal National Mortgage Association Pool | 3.50% | 7/42 | 4,747 | ||||||||
4,730 | Federal Home Loan Mortgage Corporation Pool | 3.00% | 2/43 | 4,617 | ||||||||
4,418 | Federal Home Loan Mortgage Corporation Pool | 4.00% | 2/42 | 4,605 | ||||||||
4,465 | Federal National Mortgage Association Pool | 3.50% | 11/42 | 4,543 | ||||||||
4,456 | Federal National Mortgage Association Pool | 3.50% | 7/42 | 4,528 | ||||||||
4,173 | Federal National Mortgage Association Pool | 4.00% | 9/42 | 4,357 | ||||||||
3,965 | Federal National Mortgage Association Pool | 5.00% | 10/41 | 4,280 | ||||||||
4,267 | Federal Home Loan Mortgage Corporation Pool | 3.50% | 6/43 | 4,274 | ||||||||
4,010 | Federal National Mortgage Association Pool | 3.00% | 7/27 | 4,129 | ||||||||
3,886 | Federal National Mortgage Association Pool | 3.50% | 8/42 | 3,950 | ||||||||
3,511 | Federal National Mortgage Association Pool | 5.00% | 10/35 | 3,834 | ||||||||
3,439 | Government National Mortgage Association Pool | 4.66% | 1/63 | 3,821 | ||||||||
3,368 | Government National Mortgage Association Pool | 4.80% | 2/61 | 3,698 | ||||||||
3,300 | Government National Mortgage Association Pool | 4.48% | 2/63 | 3,639 | ||||||||
3,587 | Federal Home Loan Mortgage Corporation Pool | 3.50% | 11/42 | 3,637 | ||||||||
3,453 | Federal National Mortgage Association Pool | 4.00% | 6/26 | 3,634 | ||||||||
3,429 | Federal National Mortgage Association Pool | 3.50% | 6/27 | 3,581 | ||||||||
3,483 | Federal Home Loan Mortgage Corporation Pool | 3.00% | 6/28 | 3,572 | ||||||||
3,552 | Federal Home Loan Mortgage Corporation Pool | 3.50% | 6/43 | 3,566 | ||||||||
3,387 | Federal National Mortgage Association Pool | 4.00% | 4/42 | 3,535 | ||||||||
3,469 | Federal National Mortgage Association Pool | 3.50% | 1/43 | 3,529 | ||||||||
3,229 | Federal National Mortgage Association Pool | 5.00% | 6/40 | 3,514 | ||||||||
3,292 | Federal National Mortgage Association Pool | 4.50% | 4/42 | 3,500 | ||||||||
3,145 | Government National Mortgage Association Pool | 4.68% | 10/61 | 3,466 | ||||||||
3,326 | Federal National Mortgage Association Pool | 3.00% | 6/28 | 3,430 | ||||||||
3,338 | Federal National Mortgage Association Pool | 3.00% | 3/28 | 3,426 | ||||||||
3,242 | Federal National Mortgage Association Pool | 4.00% | 9/42 | 3,385 | ||||||||
3,170 | Federal National Mortgage Association Pool | 4.50% | 12/41 | 3,374 |
Current Principal/ Notional Value/Number of Shares | Description | Rate | Maturity | Fair Value | ||||||||
(In thousands) | Expressed in U.S. Dollars | |||||||||||
Principal and Interest - Fixed Rate Agency Securities (129.00%) (continued) | ||||||||||||
$ | 3,383 | Federal Home Loan Mortgage Corporation Pool | 3.00% | 11/42 | $ | 3,301 | ||||||
3,162 | Federal Home Loan Mortgage Corporation Pool | 4.00% | 1/42 | 3,293 | ||||||||
3,361 | Federal Home Loan Mortgage Corporation Pool | 3.00% | 4/43 | 3,281 | ||||||||
3,228 | Federal National Mortgage Association Pool | 3.50% | 12/42 | 3,280 | ||||||||
3,026 | Federal Home Loan Mortgage Corporation Pool | 4.50% | 9/41 | 3,206 | ||||||||
3,148 | Federal National Mortgage Association Pool | 3.50% | 5/43 | 3,202 | ||||||||
131,020 | Other Federal National Mortgage Association Pools | 3.00% - 6.00% | 3/26 - 7/43 | 136,057 | ||||||||
45,976 | Other Federal Home Loan Mortgage Corporation Pools | 3.00% - 6.00% | 4/26 - 7/43 | 46,836 | ||||||||
13,609 | Other Government National Mortgage Association Pools | 4.49% - 4.69% | 7/61 - 11/62 | 15,018 | ||||||||
822,835 | ||||||||||||
Interest Only - Fixed Rate Agency Securities (1.98%) | ||||||||||||
53,465 | Other Federal National Mortgage Association | 3.00% - 5.50% | 12/20 - 4/43 | 6,177 | ||||||||
24,264 | Other Federal Home Loan Mortgage Corporation | 3.00% - 5.50% | 12/32 - 1/43 | 3,393 | ||||||||
22,552 | Other Government National Mortgage Association | 3.00% - 5.50% | 3/36 - 11/42 | 3,043 | ||||||||
12,613 | ||||||||||||
TBA - Fixed Rate Agency Securities (12.69%) | ||||||||||||
65,800 | Federal Home Loan Mortgage Corporation (30 Year) | 3.00% | 7/13 | 64,135 | ||||||||
15,570 | Federal National Mortgage Association (30 Year) | 4.00% | 7/13 | 16,221 | ||||||||
600 | Other Federal National Mortgage Association (15 Year) | 2.50% | 7/13 | 603 | ||||||||
80,959 | ||||||||||||
Total Fixed Rate Agency Securities (Cost $938,872) | 916,407 | |||||||||||
Floating Rate Agency Securities (3.95%) | ||||||||||||
Principal and Interest - Floating Rate Agency Securities (1.63%) | ||||||||||||
3,804 | Federal National Mortgage Association Pool | 2.53% | 5/38 | 4,005 | ||||||||
3,243 | Federal National Mortgage Association Pool | 2.55% | 12/35 | 3,407 | ||||||||
2,851 | Other Federal National Mortgage Association Pools | 2.69% - 4.93% | 4/36 - 9/37 | 3,013 | ||||||||
10,425 | ||||||||||||
Interest Only - Floating Rate Agency Securities (2.32%) | ||||||||||||
46,845 | Other Government National Mortgage Association | 2.58% - 6.56% | 11/42 - 4/61 | 6,165 | ||||||||
31,510 | Other Federal National Mortgage Association | 5.50% - 6.56% | 8/36 - 2/43 | 5,865 | ||||||||
23,104 | Resecuritization of Government National Mortgage Association (q) | 4.28% | 8/60 | 2,754 | ||||||||
14,784 | ||||||||||||
Total Floating Rate Agency Securities (Cost $25,535) | 25,209 | |||||||||||
Total Agency Securities (Cost $964,407) | 941,616 |
Current Principal/ Notional Value/Number of Shares | Description | Rate | Maturity | Fair Value | ||||||||
(In thousands) | Expressed in U.S. Dollars | |||||||||||
Private Label Securities (112.63%) | ||||||||||||
Principal and Interest - Private Label Securities (112.06%) | ||||||||||||
$ | 989,570 | Various | 0.28% - 9.35% | 5/19 - 6/47 | $ | 714,797 | ||||||
Total Principal and Interest - Private Label Securities (Cost $656,261) | 714,797 | |||||||||||
Principal Only - Private Label Securities (0.39%) | ||||||||||||
5,800 | Various | —% | 8/30 | 2,466 | ||||||||
Total Principal Only - Private Label Securities (Cost $2,355) | 2,466 | |||||||||||
Interest Only - Private Label Securities (0.18%) | ||||||||||||
54,772 | Various | 0.50%-2.00% | 6/44 - 9/47 | 1,153 | ||||||||
Total Interest Only - Private Label Securities (Cost $569) | 1,153 | |||||||||||
Other Private Label Securities (0.00%) | ||||||||||||
136,465 | Various | —% | 6/37 | — | ||||||||
Total Other Private Label Securities (Cost $370) | — | |||||||||||
Total Private Label Securities (Cost $659,555) | 718,416 | |||||||||||
Total Mortgage-Backed Securities (Cost $1,623,962) | 1,660,032 | |||||||||||
Other Asset-Backed Securities (6.25%) | ||||||||||||
43,432 | Various | 0% - 9.78% | 6/17 - 12/49 | 39,840 | ||||||||
Total Other Asset-Backed Securities (Cost $40,767) | 39,840 | |||||||||||
Commercial Mortgage Loans (1.18%) (o) | ||||||||||||
9,041 | Various | 0% - 7.25% | 11/13 - 6/14 | 7,563 | ||||||||
Total Commercial Mortgage Loans (Cost $7,453) | 7,563 | |||||||||||
Common Stock (0.47%) | ||||||||||||
130 | Publicly Traded Real Estate Investment Trusts | 2,987 | ||||||||||
Total Common Stock (Cost $2,952) | 2,987 | |||||||||||
Total Long Investments (Cost $1,675,134) | $ | 1,710,422 |
Repurchase Agreements (6.46%) (a) (c) | ||||||||||||
$ | 18,116 | J.P. Morgan Securities Inc. Collateralized by Par Value $18,700 U.S. Treasury Note, Coupon 2.00%, Maturity Date 2/23 | 0.03% | 7/13 | $ | 18,116 | ||||||
13,422 | J.P. Morgan Securities Inc. Collateralized by Par Value $13,000 U.S. Treasury Note, Coupon 1.75%, Maturity Date 5/16 | 0.12% | 7/13 | 13,422 | ||||||||
9,650 | Bank of America Securities Collateralized by Par Value $10,000 U.S. Treasury Note, Coupon 1.13%, Maturity Date 12/19 | 0.08% | 7/13 | 9,650 | ||||||||
Total Repurchase Agreements (Cost $41,188) | $ | 41,188 |
Current Principal/ Notional Value/Number of Shares | Description | Rate | Maturity | Fair Value | ||||||||
(In thousands) | Expressed in U.S. Dollars | |||||||||||
Investments Sold Short (-95.46%) (a) | ||||||||||||
TBA - Fixed Rate Agency Securities Sold Short (-88.08%) (d) | ||||||||||||
$ | (193,482 | ) | Federal National Mortgage Association (30 Year) | 3.50% | 7/13 | $ | (196,437 | ) | ||||
(77,380 | ) | Federal National Mortgage Association (30 Year) | 4.50% | 7/13 | (81,893 | ) | ||||||
(61,400 | ) | Federal National Mortgage Association (30 Year) | 5.00% | 7/13 | (66,091 | ) | ||||||
(42,160 | ) | Federal National Mortgage Association (15 Year) | 3.00% | 7/13 | (43,369 | ) | ||||||
(40,400 | ) | Federal National Mortgage Association (30 Year) | 3.50% | 8/13 | (40,900 | ) | ||||||
(27,950 | ) | Federal National Mortgage Association (30 Year) | 3.00% | 7/13 | (27,320 | ) | ||||||
(20,100 | ) | Federal Home Loan Mortgage Corporation (30 Year) | 3.50% | 7/13 | (20,356 | ) | ||||||
(16,500 | ) | Federal Home Loan Mortgage Corporation (30 Year) | 5.00% | 7/13 | (17,621 | ) | ||||||
(15,800 | ) | Federal National Mortgage Association (15 Year) | 3.50% | 7/13 | (16,475 | ) | ||||||
(14,104 | ) | Federal National Mortgage Association (15 Year) | 4.00% | 7/13 | (14,869 | ) | ||||||
(11,000 | ) | Federal National Mortgage Association (15 Year) | 4.50% | 7/13 | (11,656 | ) | ||||||
(9,200 | ) | Federal Home Loan Mortgage Corporation (30 Year) | 4.00% | 7/13 | (9,564 | ) | ||||||
(7,400 | ) | Federal National Mortgage Association (30 Year) | 4.00% | 8/13 | (7,689 | ) | ||||||
(3,500 | ) | Federal National Mortgage Association (30 Year) | 5.50% | 7/13 | (3,801 | ) | ||||||
(2,500 | ) | Other Federal National Mortgage Association (30 Year) | 6.00% | 7/13 | (2,720 | ) | ||||||
(1,000 | ) | Other Federal Home Loan Mortgage Corporation (30 Year) | 6.00% | 7/13 | (1,084 | ) | ||||||
Total TBA - Fixed Rate Agency Securities Sold Short (Proceeds -$566,128) | (561,845 | ) | ||||||||||
U.S. Treasury Securities Sold Short (-6.42%) | ||||||||||||
(18,700 | ) | U.S. Treasury Note | 2.00% | 2/23 | (17,989 | ) | ||||||
(13,000 | ) | U.S. Treasury Note | 1.75% | 5/16 | (13,408 | ) | ||||||
(10,000 | ) | U.S. Treasury Note | 1.13% | 12/19 | (9,580 | ) | ||||||
Total U.S. Treasury Securities Sold Short (Proceeds -$41,929) | (40,977 | ) | ||||||||||
Common Stock Sold Short (-0.96%) | ||||||||||||
(439) | Publicly Traded Real Estate Investment Trusts | (6,100 | ) | |||||||||
Total Common Stock Sold Short (Proceeds -$6,151) | (6,100 | ) | ||||||||||
Total Investments Sold Short (Proceeds -$614,208) | $ | (608,922 | ) |
Primary Risk Exposure | Notional Value | Range of Expiration Dates | Fair Value | ||||||||
(In thousands) | Expressed in U.S. Dollars | ||||||||||
Financial Derivatives - Assets (7.36%) (a) | |||||||||||
Swaps (7.36%) | |||||||||||
Long Swaps: | |||||||||||
Credit Default Swaps on Corporate Bond Indices (Cost - $171) (f) | Credit | $ | 4,875 | 12/17 | $ | 127 | |||||
Credit Default Swaps on Asset-Backed Indices (Proceeds - $217) (e) | Credit | 2,192 | 12/37 | 65 | |||||||
Total Return Swaps (k) | Equity Market | 2,922 | 3/14 - 6/15 | 65 | |||||||
Short Swaps: | |||||||||||
Credit Default Swaps on Asset-Backed Securities (g) | Credit | (26,625 | ) | 11/34 - 5/36 | 21,134 | ||||||
Credit Default Swaps on Asset-Backed Indices (h) | Credit | (63,937 | ) | 5/46 - 5/63 | 9,553 | ||||||
Interest Rate Swaps (i) | Interest Rates | (647,200 | ) | 3/15 - 6/23 | 15,967 | ||||||
Total Return Swaps (k) | Equity Market | (5,590 | ) | 9/13 | 61 | ||||||
Total Swaps (Net cost $47,291) | 46,972 | ||||||||||
Futures (0.00%) | |||||||||||
Long Futures: | |||||||||||
U.S. Treasury Note Futures (m) | Interest Rates | 6,700 | 9/13 | 5 | |||||||
Total Futures | 5 | ||||||||||
Total Financial Derivatives - Assets (Net cost $47,291) | $ | 46,977 | |||||||||
Financial Derivatives - Liabilities (-2.91%) (a) | |||||||||||
Swaps (-2.90%) | |||||||||||
Long Swaps: | |||||||||||
Credit Default Swaps on Asset-Backed Indices (Proceeds - $13,953) (e) | Credit | $ | 41,455 | 12/49 - 5/52 | $ | (13,543 | ) | ||||
Total Return Swaps (k) | Equity Market | 4,817 | 3/14 - 6/15 | (118 | ) | ||||||
Short Swaps: | |||||||||||
Interest Rate Swaps (i) | Interest Rates | (4,200 | ) | 7/23 | (22 | ) | |||||
Credit Default Swaps on Corporate Bond Indices (j) | Credit | (111,438 | ) | 12/17 - 6/18 | (4,236 | ) | |||||
Credit Default Swaps on Asset-Backed Securities (g) | Credit | (4,638 | ) | 9/34 - 3/35 | (541 | ) | |||||
Total Return Swaps (k) | Equity Market | (6,354 | ) | 9/13 | — | ||||||
Total Swaps (Net proceeds -$16,042) | (18,460 | ) | |||||||||
Futures (-0.01%) | |||||||||||
Long Futures: | |||||||||||
U.S. Treasury Note Futures (n) | Interest Rates | 27,800 | 9/13 | $ | (54 | ) | |||||
Short Futures: | |||||||||||
Eurodollar Futures (l) | Interest Rates | (21,000 | ) | 9/13 | (29 | ) | |||||
Total Futures | (83 | ) | |||||||||
Total Financial Derivatives - Liabilities (Net proceeds -$16,042) | $ | (18,543 | ) |
(a) | See Note 2 and Note 3 in Notes to Consolidated Financial Statements. |
(b) | At June 30, 2013, the Company's long investments guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, and the Government National Mortgage Association represented 97.77%, 37.76%, and 12.09% of equity, respectively. |
(c) | In general, securities received pursuant to repurchase agreements were delivered to counterparties in short sale transactions. |
(d) | At June 30, 2013, the Company's short investments guaranteed by the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation represented 80.46% and 7.62% of equity, respectively. |
(e) | For long credit default swaps on asset-backed indices, the Company sold protection. |
(f) | For long credit default swaps on corporate bond indices, the Company sold protection. |
(g) | For short credit default swaps on asset-backed securities, the Company purchased protection. |
(h) | For short credit default swaps on asset-backed indices, the Company purchased protection. |
(i) | For short interest rate swap contracts, a fixed rate is being paid and a floating rate is being received. |
(j) | For short credit default swaps on corporate bond indices, the Company purchased protection. |
(k) | Notional value represents number of underlying shares or par value times the closing price of the underlying security. |
(l) | Every $1,000,000 in notional value represents one contract. |
(m) | Notional value represents the total face amount of U.S. Treasury Notes underlying all contracts held; as of June 30, 2013 67 contracts were held. |
(n) | Notional value represents the total face amount of U.S. Treasury Notes underlying all contracts held; as of June 30, 2013 229 contracts were held. |
(o) | Includes a loan with a fair value in the amount of $5.0 million where the maturity date may be extended through November 4, 2015 as well as a non-performing commercial whole loan. |
(p) | The table below shows the ratings on the Company's long investments, excluding common stock, from Moody's, Standard and Poor's, or Fitch, as well as the Company's long investments that were unrated but affiliated with Fannie Mae, Freddie Mac, or Ginnie Mae. Ratings tend to be a lagging credit indicator; as a result, the credit quality of the Company's long investment holdings may be lower than the credit quality implied based on the ratings listed below. In situations where an investment has a split rating, the lowest provided rating is used. The ratings descriptions include ratings qualified with a "+," "-," "1," "2," or "3." |
Rating Description | Percent of Equity | ||
Unrated but Agency-Guaranteed | 146.99 | % | |
Aaa/AAA/AAA | 0.00 | % | |
Aa/AA/AA | 0.00 | % | |
A/A/A | 1.16 | % | |
Baa/BBB/BBB | 1.81 | % | |
Ba/BB/BB or below | 113.82 | % | |
Unrated | 3.90 | % |
(q) | Private trust 100% backed by interest in Government National Mortgage Association collateralized mortgage obligation certificates. |
(r) | Classification percentages are based on Total Equity. |
Current Principal/ Notional Value | Description | Rate | Maturity | Fair Value | ||||||||
(In thousands) | Expressed in U.S. Dollars | |||||||||||
North America (p) | ||||||||||||
Long Investments (271.57%) (a) (n) | ||||||||||||
Mortgage-Backed Securities (269.68%) | ||||||||||||
Agency Securities (161.52%) (b) | ||||||||||||
Fixed Rate Agency Securities (157.46%) | ||||||||||||
Principal and Interest - Fixed Rate Agency Securities (148.21%) | ||||||||||||
$ | 49,427 | Federal National Mortgage Association Pool | 3.50% | 12/42 | $ | 52,864 | ||||||
45,304 | Federal Home Loan Mortgage Corporation Pool | 3.50% | 11/42 | 48,596 | ||||||||
35,601 | Federal National Mortgage Association Pool | 5.00% | 7/37 | 38,657 | ||||||||
21,338 | Federal National Mortgage Association Pool | 4.50% | 12/41 | 23,268 | ||||||||
18,227 | Federal National Mortgage Association Pool | 3.50% | 8/42 | 19,552 | ||||||||
17,845 | Federal National Mortgage Association Pool | 4.50% | 9/41 | 19,459 | ||||||||
17,634 | Federal Home Loan Mortgage Corporation Pool | 5.00% | 7/41 | 19,218 | ||||||||
17,621 | Federal National Mortgage Association Pool | 5.00% | 8/41 | 19,201 | ||||||||
17,113 | Federal National Mortgage Association Pool | 4.50% | 10/41 | 18,661 | ||||||||
15,869 | Federal National Mortgage Association Pool | 5.00% | 3/41 | 17,430 | ||||||||
14,911 | Federal National Mortgage Association Pool | 3.00% | 10/42 | 15,642 | ||||||||
14,242 | Federal National Mortgage Association Pool | 4.00% | 8/42 | 15,407 | ||||||||
13,519 | Federal Home Loan Mortgage Corporation Pool | 3.00% | 10/42 | 14,157 | ||||||||
11,985 | Federal National Mortgage Association Pool | 4.50% | 9/41 | 12,994 | ||||||||
11,942 | Federal National Mortgage Association Pool | 4.00% | 11/41 | 12,848 | ||||||||
11,003 | Federal National Mortgage Association Pool | 5.00% | 7/41 | 12,058 | ||||||||
10,576 | Federal National Mortgage Association Pool | 4.00% | 1/42 | 11,355 | ||||||||
9,576 | Federal National Mortgage Association Pool | 4.50% | 4/26 | 10,338 | ||||||||
9,002 | Federal Home Loan Mortgage Corporation Pool | 4.50% | 10/41 | 9,772 | ||||||||
8,321 | Federal Home Loan Mortgage Corporation Pool | 4.50% | 2/41 | 9,038 | ||||||||
7,395 | Federal National Mortgage Association Pool | 5.50% | 10/39 | 8,075 | ||||||||
7,428 | Federal National Mortgage Association Pool | 3.50% | 10/42 | 7,984 | ||||||||
7,352 | Federal National Mortgage Association Pool | 4.00% | 7/26 | 7,888 | ||||||||
6,324 | Federal National Mortgage Association Pool | 5.00% | 6/41 | 6,891 | ||||||||
5,929 | Federal National Mortgage Association Pool | 3.50% | 5/42 | 6,356 | ||||||||
5,689 | Federal Home Loan Mortgage Corporation Pool | 4.00% | 5/42 | 6,141 | ||||||||
5,592 | Federal National Mortgage Association Pool | 4.00% | 10/41 | 6,079 | ||||||||
5,642 | Federal National Mortgage Association Pool | 3.50% | 11/42 | 6,020 | ||||||||
5,494 | Federal National Mortgage Association Pool | 3.50% | 8/42 | 5,862 | ||||||||
5,085 | Federal National Mortgage Association Pool | 5.00% | 10/41 | 5,534 | ||||||||
5,085 | Federal National Mortgage Association Pool | 4.00% | 4/42 | 5,531 | ||||||||
5,045 | Federal National Mortgage Association Pool | 5.00% | 11/40 | 5,497 | ||||||||
5,025 | Federal National Mortgage Association Pool | 5.00% | 7/41 | 5,444 | ||||||||
4,944 | Federal National Mortgage Association Pool | 4.50% | 8/41 | 5,361 | ||||||||
4,911 | Federal Home Loan Mortgage Corporation Pool | 3.50% | 9/42 | 5,242 |
Current Principal/ Notional Value | Description | Rate | Maturity | Fair Value | ||||||||
(In thousands) | Expressed in U.S. Dollars | |||||||||||
Principal and Interest - Fixed Rate Agency Securities (148.21%) (continued) | ||||||||||||
$ | 4,676 | Federal National Mortgage Association Pool | 4.00% | 9/42 | $ | 5,059 | ||||||
4,725 | Federal National Mortgage Association Pool | 3.50% | 7/42 | 5,042 | ||||||||
4,699 | Federal National Mortgage Association Pool | 4.00% | 6/26 | 5,041 | ||||||||
4,513 | Federal National Mortgage Association Pool | 3.50% | 11/42 | 4,828 | ||||||||
4,465 | Federal Home Loan Mortgage Corporation Pool | 4.00% | 2/42 | 4,787 | ||||||||
4,456 | Federal National Mortgage Association Pool | 3.00% | 7/27 | 4,710 | ||||||||
4,261 | Federal National Mortgage Association Pool | 3.50% | 11/42 | 4,573 | ||||||||
4,009 | Federal Home Loan Mortgage Corporation Pool | 4.00% | 11/41 | 4,303 | ||||||||
3,964 | Federal Home Loan Mortgage Corporation Pool | 3.50% | 11/42 | 4,229 | ||||||||
3,926 | Federal National Mortgage Association Pool | 3.50% | 8/42 | 4,189 | ||||||||
3,798 | Federal National Mortgage Association Pool | 5.00% | 10/35 | 4,172 | ||||||||
3,864 | Federal Home Loan Mortgage Corporation Pool | 3.50% | 10/42 | 4,116 | ||||||||
3,728 | Federal National Mortgage Association Pool | 5.00% | 6/40 | 4,062 | ||||||||
3,726 | Federal National Mortgage Association Pool | 4.50% | 12/41 | 4,040 | ||||||||
3,763 | Federal National Mortgage Association Pool | 3.50% | 6/27 | 4,022 | ||||||||
3,766 | Federal National Mortgage Association Pool | 3.00% | 8/27 | 3,980 | ||||||||
3,606 | Federal National Mortgage Association Pool | 4.50% | 4/42 | 3,941 | ||||||||
3,526 | Federal Home Loan Mortgage Corporation Pool | 6.00% | 4/39 | 3,848 | ||||||||
3,534 | Federal National Mortgage Association Pool | 3.50% | 12/42 | 3,770 | ||||||||
3,442 | Federal Home Loan Mortgage Corporation Pool | 4.50% | 9/41 | 3,737 | ||||||||
3,483 | Federal Home Loan Mortgage Corporation Pool | 3.50% | 11/42 | 3,712 | ||||||||
3,419 | Federal National Mortgage Association Pool | 4.00% | 4/42 | 3,706 | ||||||||
3,404 | Federal Home Loan Mortgage Corporation Pool | 4.00% | 1/42 | 3,653 | ||||||||
3,344 | Federal National Mortgage Association Pool | 4.00% | 9/42 | 3,618 | ||||||||
3,415 | Federal Home Loan Mortgage Corporation Pool | 3.00% | 11/42 | 3,573 | ||||||||
3,288 | Federal Home Loan Mortgage Corporation Pool | 3.50% | 2/42 | 3,518 | ||||||||
3,182 | Federal National Mortgage Association Pool | 4.00% | 8/42 | 3,440 | ||||||||
3,095 | Federal National Mortgage Association Pool | 4.50% | 11/41 | 3,355 | ||||||||
3,053 | Federal National Mortgage Association Pool | 3.50% | 11/42 | 3,262 | ||||||||
2,931 | Federal National Mortgage Association Pool | 4.00% | 8/42 | 3,178 | ||||||||
2,947 | Federal National Mortgage Association Pool | 3.50% | 7/27 | 3,145 | ||||||||
2,921 | Federal National Mortgage Association Pool | 3.50% | 6/27 | 3,123 | ||||||||
2,828 | Federal National Mortgage Association Pool | 4.50% | 10/41 | 3,076 | ||||||||
2,605 | Government National Mortgage Association | 4.55% | 10/62 | 2,977 | ||||||||
2,676 | Federal National Mortgage Association Pool | 4.50% | 10/41 | 2,901 | ||||||||
2,566 | Federal National Mortgage Association Pool | 4.00% | 8/42 | 2,774 | ||||||||
2,490 | Federal National Mortgage Association Pool | 4.50% | 8/42 | 2,719 | ||||||||
2,497 | Federal National Mortgage Association Pool | 4.00% | 9/42 | 2,699 | ||||||||
2,519 | Federal National Mortgage Association Pool | 3.50% | 11/42 | 2,690 | ||||||||
2,520 | Federal Home Loan Mortgage Corporation Pool | 3.50% | 11/42 | 2,685 |
Current Principal/ Notional Value | Description | Rate | Maturity | Fair Value | ||||||||
(In thousands) | Expressed in U.S. Dollars | |||||||||||
Principal and Interest - Fixed Rate Agency Securities (148.21%) (continued) | ||||||||||||
$ | 2,498 | Federal National Mortgage Association Pool | 3.50% | 8/42 | $ | 2,679 | ||||||
2,500 | Federal Home Loan Mortgage Corporation Pool | 3.50% | 1/42 | 2,667 | ||||||||
2,452 | Federal National Mortgage Association Pool | 3.50% | 11/42 | 2,619 | ||||||||
2,377 | Federal National Mortgage Association Pool | 4.00% | 6/42 | 2,564 | ||||||||
69,330 | Other Federal National Mortgage Association Pools | 2.50% - 6.00% | 3/26 - 1/43 | 74,508 | ||||||||
19,340 | Other Federal Home Loan Mortgage Corporation Pools | 3.50% - 6.00% | 4/26 - 12/42 | 20,744 | ||||||||
750,454 | ||||||||||||
Interest Only - Fixed Rate Agency Securities (0.64%) | ||||||||||||
20,095 | Other Federal National Mortgage Association | 4.00% - 5.50% | 1/36 - 10/40 | 1,920 | ||||||||
10,426 | Other Federal Home Loan Mortgage Corporation | 5.00% - 5.50% | 6/33 - 1/39 | 1,195 | ||||||||
4,269 | Other Government National Mortgage Association | 5.50% | 3/36 | 135 | ||||||||
3,250 | ||||||||||||
TBA - Fixed Rate Agency Securities (8.61%) | ||||||||||||
18,950 | Federal Home Loan Mortgage Corporation (30 Year) | 4.00% | 1/13 | 20,232 | ||||||||
16,600 | Federal National Mortgage Association (15 Year) | 3.00% | 1/13 | 17,523 | ||||||||
5,600 | Federal Home Loan Mortgage Corporation (30 Year) | 3.00% | 1/13 | 5,855 | ||||||||
43,610 | ||||||||||||
Total Fixed Rate Agency Securities (Cost $789,964) | 797,314 | |||||||||||
Floating Rate Agency Securities (4.06%) | ||||||||||||
Principal and Interest - Floating Rate Agency Securities (3.39%) | ||||||||||||
6,045 | Federal National Mortgage Association Pool | 5.08% | 5/38 | 6,374 | ||||||||
4,537 | Federal National Mortgage Association Pool | 3.14% | 12/35 | 4,783 | ||||||||
2,478 | Federal National Mortgage Association Pool | 5.69% | 4/36 | 2,627 | ||||||||
3,159 | Other Federal National Mortgage Association Pools | 4.93% - 5.50% | 7/37 - 9/37 | 3,385 | ||||||||
17,169 | ||||||||||||
Interest Only - Floating Rate Agency Securities (0.67%) | ||||||||||||
23,140 | Resecuritization of Government National Mortgage Association (o) | 4.28% | 8/60 | 3,242 | ||||||||
1,042 | Other Federal National Mortgage Association | 5.50% | 8/36 | 152 | ||||||||
3,394 | ||||||||||||
Total Floating Rate Agency Securities (Cost $19,979) | 20,563 | |||||||||||
Total Agency Securities (Cost $809,943) | 817,877 |
Current Principal/ Notional Value | Description | Rate | Maturity | Fair Value | ||||||||
(In thousands) | Expressed in U.S. Dollars | |||||||||||
Private Label Securities (108.16%) | ||||||||||||
Principal and Interest - Private Label Securities (107.47%) | ||||||||||||
$ | 850,320 | Various | 0.17% - 9.35% | 5/19 - 5/47 | $ | 544,208 | ||||||
Total Principal and Interest - Private Label Securities (Cost $505,380) | 544,208 | |||||||||||
Principal Only - Private Label Securities (0.46%) | ||||||||||||
5,800 | Various | —% | 8/30 | 2,320 | ||||||||
Total Principal Only - Private Label Securities (Cost $2,242) | 2,320 | |||||||||||
Interest Only - Private Label Securities (0.23%) | ||||||||||||
61,640 | Various | 0.50% - 2.00% | 6/44 - 9/47 | 1,165 | ||||||||
Total Interest Only - Private Label Securities (Cost $637) | 1,165 | |||||||||||
Other Private Label Securities (0.00%) | ||||||||||||
158,348 | Various | —% | 6/37 | — | ||||||||
Total Other Private Label Securities (Cost $429) | — | |||||||||||
Total Private Label Securities (Cost $508,688) | 547,693 | |||||||||||
Total Mortgage-Backed Securities (Cost $1,318,631) | 1,365,570 | |||||||||||
Commercial Mortgage Loans (1.89%) (m) | ||||||||||||
10,225 | Various | 5.00% - 6.25% | 11/13 - 5/39 | 9,546 | ||||||||
Total Commercial Mortgage Loans (Cost $9,522) | 9,546 | |||||||||||
Total Long Investments (Cost $1,328,153) | $ | 1,375,116 |
Repurchase Agreements (2.70%) (a) (c) | ||||||||||||
$ | 13,650 | Bank of America Securities | 0.20% | 1/13 | $ | 13,650 | ||||||
Collateralized by Par Value $13,000 | ||||||||||||
U.S. Treasury Note, Coupon 1.75%, | ||||||||||||
Maturity Date 5/16 | ||||||||||||
Total Repurchase Agreements (Cost $13,650) | $ | 13,650 |
Current Principal/Notional Value | Description | Rate | Maturity | Fair Value | ||||||||
(In thousands) | Expressed in U.S. Dollars | |||||||||||
Investments Sold Short (-122.90%) (a) | ||||||||||||
TBA - Fixed Rate Agency Securities Sold Short (-120.22%) (d) | ||||||||||||
$ | (198,168 | ) | Federal National Mortgage Association (30 Year) | 3.50% | 1/13 | $ | (211,343 | ) | ||||
(87,500 | ) | Federal National Mortgage Association (30 Year) | 5.00% | 1/13 | (94,794 | ) | ||||||
(77,730 | ) | Federal National Mortgage Association (30 Year) | 4.50% | 1/13 | (83,982 | ) | ||||||
(53,400 | ) | Federal Home Loan Mortgage Corporation (30 Year) | 3.50% | 1/13 | (56,804 | ) | ||||||
(34,510 | ) | Federal National Mortgage Association (15 Year) | 3.00% | 1/13 | (36,430 | ) | ||||||
(31,600 | ) | Federal National Mortgage Association (30 Year) | 3.00% | 1/13 | (33,128 | ) | ||||||
(16,500 | ) | Federal Home Loan Mortgage Corporation (30 Year) | 5.00% | 1/13 | (17,776 | ) | ||||||
(16,450 | ) | Federal National Mortgage Association (15 Year) | 3.50% | 1/13 | (17,460 | ) | ||||||
(15,718 | ) | Federal National Mortgage Association (30 Year) | 4.00% | 1/13 | (16,852 | ) | ||||||
(14,104 | ) | Federal National Mortgage Association (15 Year) | 4.00% | 1/13 | (15,096 | ) | ||||||
(11,000 | ) | Federal National Mortgage Association (15 Year) | 4.50% | 1/13 | (11,833 | ) | ||||||
(7,500 | ) | Federal National Mortgage Association (30 Year) | 5.50% | 1/13 | (8,148 | ) | ||||||
(2,500 | ) | Federal National Mortgage Association (30 Year) | 6.00% | 1/13 | (2,731 | ) | ||||||
(1,200 | ) | Other Federal National Mortgage Association (15 Year) | 2.50% | 1/13 | (1,255 | ) | ||||||
(1,000 | ) | Other Federal Home Loan Mortgage Corporation (30 Year) | 6.00% | 1/13 | (1,088 | ) | ||||||
Total TBA - Fixed Rate Agency Securities Sold Short (Proceeds -$607,967) | (608,720 | ) | ||||||||||
U.S. Treasury Securities Sold Short (-2.68%) | ||||||||||||
(13,000 | ) | U.S. Treasury Note | 1.75% | 05/16 | (13,581 | ) | ||||||
Total U.S. Treasury Securities Sold Short (Proceeds -$13,081) | (13,581 | ) | ||||||||||
Total Investments Sold Short (Proceeds -$621,048) | $ | (622,301 | ) |
Primary Risk Exposure | Notional Value | Range of Expiration Dates | Fair Value | ||||||||
(In thousands) | Expressed in U.S.Dollars | ||||||||||
Financial Derivatives - Assets (9.58%) (a) | |||||||||||
Swaps (9.58%) | |||||||||||
Long Swaps: | |||||||||||
Credit Default Swaps on Asset-Backed Indices (Net Cost $135) (e) | Credit | $ | 10,166 | 6/36 - 12/37 | $ | 765 | |||||
Short Swaps: | |||||||||||
Credit Default Swaps on Asset-Backed Securities (g) | Credit | (42,121 | ) | 9/34 - 5/36 | 36,031 | ||||||
Credit Default Swaps on Asset-Backed Indices (h) | Credit | (66,829 | ) | 5/46 - 10/52 | 11,703 | ||||||
Interest Rate Swaps (i) | Interest Rates | (18,900 | ) | 10/17 | 5 | ||||||
Total Swaps (Net cost $65,860) | 48,504 | ||||||||||
Total Financial Derivatives - Assets (Net cost $65,860) | $ | 48,504 | |||||||||
Financial Derivatives - Liabilities (-3.00%) (a) | |||||||||||
Swaps (-2.99%) | |||||||||||
Long Swaps: | |||||||||||
Credit Default Swaps on Asset-Backed Indices (Proceeds - $12,736) (e) | Credit | 30,050 | 12/49 - 2/51 | $ | (12,751 | ) | |||||
Interest Rate Swaps (f) | Interest Rates | 2,500 | 11/22 - 12/22 | (32 | ) | ||||||
Short Swaps: | |||||||||||
Interest Rate Swaps (i) | Interest Rates | (220,000 | ) | 8/14 - 11/22 | (1,092 | ) | |||||
Credit Default Swaps on Asset-Backed Indices (h) | Credit | (7,792 | ) | 6/36 - 12/37 | (717 | ) | |||||
Credit Default Swaps on Corporate Bond Indices (j) | Credit | (67,500 | ) | 12/17 | (484 | ) | |||||
Credit Default Swaps on Asset-Backed Securities (g) | Credit | (3,000 | ) | 3/35 | (1 | ) | |||||
Total Return Swaps (k) | Equity Market | (18,737 | ) | 9/13 | (65 | ) | |||||
Total Swaps (Net proceeds -$13,171) | (15,142 | ) | |||||||||
Futures (-0.01%) | |||||||||||
Short Futures: | |||||||||||
Eurodollar Futures (l) | Interest Rates | (63,000 | ) | 3/13 - 9/13 | (70 | ) | |||||
Total Futures | (70 | ) | |||||||||
Total Financial Derivatives - Liabilities (Net proceeds -$13,171) | $ | (15,212 | ) |
(a) | See Note 2 and Note 3 in Notes to Consolidated Financial Statements. |
(b) | At December 31, 2012, the Company’s long investments guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, and the Government National Mortgage Association represented 119.78%, 40.49%, and 1.25% of equity, respectively. |
(c) | In general, securities received pursuant to repurchase agreements were delivered to counterparties in short sale transactions. |
(d) | At December 31, 2012, the Company’s short investments guaranteed by the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation represented 105.27% and 14.95% of equity, respectively. |
(e) | For long credit default swaps on asset-backed indices, the Company sold protection. |
(f) | For long interest rate swap contracts, a floating rate is being paid and a fixed rate is being received. |
(g) | For short credit default swaps on asset-backed securities, the Company purchased protection. |
(h) | For short credit default swaps on asset-backed indices, the Company purchased protection. |
(i) | For short interest rate swap contracts, a fixed rate is being paid and a floating rate is being received. |
(j) | For short credit default swaps on corporate bond indices, the Company purchased protection. |
(k) | Notional value represents number of underlying shares or par value times the closing price of the underlying security. |
(l) | Every $1,000,000 in notional value represents one contract. |
(m) | Includes a loan with a fair value in the amount of $4.9 million where the maturity date may be extended through November 4, 2015 as well as a non-performing commercial whole loan. |
(n) | The table below shows the Company's long investment ratings from Moody's, Standard and Poor's, or Fitch, as well as the Company's long investments that were unrated but affiliated with Fannie Mae, Freddie Mac, or Ginnie Mae. Ratings tend to be a lagging credit indicator; as a result, the credit quality of the Company's long investment holdings may be lower than the credit quality implied based on the ratings listed below. In situations where an investment has a split rating, the lowest provided rating is used. The ratings descriptions include ratings qualified with a "+," "-," "1," "2," or "3." |
Rating Description | Percent of Equity | ||
Unrated but Agency-Guaranteed | 161.52 | % | |
Aaa/AAA/AAA | 0.01 | % | |
Aa/AA/AA | 0.26 | % | |
A/A/A | 1.02 | % | |
Baa/BBB/BBB | 3.70 | % | |
Ba/BB/BB or below | 102.40 | % | |
Unrated | 2.66 | % |
(o) | Private trust 100% backed by interest in Government National Mortgage Association collateralized mortgage obligation certificates. |
(p) | Classification percentages are based on Total Equity. |
Three Month Period Ended June 30, 2013 | Three Month Period Ended June 30, 2012 | Six Month Period Ended June 30, 2013 | Six Month Period Ended June 30, 2012 | |||||||||||||
(In thousands except per share amounts) | Expressed in U.S. Dollars | |||||||||||||||
INVESTMENT INCOME | ||||||||||||||||
Interest income | $ | 20,335 | $ | 16,045 | $ | 38,717 | $ | 31,777 | ||||||||
EXPENSES | ||||||||||||||||
Base management fee | 2,405 | 1,497 | 4,373 | 2,988 | ||||||||||||
Incentive fee | 1,182 | 2,312 | 3,237 | 2,312 | ||||||||||||
Interest expense | 2,582 | 1,992 | 4,724 | 3,824 | ||||||||||||
Other investment related expenses | 327 | — | 327 | — | ||||||||||||
Compensation expense | 432 | 300 | 760 | 675 | ||||||||||||
Custody and other fees | 338 | 304 | 656 | 608 | ||||||||||||
Professional fees | 338 | 328 | 779 | 606 | ||||||||||||
Agency and administration fees | 281 | 217 | 543 | 430 | ||||||||||||
Insurance expense | 173 | 177 | 353 | 354 | ||||||||||||
Directors' fees and expenses | 66 | 66 | 143 | 140 | ||||||||||||
Share-based LTIP expense | 43 | 30 | 85 | 58 | ||||||||||||
Total expenses | 8,167 | 7,223 | 15,980 | 11,995 | ||||||||||||
NET INVESTMENT INCOME | 12,168 | 8,822 | 22,737 | 19,782 | ||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FINANCIAL DERIVATIVES | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments | 10,598 | (2,734 | ) | 24,596 | 5,413 | |||||||||||
Swaps | (4,152 | ) | (8,537 | ) | (5,535 | ) | (28,464 | ) | ||||||||
Futures | (775 | ) | (9 | ) | (797 | ) | (17 | ) | ||||||||
5,671 | (11,280 | ) | 18,264 | (23,068 | ) | |||||||||||
Change in net unrealized gain (loss) on: | ||||||||||||||||
Investments | (27,971 | ) | 10,300 | (5,132 | ) | 28,430 | ||||||||||
Swaps | 21,866 | 2,928 | 16,589 | 17,745 | ||||||||||||
Futures | (29 | ) | (2 | ) | (7 | ) | (66 | ) | ||||||||
(6,134 | ) | 13,226 | 11,450 | 46,109 | ||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FINANCIAL DERIVATIVES | (463 | ) | 1,946 | 29,714 | 23,041 | |||||||||||
NET INCREASE IN EQUITY RESULTING FROM OPERATIONS | 11,705 | 10,768 | 52,451 | 42,823 | ||||||||||||
LESS: NET INCREASE IN EQUITY RESULTING FROM OPERATIONS ATTRIBUTABLE TO NON-CONTROLLING INTEREST | 105 | — | 516 | — | ||||||||||||
NET INCREASE IN SHAREHOLDERS' EQUITY RESULTING FROM OPERATIONS | $ | 11,600 | $ | 10,768 | $ | 51,935 | $ | 42,823 | ||||||||
NET INCREASE IN SHAREHOLDERS' EQUITY RESULTING FROM OPERATIONS PER SHARE: | ||||||||||||||||
Basic and Diluted | $ | 0.49 | $ | 0.64 | $ | 2.35 | $ | 2.54 |
Six Month Period Ended June 30, 2013 | Six Month Period Ended June 30, 2012 | |||||||||||||||||||||||
Shareholders' Equity | Non-controlling Interest | Total Equity | Shareholders' Equity | Non-controlling Interest | Total Equity | |||||||||||||||||||
(In thousands) | Expressed in U.S. Dollars | |||||||||||||||||||||||
BEGINNING EQUITY (12/31/2012 and 12/31/2011, respectively) | $ | 506,355 | $ | — | $ | 506,355 | $ | 370,916 | $ | — | $ | 370,916 | ||||||||||||
CHANGE IN EQUITY RESULTING FROM OPERATIONS | ||||||||||||||||||||||||
Net investment income | 22,737 | 19,782 | ||||||||||||||||||||||
Net realized gain (loss) on investments and financial derivatives | 18,264 | (23,068 | ) | |||||||||||||||||||||
Change in net unrealized gain (loss) on investments and financial derivatives | 11,450 | 46,109 | ||||||||||||||||||||||
Net increase in equity resulting from operations | 51,935 | 516 | 52,451 | 42,823 | — | 42,823 | ||||||||||||||||||
CHANGE IN EQUITY RESULTING FROM TRANSACTIONS | ||||||||||||||||||||||||
Proceeds from the issuance of shares | 125,600 | 125,600 | — | — | ||||||||||||||||||||
Shares issued in connection with incentive fee payment | 941 | 941 | — | — | ||||||||||||||||||||
Contribution from non-controlling interest | 4,664 | 4,664 | — | — | ||||||||||||||||||||
Dividends(1) | (51,491 | ) | (485 | ) | (51,976 | ) | (18,522 | ) | — | (18,522 | ) | |||||||||||||
Offering costs | (262 | ) | (262 | ) | — | — | ||||||||||||||||||
Share-based LTIP awards | 84 | 1 | 85 | 58 | — | 58 | ||||||||||||||||||
Net increase (decrease) in equity from transactions | 74,872 | 4,180 | 79,052 | (18,464 | ) | — | (18,464 | ) | ||||||||||||||||
Net increase in equity | 126,807 | 4,696 | 131,503 | 24,359 | — | 24,359 | ||||||||||||||||||
ENDING EQUITY (6/30/2013 and 6/30/2012, respectively) | $ | 633,162 | $ | 4,696 | $ | 637,858 | $ | 395,275 | $ | — | $ | 395,275 |
(1) | For the six month periods ended June 30, 2013 and 2012, dividends totaling $2.29 and $1.10, respectively, per common share and convertible unit outstanding were declared and paid. |
Six Month Period Ended June 30, 2013 | Six Month Period Ended June 30, 2012 | ||||||
(In thousands) | Expressed in U.S. Dollars | ||||||
INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS: | |||||||
NET INCREASE IN EQUITY RESULTING FROM OPERATIONS | $ | 52,451 | $ | 42,823 | |||
Cash flows provided by (used) in operating activities: | |||||||
Reconciliation of the net increase in equity resulting from operations to net cash provided by (used in) operating activities: | |||||||
Change in net unrealized gain (loss) on investments and financial derivatives | (11,450 | ) | (46,109 | ) | |||
Net realized (gain) loss on investments and financial derivatives | (18,264 | ) | 23,068 | ||||
Amortization of premiums and accretion of discounts (net) | (10,204 | ) | (5,150 | ) | |||
Purchase of investments | (1,026,018 | ) | (1,188,608 | ) | |||
Proceeds from disposition of investments | 602,098 | 1,257,719 | |||||
Proceeds from principal payments of investments | 97,641 | 63,097 | |||||
Proceeds from investments sold short | 631,565 | 480,034 | |||||
Repurchase of investments sold short | (624,288 | ) | (459,870 | ) | |||
Payments made to open financial derivatives | (4,974 | ) | (67,208 | ) | |||
Proceeds received to close financial derivatives | 23,201 | 89,373 | |||||
Proceeds received to open financial derivatives | 11,815 | 35,603 | |||||
Payments made to close financial derivatives | (14,934 | ) | (38,363 | ) | |||
Shares issued in connection with incentive fee payment | 941 | — | |||||
Share-based LTIP expense | 85 | 58 | |||||
(Increase) decrease in assets: | |||||||
Increase in repurchase agreements | (27,538 | ) | (20,998 | ) | |||
Increase in receivable for securities sold | (45,116 | ) | (78,158 | ) | |||
(Increase) decrease in due from brokers | (25,550 | ) | 4,803 | ||||
Increase in interest and principal receivable | (852 | ) | (1,002 | ) | |||
Increase in other assets | (674 | ) | (626 | ) | |||
Increase (decrease) in liabilities: | |||||||
Decrease in due to brokers | (609 | ) | (33,350 | ) | |||
Increase (decrease) in payable for securities purchased | 78,751 | (44,217 | ) | ||||
Increase (decrease) in accounts payable and accrued expenses | (159 | ) | 278 | ||||
Increase (decrease) in incentive fee payable | (6,161 | ) | 2,312 | ||||
Increase (decrease) in other payables | (592 | ) | — | ||||
Increase (decrease) in interest and dividends payable | 948 | (224 | ) | ||||
Increase in base management fee payable | 471 | 101 | |||||
Net cash provided by (used in) operating activities | (317,416 | ) | 15,386 | ||||
Cash flows provided by (used in) financing activities: | |||||||
Proceeds from the issuance of shares | 125,600 | — | |||||
Contribution from non-controlling interest | 4,664 | — | |||||
Offering costs paid | (253 | ) | — | ||||
Dividends paid | (51,976 | ) | (18,522 | ) | |||
Proceeds from issuance of securitized debt | — | 1,522 | |||||
Principal payments on securitized debt | (182 | ) | (115 | ) | |||
Reverse repurchase agreements, net of repayments | 382,274 | (12,888 | ) | ||||
Net cash provided by (used in) financing activities | 460,127 | (30,003 | ) |
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS | 142,711 | (14,617 | ) | ||||
CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD | 59,084 | 62,737 | |||||
CASH AND CASH EQUIVALENTS, END OF PERIOD | $ | 201,795 | $ | 48,120 | |||
Supplemental disclosure of cash flow information: | |||||||
Interest paid | $ | 4,007 | $ | 4,034 | |||
Shares issued in connection with incentive fee payment (non-cash) | $ | 941 | $ | — | |||
Share-based LTIP awards (non-cash) | $ | 85 | $ | 58 | |||
Aggregate TBA trade activity (buys + sells) (non-cash) | $ | 10,009,367 | $ | 8,312,761 |
• | Level 1—inputs to the valuation methodology are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets, |
• | Level 2—inputs to the valuation methodology other than quoted prices included in Level 1 are observable for the asset or liability, either directly or indirectly, and |
• | Level 3—inputs to the valuation methodology are unobservable and significant to the fair value measurement. |
(In thousands) | ||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Cash and cash equivalents | $ | 201,795 | $ | — | $ | — | $ | 201,795 | ||||||||
Investments at fair value- | ||||||||||||||||
Agency residential mortgage-backed securities | $ | — | $ | 914,219 | $ | 27,397 | $ | 941,616 | ||||||||
Private label residential mortgage-backed securities | — | — | 694,510 | 694,510 | ||||||||||||
Private label commercial mortgage-backed securities | — | — | 23,906 | 23,906 | ||||||||||||
Commercial mortgage loans | — | — | 7,563 | 7,563 | ||||||||||||
Other asset-backed securities | — | — | 39,840 | 39,840 | ||||||||||||
Common stock | 2,987 | — | — | 2,987 | ||||||||||||
Total investments at fair value | 2,987 | 914,219 | 793,216 | 1,710,422 | ||||||||||||
Financial derivatives-assets at fair value- | ||||||||||||||||
Credit default swaps on asset-backed securities | — | — | 21,134 | 21,134 | ||||||||||||
Credit default swaps on corporate indices | — | 127 | — | 127 | ||||||||||||
Credit default swaps on asset-backed indices | — | 9,618 | — | 9,618 | ||||||||||||
Interest rate swaps | — | 15,967 | — | 15,967 | ||||||||||||
Total return swaps | — | 126 | — | 126 | ||||||||||||
Unrealized appreciation on futures contracts | 5 | — | — | 5 | ||||||||||||
Total financial derivatives-assets at fair value | 5 | 25,838 | 21,134 | 46,977 | ||||||||||||
Repurchase agreements | — | 41,188 | — | 41,188 | ||||||||||||
Total investments, financial derivatives-assets at fair value, and repurchase agreements | $ | 2,992 | $ | 981,245 | $ | 814,350 | $ | 1,798,587 | ||||||||
Liabilities: | ||||||||||||||||
Investments sold short at fair value- | ||||||||||||||||
U.S. Treasury and Agency residential mortgage-backed securities | $ | — | $ | (602,822 | ) | $ | — | $ | (602,822 | ) | ||||||
Common stock | (6,100 | ) | — | — | (6,100 | ) | ||||||||||
Total investments sold short at fair value | (6,100 | ) | (602,822 | ) | — | (608,922 | ) | |||||||||
Financial derivatives-liabilities at fair value- | ||||||||||||||||
Credit default swaps on corporate indices | — | (4,236 | ) | — | (4,236 | ) | ||||||||||
Credit default swaps on asset-backed indices | — | (13,543 | ) | — | (13,543 | ) | ||||||||||
Credit default swaps on asset-backed securities | — | — | (541 | ) | (541 | ) | ||||||||||
Interest rate swaps | — | (22 | ) | — | (22 | ) | ||||||||||
Total return swaps | — | (118 | ) | — | (118 | ) | ||||||||||
Unrealized depreciation on futures contracts | (83 | ) | — | — | (83 | ) | ||||||||||
Total financial derivatives-liabilities at fair value | (83 | ) | (17,919 | ) | (541 | ) | (18,543 | ) | ||||||||
Securitized debt | — | — | (1,168 | ) | (1,168 | ) | ||||||||||
Total investments sold short, financial derivatives-liabilities at fair value, and securitized debt | $ | (6,183 | ) | $ | (620,741 | ) | $ | (1,709 | ) | $ | (628,633 | ) |
Fair Value as of June 30, 2013 | Valuation Technique | Unobservable Input | Range | Weighted Average | |||||||||||||||
Description | Min | Max | |||||||||||||||||
(In thousands) | |||||||||||||||||||
Private label residential mortgage-backed securities and Other asset-backed securities(1) | $ | 678,375 | Market Quotes | Non Binding Indicative Price | $ | 29.00 | $ | 149.87 | $ | 80.52 | |||||||||
Private label residential mortgage-backed securities | 54,807 | Discounted Cash Flows | Yield | 6.1 | % | 20.8 | % | 10.4 | % | ||||||||||
Projected Collateral Prepayments | 0.7 | % | 57.8 | % | 32.2 | % | |||||||||||||
Projected Collateral Losses | 4.5 | % | 48.8 | % | 20.3 | % | |||||||||||||
Projected Collateral Recoveries | 0.0 | % | 17.9 | % | 8.9 | % | |||||||||||||
Projected Collateral Scheduled Amortization | 12.2 | % | 89.2 | % | 38.6 | % | |||||||||||||
100.0 | % | ||||||||||||||||||
Private label commercial mortgage-backed securities | 11,717 | Discounted Cash Flows | Yield | 10.2 | % | 30.1 | % | 15.9 | % | ||||||||||
Projected Collateral Losses | 0.3 | % | 0.3 | % | 0.3 | % | |||||||||||||
Projected Collateral Recoveries | 9.3 | % | 9.3 | % | 9.3 | % | |||||||||||||
Projected Collateral Scheduled Amortization | 90.4 | % | 90.4 | % | 90.4 | % | |||||||||||||
100.0 | % | ||||||||||||||||||
Credit default swaps on asset-backed securities | 20,593 | Net Discounted Cash Flows | Projected Collateral Prepayments | 19.5 | % | 55.6 | % | 26.7 | % | ||||||||||
Projected Collateral Losses | 18.0 | % | 52.3 | % | 40.1 | % | |||||||||||||
Projected Collateral Recoveries | 7.3 | % | 14.6 | % | 12.7 | % | |||||||||||||
Projected Collateral Scheduled Amortization | 15.6 | % | 36.6 | % | 20.5 | % | |||||||||||||
100.0 | % | ||||||||||||||||||
Private label commercial mortgage-backed securities and Performing commercial mortgage loans | 17,202 | Market Quotes | Non Binding Indicative Price | $ | 71.35 | $ | 100.25 | $ | 86.60 | ||||||||||
Non-performing commercial mortgage loans | 2,550 | Discounted Cash Flows | Yield | 32.3 | % | 32.3 | % | 32.3 | % | ||||||||||
Months to Resolution | 12 | 12 | 12 | ||||||||||||||||
Agency interest only residential mortgage-backed securities | 22,814 | Market Quotes | Non Binding Indicative Price | $ | 6.82 | $ | 26.84 | $ | 14.54 | ||||||||||
Agency interest only residential mortgage-backed securities | 4,583 | Option Adjusted Spread ("OAS") | LIBOR OAS(2) | 462 | 1,173 | 639 | |||||||||||||
Projected Collateral Prepayments | 54.8 | % | 86.2 | % | 70.9 | % | |||||||||||||
Projected Collateral Scheduled Amortization | 13.8 | % | 45.2 | % | 29.1 | % | |||||||||||||
100.0 | % |
(1) | Includes securitized debt with a fair value of $1.2 million as of June 30, 2013. |
(2) | Shown in basis points. |
(In thousands) | ||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Cash and cash equivalents | $ | 59,084 | $ | — | $ | — | $ | 59,084 | ||||||||
Investments at fair value- | ||||||||||||||||
Agency residential mortgage-backed securities | $ | — | $ | 811,233 | $ | 6,644 | $ | 817,877 | ||||||||
Private label residential mortgage-backed securities | — | — | 528,366 | 528,366 | ||||||||||||
Private label commercial mortgage-backed securities | — | — | 19,327 | 19,327 | ||||||||||||
Commercial mortgage loans | — | — | 9,546 | 9,546 | ||||||||||||
Total investments at fair value | — | 811,233 | 563,883 | 1,375,116 | ||||||||||||
Financial derivatives-assets at fair value- | ||||||||||||||||
Credit default swaps on asset-backed securities | — | — | 36,031 | 36,031 | ||||||||||||
Credit default swaps on asset-backed indices | — | 12,468 | — | 12,468 | ||||||||||||
Interest rate swaps | — | 5 | — | 5 | ||||||||||||
Total financial derivatives-assets at fair value | — | 12,473 | 36,031 | 48,504 | ||||||||||||
Repurchase agreements | — | 13,650 | — | 13,650 | ||||||||||||
Total investments, financial derivatives-assets at fair value, and repurchase agreements | $ | — | $ | 837,356 | $ | 599,914 | $ | 1,437,270 | ||||||||
Liabilities: | ||||||||||||||||
Investments sold short at fair value- | ||||||||||||||||
U.S. Treasury and Agency residential mortgage-backed securities | $ | — | $ | (622,301 | ) | $ | — | $ | (622,301 | ) | ||||||
Financial derivatives-liabilities at fair value- | ||||||||||||||||
Credit default swaps on corporate indices | — | (484 | ) | — | (484 | ) | ||||||||||
Credit default swaps on asset-backed indices | — | (13,468 | ) | — | (13,468 | ) | ||||||||||
Credit default swaps on asset-backed securities | — | — | (1 | ) | (1 | ) | ||||||||||
Interest rate swaps | — | (1,124 | ) | — | (1,124 | ) | ||||||||||
Total return swaps | — | (65 | ) | — | (65 | ) | ||||||||||
Unrealized depreciation on futures contracts | (70 | ) | — | — | (70 | ) | ||||||||||
Total financial derivatives-liabilities at fair value | (70 | ) | (15,141 | ) | (1 | ) | (15,212 | ) | ||||||||
Securitized debt | — | — | (1,335 | ) | (1,335 | ) | ||||||||||
Total investments sold short and financial derivatives-liabilities at fair value | $ | (70 | ) | $ | (637,442 | ) | $ | (1,336 | ) | $ | (638,848 | ) |
Fair Value as of December 31, 2012 | Valuation Technique | Unobservable Input | Range | Weighted Average | ||||||||||||
Description | Min | Max | ||||||||||||||
(In thousands) | ||||||||||||||||
Private label residential mortgage-backed securities(1) | $ | 527,031 | Discounted Cash Flows | Yield | 2.6 | % | 29.1 | % | 7.8 | % | ||||||
Projected Collateral Prepayments | 0.7 | % | 64.6 | % | 22.7 | % | ||||||||||
Projected Collateral Losses | 3.7 | % | 79.7 | % | 28.0 | % | ||||||||||
Projected Collateral Recoveries | 0.0 | % | 41.0 | % | 21.4 | % | ||||||||||
Projected Collateral Scheduled Amortization | 4.1 | % | 90.4 | % | 27.9 | % | ||||||||||
100.0 | % | |||||||||||||||
Credit default swaps on asset-backed securities | 36,030 | Net Discounted Cash Flows | Projected Collateral Prepayments | 8.7 | % | 44.1 | % | 18.7 | % | |||||||
Projected Collateral Losses | 20.4 | % | 57.1 | % | 37.8 | % | ||||||||||
Projected Collateral Recoveries | 12.2 | % | 32.8 | % | 19.3 | % | ||||||||||
Projected Collateral Scheduled Amortization | 9.8 | % | 35.5 | % | 24.2 | % | ||||||||||
100.0 | % | |||||||||||||||
Private label commercial mortgage-backed securities and Commercial mortgage loans | 28,873 | Discounted Cash Flows | Yield | 5.2 | % | 17.9 | % | 9.5 | % | |||||||
Projected Collateral Losses | 0.0 | % | 25.1 | % | 3.9 | % | ||||||||||
Projected Collateral Recoveries | 0.0 | % | 88.9 | % | 20.5 | % | ||||||||||
Projected Collateral Scheduled Amortization | 0.0 | % | 100.0 | % | 75.6 | % | ||||||||||
100.0 | % | |||||||||||||||
Agency interest only residential mortgage-backed securities | 6,644 | Option Adjusted Spread ("OAS") | LIBOR OAS (2) | 816 | 7,558 | 1,189 | ||||||||||
Projected Collateral Prepayments | 81.0 | % | 100.0 | % | 92.7 | % | ||||||||||
Projected Collateral Scheduled Amortization (3) | 0.0 | % | 19.0 | % | 7.3 | % | ||||||||||
100.0 | % |
(1) | Includes securitized debt with a fair value of $1.3 million as of December 31, 2012. |
(2) | Shown in basis points. |
(3) | For simplicity of presentation, net negative amortization is disregarded. |
(In thousands) | Beginning Balance as of March 31, 2013 | Accreted Discounts / (Amortized Premiums) | Net Realized Gain/ (Loss) | Change in Net Unrealized Gain/(Loss) | Purchases/ Payments | Sales/ Issuances | Transfers In and/or Out of Level 3 | Ending Balance as of June 30, 2013 | |||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||
Investments at fair value- | |||||||||||||||||||||||||||||||
Agency residential mortgage-backed securities | $ | 16,228 | $ | (1,132 | ) | $ | — | $ | 68 | $ | 12,233 | $ | — | $ | — | $ | 27,397 | ||||||||||||||
Private label residential mortgage-backed securities | 557,820 | 6,471 | 4,189 | (6,636 | ) | 184,029 | (51,363 | ) | — | 694,510 | |||||||||||||||||||||
Private label commercial mortgage-backed securities | 5,778 | 41 | 324 | (771 | ) | 24,826 | (6,292 | ) | — | 23,906 | |||||||||||||||||||||
Commercial mortgage loans | 9,713 | 19 | 482 | (73 | ) | 2,550 | (5,128 | ) | — | 7,563 | |||||||||||||||||||||
Other asset-backed securities | 11,638 | (68 | ) | 531 | (820 | ) | 36,307 | (7,748 | ) | — | 39,840 | ||||||||||||||||||||
Total investments at fair value | 601,177 | 5,331 | 5,526 | (8,232 | ) | 259,945 | (70,531 | ) | — | 793,216 | |||||||||||||||||||||
Financial derivatives- assets at fair value- | |||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | 26,398 | — | (542 | ) | 1,107 | 42 | (5,871 | ) | — | 21,134 | |||||||||||||||||||||
Total financial derivatives- assets at fair value | 26,398 | — | (542 | ) | 1,107 | 42 | (5,871 | ) | — | 21,134 | |||||||||||||||||||||
Total investments and financial derivatives-assets at fair value | $ | 627,575 | $ | 5,331 | $ | 4,984 | $ | (7,125 | ) | $ | 259,987 | $ | (76,402 | ) | $ | — | $ | 814,350 | |||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||
Financial derivatives- liabilities at fair value- | |||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | $ | (2 | ) | $ | — | $ | (29 | ) | $ | (540 | ) | $ | — | $ | 30 | $ | — | $ | (541 | ) | |||||||||||
Total financial derivatives- liabilities at fair value | (2 | ) | — | (29 | ) | (540 | ) | — | 30 | — | (541 | ) | |||||||||||||||||||
Securitized debt: | |||||||||||||||||||||||||||||||
Securitized debt | (1,205 | ) | (11 | ) | — | (63 | ) | 111 | — | — | (1,168 | ) | |||||||||||||||||||
Total securitized debt | (1,205 | ) | (11 | ) | — | (63 | ) | 111 | — | — | (1,168 | ) | |||||||||||||||||||
Total financial derivatives- liabilities at fair value and securitized debt | $ | (1,207 | ) | $ | (11 | ) | $ | (29 | ) | $ | (603 | ) | $ | 111 | $ | 30 | $ | — | $ | (1,709 | ) |
(In thousands) | Beginning Balance as of March 31, 2012 | Accreted Discounts / (Amortized Premiums) | Net Realized Gain/ (Loss) | Change in Net Unrealized Gain/(Loss) | Purchases/ Payments | Sales/ Issuances | Transfers In and/or Out of Level 3 | Ending Balance as of June 30, 2012 | |||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||
Investments at fair value- | |||||||||||||||||||||||||||||||
Agency residential mortgage-backed securities | $ | 6,016 | $ | (553 | ) | $ | — | $ | (796 | ) | $ | — | $ | — | $ | — | $ | 4,667 | |||||||||||||
Private label residential mortgage-backed securities | 408,230 | 4,914 | 848 | 7,475 | 59,941 | (96,349 | ) | — | 385,059 | ||||||||||||||||||||||
Private label commercial mortgage-backed securities | 12,171 | 139 | (35 | ) | (404 | ) | 21,407 | (4,873 | ) | — | 28,405 | ||||||||||||||||||||
Commercial mortgage loans | 4,500 | 22 | — | 128 | — | — | — | 4,650 | |||||||||||||||||||||||
Total investments at fair value | 430,917 | 4,522 | 813 | 6,403 | 81,348 | (101,222 | ) | — | 422,781 | ||||||||||||||||||||||
Financial derivatives- assets at fair value- | |||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | 48,746 | — | (734 | ) | 1,308 | 103 | (10,664 | ) | — | 38,759 | |||||||||||||||||||||
Total financial derivatives- assets at fair value | 48,746 | — | (734 | ) | 1,308 | 103 | (10,664 | ) | — | 38,759 | |||||||||||||||||||||
Total investments and financial derivatives-assets at fair value | $ | 479,663 | $ | 4,522 | $ | 79 | $ | 7,711 | $ | 81,451 | $ | (111,886 | ) | $ | — | $ | 461,540 | ||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||
Securitized debt | $ | (1,485 | ) | $ | (15 | ) | $ | — | $ | 10 | $ | 75 | $ | — | $ | — | $ | (1,415 | ) | ||||||||||||
Total securitized debt | $ | (1,485 | ) | $ | (15 | ) | $ | — | $ | 10 | $ | 75 | $ | — | $ | — | $ | (1,415 | ) |
(In thousands) | Beginning Balance as of December 31, 2012 | Accreted Discounts / (Amortized Premiums) | Net Realized Gain/ (Loss) | Change in Net Unrealized Gain/(Loss) | Purchases/ Payments | Sales/ Issuances | Transfers In and/or Out of Level 3 | Ending Balance as of June 30, 2013 | |||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||
Investments at fair value- | |||||||||||||||||||||||||||||||
Agency residential mortgage-backed securities | $ | 6,644 | $ | (2,003 | ) | $ | — | $ | 306 | $ | 22,450 | $ | — | $ | — | $ | 27,397 | ||||||||||||||
Private label residential mortgage-backed securities | 528,366 | 13,112 | 19,790 | 17,383 | 256,862 | (141,003 | ) | — | 694,510 | ||||||||||||||||||||||
Private label commercial mortgage-backed securities | 19,327 | 98 | (1,124 | ) | 2,473 | 37,168 | (34,036 | ) | — | 23,906 | |||||||||||||||||||||
Commercial mortgage loans | 9,546 | 27 | 482 | 86 | 2,551 | (5,129 | ) | — | 7,563 | ||||||||||||||||||||||
Other asset-backed securities | — | (117 | ) | 531 | (927 | ) | 48,101 | (7,748 | ) | — | 39,840 | ||||||||||||||||||||
Total investments at fair value | 563,883 | 11,117 | 19,679 | 19,321 | 367,132 | (187,916 | ) | — | 793,216 | ||||||||||||||||||||||
Financial derivatives- assets at fair value- | |||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | 36,031 | — | 2,709 | (4,492 | ) | 91 | (13,205 | ) | — | 21,134 | |||||||||||||||||||||
Total financial derivatives- assets at fair value | 36,031 | — | 2,709 | (4,492 | ) | 91 | (13,205 | ) | — | 21,134 | |||||||||||||||||||||
Total investments and financial derivatives-assets at fair value | $ | 599,914 | $ | 11,117 | $ | 22,388 | $ | 14,829 | $ | 367,223 | $ | (201,121 | ) | $ | — | $ | 814,350 | ||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||
Financial derivatives- liabilities at fair value- | |||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | $ | (1 | ) | $ | — | $ | (57 | ) | $ | (540 | ) | $ | — | $ | 57 | $ | — | $ | (541 | ) | |||||||||||
Total financial derivatives- liabilities at fair value | (1 | ) | — | (57 | ) | (540 | ) | — | 57 | — | (541 | ) | |||||||||||||||||||
Securitized debt: | |||||||||||||||||||||||||||||||
Securitized debt | (1,335 | ) | (20 | ) | — | 5 | 182 | — | — | (1,168 | ) | ||||||||||||||||||||
Total securitized debt | (1,335 | ) | (20 | ) | — | 5 | 182 | — | — | (1,168 | ) | ||||||||||||||||||||
Total financial derivatives- liabilities at fair value and securitized debt | $ | (1,336 | ) | $ | (20 | ) | $ | (57 | ) | $ | (535 | ) | $ | 182 | $ | 57 | $ | — | $ | (1,709 | ) |
(In thousands) | Beginning Balance as of December 31, 2011 | Accreted Discounts / (Amortized Premiums) | Net Realized Gain/ (Loss) | Change in Net Unrealized Gain/(Loss) | Purchases/ Payments | Sales/ Issuances | Transfers In and/or Out of Level 3 | Ending Balance as of June 30, 2012 | |||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||
Investments at fair value- | |||||||||||||||||||||||||||||||
U.S. Treasury Agency residential mortgage-backed securities | $ | 5,337 | $ | (1,177 | ) | $ | — | $ | (365 | ) | $ | 872 | $ | — | $ | — | $ | 4,667 | |||||||||||||
Private label residential mortgage-backed securities | 417,533 | (9,288 | ) | 7,049 | 25,136 | 158,618 | (232,565 | ) | — | 385,059 | |||||||||||||||||||||
Private label commercial mortgage-backed securities | 16,093 | 256 | 309 | 1,283 | 22,716 | (12,252 | ) | — | 28,405 | ||||||||||||||||||||||
Commercial mortgage loans | 4,400 | 50 | — | 200 | — | — | — | 4,650 | |||||||||||||||||||||||
Total investments at fair value | 443,363 | 8,417 | 7,358 | 26,254 | 182,206 | (244,817 | ) | — | 422,781 | ||||||||||||||||||||||
Financial derivatives- assets at fair value - | |||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | 61,498 | — | (5,477 | ) | 8,107 | 226 | (25,595 | ) | — | 38,759 | |||||||||||||||||||||
Total financial derivatives- assets at fair value | 61,498 | — | (5,477 | ) | 8,107 | 226 | (25,595 | ) | — | 38,759 | |||||||||||||||||||||
Total investments and financial derivatives- assets at fair value | $ | 504,861 | $ | 8,417 | $ | 1,881 | $ | 34,361 | $ | 182,432 | $ | (270,412 | ) | $ | — | $ | 461,540 | ||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||
Securitized debt | $ | — | $ | (29 | ) | $ | — | $ | 21 | $ | 115 | $ | (1,522 | ) | $ | — | $ | (1,415 | ) | ||||||||||||
Total securitized debt | $ | — | $ | (29 | ) | $ | — | $ | 21 | $ | 115 | $ | (1,522 | ) | $ | — | $ | (1,415 | ) |
Derivative Type | Primary Risk Exposure | Net Realized Gain/(Loss) for the Three Month Period Ended June 30, 2013 | Change in Net Unrealized Gain/(Loss) for the Three Month Period Ended June 30, 2013 | Net Realized Gain/(Loss) for the Six Month Period Ended June 30, 2013 | Change in Net Unrealized Gain/(Loss) for the Six Month Period Ended June 30, 2013 | |||||||||||||
(In thousands) | ||||||||||||||||||
Financial derivatives - assets | ||||||||||||||||||
Credit default swaps on asset-backed securities | Credit | $ | (542 | ) | $ | 1,107 | $ | 2,709 | $ | (4,492 | ) | |||||||
Credit default swaps on asset-backed indices | Credit | (2,634 | ) | 3,489 | (4,121 | ) | 3,514 | |||||||||||
Credit default swaps on corporate bond indices | Credit | 82 | (44 | ) | 82 | (44 | ) | |||||||||||
Total return swaps | Equity Market | 42 | 66 | 4 | 127 | |||||||||||||
Interest rate swaps | Interest Rates | 500 | 15,583 | 283 | 15,962 | |||||||||||||
U.S. Treasury Note futures | Interest Rates | (153 | ) | 5 | (153 | ) | 5 | |||||||||||
(2,705 | ) | 20,206 | (1,196 | ) | 15,072 | |||||||||||||
Financial derivatives - liabilities | ||||||||||||||||||
Credit default swaps on asset-backed securities | Credit | (29 | ) | (540 | ) | (57 | ) | (540 | ) | |||||||||
Credit default swaps on asset-backed indices | Credit | 22 | 455 | 200 | 814 | |||||||||||||
Credit default swaps on corporate bond indices | Credit | (905 | ) | 378 | (4,532 | ) | 200 | |||||||||||
Total return swaps | Equity Market | (363 | ) | (90 | ) | (395 | ) | (53 | ) | |||||||||
Interest rate swaps | Interest Rates | (325 | ) | 1,462 | 292 | 1,101 | ||||||||||||
U.S. Treasury Note futures | Interest Rates | (597 | ) | (54 | ) | (597 | ) | (54 | ) | |||||||||
Eurodollar futures | Interest Rates | (25 | ) | 20 | (47 | ) | 42 | |||||||||||
(2,222 | ) | 1,631 | (5,136 | ) | 1,510 | |||||||||||||
Total | $ | (4,927 | ) | $ | 21,837 | $ | (6,332 | ) | $ | 16,582 |
Derivative Type | Primary Risk Exposure | Net Realized Gain/(Loss) for the Three Month Period Ended June 30, 2012 | Change in Net Unrealized Gain/(Loss) for the Three Month Period Ended June 30, 2012 | Net Realized Gain/(Loss) for the Six Month Period Ended June 30, 2012 | Change in Net Unrealized Gain/(Loss) for the Six Month Period Ended June 30, 2012 | |||||||||||||
(In thousands) | ||||||||||||||||||
Financial derivatives - assets | ||||||||||||||||||
Credit default swaps on asset-backed securities | Credit | $ | (734 | ) | $ | 1,308 | $ | (5,477 | ) | $ | 8,107 | |||||||
Credit default swaps on asset-backed indices | Credit | (1,573 | ) | 1,522 | (7,066 | ) | (2,268 | ) | ||||||||||
Credit default swaps on corporate bond indices | Credit | (12 | ) | 602 | (1,560 | ) | 1,173 | |||||||||||
Interest rate swaps | Interest Rates | 49 | (69 | ) | 49 | (78 | ) | |||||||||||
Eurodollar futures | Interest Rates | (9 | ) | — | (17 | ) | (12 | ) | ||||||||||
(2,279 | ) | 3,363 | (14,071 | ) | 6,922 | |||||||||||||
Financial derivatives - liabilities | ||||||||||||||||||
Credit default swaps on asset-backed indices | Credit | 253 | (927 | ) | 4,562 | (893 | ) | |||||||||||
Credit default swaps on corporate bond indices | Credit | 301 | (66 | ) | 304 | — | ||||||||||||
Total return swaps | Equity Market | (1,273 | ) | (4 | ) | (3,328 | ) | 21 | ||||||||||
Interest rate swaps | Interest Rates | (5,548 | ) | 562 | (15,948 | ) | 11,683 | |||||||||||
Eurodollar futures | Interest Rates | — | (2 | ) | — | (54 | ) | |||||||||||
(6,267 | ) | (437 | ) | (14,410 | ) | 10,757 | ||||||||||||
Total | $ | (8,546 | ) | $ | 2,926 | $ | (28,481 | ) | $ | 17,679 |
Credit Default Swaps on Asset-Backed Indices | Amount at June 30, 2013 | Amount at December 31, 2012 | ||||||
(In thousands) | ||||||||
Fair Value of Written Credit Derivatives, Net | $ | (13,351 | ) | $ | (11,986 | ) | ||
Fair Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) | $ | 126 | $ | (717 | ) | |||
Notional Amount of Written Credit Derivatives (2) | $ | (48,522 | ) | $ | (40,216 | ) | ||
Notional Amount of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) | $ | 4,875 | $ | 7,792 |
(1) | Offsetting transactions with third parties include purchased credit derivatives which have the same reference obligation. |
(2) | The notional value is the maximum amount that a seller of credit indices would be obligated to pay, and a buyer of credit protection would receive upon occurrence of a "credit event." Movements in the value of credit default swap transactions may require the Company or the counterparty to post or receive collateral. Amounts due or owed under an credit index contract may be offset against amounts due or owed on another credit index contract with the same ISDA counterparty. |
Three Month Period Ended June 30, 2013 | Three Month Period Ended June 30, 2012 | ||||||||||||||||
Manager | Director/ Employee | Total | Manager | Director/ Employee | Total | ||||||||||||
LTIP Units Outstanding (3/31/2013 and 3/31/2012, respectively) | 375,000 | 22,096 | 397,096 | 375,000 | 15,500 | 390,500 | |||||||||||
Granted | — | — | — | — | — | — | |||||||||||
Exercised | — | — | — | — | — | — | |||||||||||
LTIP Units Outstanding (6/30/2013 and 6/30/2012, respectively) | 375,000 | 22,096 | 397,096 | 375,000 | 15,500 | 390,500 | |||||||||||
LTIP Units Vested and Outstanding (6/30/2013 and 6/30/2012, respectively) | 375,000 | 14,250 | 389,250 | 375,000 | 8,750 | 383,750 |
Six Month Period Ended June 30, 2013 | Six Month Period Ended June 30, 2012 | ||||||||||||||||
Manager | Director/ Employee | Total | Manager | Director/ Employee | Total | ||||||||||||
LTIP Units Outstanding (12/31/2012 and 12/31/2011, respectively) | 375,000 | 22,096 | 397,096 | 375,000 | 15,500 | 390,500 | |||||||||||
Granted | — | — | — | — | — | — | |||||||||||
Exercised | — | — | — | — | — | — | |||||||||||
LTIP Units Outstanding (6/30/2013 and 6/30/2012, respectively) | 375,000 | 22,096 | 397,096 | 375,000 | 15,500 | 390,500 | |||||||||||
LTIP Units Vested and Outstanding (6/30/2013 and 6/30/2012, respectively) | 375,000 | 14,250 | 389,250 | 375,000 | 8,750 | 383,750 |
Three Month Period Ended June 30, 2013 | Three Month Period Ended June 30, 2012 | ||||
Common Shares Outstanding (3/31/2013 and 3/31/2012, respectively) | 20,403,723 | 16,447,651 | |||
Share Activity: | |||||
Shares issued | 5,000,000 | — | |||
Shares issued in connection with incentive fee payment | 8,288 | — | |||
Common Shares Outstanding (6/30/2013 and 6/30/2012, respectively) | 25,412,011 | 16,447,651 |
Six Month Period Ended June 30, 2013 | Six Month Period Ended June 30, 2012 | ||||
Common Shares Outstanding (12/31/2012 and 12/31/2011, respectively) | 20,370,469 | 16,447,651 | |||
Share Activity: | |||||
Shares issued | 5,000,000 | — | |||
Shares issued in connection with incentive fee payment | 41,542 | — | |||
Common Shares Outstanding (6/30/2013 and 6/30/2012, respectively) | 25,412,011 | 16,447,651 |
Three Month Period Ended June 30, | Six Month Period Ended June 30, | ||||||||||||||
2013 | 2012 | 2013 | 2012 | ||||||||||||
(In thousands except share amounts) | |||||||||||||||
Net increase in equity resulting from operations | $ | 11,705 | $ | 10,768 | $ | 52,451 | $ | 42,823 | |||||||
Less: Net increase in equity resulting from operations attributable to the non-controlling interest | 105 | — | 516 | — | |||||||||||
Net increase in shareholders' equity resulting from operations | 11,600 | 10,768 | 51,935 | 42,823 | |||||||||||
Net increase in shareholders' equity resulting from operations available to common share and LTIP unit holders: | |||||||||||||||
Net increase in shareholders' equity resulting from operations - common shares | 11,404 | 10,518 | 51,003 | 41,830 | |||||||||||
Net increase in shareholders' equity resulting from operations - LTIP units | 196 | 250 | 932 | 993 | |||||||||||
Dividends Paid(1): | |||||||||||||||
Common shareholders | (19,567 | ) | (11,513 | ) | (50,581 | ) | (18,092 | ) | |||||||
LTIP unit holders | (306 | ) | (274 | ) | (910 | ) | (430 | ) | |||||||
Non-controlling interest | (163 | ) | — | (485 | ) | — | |||||||||
Total dividends paid to common shareholders, LTIP unit holders, and non-controlling interest | (20,036 | ) | (11,787 | ) | (51,976 | ) | (18,522 | ) | |||||||
Undistributed earnings: | |||||||||||||||
Common shareholders | (8,163 | ) | (995 | ) | 422 | 23,738 | |||||||||
LTIP unit holders | (110 | ) | (24 | ) | 22 | 563 | |||||||||
Non-controlling interest | (58 | ) | — | 31 | — | ||||||||||
Total undistributed earnings attributable to common shareholders, LTIP unit holders, and non-controlling interest | $ | (8,331 | ) | $ | (1,019 | ) | $ | 475 | $ | 24,301 | |||||
Weighted average shares outstanding (basic and diluted): | |||||||||||||||
Weighted average common shares outstanding | 23,046,550 | 16,447,651 | 21,724,721 | 16,447,651 | |||||||||||
Weighted average participating LTIP units | 397,096 | 390,500 | 397,096 | 390,500 | |||||||||||
Weighted average non-controlling interest units | 212,000 | — | 212,000 | — | |||||||||||
Basic earnings per common share: | |||||||||||||||
Distributed | $ | 0.77 | $ | 0.70 | $ | 2.29 | $ | 1.10 | |||||||
Undistributed | (0.28 | ) | (0.06 | ) | 0.06 | 1.44 | |||||||||
$ | 0.49 | $ | 0.64 | $ | 2.35 | $ | 2.54 | ||||||||
Diluted earnings per common share: | |||||||||||||||
Distributed | $ | 0.77 | $ | 0.70 | $ | 2.29 | $ | 1.10 | |||||||
Undistributed | (0.28 | ) | (0.06 | ) | 0.06 | 1.44 | |||||||||
$ | 0.49 | $ | 0.64 | $ | 2.35 | $ | 2.54 |
(1) | The Company pays quarterly dividends in arrears, so a portion of the dividends paid in each calendar year relate to the prior year's earnings. |
Dealer | % of Total Collateral on Reverse Repurchase Agreements | |
Deutsche Bank | 18% | |
Guggenheim Capital Markets | 18% | |
Royal Bank of Canada | 15% |
Dealer | % of Total Due from Broker | |
Morgan Stanley | 33% |
Dealer | % of Total Receivable for Securities Sold | |
Royal Bank of Scotland | 36% | |
CS First Boston | 30% | |
Bank of America | 17% |
Description | Amount of Assets (Liabilities) Presented in the Consolidated Statements of Assets, Liabilities, and Equity(1) | Financial Instruments(2)(3) | Cash Collateral (Received) Pledged(3) | Net Amount | ||||||||||||
(In thousands) | ||||||||||||||||
June 30, 2013: | ||||||||||||||||
Financial derivatives - assets | $ | 46,977 | ||||||||||||||
Financial derivatives - liabilities | (18,543 | ) | ||||||||||||||
$ | 28,434 | $ | — | $ | (6,150 | ) | $ | 22,284 | ||||||||
Repurchase agreements | $ | 41,188 | ||||||||||||||
Reverse repurchase agreements | (1,287,992 | ) | ||||||||||||||
$ | (1,246,804 | ) | $ | 1,229,994 | $ | 16,810 | $ | — | ||||||||
December 31, 2012: | ||||||||||||||||
Financial derivatives - assets | $ | 48,504 | ||||||||||||||
Financial derivatives - liabilities | (15,212 | ) | ||||||||||||||
$ | 33,292 | $ | — | $ | (13,188 | ) | $ | 20,104 | ||||||||
Repurchase agreements | $ | 13,650 | ||||||||||||||
Reverse repurchase agreements | (905,718 | ) | ||||||||||||||
$ | (892,068 | ) | $ | 887,940 | $ | 4,128 | $ | — |
(1) | In the Company’s Consolidated Statement of Assets, Liabilities, and Equity, all balances associated with the repurchase agreements, reverse repurchase agreements, and derivatives transactions are presented on a gross basis. |
(2) | Amounts disclosed in the Financial Instruments column of the table represent collateral that is available to be offset against balances associated with repurchase and reverse repurchase agreements. For the purposes of the table above, total financial instruments and cash collateral (received) pledged can not exceed the gross amount of assets and (liabilities) as presented above. Therefore we have reduced the amount of financial instruments related to our repurchase and reverse repurchase agreements in the table above. Total financial instruments for June 30, 2013 and December 31, 2012 were $1.48 billion and $1.05 billion, respectively. |
(3) | As collateral is called or posted per counterparty it is generally called or posted across all positions with each respective counterparty. |
Three Month Period Ended June 30, 2013 | Three Month Period Ended June 30, 2012 | Six Month Period Ended June 30, 2013 | Six Month Period Ended June 30, 2012 | ||||||||||||
Beginning Shareholders' Equity Per Share (3/31/2013, 3/31/2012, 12/31/2012, and 12/31/2011, respectively) | $ | 25.28 | $ | 24.09 | $ | 24.86 | $ | 22.55 | |||||||
Net Investment Income | 0.53 | 0.54 | 1.05 | 1.20 | |||||||||||
Net Realized/Unrealized Gains (Losses) | (0.02 | ) | 0.12 | 1.36 | 1.41 | ||||||||||
Results of Operations Attributable to Equity | 0.51 | 0.66 | 2.41 | 2.61 | |||||||||||
Less: Results of Operations Attributable to Non-controlling Interest | — | — | (0.02 | ) | — | ||||||||||
Results of Operations Attributable to Shareholders' Equity(1) | 0.51 | 0.66 | 2.39 | 2.61 | |||||||||||
Dividends Paid to Common Shareholders | (0.77 | ) | (0.70 | ) | (2.29 | ) | (1.10 | ) | |||||||
Weighted Average Share Impact on Dividends Paid (2) | (0.10 | ) | (0.02 | ) | (0.10 | ) | (0.03 | ) | |||||||
Accretive (Dilutive) Effect of Share Issuances (Net of Offering Costs) and Share Repurchases | — | — | 0.06 | — | |||||||||||
Ending Shareholders' Equity Per Share (6/30/2013, 6/30/2012, 6/30/2013, and 6/30/2012, respectively)(3) | $ | 24.92 | $ | 24.03 | $ | 24.92 | $ | 24.03 | |||||||
Shares Outstanding, end of period | 25,412,011 | 16,447,651 | 25,412,011 | 16,447,651 |
(1) | Calculated based on average common shares outstanding and can differ from the calculation for EPS (See Note 9). |
(2) | Per share impact on dividends paid relating to share issuances/repurchases during the period as well as dividends paid to LTIP and OP unit holders. |
(3) | If all LTIP units and OP units (if applicable) previously issued were vested and exchanged for common shares as of June 30, 2013 and 2012, shareholders' equity per share would be $24.51 and $23.47, respectively. |
Three Month Period Ended June 30, 2013 | Three Month Period Ended June 30, 2012 | Six Month Period Ended June 30, 2013 | Six Month Period Ended June 30, 2012 | ||||
Total Return | 1.57% | 2.68% | 9.57% | 11.57% |
(1) | Total return is calculated for all shareholders' equity accounts taken as a whole for each period. Total return is calculated assuming reinvestment of all distributions at shareholders' equity per share during the period. |
Three Month Period Ended June 30, 2013 | Six Month Period Ended June 30, 2013 | ||
Total Return | (0.07)% | 7.80% |
(1) | Total return is calculated assuming all LTIP and OP units had been converted into common shares at June 30, 2013. Total return represents all shareholders' equity accounts outstanding for the entire period. LTIP and OP units outstanding at June 30, 2013 totaled 609,096 and represent 2.34% of total common shares and LTIP and OP units outstanding as of that date. |
Three Month Period Ended June 30, 2013 | Three Month Period Ended June 30, 2012 | Six Month Period Ended June 30, 2013 | Six Month Period Ended June 30, 2012 | ||||
Net Investment Income (2) | 9.00% | 10.72% | 8.83% | 10.84% |
(1) | Average equity is calculated using month end values. |
(2) | Includes incentive fee in calculation which can vary substantially over periods. |
Three Month Period Ended June 30, 2013 | Three Month Period Ended June 30, 2012 | Six Month Period Ended June 30, 2013 | Six Month Period Ended June 30, 2012 | ||||
Operating expenses before incentive fee, interest expense, and other investment related expenses | (2.81)% | (2.97)% | (2.79)% | (3.04)% | |||
Incentive fee | (0.20)% | (0.58)% | (0.58)% | (0.59)% | |||
Interest expense and other investment related expenses | (2.01)% | (2.02)% | (1.83)% | (1.98)% | |||
Total Expenses | (5.02)% | (5.57)% | (5.20)% | (5.61)% |
(1) | Average equity is calculated using month end values. |
• | Federal Reserve and Monetary Policy—On June 19, 2013, the U.S. Federal Reserve, or the "Federal Reserve," reiterated its intention to continue its accommodative monetary policies, although its assessment of the state of the U.S. economy was more optimistic in tone than previous statements, and there has been increased speculation that the Federal Reserve's bond purchase programs will end sooner than previously expected; |
• | Housing and Mortgage Market Statistics—In the first quarter of 2013, mortgage delinquency rose while foreclosure rates continued to fall, and through the first half of 2013, home prices continued to trend higher and the general consensus remains that the U.S. housing market is in the midst of a sustained recovery; |
• | Mortgage Rates—During the second quarter of 2013, U.S. mortgage rates reached their highest points in the last two years, causing a sharp decline in mortgage refinance applications; |
• | Government Sponsored Enterprise, or "GSE," Developments—Recent developments include proposed legislation introduced into the U.S. Senate that, if enacted, would over time replace Fannie Mae and Freddie Mac in favor of a government sponsored reinsurer of MBS that would act as a backstop to private capital in a crisis; the sale of non-Agency MBS from the GSEs' held portfolios; and as part of the Federal Housing Finance Agency, or the "FHFA's," |
• | Government Homeowner Assistance Programs—In April 2013, the FHFA announced a two year extension to the expiration of the Home Affordable Refinance Program, or "HARP," from December 2013 to December 2015; a similar extension was announced for the Home Affordable Modification Program, or "HAMP"; and |
• | Liquidity and Valuations—Non-Agency and Agency MBS experienced meaningful price declines during the second quarter as a result of increasing market speculation that the Federal Reserve will soon wind down its asset purchase program and other accommodative monetary policies. |
As of | ||||||
March 31, 2013 | December 31, 2012 | |||||
Fixed (1) | ||||||
Delinquent (2) | 20.1 | % | 19.2 | % | ||
Foreclosure | 8.7 | % | 9.3 | % | ||
Total | 28.8 | % | 28.5 | % | ||
ARM (1) | ||||||
Delinquent (2) | 23.7 | % | 22.3 | % | ||
Foreclosure | 16.3 | % | 18.2 | % | ||
Total | 40.0 | % | 40.5 | % |
(1) | Source: Based on Mortgage Bankers Association, National Delinquency Survey press releases issued May 9, 2013 and February 21, 2013. |
(2) | Includes loans that are at least one payment past due but does not include loans in foreclosure, seasonally adjusted. |
June 30, 2013 | December 31, 2012 | ||||||||||||||||||||||||||||||||||||||
(In thousands) | Current Principal | Fair Value | Average Price (1) | Cost | Average Cost (1) | Current Principal | Fair Value | Average Price (1) | Cost | Average Cost (1) | |||||||||||||||||||||||||||||
Non-Agency RMBS(2) | $ | 938,866 | $ | 690,891 | $ | 73.59 | $ | 631,599 | $ | 67.27 | $ | 818,878 | $ | 524,881 | $ | 64.10 | $ | 482,824 | $ | 58.96 | |||||||||||||||||||
Non-Agency CMBS and Commercial Mortgage Loans | 59,745 | 31,469 | 52.67 | 32,115 | 53.75 | 41,667 | 28,873 | 69.29 | 32,078 | 76.99 | |||||||||||||||||||||||||||||
Other ABS(3) | 36,386 | 33,539 | 92.18 | 34,569 | 95.01 | — | — | — | — | — | |||||||||||||||||||||||||||||
Total Non-Agency MBS, Other ABS, and Commercial Mortgage Loans | 1,034,997 | 755,899 | 73.03 | 698,283 | 67.47 | 860,545 | 553,754 | 64.35 | 514,902 | 59.83 | |||||||||||||||||||||||||||||
Agency RMBS:(4) | |||||||||||||||||||||||||||||||||||||||
Floating | 9,898 | 10,425 | 105.32 | 10,127 | 102.31 | 16,219 | 17,169 | 105.86 | 16,612 | 102.42 | |||||||||||||||||||||||||||||
Fixed | 791,317 | 822,835 | 103.98 | 842,494 | 106.47 | 696,123 | 750,454 | 107.80 | 740,463 | 106.37 | |||||||||||||||||||||||||||||
Total Agency RMBS | 801,215 | 833,260 | 104.00 | 852,621 | 106.42 | 712,342 | 767,623 | 107.76 | 757,075 | 106.28 | |||||||||||||||||||||||||||||
Total Non-Agency and Agency MBS, Other ABS, and Commercial Mortgage Loans | $ | 1,836,212 | $ | 1,589,159 | $ | 86.55 | $ | 1,550,904 | $ | 84.46 | $ | 1,572,887 | $ | 1,321,377 | $ | 84.01 | $ | 1,271,977 | $ | 80.87 | |||||||||||||||||||
Agency Interest Only RMBS | n/a | $ | 27,397 | n/a | $ | 29,737 | n/a | n/a | $ | 6,644 | n/a | $ | 9,289 | n/a | |||||||||||||||||||||||||
Non-Agency Interest Only and Principal Only RMBS and Other | n/a | $ | 9,920 | n/a | $ | 9,492 | n/a | n/a | $ | 3,485 | n/a | $ | 3,308 | n/a | |||||||||||||||||||||||||
TBAs: | |||||||||||||||||||||||||||||||||||||||
Long | $ | 81,970 | $ | 80,959 | $ | 98.77 | $ | 82,049 | $ | 100.10 | $ | 41,150 | $ | 43,610 | $ | 105.98 | $ | 43,579 | $ | 105.90 | |||||||||||||||||||
Short | (543,876 | ) | (561,845 | ) | 103.30 | (566,128 | ) | 104.09 | (568,880 | ) | (608,720 | ) | 107.00 | (607,967 | ) | 106.87 | |||||||||||||||||||||||
Net Short TBAs | $ | (461,906 | ) | $ | (480,886 | ) | $ | 104.11 | $ | (484,079 | ) | $ | 104.80 | $ | (527,730 | ) | $ | (565,110 | ) | $ | 107.08 | $ | (564,388 | ) | $ | 106.95 | |||||||||||||
Short U.S. Treasury Securities | $ | (41,700 | ) | $ | (40,977 | ) | $ | 98.27 | $ | (41,929 | ) | $ | 100.55 | $ | (13,000 | ) | $ | (13,581 | ) | $ | 104.47 | $ | (13,081 | ) | $ | 100.62 | |||||||||||||
Repurchase Agreements | $ | 41,188 | $ | 41,188 | $ | 100.00 | $ | 41,188 | $ | 100.00 | $ | 13,650 | $ | 13,650 | $ | 100.00 | $ | 13,650 | $ | 100.00 | |||||||||||||||||||
Long Common Stock | n/a | $ | 2,987 | n/a | $ | 2,952 | n/a | n/a | $ | — | n/a | $ | — | n/a | |||||||||||||||||||||||||
Short Common Stock | n/a | $ | (6,100 | ) | n/a | $ | (6,151 | ) | n/a | n/a | $ | — | n/a | $ | — | n/a | |||||||||||||||||||||||
Total Net Investments | $ | 1,142,688 | $ | 1,102,114 | $ | 766,465 | $ | 720,755 |
(1) | Represents the dollar amount (not shown in thousands) per $100 of current principal of the price or cost for the security. |
(2) | Excludes Interest Only, Principal Only, and Other Private Label securities. |
(3) | Excludes equity tranches and similar securities. |
(4) | Excludes Interest Only securities and TBAs. |
June 30, 2013 | December 31, 2012 | ||||||||||||||
(In thousands) | Notional Value | Fair Value | Notional Value | Fair Value | |||||||||||
Long Mortgage-Related Derivatives: (1) | |||||||||||||||
CDS on RMBS and CMBS Indices | $ | 43,647 | $ | (13,478 | ) | $ | 40,216 | $ | (11,986 | ) | |||||
Total Long Mortgage-Related Derivatives | 43,647 | (13,478 | ) | 40,216 | (11,986 | ) | |||||||||
Short Mortgage-Related Derivatives: (2) | |||||||||||||||
CDS on RMBS and CMBS Indices | (63,937 | ) | 9,553 | (74,621 | ) | 10,986 | |||||||||
CDS on Individual RMBS | (31,263 | ) | 20,593 | (45,121 | ) | 36,030 | |||||||||
Total Short Mortgage-Related Derivatives | (95,200 | ) | 30,146 | (119,742 | ) | 47,016 | |||||||||
Net Mortgage-Related Derivatives | $ | (51,553 | ) | $ | 16,668 | $ | (79,526 | ) | $ | 35,030 | |||||
Long CDS on Corporate Bond Indices | $ | 4,875 | $ | 127 | $ | — | $ | — | |||||||
Short CDS on Corporate Bond Indices | $ | (111,438 | ) | $ | (4,236 | ) | $ | (67,500 | ) | $ | (484 | ) | |||
Long Total Return Swaps on Corporate Equities (5) | $ | 7,739 | $ | (53 | ) | $ | — | $ | — | ||||||
Short Total Return Swaps on Corporate Equities (5) | $ | (11,944 | ) | $ | 61 | $ | (18,737 | ) | $ | (65 | ) | ||||
Interest Rate Derivatives: | |||||||||||||||
Long Interest Rate Swaps (3) | $ | — | $ | — | $ | 2,500 | $ | (32 | ) | ||||||
Short Interest Rate Swaps (4) | (651,400 | ) | 15,945 | (238,900 | ) | (1,087 | ) | ||||||||
Long U.S. Treasury Note Futures (6) | 34,500 | (49 | ) | — | — | ||||||||||
Short Eurodollar Futures (7) | (21,000 | ) | (29 | ) | (63,000 | ) | (70 | ) | |||||||
Total Net Interest Rate Derivatives | $ | (637,900 | ) | $ | 15,867 | $ | (299,400 | ) | $ | (1,189 | ) | ||||
Total Net Derivatives | $ | (800,221 | ) | $ | 28,434 | $ | (465,163 | ) | $ | 33,292 |
(1) | Long mortgage-related derivatives represent transactions where we sold credit protection to a counterparty. |
(2) | Short mortgage-related derivatives represent transactions where we purchased credit protection from a counterparty. |
(3) | For long interest rate swaps, a floating rate is being paid and a fixed rate is being received. |
(4) | For short interest rate swaps, a fixed rate is being paid and a floating rate is being received. |
(5) | Notional value represents number of underlying shares or par value times the closing price of the underlying security. |
(6) | Notional value represents the total face amount of U.S. Treasury Notes underlying all contracts held; as of June 30, 2013, a total of 296 contracts were held. |
(7) | Every $1,000,000 in notional value represents one contract. |
Three Month Period Ended June 30, | ||||||||
(In thousands except per share amounts) | 2013 | 2012 | ||||||
Investment income—Interest income | $ | 20,335 | $ | 16,045 | ||||
Expenses: | ||||||||
Base management fee | 2,405 | 1,497 | ||||||
Incentive fee | 1,182 | 2,312 | ||||||
Interest expense | 2,582 | 1,992 | ||||||
Other investment related expenses | 327 | — | ||||||
Other operating expenses | 1,671 | 1,422 | ||||||
Total expenses | 8,167 | 7,223 | ||||||
Net investment income | 12,168 | 8,822 | ||||||
Net realized and unrealized gain (loss) on investments | (17,373 | ) | 7,566 | |||||
Net realized and unrealized gain (loss) on financial derivatives | 16,910 | (5,620 | ) | |||||
Net increase in equity resulting from operations | 11,705 | 10,768 | ||||||
Less: Net increase in equity resulting from operations attributable to non-controlling interest | 105 | — | ||||||
Net increase in shareholders’ equity resulting from operations | $ | 11,600 | $ | 10,768 | ||||
Net increase in shareholders’ equity resulting from operations per share | $ | 0.49 | $ | 0.64 |
(In thousands) | Average Borrowed Funds | Interest Expense | Average Cost of Funds | Average One-Month LIBOR | Average Six-Month LIBOR | ||||||||||||
For the three month period ended June 30, 2013 | $ | 770,252 | $ | 797 | 0.41 | % | 0.20 | % | 0.42 | % | |||||||
For the three month period ended June 30, 2012 | $ | 716,492 | $ | 660 | 0.37 | % | 0.24 | % | 0.73 | % |
(In thousands) | Average Borrowed Funds | Interest Expense | Average Cost of Funds | Average One-Month LIBOR | Average Six-Month LIBOR | ||||||||||||
For the three month period ended June 30, 2013 | $ | 315,851 | $ | 1,603 | 2.04 | % | 0.20 | % | 0.42 | % | |||||||
For the three month period ended June 30, 2012 | $ | 227,071 | $ | 1,235 | 2.18 | % | 0.24 | % | 0.73 | % |
(In thousands) | Average Borrowed Funds | Interest Expense | Average Cost of Funds | Average One-Month LIBOR | Average Six-Month LIBOR | ||||||||||||
For the three month period ended June 30, 2013 | $ | 1,086,103 | $ | 2,400 | 0.89 | % | 0.20 | % | 0.42 | % | |||||||
For the three month period ended June 30, 2012 | $ | 943,563 | $ | 1,895 | 0.80 | % | 0.24 | % | 0.73 | % |
Six Month Period Ended June 30, | ||||||||
(In thousands except per share amounts) | 2013 | 2012 | ||||||
Investment income—Interest income | $ | 38,717 | $ | 31,777 | ||||
Expenses: | ||||||||
Base management fee | 4,373 | 2,988 | ||||||
Incentive fee | 3,237 | 2,312 | ||||||
Interest expense | 4,724 | 3,824 | ||||||
Other investment related expenses | 327 | — | ||||||
Other operating expenses | 3,319 | 2,871 | ||||||
Total expenses | 15,980 | 11,995 | ||||||
Net investment income | 22,737 | 19,782 | ||||||
Net realized and unrealized gain on investments | 19,464 | 33,843 | ||||||
Net realized and unrealized gain (loss) on financial derivatives | 10,250 | (10,802 | ) | |||||
Net increase in equity resulting from operations | 52,451 | 42,823 | ||||||
Less: Net increase in equity resulting from operations attributable to non-controlling interest | 516 | — | ||||||
Net increase in shareholders’ equity resulting from operations | $ | 51,935 | $ | 42,823 | ||||
Net increase in shareholders’ equity resulting from operations per share | $ | 2.35 | $ | 2.54 |
(In thousands) | Average Borrowed Funds | Interest Expense | Average Cost of Funds | Average One-Month LIBOR | Average Six-Month LIBOR | ||||||||||||
For the six month period ended June 30, 2013 | $ | 758,187 | $ | 1,576 | 0.42 | % | 0.20 | % | 0.45 | % | |||||||
For the six month period ended June 30, 2012 | $ | 686,923 | $ | 1,232 | 0.36 | % | 0.25 | % | 0.75 | % |
(In thousands) | Average Borrowed Funds | Interest Expense | Average Cost of Funds | Average One-Month LIBOR | Average Six-Month LIBOR | ||||||||||||
For the six month period ended June 30, 2013 | $ | 275,015 | $ | 2,767 | 2.03 | % | 0.20 | % | 0.45 | % | |||||||
For the six month period ended June 30, 2012 | $ | 229,283 | $ | 2,405 | 2.10 | % | 0.25 | % | 0.75 | % |
(In thousands) | Average Borrowed Funds | Interest Expense | Average Cost of Funds | Average One-Month LIBOR | Average Six-Month LIBOR | ||||||||||||
For the six month period ended June 30, 2013 | $ | 1,033,202 | $ | 4,343 | 0.85 | % | 0.20 | % | 0.45 | % | |||||||
For the six month period ended June 30, 2012 | $ | 916,206 | $ | 3,637 | 0.79 | % | 0.25 | % | 0.75 | % |
Reverse Repurchase Agreements | ||||||||
Average Borrowed Funds During the Period | Borrowed Funds Outstanding at End of the Period | |||||||
Six Month Period Ended June 30, 2013 | $ | 1,033,202 | $ | 1,287,992 | ||||
Six Month Period Ended June 30, 2012 | $ | 916,206 | $ | 883,322 |
(In thousands) | As of June 30, 2013 | ||||||
Remaining Days to Maturity | Outstanding Borrowings | % | |||||
30 Days or Less | $ | 321,059 | 24.9 | % | |||
31 - 60 Days | 393,712 | 30.6 | % | ||||
61 - 90 Days | 393,240 | 30.5 | % | ||||
91 - 120 Days | 54,197 | 4.3 | % | ||||
121 - 150 Days | 26,316 | 2.0 | % | ||||
151 - 180 Days | 99,468 | 7.7 | % | ||||
$ | 1,287,992 | 100.0 | % |
(In thousands except per share amounts) | Dividend Per Share | Dividend Amount | Record Date | Payment Date | ||||||
First Quarter | $0.77 | $ | 20,036 | May 31, 2013 | June 17, 2013 | |||||
Second Quarter | $0.77 | $ | 20,040 | * | August 30, 2013 | September 16, 2013 |
(In thousands except per share amounts) | Dividend Per Share | Dividend Amount | Record Date | Payment Date | ||||||
First Quarter | $0.70 | $ | 11,787 | June 1, 2012 | June 15, 2012 | |||||
Second Quarter | $0.70 | $ | 14,244 | August 31, 2012 | September 17, 2012 |
(In thousands) | Estimated Change in value for a Decrease in Interest Rates by | Estimated Change in value for a Increase in Interest Rates by | ||||||||||||||
Category of Instruments | 50 Basis Points | 100 Basis Points | 50 Basis Points | 100 Basis Points | ||||||||||||
Agency RMBS | $ | 10,793 | $ | 20,617 | $ | (11,762 | ) | $ | (24,493 | ) | ||||||
Non-Agency RMBS, CMBS, Other ABS, and Commercial Mortgage Loans | 11,201 | 22,404 | (11,199 | ) | (22,397 | ) | ||||||||||
U.S. Treasury Securities, Interest Rate Swaps, and Futures | (17,538 | ) | (35,702 | ) | 16,911 | 33,196 | ||||||||||
Mortgage-Related Derivatives | (459 | ) | (647 | ) | 731 | 1,735 | ||||||||||
Repurchase Agreements and Reverse Repurchase Agreements | (778 | ) | (1,063 | ) | 883 | 1,766 | ||||||||||
Total | $ | 3,219 | $ | 5,609 | $ | (4,436 | ) | $ | (10,193 | ) |
Exhibit | Description | |
3.1 | Second Amended and Restated Operating Agreement of Ellington Financial LLC (incorporated by reference to the registration statement on Form S-11 (No. 333-160562), filed on July 14, 2009, as amended). | |
3.2 | First Amendment to Second Amended and Restated Operating Agreement of Ellington Financial LLC (incorporated by reference to the quarterly report on Form 10-Q for the quarterly period ended June 30, 2011). | |
10.1 | Underwriting Agreement, dated as of May 8, 2013, by and among Ellington Financial LLC, Ellington Financial Management LLC, on the one hand, and Merrill Lynch, Pierce, Fenner & Smith Incorporated, Deutsche Bank Securities Inc., Credit Suisse Securities (USA) LLC and UBS Securities LLC, as representatives of the several underwriters named therein, on the other hand (incorporated by reference to Exhibit 1.1 to the current report on Form 8-K filed on May 13, 2013). | |
31.1 | Certification of Chief Executive Officer pursuant to Section 302 of the Sarbanes – Oxley Act of 2002 | |
31.2 | Certification of Chief Financial Officer pursuant to Section 302 of the Sarbanes – Oxley Act of 2002 | |
32.1* | Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes – Oxley Act of 2002 | |
32.2* | Certification of Chief Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes – Oxley Act of 2002 | |
101** | The following financial information from Ellington Financial LLC’s Quarterly Report on Form 10-Q for the quarter and six month periods ended June 30, 2013, formatted in XBRL (Extensible Business Reporting Language): (i) Consolidated Statement of Assets, Liabilities and Equity, (ii) Consolidated Statement of Operations, (iii) Consolidated Statements of Changes in Equity, (iv) Consolidated Statements of Cash Flows and (v) Notes to Consolidated Financial Statements. |
* | Furnished herewith. These certifications are not deemed "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, as amended. |
** | Users of this data are advised pursuant to Rule 406T of Regulation S-T that this interactive data file is deemed not filed or part of a registration statement or prospectus for purposes of sections 11 or 12 of the Securities Act of 1933, is deemed not filed for purposes of section 18 of the Securities and Exchange Act of 1934, and otherwise is not subject to liability under these sections. |
ELLINGTON FINANCIAL LLC. | ||||
Date: | August 9, 2013 | By: | /s/ LAURENCE PENN | |
Laurence Penn Chief Executive Officer (Principal Executive Officer) | ||||
ELLINGTON FINANCIAL LLC. | ||||
Date: | August 9, 2013 | By: | /s/ LISA MUMFORD | |
Lisa Mumford Chief Financial Officer (Principal Financial and Accounting Officer) |
Exhibit | Description | |
3.1 | Second Amended and Restated Operating Agreement of Ellington Financial LLC (incorporated by reference to the registration statement on Form S-11 (No. 333-160562), filed on July 14, 2009, as amended). | |
3.2 | First Amendment to Second Amended and Restated Operating Agreement of Ellington Financial LLC (incorporated by reference to the quarterly report on Form 10-Q for the quarterly period ended June 30, 2011). | |
10.1 | Underwriting Agreement, dated as of May 8, 2013, by and among Ellington Financial LLC, Ellington Financial Management LLC, on the one hand, and Merrill Lynch, Pierce, Fenner & Smith Incorporated, Deutsche Bank Securities Inc., Credit Suisse Securities (USA) LLC and UBS Securities LLC, as representatives of the several underwriters named therein, on the other hand (incorporated by reference to Exhibit 1.1 to the current report on Form 8-K filed on May 13, 2013). | |
31.1 | Certification of Chief Executive Officer pursuant to Section 302 of the Sarbanes – Oxley Act of 2002 | |
31.2 | Certification of Chief Financial Officer pursuant to Section 302 of the Sarbanes – Oxley Act of 2002 | |
32.1* | Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes – Oxley Act of 2002 | |
32.2* | Certification of Chief Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes – Oxley Act of 2002 | |
101** | The following financial information from Ellington Financial LLC’s Quarterly Report on Form 10-Q for the quarter ended and six month periods ended June 30, 2013, formatted in XBRL (Extensible Business Reporting Language): (i) Consolidated Statement of Assets, Liabilities and Equity, (ii) Consolidated Statement of Operations, (iii) Consolidated Statements of Changes in Equity, (iv) Consolidated Statements of Cash Flows and (v) Notes to Consolidated Financial Statements. |
* | Furnished herewith. These certifications are not deemed "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, as amended. |
** | Users of this data are advised pursuant to Rule 406T of Regulation S-T that this interactive data file is deemed not filed or part of a registration statement or prospectus for purposes of sections 11 or 12 of the Securities Act of 1933, is deemed not filed for purposes of section 18 of the Securities and Exchange Act of 1934, and otherwise is not subject to liability under these sections. |
(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 9, 2013 | |||
/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 9, 2013 | |||
/s/ Lisa Mumford | ||||
Lisa Mumford | ||||
Chief Financial Officer | ||||
(Principal Financial and Accounting Officer) |
Date: | August 9, 2013 | /s/ Laurence Penn | ||
Laurence Penn Chief Executive Officer (Principal Executive Officer) |
Date: | August 9, 2013 | /s/ Lisa Mumford | ||
Lisa Mumford Chief Financial Officer (Principal Financial and Accounting Officer) |
Long-Term Incentive Plan Units
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6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2013
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Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Long-Term Incentive Plan Units | Long-Term Incentive Plan Units In connection with its initial offering in 2007, the Company established the Manager Long-Term Incentive Plan (the "Manager LTIP") and the Individual Long-Term Incentive Plan (the "Individual LTIP"). Pursuant to the terms of the Manager LTIP, the Company issued 375,000 long-term incentive plan units to its Manager. Pursuant to the terms of the Individual LTIP, each year since inception the Company has issued annual awards to its independent directors and, beginning in 2010, issued awards to certain of its dedicated personnel. As of August 17, 2010, LTIP units awarded to the Manager were fully vested and expensed. LTIP units held pursuant to the Manager LTIP are generally exercisable by the holder at any time after vesting. Each LTIP unit is convertible into one common share. There is no cash flow effect from the issuance of the Manager LTIP units. Since inception, the aggregate expense associated with the Manager LTIP was $8.6 million. Since inception, the Company has awarded 24,096 Individual LTIP units to the Company's independent directors and 8,000 Individual LTIP units to certain of its dedicated personnel. The vesting period for awards issued under the Individual LTIP units has generally been one year from the date of grant. Units held pursuant to the Individual LTIPs are generally exercisable by the holder at any time after vesting. Each unit is convertible into one common share. Costs associated with the Individual LTIPs are measured as of the grant date and expensed ratably over the vesting period. Since inception the total expense associated with the Individual LTIP units awarded is $0.6 million. Total expense associated with Individual LTIPs for the three month periods ended June 30, 2013 and 2012 is $0.04 million and $0.03 million, respectively. Total expense associated with Individual LTIPs for the six month periods ended June 30, 2013 and 2012 are $0.09 million and $0.06 million, respectively. Since inception, 10,000 common shares were issued in connection with the conversion of Individual LTIP units awarded to independent directors at the direction of the three award holders and $0.2 million was transferred from the share-based LTIP awards to common shares in shareholders' equity. Detailed below is a roll-forward of the Company's LTIP units outstanding for the three month periods ended June 30, 2013 and 2012:
Detailed below is a roll-forward of the Company's LTIP units outstanding for the six month periods ended June 30, 2013 and 2012:
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Counterparty Risk (% Of Total Receivable For Securities Sold) (Details)
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Jun. 30, 2013
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Royal Bank of Scotland [Member]
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Concentration Risk [Line Items] | |
% of Total Receivable for Securities Sold | 36.00% |
CS First Boston [Member]
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Concentration Risk [Line Items] | |
% of Total Receivable for Securities Sold | 30.00% |
Bank Of America [Member]
|
|
Concentration Risk [Line Items] | |
% of Total Receivable for Securities Sold | 17.00% |
Consolidated Condensed Schedule Of Investments (Long Investments) (USD $)
In Thousands, unless otherwise specified |
6 Months Ended | 12 Months Ended | ||||||||||||||||||||
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Jun. 30, 2013
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Dec. 31, 2012
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Schedule of Investments [Line Items] | ||||||||||||||||||||||
Fair Value | $ 1,710,422 | $ 1,375,116 | ||||||||||||||||||||
Investment Owned, at Cost | 1,675,134 | 1,328,153 | ||||||||||||||||||||
Percentage collaterallized by GNRCMO certificates | 100.00% | 100.00% | ||||||||||||||||||||
Unrated But Agency-Guaranteed [Member]
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Schedule of Investments [Line Items] | ||||||||||||||||||||||
Long investment holdings as a percentage of stockholders' equity | 146.99% | 161.52% | ||||||||||||||||||||
Long Investment AAA Rating [Member]
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Schedule of Investments [Line Items] | ||||||||||||||||||||||
Long investment holdings as a percentage of stockholders' equity | 0.00% | 0.01% | ||||||||||||||||||||
Long Investment AA Rating [Member]
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Schedule of Investments [Line Items] | ||||||||||||||||||||||
Long investment holdings as a percentage of stockholders' equity | 0.00% | 0.26% | ||||||||||||||||||||
Long Investment A Rating [Member]
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Schedule of Investments [Line Items] | ||||||||||||||||||||||
Long investment holdings as a percentage of stockholders' equity | 1.16% | 1.02% | ||||||||||||||||||||
Long Investment BBB Rating [Member]
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Schedule of Investments [Line Items] | ||||||||||||||||||||||
Long investment holdings as a percentage of stockholders' equity | 1.81% | 3.70% | ||||||||||||||||||||
Long Investment BB Rating [Member]
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Schedule of Investments [Line Items] | ||||||||||||||||||||||
Long investment holdings as a percentage of stockholders' equity | 113.82% | 102.40% | ||||||||||||||||||||
Long Investment Unrated Rating [Member]
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Schedule of Investments [Line Items] | ||||||||||||||||||||||
Long investment holdings as a percentage of stockholders' equity | 3.90% | 2.66% | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member]
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Schedule of Investments [Line Items] | ||||||||||||||||||||||
Investment owned as a percentage of net assets | 129.00% | [1],[2],[3],[4] | 148.21% | [1],[2],[5],[6] | ||||||||||||||||||
Fair Value | 822,835 | [2],[3],[4] | 750,454 | [2],[5],[6] | ||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 75,125 Federal National Mortgage Association Pool, 3.50% 2043-02 [Member]
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Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 75,125 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 3.50% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2043-02 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 75,620 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 39,607 Federal National Mortgage Association Pool, 3.50% 2043-01 [Member]
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||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 39,607 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 3.50% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2043-01 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 39,769 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 19,593 Federal National Mortgage Association Pool, 4.50% 2041-12 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 19,593 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 4.50% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2041-12 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 20,895 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 16,806 Federal National Mortgage Association Pool, 4.50% 2041-09 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 16,806 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 4.50% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2041-09 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 17,922 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 17,552 Federal National Mortgage Association Pool, 3.50% 2042-08 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 17,552 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 3.50% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2042-08 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 17,846 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 16,329 Federal National Mortgage Association Pool, 5.00% 2041-08 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 16,329 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 5.00% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2041-08 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 17,740 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 17,128 Federal National Mortgage Association Pool, 3.00% 2028-06 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 17,128 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 3.00% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2028-06 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 17,574 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 16,033 Federal National Mortgage Association Pool, 4.50% 2041-10 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 16,033 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 4.50% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2041-10 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 17,098 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 15,831 Federal Home Loan Mortgage Corporation Pool, 5.00% 2041-07 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 15,831 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 5.00% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2041-07 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 17,076 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 13,767 Federal National Mortgage Association Pool, 5.00% 2041-03 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 13,767 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 5.00% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2041-03 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 15,027 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 12,008 Federal National Mortgage Association Pool, 4.00% 2042-08 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 12,008 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 4.00% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2042-08 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 12,523 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 12,607 Federal Home Loan Mortgage Corporation Pool, 3.00% 2042-10 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 12,607 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 3.00% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2042-10 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 12,308 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 11,105 Federal National Mortgage Association Pool, 4.50% 2041-09 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 11,105 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 4.50% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2041-09 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 11,775 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 11,076 Federal National Mortgage Association Pool, 4.00% 2041-11 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 11,076 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 4.00% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2041-11 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 11,558 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 10,519 Federal National Mortgage Association Pool, 5.00% 2041-07 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 10,519 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 5.00% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2041-07 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 11,480 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 9,995 Federal Home Loan Mortgage Corporation Pool, 4.00% 2043-07 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 9,995 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 4.00% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2043-07 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 10,447 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 9,753 Federal National Mortgage Association Pool, 4.00% 2042-01 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 9,753 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 4.00% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2042-01 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 10,177 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 9,853 Federal Home Loan Mortgage Corporation Pool, 3.00% 2043-02 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 9,853 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 3.00% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2043-02 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 9,618 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 8,923 Federal Home Loan Mortgage Corporation Pool, 4.50% 2041-10 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 8,923 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 4.50% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2041-10 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 9,454 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 8,372 Federal National Mortgage Association Pool, 4.50% 2026-04 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 8,372 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 4.50% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2026-04 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 8,905 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 6,614 Federal National Mortgage Association Pool, 5.50% 2039-10 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 6,614 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 5.50% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2039-10 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 7,250 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 6,788 Federal Home Loan Mortgage Corporation Pool, 4.50% 2041-02 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 6,788 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 4.50% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2041-02 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 7,203 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 6,480 Federal Home Loan Mortgage Corporation Pool, 3.00% 2043-01 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 6,480 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 3.00% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2043-01 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 6,325 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 6,446 Federal Home Loan Mortgage Corporation Pool, 3.00% 2043-04 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 6,446 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 3.00% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2043-04 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 6,291 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,593 Government National Mortgage Association Pool, 4.54% 2062-11 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 5,593 | [2],[3],[4] | ||||||||||||||||||||
Description | Government National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 4.54% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2062-11 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 6,177 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,542 Government National Mortgage Association Pool, 4.46% 2063-02 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 5,542 | [2],[3],[4] | ||||||||||||||||||||
Description | Government National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 4.46% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2063-02 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 6,108 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,965 Federal National Mortgage Association Pool, 3.50% 2043-05 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 5,965 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 3.50% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2043-05 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 6,064 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,647 Federal National Mortgage Association Pool, 4.00% 2026-07 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 5,647 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 4.00% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2026-07 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 5,955 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,385 Government National Mortgage Association Pool, 4.58% 2062-10 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 5,385 | [2],[3],[4] | ||||||||||||||||||||
Description | Government National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 4.58% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2062-10 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 5,952 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,319 Government National Mortgage Association Pool, 4.52% 2063-01 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 5,319 | [2],[3],[4] | ||||||||||||||||||||
Description | Government National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 4.52% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2063-01 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 5,875 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,771 Federal National Mortgage Association Pool, 3.50% 2043-06 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 5,771 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 3.50% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2043-06 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 5,869 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,178 Government National Mortgage Association Pool, 4.60% 2062-06 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 5,178 | [2],[3],[4] | ||||||||||||||||||||
Description | Government National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 4.60% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2062-06 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 5,718 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,157 Government National Mortgage Association Pool, 4.63% 2061-06 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 5,157 | [2],[3],[4] | ||||||||||||||||||||
Description | Government National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 4.63% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2061-06 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 5,661 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,062 Federal National Mortgage Association Pool, 5.00% 2041-06 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 5,062 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 5.00% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2041-06 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 5,474 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,252 Federal Home Loan Mortgage Corporation Pool, 4.00% 2042-05 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 5,252 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 4.00% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2042-05 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 5,473 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,355 Federal National Mortgage Association Pool, 3.50% 2042-08 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 5,355 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 3.50% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2042-08 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 5,444 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,034 Federal National Mortgage Association Pool, 4.00% 2042-04 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 5,034 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 4.00% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2042-04 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 5,277 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,040 Federal National Mortgage Association Pool, 4.00% 2041-10 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 5,040 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 4.00% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2041-10 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 5,260 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,023 Federal National Mortgage Association Pool, 3.50% 2043-06 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 5,023 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 3.50% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2043-06 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 5,056 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,638 Federal National Mortgage Association Pool, 5.00% 2040-11 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 4,638 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 5.00% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2040-11 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 5,038 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,624 Federal National Mortgage Association Pool, 5.00% 2041-07 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 4,624 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 5.00% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2041-07 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 4,999 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,092 Federal Home Loan Mortgage Corporation Pool, 3.00% 2043-06 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 5,092 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 3.00% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2043-06 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 4,970 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,658 Federal National Mortgage Association Pool, 4.50% 2041-08 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 4,658 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 4.50% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2041-08 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 4,939 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,669 Federal National Mortgage Association Pool, 3.50% 2042-07 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 4,669 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 3.50% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2042-07 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 4,747 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,730 Federal Home Loan Mortgage Corporation Pool, 3.00% 2043-02 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 4,730 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 3.00% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2043-02 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 4,617 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,418 Federal Home Loan Mortgage Corporation Pool, 4.00% 2042-02 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 4,418 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 4.00% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2042-02 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 4,605 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,465 Federal National Mortgage Association Pool, 3.50% 2042-11 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 4,465 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 3.50% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2042-11 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 4,543 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,456 Federal National Mortgage Association Pool, 3.50% 2042-07 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 4,456 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 3.50% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2042-07 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 4,528 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,173 Federal National Mortgage Association Pool, 4.00% 2042-09 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 4,173 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 4.00% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2042-09 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 4,357 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,965 Federal National Mortgage Association Pool, 5.00% 2041-10 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,965 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 5.00% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2041-10 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 4,280 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,267 Federal Home Loan Mortgage Corporation Pool, 3.50% 2043-06 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 4,267 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 3.50% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2043-06 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 4,274 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,010 Federal National Mortgage Association Pool, 3.00% 2027-07 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 4,010 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 3.00% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2027-07 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 4,129 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,886 Federal National Mortgage Association Pool, 3.50% 2042-08 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,886 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 3.50% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2042-08 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 3,950 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,511 Federal National Mortgage Association Pool, 5.00% 2035-10 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,511 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 5.00% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2035-10 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 3,834 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,439 Government National Mortgage Association Pool, 4.66% 2063-01 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,439 | [2],[3],[4] | ||||||||||||||||||||
Description | Government National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 4.66% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2063-01 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 3,821 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,368 Government National Mortgage Association Pool, 4.80% 2061-02 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,368 | [2],[3],[4] | ||||||||||||||||||||
Description | Government National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 4.80% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2061-02 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 3,698 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,300 Government National Mortgage Association Pool, 4.48% 2063-02 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,300 | [2],[3],[4] | ||||||||||||||||||||
Description | Government National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 4.48% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2063-02 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 3,639 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,587 Federal Home Loan Mortgage Corporation Pool, 3.50% 2042-11 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,587 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 3.50% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2042-11 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 3,637 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,453 Federal National Mortgage Association Pool, 4.00% 2026-06 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,453 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 4.00% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2026-06 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 3,634 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,429 Federal National Mortgage Association Pool, 3.50% 2027-06 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,429 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 3.50% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2027-06 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 3,581 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,483 Federal Home Loan Mortgage Corporation Pool, 3.00% 2028-06 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,483 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 3.00% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2028-06 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 3,572 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,552 Federal Home Loan Mortgage Corporation Pool, 3.50% 2043-06 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,552 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 3.50% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2043-06 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 3,566 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,387 Federal National Mortgage Association Pool, 4.00% 2042-04 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,387 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 4.00% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2042-04 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 3,535 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,469 Federal National Mortgage Association Pool, 3.50% 2043-01 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,469 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 3.50% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2043-01 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 3,529 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,229 Federal National Mortgage Association Pool, 5.00% 2040-06 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,229 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 5.00% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2040-06 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 3,514 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,292 Federal National Mortgage Association Pool, 4.50% 2042-04 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,292 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 4.50% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2042-04 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 3,500 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,145 Government National Mortgage Association Pool, 4.68% 2061-10 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,145 | [2],[3],[4] | ||||||||||||||||||||
Description | Government National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 4.68% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2061-10 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 3,466 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,326 Federal National Mortgage Association Pool, 3.00% 2028-06 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,326 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 3.00% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2028-06 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 3,430 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,338 Federal National Mortgage Association Pool, 3.00% 2028-03 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,338 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 3.00% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2028-03 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 3,426 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,242 Federal National Mortgage Association Pool, 4.00% 2042-09 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,242 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 4.00% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2042-09 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 3,385 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,170 Federal National Mortgage Association Pool, 4.50% 2041-12 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,170 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 4.50% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2041-12 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 3,374 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,383 Federal Home Loan Mortgage Corporation Pool, 3.00% 2042-11 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,383 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 3.00% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2042-11 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 3,301 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,162 Federal Home Loan Mortgage Corporation Pool, 4.00% 2042-01 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,162 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 4.00% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2042-01 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 3,293 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,361 Federal Home Loan Mortgage Corporation Pool, 3.00% 2043-04 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,361 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 3.00% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2043-04 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 3,281 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,228 Federal National Mortgage Association Pool, 3.50% 2042-12 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,228 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 3.50% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2042-12 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 3,280 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,026 Federal Home Loan Mortgage Corporation Pool, 4.50% 2041-09 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,026 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 4.50% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2041-09 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 3,206 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,148 Federal National Mortgage Association Pool, 3.50% 2043-05 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,148 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 3.50% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2043-05 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 3,202 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Other Federal National Mortgage Association Pools [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 131,020 | [2],[3],[4] | 69,330 | [2],[5],[6] | ||||||||||||||||||
Description | Other Federal National Mortgage Association Pools | [2],[3],[4] | Other Federal National Mortgage Association Pools | [2],[5],[6] | ||||||||||||||||||
Fair Value | 136,057 | [2],[3],[4] | 74,508 | [2],[5],[6] | ||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Other Federal National Mortgage Association Pools [Member] | Maximum [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Rate | 6.00% | [2],[3],[4] | 6.00% | [2],[5],[6] | ||||||||||||||||||
Maturity | 2043-07 | [2],[3],[4] | 2043-01 | [2],[5],[6] | ||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Other Federal National Mortgage Association Pools [Member] | Minimum [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Rate | 3.00% | [2],[3],[4] | 2.50% | [2],[5],[6] | ||||||||||||||||||
Maturity | 2026-03 | [2],[3],[4] | 2026-03 | [2],[5],[6] | ||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Other Federal Home Loan Mortgage Corporation Pools [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 45,976 | [2],[3],[4] | 19,340 | [2],[5],[6] | ||||||||||||||||||
Description | Other Federal Home Loan Mortgage Corporation Pools | [2],[3],[4] | Other Federal Home Loan Mortgage Corporation Pools | [2],[5],[6] | ||||||||||||||||||
Fair Value | 46,836 | [2],[3],[4] | 20,744 | [2],[5],[6] | ||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Other Federal Home Loan Mortgage Corporation Pools [Member] | Maximum [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Rate | 6.00% | [2],[3],[4] | 6.00% | [2],[5],[6] | ||||||||||||||||||
Maturity | 2043-07 | [2],[3],[4] | 2042-12 | [2],[5],[6] | ||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Other Federal Home Loan Mortgage Corporation Pools [Member] | Minimum [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Rate | 3.00% | [2],[3],[4] | 3.50% | [2],[5],[6] | ||||||||||||||||||
Maturity | 2026-04 | [2],[3],[4] | 2026-04 | [2],[5],[6] | ||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Other Government National Mortgage Association Pools [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 13,609 | [2],[3],[4] | ||||||||||||||||||||
Description | Other Government National Mortgage Association Pools | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 15,018 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Other Government National Mortgage Association Pools [Member] | Maximum [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Rate | 4.69% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2062-11 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | Other Government National Mortgage Association Pools [Member] | Minimum [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Rate | 4.49% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2061-07 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 49,427 Federal National Mortgage Association Pool, 3.50% 2042-12 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 49,427 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 3.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-12 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 52,864 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 45,304 Federal Home Loan Mortgage Corporation Pool 3.50% 2042-11 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 45,304 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 3.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-11 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 48,596 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 35,601 Federal National Mortgage Association Pool 5.00% 2037-07 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 35,601 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 5.00% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2037-07 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 38,657 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 21,338 Federal National Mortgage Association Pool 4.50% 2041-12 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 21,338 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 4.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2041-12 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 23,268 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 18,227 Federal National Mortgage Association Pool 3.50% 2042-08 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 18,227 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 3.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-08 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 19,552 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 17,845 Federal National Mortgage Association Pool 4.50% 2041-09 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 17,845 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 4.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2041-09 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 19,459 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 17,634 Federal Home Loan Mortgage Corporation Pool 5.00% 2041-07 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 17,634 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 5.00% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2041-07 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 19,218 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 17,621 Federal National Mortgage Association Pool 5.00% 2041-08 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 17,621 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 5.00% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2041-08 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 19,201 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 17,113 Federal National Mortgage Association Pool 4.50% 2041-10 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 17,113 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 4.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2041-10 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 18,661 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 15,869 Federal National Mortgage Association Pool 5.00% 2041-03 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 15,869 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 5.00% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2041-03 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 17,430 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 14,911 Federal National Mortgage Association Pool 3.00% 2042-10 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 14,911 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 3.00% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-10 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 15,642 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 14,242 Federal National Mortgage Association Pool 4.00% 2042-08 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 14,242 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 4.00% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-08 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 15,407 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 13,519 Federal Home Loan Mortgage Corporation Pool 3.00% 2042-10 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 13,519 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 3.00% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-10 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 14,157 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 11,985 Federal National Mortgage Association Pool 4.50% 2041-09 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 11,985 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 4.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2041-09 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 12,994 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 11,942 Federal National Mortgage Association Pool 4.00% 2041-11 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 11,942 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 4.00% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2041-11 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 12,848 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 11,003 Federal National Mortgage Association Pool 5.00% 2041-07 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 11,003 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 5.00% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2041-07 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 12,058 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 10,576 Federal National Mortgage Association Pool 4.00% 2042-01 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 10,576 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 4.00% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-01 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 11,355 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 9,576 Federal National Mortgage Association Pool 4.50% 2026-04 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 9,576 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 4.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2026-04 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 10,338 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 9,002 Federal Home Loan Mortgage Corporation Pool 4.50% 2041-10 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 9,002 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 4.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2041-10 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 9,772 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 8,321 Federal Home Loan Mortgage Corporation Pool 4.50% 2041-02 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 8,321 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 4.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2041-02 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 9,038 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 7,395 Federal National Mortgage Association Pool 5.50% 2039-10 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 7,395 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 5.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2039-10 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 8,075 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 7,428 Eight Federal National Mortgage Association Pool 3.50% 2042-10 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 7,428 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 3.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-10 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 7,984 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 7,352 Federal National Mortgage Association Pool 4.00% 2026-07 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 7,352 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 4.00% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2026-07 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 7,888 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 6,324 Federal National Mortgage Association Pool 5.00% 2041-06 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 6,324 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 5.00% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2041-06 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 6,891 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,929 Federal National Mortgage Association Pool 3.50% 2042-05 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 5,929 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 3.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-05 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 6,356 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,689 Federal Home Loan Mortgage Corporation Pool 4.00% 2042-05 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 5,689 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 4.00% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-05 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 6,141 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,592 Federal National Mortgage Association Pool 4.00% 2041-10 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 5,592 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 4.00% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2041-10 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 6,079 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,642 Federal National Mortgage Association Pool 3.50% 2042-11 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 5,642 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 3.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-11 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 6,020 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,494 Federal National Association Pool 3.50% 2042-08 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 5,494 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 3.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-08 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 5,862 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,085 Federal National Mortgage Association Pool 5.00% 2041-10 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 5,085 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 5.00% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2041-10 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 5,534 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,085 Federal National Mortgage Association Pool 4.00% 2042-04 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 5,085 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 4.00% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-04 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 5,531 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,045 Federal National Mortgage Association Pool 5.00% 2040-11 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 5,045 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 5.00% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2040-11 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 5,497 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 5,025 Federal National Mortgage Association Pool 5.00% 2041-07 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 5,025 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 5.00% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2041-07 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 5,444 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,944 Federal National Mortgage Association Pool 4.50% 2041-08 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 4,944 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 4.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2041-08 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 5,361 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,911 Federal Home Loan Mortgage Corporation Pool 3.50% 2042-09 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 4,911 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 3.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-09 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 5,242 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,676 Federal National Mortgage Association Pool 4.00% 2042-09 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 4,676 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 4.00% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-09 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 5,059 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,725 Federal National Mortgage Association Pool 3.50% 2042-07 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 4,725 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 3.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-07 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 5,042 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,699 Federal National Mortgage Association Pool 4.00% 2026-06 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 4,699 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 4.00% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2026-06 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 5,041 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,513 Federal National Mortgage Association Pool 3.50% 2042-11 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 4,513 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 3.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-11 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 4,828 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,465 Federal Home Loan Mortgage Corporation Pool 4.00% 2042-02 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 4,465 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 4.00% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-02 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 4,787 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,456 Federal National Mortgage Association Pool 3.00% 2027-07 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 4,456 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 3.00% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2027-07 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 4,710 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,261 Federal National Mortgage Association Pool 3.50% 2042-11 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 4,261 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 3.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-11 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 4,573 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 4,009 Federal Home Loan Mortgage Corporation Pool 4.00% 2041-11 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 4,009 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 4.00% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2041-11 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 4,303 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,964 Federal Home Loan Mortgage Corporation Pool 3.50% 2042-11 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,964 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 3.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-11 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 4,229 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,926 Federal National Mortgage Association Pool 3.50% 2042-08 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,926 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 3.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-08 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 4,189 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,798 Federal National Mortgage Association Pool 5.00% 2035-10 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,798 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 5.00% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2035-10 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 4,172 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,864 Federal Home Loan Mortgage Corporation Pool 3.50% 2042-10 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,864 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 3.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-10 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 4,116 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,728 Federal National Mortgage Association Pool 5.00% 2040-06 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,728 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 5.00% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2040-06 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 4,062 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,726 Federal National Mortgage Association Pool 4.50% 2041-12 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,726 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 4.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2041-12 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 4,040 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,763 Federal National Mortgage Association Pool 3.50% 2027-06 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,763 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 3.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2027-06 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 4,022 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,766 Federal National Mortgage Association Pool 3.00% 2027-08 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,766 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 3.00% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2027-08 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 3,980 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,606 Federal National Mortgage Association Pool 4.50% 2042-04 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,606 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 4.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-04 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 3,941 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,526 Federal Home Loan Mortgage Corporation Pool 6.00% 2039-04 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,526 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 6.00% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2039-04 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 3,848 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,534 Federal National Mortgage Association Pool 3.50% 2042-12 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,534 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 3.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-12 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 3,770 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,442 Federal Home Loan Mortgage Corporation Pool 4.50% 2041-09 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,442 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 4.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2041-09 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 3,737 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,483 Federal Home Loan Mortgage Corporation Pool 3.50% 2042-11 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,483 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 3.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-11 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 3,712 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,419 Federal National Mortgage Association Pool 4.00% 2042-04 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,419 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 4.00% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-04 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 3,706 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,404 Federal Home Loan Mortgage Corporation Pool 4.00% 2042-01 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,404 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 4.00% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-01 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 3,653 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,344 Federal National Mortgage Association Pool 4.00% 2042-09 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,344 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 4.00% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-09 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 3,618 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,415 Federal Home Loan Mortgage Corporation Pool 3.00% 2042-11 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,415 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 3.00% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-11 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 3,573 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,288 Federal Home Loan Mortgage Corporation Pool 3.50% 2042-02 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,288 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 3.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-02 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 3,518 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,182 Federal National Mortgage Association Pool 4.00% 2042-08 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,182 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 4.00% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-08 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 3,440 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,095 Federal National Mortgage Association Pool 4.50% 2041-11 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,095 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 4.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2041-11 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 3,355 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 3,053 Federal National Mortgage Association Pool 3.50% 2042-11 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,053 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 3.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-11 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 3,262 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 2,931 Federal National Mortgage Association Pool 4.00% 2042-08 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 2,931 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 4.00% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-08 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 3,178 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 2,947 Federal National Mortgage Association Pool 3.50% 2027-07 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 2,947 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 3.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2027-07 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 3,145 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 2,921 Federal National Mortgage Association Pool 3.50% 2027-06 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 2,921 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 3.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2027-06 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 3,123 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 2,828 Federal National Mortgage Association Pool 4.50% 2041-10 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 2,828 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 4.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2041-10 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 3,076 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 2,605 Government National Mortgage Association 4.55% 2062-10 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 2,605 | [2],[5],[6] | ||||||||||||||||||||
Description | Government National Mortgage Association | [2],[5],[6] | ||||||||||||||||||||
Rate | 4.55% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2062-10 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 2,977 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 2,676 Federal National Mortgage Association Pool 4.50% 2041-10 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 2,676 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 4.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2041-10 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 2,901 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 2,566 Federal National Mortgage Association Pool 4.00% 2042-08 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 2,566 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 4.00% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-08 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 2,774 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 2,490 Federal National Mortgage Association Pool 4.50% 2042-08 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 2,490 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 4.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-08 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 2,719 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 2,497 Federal National Mortgage Association Pool 4.00% 2042-09 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 2,497 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 4.00% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-09 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 2,699 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 2,519 Federal National Mortgage Association Pool 3.50% 2042-11 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 2,519 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 3.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-11 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 2,690 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 2,520 Federal Home Loan Mortgage Corporation Pool 3.50% 2042-11 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 2,520 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 3.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-11 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 2,685 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 2,498 Federal National Mortgage Association Pool 3.50% 2042-08 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 2,498 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 3.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-08 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 2,679 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 2,500 Federal Home Loan Mortgage Corporation Pool 3.50% 2042-01 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 2,500 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 3.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-01 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 2,667 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 2,452 Federal National Mortgage Association Pool 3.50% 2042-11 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 2,452 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 3.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-11 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 2,619 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Fixed Rate Agency Securities [Member] | 2,377 Federal National Mortgage Association Pool 4.00% 2042-06 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 2,377 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 4.00% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2042-06 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 2,564 | [2],[5],[6] | ||||||||||||||||||||
Interest Only - Fixed Rate Agency Securities [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Investment owned as a percentage of net assets | 1.98% | [1],[2],[3],[4] | 0.64% | [1],[2],[5],[6] | ||||||||||||||||||
Fair Value | 12,613 | [2],[3],[4] | 3,250 | [2],[5],[6] | ||||||||||||||||||
Interest Only - Fixed Rate Agency Securities [Member] | Other Federal National Mortgage Association [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 53,465 | [2],[3],[4] | 20,095 | [2],[5],[6] | ||||||||||||||||||
Description | Other Federal National Mortgage Association | [2],[3],[4] | Other Federal National Mortgage Association | [2],[5],[6] | ||||||||||||||||||
Fair Value | 6,177 | [2],[3],[4] | 1,920 | [2],[5],[6] | ||||||||||||||||||
Interest Only - Fixed Rate Agency Securities [Member] | Other Federal National Mortgage Association [Member] | Maximum [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Rate | 5.50% | [2],[3],[4] | 5.50% | [2],[5],[6] | ||||||||||||||||||
Maturity | 2043-04 | [2],[3],[4] | 2040-10 | [2],[5],[6] | ||||||||||||||||||
Interest Only - Fixed Rate Agency Securities [Member] | Other Federal National Mortgage Association [Member] | Minimum [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Rate | 3.00% | [2],[3],[4] | 4.00% | [2],[5],[6] | ||||||||||||||||||
Maturity | 2020-12 | [2],[3],[4] | 2036-01 | [2],[5],[6] | ||||||||||||||||||
Interest Only - Fixed Rate Agency Securities [Member] | Other Federal Home Loan Mortgage Corporation [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 24,264 | [2],[3],[4] | 10,426 | [2],[5],[6] | ||||||||||||||||||
Description | Other Federal Home Loan Mortgage Corporation | [2],[3],[4] | Other Federal Home Loan Mortgage Corporation | [2],[5],[6] | ||||||||||||||||||
Fair Value | 3,393 | [2],[3],[4] | 1,195 | [2],[5],[6] | ||||||||||||||||||
Interest Only - Fixed Rate Agency Securities [Member] | Other Federal Home Loan Mortgage Corporation [Member] | Maximum [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Rate | 5.50% | [2],[3],[4] | 5.50% | [2],[5],[6] | ||||||||||||||||||
Maturity | 2043-01 | [2],[3],[4] | 2039-01 | [2],[5],[6] | ||||||||||||||||||
Interest Only - Fixed Rate Agency Securities [Member] | Other Federal Home Loan Mortgage Corporation [Member] | Minimum [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Rate | 3.00% | [2],[3],[4] | 5.00% | [2],[5],[6] | ||||||||||||||||||
Maturity | 2032-12 | [2],[3],[4] | 2033-06 | [2],[5],[6] | ||||||||||||||||||
Interest Only - Fixed Rate Agency Securities [Member] | Other Government National Mortgage Association [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 22,552 | [2],[3],[4] | 4,269 | [2],[5],[6] | ||||||||||||||||||
Description | Other Government National Mortgage Association | [2],[3],[4] | Other Government National Mortgage Association | [2],[5],[6] | ||||||||||||||||||
Rate | 5.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2036-03 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 3,043 | [2],[3],[4] | 135 | [2],[5],[6] | ||||||||||||||||||
Interest Only - Fixed Rate Agency Securities [Member] | Other Government National Mortgage Association [Member] | Maximum [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Rate | 5.50% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2042-11 | [2],[3],[4] | ||||||||||||||||||||
Interest Only - Fixed Rate Agency Securities [Member] | Other Government National Mortgage Association [Member] | Minimum [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Rate | 3.00% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2036-03 | [2],[3],[4] | ||||||||||||||||||||
TBA - Fixed Rate Agency Securities [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Investment owned as a percentage of net assets | 12.69% | [1],[2],[3],[4] | 8.61% | [1],[2],[5],[6] | ||||||||||||||||||
Fair Value | 80,959 | [2],[3],[4] | 43,610 | [2],[5],[6] | ||||||||||||||||||
TBA - Fixed Rate Agency Securities [Member] | 65,800 Federal Home Loan Mortgage Corporation (30 Year) 3.00% 2013-07 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 65,800 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation (30 Year) | [2],[3],[4] | ||||||||||||||||||||
Rate | 3.00% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2013-07 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 64,135 | [2],[3],[4] | ||||||||||||||||||||
TBA - Fixed Rate Agency Securities [Member] | 15,570 Federal National Mortgage Association (30 Year) 4.00% 2013-07 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 15,570 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association (30 Year) | [2],[3],[4] | ||||||||||||||||||||
Rate | 4.00% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2013-07 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 16,221 | [2],[3],[4] | ||||||||||||||||||||
TBA - Fixed Rate Agency Securities [Member] | 600 Other Federal National Mortgage Association (15 Year) 2.50% 2013-07 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 600 | [2],[3],[4] | ||||||||||||||||||||
Description | Other Federal National Mortgage Association (15 Year) | [2],[3],[4] | ||||||||||||||||||||
Rate | 2.50% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2013-07 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 603 | [2],[3],[4] | ||||||||||||||||||||
TBA - Fixed Rate Agency Securities [Member] | 18,950 Federal Home Loan Mortgage Corporation (30 Years) 4.00% 2013-01 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 18,950 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation (30 Year) | [2],[5],[6] | ||||||||||||||||||||
Rate | 4.00% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2013-01 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 20,232 | [2],[5],[6] | ||||||||||||||||||||
TBA - Fixed Rate Agency Securities [Member] | 16,600 Federal National Mortgage Association (15 Years) 3.00% 2013-01 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 16,600 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association (15 Year) | [2],[5],[6] | ||||||||||||||||||||
Rate | 3.00% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2013-01 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 17,523 | [2],[5],[6] | ||||||||||||||||||||
TBA - Fixed Rate Agency Securities [Member] | 5,600 Federal Home Loan Mortgage Corporation (30 Years) 3.00% 2013-01 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 5,600 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal Home Loan Mortgage Corporation (30 Year) | [2],[5],[6] | ||||||||||||||||||||
Rate | 3.00% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2013-01 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 5,855 | [2],[5],[6] | ||||||||||||||||||||
Fixed Rate Agency Securities [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Investment owned as a percentage of net assets | 143.67% | [1],[2],[3],[4] | 157.46% | [1],[2],[5],[6] | ||||||||||||||||||
Fair Value | 916,407 | [2],[3],[4] | 797,314 | [2],[5],[6] | ||||||||||||||||||
Investment Owned, at Cost | 938,872 | [2],[3],[4] | 789,964 | [2],[5],[6] | ||||||||||||||||||
Principal And Interest - Floating Rate Agency Securities [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Investment owned as a percentage of net assets | 1.63% | [1],[2],[3],[4] | 3.39% | [1],[2],[5],[6] | ||||||||||||||||||
Fair Value | 10,425 | [2],[3],[4] | 17,169 | [2],[5],[6] | ||||||||||||||||||
Principal And Interest - Floating Rate Agency Securities [Member] | Other Federal National Mortgage Association Pools [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 2,851 | [2],[3],[4] | 3,159 | [2],[5],[6] | ||||||||||||||||||
Description | Other Federal National Mortgage Association Pools | [2],[3],[4] | Other Federal National Mortgage Association Pools | [2],[5],[6] | ||||||||||||||||||
Fair Value | 3,013 | [2],[3],[4] | 3,385 | [2],[5],[6] | ||||||||||||||||||
Principal And Interest - Floating Rate Agency Securities [Member] | Other Federal National Mortgage Association Pools [Member] | Maximum [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Rate | 4.93% | [2],[3],[4] | 5.50% | [2],[5],[6] | ||||||||||||||||||
Maturity | 2037-09 | [2],[3],[4] | 2037-09 | [2],[5],[6] | ||||||||||||||||||
Principal And Interest - Floating Rate Agency Securities [Member] | Other Federal National Mortgage Association Pools [Member] | Minimum [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Rate | 2.69% | [2],[3],[4] | 4.93% | [2],[5],[6] | ||||||||||||||||||
Maturity | 2036-04 | [2],[3],[4] | 2037-07 | [2],[5],[6] | ||||||||||||||||||
Principal And Interest - Floating Rate Agency Securities [Member] | 3,804 Federal National Mortgage Association Pool 2.53% 2038-05 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,804 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 2.53% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2038-05 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 4,005 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Floating Rate Agency Securities [Member] | 3,243 Federal National Mortgage Association Pool 2.55% 2035-12 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 3,243 | [2],[3],[4] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[3],[4] | ||||||||||||||||||||
Rate | 2.55% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2035-12 | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 3,407 | [2],[3],[4] | ||||||||||||||||||||
Principal And Interest - Floating Rate Agency Securities [Member] | 6,045 Federal National Mortgage Association Pool 5.08% 2038-05 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 6,045 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 5.08% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2038-05 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 6,374 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Floating Rate Agency Securities [Member] | 4,537 Federal National Mortgage Association Pool 3.14% 2035-15 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 4,537 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 3.14% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2035-12 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 4,783 | [2],[5],[6] | ||||||||||||||||||||
Principal And Interest - Floating Rate Agency Securities [Member] | 2,478 Federal National Mortgage Association Pool 5.69% 2036-04 [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 2,478 | [2],[5],[6] | ||||||||||||||||||||
Description | Federal National Mortgage Association Pool | [2],[5],[6] | ||||||||||||||||||||
Rate | 5.69% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2036-04 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 2,627 | [2],[5],[6] | ||||||||||||||||||||
Interest Only - Floating Rate Agency Securities [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Investment owned as a percentage of net assets | 2.32% | [1],[2],[3],[4] | 0.67% | [1],[2],[5],[6] | ||||||||||||||||||
Fair Value | 14,784 | [2],[3],[4] | 3,394 | [2],[5],[6] | ||||||||||||||||||
Interest Only - Floating Rate Agency Securities [Member] | Other Federal National Mortgage Association [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 31,510 | [2],[3],[4] | 1,042 | [2],[5],[6] | ||||||||||||||||||
Description | Other Federal National Mortgage Association | [2],[3],[4] | Other Federal National Mortgage Association | [2],[5],[6] | ||||||||||||||||||
Rate | 5.50% | [2],[5],[6] | ||||||||||||||||||||
Maturity | 2036-08 | [2],[5],[6] | ||||||||||||||||||||
Fair Value | 5,865 | [2],[3],[4] | 152 | [2],[5],[6] | ||||||||||||||||||
Interest Only - Floating Rate Agency Securities [Member] | Other Federal National Mortgage Association [Member] | Maximum [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Rate | 6.56% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2043-02 | [2],[3],[4] | ||||||||||||||||||||
Interest Only - Floating Rate Agency Securities [Member] | Other Federal National Mortgage Association [Member] | Minimum [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Rate | 5.50% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2036-08 | [2],[3],[4] | ||||||||||||||||||||
Interest Only - Floating Rate Agency Securities [Member] | Other Government National Mortgage Association [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 46,845 | [2],[3],[4] | ||||||||||||||||||||
Description | Other Government National Mortgage Association | [2],[3],[4] | ||||||||||||||||||||
Fair Value | 6,165 | [2],[3],[4] | ||||||||||||||||||||
Interest Only - Floating Rate Agency Securities [Member] | Other Government National Mortgage Association [Member] | Maximum [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Rate | 6.56% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2061-04 | [2],[3],[4] | ||||||||||||||||||||
Interest Only - Floating Rate Agency Securities [Member] | Other Government National Mortgage Association [Member] | Minimum [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Rate | 2.58% | [2],[3],[4] | ||||||||||||||||||||
Maturity | 2042-11 | [2],[3],[4] | ||||||||||||||||||||
Interest Only - Floating Rate Agency Securities [Member] | Resecuritization of Government National Mortgage Association [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 23,104 | [2],[3],[4],[7] | 23,140 | [2],[5],[6],[7] | ||||||||||||||||||
Description | Resecuritization of Government National Mortgage Association (q) | [2],[3],[4],[7] | Resecuritization of Government National Mortgage Association (o) | [2],[5],[6],[7] | ||||||||||||||||||
Rate | 4.28% | [2],[3],[4],[7] | 4.28% | [2],[5],[6],[7] | ||||||||||||||||||
Maturity | 2060-08 | [2],[3],[4],[7] | 2060-08 | [2],[5],[6],[7] | ||||||||||||||||||
Fair Value | 2,754 | [2],[3],[4],[7] | 3,242 | [2],[5],[6],[7] | ||||||||||||||||||
Floating Rate Agency Securities [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Investment owned as a percentage of net assets | 3.95% | [1],[2],[3],[4] | 4.06% | [1],[2],[5],[6] | ||||||||||||||||||
Fair Value | 25,209 | [2],[3],[4] | 20,563 | [2],[5],[6] | ||||||||||||||||||
Investment Owned, at Cost | 25,535 | [2],[3],[4] | 19,979 | [2],[5],[6] | ||||||||||||||||||
Agency Securities [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Investment owned as a percentage of net assets | 147.62% | [1],[2],[3],[4] | 161.52% | [1],[2],[5],[6] | ||||||||||||||||||
Fair Value | 941,616 | [2],[3],[4] | 817,877 | [2],[5],[6] | ||||||||||||||||||
Investment Owned, at Cost | 964,407 | [2],[3],[4] | 809,943 | [2],[5],[6] | ||||||||||||||||||
Principal And Interest - Private Label Securities [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Investment owned as a percentage of net assets | 112.06% | [1],[2],[3] | 107.47% | [1],[2],[5] | ||||||||||||||||||
Fair Value | 714,797 | [2],[3] | 544,208 | [2],[5] | ||||||||||||||||||
Investment Owned, at Cost | 656,261 | [2],[3] | 505,380 | [2],[5] | ||||||||||||||||||
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 989,570 | [2],[3] | 850,320 | [2],[5] | ||||||||||||||||||
Description | Various | [2],[3] | Various | [2],[5] | ||||||||||||||||||
Fair Value | 714,797 | [2],[3] | 544,208 | [2],[5] | ||||||||||||||||||
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Maximum [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Rate | 9.35% | [2],[3] | 9.35% | [2],[5] | ||||||||||||||||||
Maturity | 2047-06 | [2],[3] | 2047-05 | [2],[5] | ||||||||||||||||||
Principal And Interest - Private Label Securities [Member] | Various Issuer [Member] | Minimum [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Rate | 0.28% | [2],[3] | 0.17% | [2],[5] | ||||||||||||||||||
Maturity | 2019-05 | [2],[3] | 2019-05 | [2],[5] | ||||||||||||||||||
Principal Only - Private Label Securities [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Investment owned as a percentage of net assets | 0.39% | [1],[2],[3] | 0.46% | [1],[5] | ||||||||||||||||||
Fair Value | 2,466 | [2],[3] | 2,320 | [2],[5] | ||||||||||||||||||
Investment Owned, at Cost | 2,355 | [2],[3] | 2,242 | [2],[5] | ||||||||||||||||||
Principal Only - Private Label Securities [Member] | Various Issuer [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 5,800 | [2],[3] | 5,800 | [2],[5] | ||||||||||||||||||
Description | Various | [2],[3] | Various | [2],[5] | ||||||||||||||||||
Rate | 0.00% | [2],[3] | 0.00% | [2],[5] | ||||||||||||||||||
Maturity | 2030-08 | [2],[3] | 2030-08 | [2],[5] | ||||||||||||||||||
Fair Value | 2,466 | [2],[3] | 2,320 | [2],[5] | ||||||||||||||||||
Interest Only - Private Label Securities [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Investment owned as a percentage of net assets | 0.18% | [1],[2],[3] | 0.23% | [1],[2],[5] | ||||||||||||||||||
Fair Value | 1,153 | [2],[3] | 1,165 | [2],[5] | ||||||||||||||||||
Investment Owned, at Cost | 569 | [2],[3] | 637 | [2],[5] | ||||||||||||||||||
Interest Only - Private Label Securities [Member] | Various Issuer [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 54,772 | [2],[3] | 61,640 | [2],[5] | ||||||||||||||||||
Description | Various | [2],[3] | Various | [2],[5] | ||||||||||||||||||
Fair Value | 1,153 | [2],[3] | 1,165 | [2],[5] | ||||||||||||||||||
Interest Only - Private Label Securities [Member] | Various Issuer [Member] | Maximum [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Rate | 2.00% | [2],[3] | 2.00% | [2],[5] | ||||||||||||||||||
Maturity | 2047-09 | [2],[3] | 2047-09 | [2],[5] | ||||||||||||||||||
Interest Only - Private Label Securities [Member] | Various Issuer [Member] | Minimum [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Rate | 0.50% | [2],[3] | 0.50% | [2],[5] | ||||||||||||||||||
Maturity | 2044-06 | [2],[3] | 2044-06 | [2],[5] | ||||||||||||||||||
Other Private Label Securities [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Investment owned as a percentage of net assets | 0.00% | [1],[2],[3] | 0.00% | [1],[2],[5] | ||||||||||||||||||
Fair Value | 0 | [2],[3] | 0 | [2],[5] | ||||||||||||||||||
Investment Owned, at Cost | 370 | [2],[3] | 429 | [2],[5] | ||||||||||||||||||
Other Private Label Securities [Member] | Various Issuer [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 136,465 | [2],[3] | 158,348 | [2],[5] | ||||||||||||||||||
Description | Various | [2],[3] | Various | [2],[5] | ||||||||||||||||||
Rate | 0.00% | [2],[3] | 0.00% | [2],[5] | ||||||||||||||||||
Maturity | 2037-06 | [2],[3] | 2037-06 | [2],[5] | ||||||||||||||||||
Fair Value | 0 | [2],[3] | 0 | [2],[5] | ||||||||||||||||||
Private Label Securities [Member]
|
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Schedule of Investments [Line Items] | ||||||||||||||||||||||
Investment owned as a percentage of net assets | 112.63% | [1],[2],[3] | 108.16% | [1],[2],[5] | ||||||||||||||||||
Fair Value | 718,416 | [2],[3] | 547,693 | [2],[5] | ||||||||||||||||||
Investment Owned, at Cost | 659,555 | [2],[3] | 508,688 | [2],[5] | ||||||||||||||||||
Mortgage-Backed Securities [Member]
|
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Schedule of Investments [Line Items] | ||||||||||||||||||||||
Investment owned as a percentage of net assets | 260.25% | [1],[2],[3] | 269.68% | [1],[2],[5] | ||||||||||||||||||
Fair Value | 1,660,032 | [2],[3] | 1,365,570 | [2],[5] | ||||||||||||||||||
Investment Owned, at Cost | 1,623,962 | [2],[3] | 1,318,631 | [2],[5] | ||||||||||||||||||
Asset-backed Securities [Member]
|
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Schedule of Investments [Line Items] | ||||||||||||||||||||||
Investment owned as a percentage of net assets | 6.25% | [1],[2],[3] | ||||||||||||||||||||
Fair Value | 39,840 | [2],[3] | ||||||||||||||||||||
Investment Owned, at Cost | 40,767 | [2],[3] | ||||||||||||||||||||
Asset-backed Securities [Member] | Various Issuer [Member]
|
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Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 43,432 | [2],[3] | ||||||||||||||||||||
Description | Various | [2],[3] | ||||||||||||||||||||
Fair Value | 39,840 | [2],[3] | ||||||||||||||||||||
Asset-backed Securities [Member] | Various Issuer [Member] | Maximum [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Rate | 9.78% | [2],[3] | ||||||||||||||||||||
Maturity | 2049-12 | [2],[3] | ||||||||||||||||||||
Asset-backed Securities [Member] | Various Issuer [Member] | Minimum [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Rate | 0.00% | [2],[3] | ||||||||||||||||||||
Maturity | 2017-06 | [2],[3] | ||||||||||||||||||||
Commercial Mortgage Loans [Member]
|
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Schedule of Investments [Line Items] | ||||||||||||||||||||||
Investment owned as a percentage of net assets | 1.18% | [1],[2],[3],[8] | 1.89% | [1],[2],[5],[9] | ||||||||||||||||||
Fair Value | 7,563 | [2],[3],[8] | 9,546 | [2],[5],[9] | ||||||||||||||||||
Investment Owned, at Cost | 7,453 | [2],[3],[8] | 9,522 | [2],[5],[9] | ||||||||||||||||||
Commercial Mortgage Loans [Member] | Various Issuer [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Current Principal/Notional Amount | 9,041 | [2],[3],[8] | 10,225 | [2],[5],[9] | ||||||||||||||||||
Description | Various | [2],[3],[8] | Various | [2],[5],[9] | ||||||||||||||||||
Fair Value | 7,563 | [2],[3],[8] | 9,546 | [2],[5],[9] | ||||||||||||||||||
Commercial Mortgage Loans [Member] | Various Issuer [Member] | Maximum [Member]
|
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Schedule of Investments [Line Items] | ||||||||||||||||||||||
Rate | 7.25% | [2],[3] | 6.25% | [2],[5],[9] | ||||||||||||||||||
Maturity | 2014-06 | [2],[3] | 2039-05 | [2],[5],[9] | ||||||||||||||||||
Commercial Mortgage Loans [Member] | Various Issuer [Member] | Minimum [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Rate | 0.00% | [2],[3] | 5.00% | [2],[5],[9] | ||||||||||||||||||
Maturity | 2013-11 | [2],[3] | 2013-11 | [2],[5],[9] | ||||||||||||||||||
Common Stocks, by Industry [Member]
|
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Schedule of Investments [Line Items] | ||||||||||||||||||||||
Investment owned as a percentage of net assets | 0.47% | [1],[2],[3] | ||||||||||||||||||||
Fair Value | 2,987 | [2],[3] | ||||||||||||||||||||
Investment Owned, at Cost | 2,952 | [2],[3] | ||||||||||||||||||||
Common Stocks, by Industry [Member] | Real Estate Investment Trusts [Member]
|
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Schedule of Investments [Line Items] | ||||||||||||||||||||||
Description | Publicly Traded Real Estate Investment Trusts | [2],[3] | ||||||||||||||||||||
Fair Value | 2,987 | [2],[3] | ||||||||||||||||||||
Investment Owned, Balance, Shares | 130 | [2],[3] | ||||||||||||||||||||
Long Investments [Member]
|
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Schedule of Investments [Line Items] | ||||||||||||||||||||||
Investment owned as a percentage of net assets | 268.15% | [1],[2],[3] | 271.57% | [1],[2],[5] | ||||||||||||||||||
Fair Value | 1,710,422 | [2],[3] | 1,375,116 | [2],[5] | ||||||||||||||||||
Investment Owned, at Cost | 1,675,134 | [2],[3] | 1,328,153 | [2],[5] | ||||||||||||||||||
Long Investments [Member] | Federal National Mortgage Association [Member]
|
||||||||||||||||||||||
Schedule of Investments [Line Items] | ||||||||||||||||||||||
Investment owned as a percentage of net assets | 97.77% | 119.78% | ||||||||||||||||||||
Long Investments [Member] | Federal Home Loan Mortgage Corporation [Member]
|
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Schedule of Investments [Line Items] | ||||||||||||||||||||||
Investment owned as a percentage of net assets | 37.76% | 40.49% | ||||||||||||||||||||
Long Investments [Member] | Government National Mortgage Association [Member]
|
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Schedule of Investments [Line Items] | ||||||||||||||||||||||
Investment owned as a percentage of net assets | 12.09% | 1.25% | ||||||||||||||||||||
Commercial Mortgage Loan With Extendable Maturity [Member] | Commercial Mortgage Loans [Member] | Various Issuer [Member]
|
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Schedule of Investments [Line Items] | ||||||||||||||||||||||
Fair Value | $ 5,000 | $ 4,900 | ||||||||||||||||||||
|
Consolidated Statement Of Changes In Equity (Parenthetical) (USD $)
|
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2013
|
Jun. 30, 2012
|
Jun. 30, 2013
|
Jun. 30, 2012
|
|
Statement of Stockholders' Equity [Abstract] | ||||
Dividends (in usd per share) | $ 0.77 | $ 0.70 | $ 2.29 | $ 1.10 |
Financial Highlights
|
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2013
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Financial Highlights [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Highlights | Financial Highlights Results of Operations for a Share Outstanding Throughout the Periods:
Total Return: The Company calculates its total return two ways, one based on its reported net asset value and the other based on its publicly-traded share price. This latter return is considered a market based return, and is only computed for periods following the completion of the Company's October 2010 initial public offering, since the Company's shares were not publicly traded before such time. The following table illustrates the Company's total return for the periods presented based on net asset value: Net Asset Based Total Return for a Shareholder: (1)
Supplemental Information—Net Asset Based Total Return for a Shareholder assuming conversion of all LTIP and OP units: (1)
Market Based Total Return for a Shareholder: For the three month periods ended June 30, 2013 and 2012, the Company's market based total return based on the closing price as reported by the New York Stock Exchange was (4.93)% and 11.92%, respectively. For the six month periods ended June 30, 2013 and 2012, the Company's market based total return based on the closing price as reported by the New York Stock Exchange was 11.13% and 30.06%, respectively. Calculation of market based total return assumes the reinvestment of dividends at the closing price as reported by the New York Stock Exchange as of the ex-date. Net Investment Income Ratio to Average Equity: (1)
Expense Ratios to Average Equity: (1)
|
Financial Highlights (Results Of Operations For A Share Outstanding) (Details) (USD $)
|
3 Months Ended | 6 Months Ended | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2013
|
Jun. 30, 2012
|
Jun. 30, 2013
|
Jun. 30, 2012
|
Mar. 31, 2013
|
Dec. 31, 2012
|
Mar. 31, 2012
|
Dec. 31, 2011
|
|||||||||||
Increase (Decrease) Earnings Per Share [Roll Forward] | ||||||||||||||||||
Beginning Shareholders' Equity Per Share (3/31/2013, 3/31/2012, 12/31/2012, and 12/31/2011, respectively) | $ 25.28 | $ 24.09 | $ 24.86 | $ 22.55 | ||||||||||||||
Net Investment Income | $ 0.53 | $ 0.54 | $ 1.05 | $ 1.20 | ||||||||||||||
Net Realized/Unrealized Gains (Losses) | $ (0.02) | $ 0.12 | $ 1.36 | $ 1.41 | ||||||||||||||
Results of Operations Attributable to Equity | $ 0.51 | $ 0.66 | $ 2.41 | $ 2.61 | ||||||||||||||
NetIncomeLossAttributableToNoncontrollingInterestPerShare | $ 0.00 | $ 0.00 | $ (0.02) | $ 0.00 | ||||||||||||||
NetIncomeLossAttributableToParentPerShare | $ 0.51 | [1] | $ 0.66 | [1] | $ 2.39 | [1] | $ 2.61 | [1] | ||||||||||
Dividends Paid Per Common Share | $ (0.77) | $ (0.70) | $ (2.29) | $ (1.10) | ||||||||||||||
Weighted Average Share Impact on Dividends Paid (2) | $ (0.10) | [2] | $ (0.02) | [2] | $ (0.10) | [2] | $ (0.03) | [2] | ||||||||||
Accretive (Dilutive) Effect of Share Issuances (Net of Offering Costs) and Share Repurchases | $ 0.00 | $ 0.00 | $ 0.06 | $ 0.00 | ||||||||||||||
Ending Shareholders' Equity Per Share (6/30/2013, 6/30/2012, 6/30/2013, and 6/30/2012, respectively)(3) | $ 24.92 | [3] | $ 24.03 | [3] | $ 24.92 | [3] | $ 24.03 | [3] | ||||||||||
Shares Outstanding, end of period | 25,412,011 | 16,447,651 | 25,412,011 | 16,447,651 | 20,403,723 | 20,370,469 | 16,447,651 | 16,447,651 | ||||||||||
Shareholders Equity Per Share Upon Conversion Of All Convertible Units (in usd per share) | $ 24.51 | $ 24.51 | ||||||||||||||||
Shareholders' equity per share upon conversion of LTIPs (in usd per share) | $ 23.47 | $ 23.47 | $ 24.38 | |||||||||||||||
|
Non-Controlling Interest - Operating Partnership (Notes)
|
6 Months Ended |
---|---|
Jun. 30, 2013
|
|
Noncontrolling Interest [Abstract] | |
Noncontrolling Interest Disclosure [Text Block] | 7. Non-controlling Interest - Operating Partnership Non-controlling interest represents the interest in the Operating Partnership owned by an affiliate of the Manager. On January 1, 2013, 212,000 OP units were issued to the non-controlling interest member. Income allocated to the non-controlling interest is based on the non-controlling member's ownership percentage of the Operating Partnership during the quarter, calculated using a daily weighted average of all common shares and convertible units outstanding during the quarter. Holders of OP units are entitled to receive the same distributions that holders of common shares receive, and OP units are convertible into common shares on a one-for-one basis following the expiration of a two-year holding period subject to additional limitations. OP units are non-voting with respect to matters as to which common shareholders are entitled to vote. As of June 30, 2013, non-controlling interest related to the outstanding 212,000 OP units represented an interest of approximately 1% in the Operating Partnership. |
Common Share Capitalization (Summary Of Common Shares Outstanding) (Details)
|
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2013
|
Jun. 30, 2012
|
Jun. 30, 2013
|
Jun. 30, 2012
|
|
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Common Shares Outstanding, period begin | 20,403,723 | 16,447,651 | 20,370,469 | 16,447,651 |
Proceeds from the issuance of shares | 5,000,000 | 0 | 5,000,000 | 0 |
Shares issued in connection with incentive fee payment | 8,288 | 0 | 41,542 | 0 |
Common Shares Outstanding, period end | 25,412,011 | 16,447,651 | 25,412,011 | 16,447,651 |
Financial Highlights (Net Asset Based Total Return For A Shareholder) (Details)
|
3 Months Ended | 6 Months Ended | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2013
|
Jun. 30, 2012
|
Jun. 30, 2013
|
Jun. 30, 2012
|
|||||||
Financial Highlights [Abstract] | ||||||||||
Total Return | 1.57% | [1] | 2.68% | [1] | 9.57% | [1] | 11.57% | [1] | ||
|
Valuation (Schedule Of Significant Unobservable Inputs, Qualitative Information) (Details) (USD $)
|
6 Months Ended | 12 Months Ended | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2013
|
Dec. 31, 2012
|
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Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Securitized debt | $ 1,168,000 | $ 1,335,000 | ||||||||||
Level 3 [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Fair value | 814,350,000 | 599,914,000 | ||||||||||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Private Label Residential Mortgage Backed Securities, Other asset-backed securities, and Securitized Debt [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Fair value | 678,375,000 | [1] | ||||||||||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Private Label Residential Mortgage Backed Securities, Other asset-backed securities, and Securitized Debt [Member] | Minimum [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Non Binding Indicative Price | 29.00 | [1] | ||||||||||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Private Label Residential Mortgage Backed Securities, Other asset-backed securities, and Securitized Debt [Member] | Maximum [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Non Binding Indicative Price | 149.87 | [1] | ||||||||||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Private Label Residential Mortgage Backed Securities, Other asset-backed securities, and Securitized Debt [Member] | Weighted Average [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Non Binding Indicative Price | 80.52 | [1] | ||||||||||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities And Commercial Mortgage Loans [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Fair value | 17,202,000 | |||||||||||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities And Commercial Mortgage Loans [Member] | Minimum [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Non Binding Indicative Price | 71.35 | |||||||||||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities And Commercial Mortgage Loans [Member] | Maximum [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Non Binding Indicative Price | 100.25 | |||||||||||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities And Commercial Mortgage Loans [Member] | Weighted Average [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Non Binding Indicative Price | 86.60 | |||||||||||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Agency Interest Only Residential Mortgage-Backed Securities [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Fair value | 22,814,000 | |||||||||||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Agency Interest Only Residential Mortgage-Backed Securities [Member] | Minimum [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Non Binding Indicative Price | 6.82 | |||||||||||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Agency Interest Only Residential Mortgage-Backed Securities [Member] | Maximum [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Non Binding Indicative Price | 26.84 | |||||||||||
Level 3 [Member] | Market Approach Valuation Technique [Member] | Agency Interest Only Residential Mortgage-Backed Securities [Member] | Weighted Average [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Non Binding Indicative Price | 14.54 | |||||||||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Private Label Residential Mortgage Backed Securities and Securitized Debt [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Fair value | 527,031,000 | [2] | ||||||||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Private Label Residential Mortgage Backed Securities and Securitized Debt [Member] | Minimum [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Yield | 2.60% | [2] | ||||||||||
Projected Collateral Prepayments | 0.70% | [2] | ||||||||||
Projected Collateral Losses | 3.70% | [2] | ||||||||||
Projected Collateral Recoveries | 0.00% | [2] | ||||||||||
Projected Collateral Scheduled Amortization | 4.10% | [2] | ||||||||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Private Label Residential Mortgage Backed Securities and Securitized Debt [Member] | Maximum [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Yield | 29.10% | [2] | ||||||||||
Projected Collateral Prepayments | 64.60% | [2] | ||||||||||
Projected Collateral Losses | 79.70% | [2] | ||||||||||
Projected Collateral Recoveries | 41.00% | [2] | ||||||||||
Projected Collateral Scheduled Amortization | 90.40% | [2] | ||||||||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Private Label Residential Mortgage Backed Securities and Securitized Debt [Member] | Weighted Average [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Yield | 7.80% | [2] | ||||||||||
Projected Collateral Prepayments | 22.70% | [2] | ||||||||||
Projected Collateral Losses | 28.00% | [2] | ||||||||||
Projected Collateral Recoveries | 21.40% | [2] | ||||||||||
Projected Collateral Scheduled Amortization | 27.90% | [2] | ||||||||||
Total Outstanding Collateral | 100.00% | [2] | ||||||||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Private Label Residential Mortgage-Backed Securities [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Fair value | 54,807,000 | |||||||||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Private Label Residential Mortgage-Backed Securities [Member] | Minimum [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Yield | 6.10% | |||||||||||
Projected Collateral Prepayments | 0.70% | |||||||||||
Projected Collateral Losses | 4.50% | |||||||||||
Projected Collateral Recoveries | 0.00% | |||||||||||
Projected Collateral Scheduled Amortization | 12.20% | |||||||||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Private Label Residential Mortgage-Backed Securities [Member] | Maximum [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Yield | 20.80% | |||||||||||
Projected Collateral Prepayments | 57.80% | |||||||||||
Projected Collateral Losses | 48.80% | |||||||||||
Projected Collateral Recoveries | 17.90% | |||||||||||
Projected Collateral Scheduled Amortization | 89.20% | |||||||||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Private Label Residential Mortgage-Backed Securities [Member] | Weighted Average [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Yield | 10.40% | |||||||||||
Projected Collateral Prepayments | 32.20% | |||||||||||
Projected Collateral Losses | 20.30% | |||||||||||
Projected Collateral Recoveries | 8.90% | |||||||||||
Projected Collateral Scheduled Amortization | 38.60% | |||||||||||
Total Outstanding Collateral | 100.00% | |||||||||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Fair value | 11,717,000 | |||||||||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities [Member] | Minimum [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Yield | 10.20% | |||||||||||
Projected Collateral Losses | 0.30% | |||||||||||
Projected Collateral Recoveries | 9.30% | |||||||||||
Projected Collateral Scheduled Amortization | 90.40% | |||||||||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities [Member] | Maximum [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Yield | 30.10% | |||||||||||
Projected Collateral Losses | 0.30% | |||||||||||
Projected Collateral Recoveries | 9.30% | |||||||||||
Projected Collateral Scheduled Amortization | 90.40% | |||||||||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities [Member] | Weighted Average [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Yield | 15.90% | |||||||||||
Projected Collateral Losses | 0.30% | |||||||||||
Projected Collateral Recoveries | 9.30% | |||||||||||
Projected Collateral Scheduled Amortization | 90.40% | |||||||||||
Total Outstanding Collateral | 100.00% | |||||||||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Credit Default Swaps On Asset Backed Securities [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Fair value | 20,593,000 | 36,030,000 | ||||||||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Credit Default Swaps On Asset Backed Securities [Member] | Minimum [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Projected Collateral Prepayments | 19.50% | 8.70% | ||||||||||
Projected Collateral Losses | 18.00% | 20.40% | ||||||||||
Projected Collateral Recoveries | 7.30% | 12.20% | ||||||||||
Projected Collateral Scheduled Amortization | 15.60% | 9.80% | ||||||||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Credit Default Swaps On Asset Backed Securities [Member] | Maximum [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Projected Collateral Prepayments | 55.60% | 44.10% | ||||||||||
Projected Collateral Losses | 52.30% | 57.10% | ||||||||||
Projected Collateral Recoveries | 14.60% | 32.80% | ||||||||||
Projected Collateral Scheduled Amortization | 36.60% | 35.50% | ||||||||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Credit Default Swaps On Asset Backed Securities [Member] | Weighted Average [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Projected Collateral Prepayments | 26.70% | 18.70% | ||||||||||
Projected Collateral Losses | 40.10% | 37.80% | ||||||||||
Projected Collateral Recoveries | 12.70% | 19.30% | ||||||||||
Projected Collateral Scheduled Amortization | 20.50% | 24.20% | ||||||||||
Total Outstanding Collateral | 100.00% | 100.00% | ||||||||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities And Commercial Mortgage Loans [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Fair value | 28,873,000 | |||||||||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities And Commercial Mortgage Loans [Member] | Minimum [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Yield | 5.20% | |||||||||||
Projected Collateral Losses | 0.00% | |||||||||||
Projected Collateral Recoveries | 0.00% | |||||||||||
Projected Collateral Scheduled Amortization | 0.00% | |||||||||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities And Commercial Mortgage Loans [Member] | Maximum [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Yield | 17.90% | |||||||||||
Projected Collateral Losses | 25.10% | |||||||||||
Projected Collateral Recoveries | 88.90% | |||||||||||
Projected Collateral Scheduled Amortization | 100.00% | |||||||||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Private Label Commercial Mortgage-Backed Securities And Commercial Mortgage Loans [Member] | Weighted Average [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Yield | 9.50% | |||||||||||
Projected Collateral Losses | 3.90% | |||||||||||
Projected Collateral Recoveries | 20.50% | |||||||||||
Projected Collateral Scheduled Amortization | 75.60% | |||||||||||
Total Outstanding Collateral | 100.00% | |||||||||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Commercial Mortgage Loans [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Fair value | 2,550,000 | |||||||||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Commercial Mortgage Loans [Member] | Minimum [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Yield | 32.30% | |||||||||||
Recovery Timeline | 12 months | |||||||||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Commercial Mortgage Loans [Member] | Maximum [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Yield | 32.30% | |||||||||||
Recovery Timeline | 12 months | |||||||||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Commercial Mortgage Loans [Member] | Weighted Average [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Yield | 32.30% | |||||||||||
Recovery Timeline | 12 months | |||||||||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Agency Interest Only Residential Mortgage-Backed Securities [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Fair value | $ 4,583,000 | $ 6,644,000 | ||||||||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Agency Interest Only Residential Mortgage-Backed Securities [Member] | Minimum [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Projected Collateral Prepayments | 54.80% | 81.00% | ||||||||||
Projected Collateral Scheduled Amortization | 13.80% | 0.00% | [3] | |||||||||
LIBOR OAS | 4.62% | [4] | 8.16% | [4] | ||||||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Agency Interest Only Residential Mortgage-Backed Securities [Member] | Maximum [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Projected Collateral Prepayments | 86.20% | 100.00% | ||||||||||
Projected Collateral Scheduled Amortization | 45.20% | 19.00% | [3] | |||||||||
LIBOR OAS | 11.73% | [4] | 75.58% | [4] | ||||||||
Level 3 [Member] | Income Approach Valuation Technique [Member] | Agency Interest Only Residential Mortgage-Backed Securities [Member] | Weighted Average [Member]
|
||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||||||||
Projected Collateral Prepayments | 70.90% | 92.70% | ||||||||||
Projected Collateral Scheduled Amortization | 29.10% | 7.30% | [3] | |||||||||
LIBOR OAS | 6.39% | [4] | 11.89% | [4] | ||||||||
Total Outstanding Collateral | 100.00% | 100.00% | ||||||||||
|
Valuation (Tables)
|
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2013
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Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule Of Financial Instruments | The table below reflects the value of the Company's Level 1, Level 2, and Level 3 financial instruments at June 30, 2013:
The table below reflects the value of the Company's Level 1, Level 2, and Level 3 financial instruments at December 31, 2012:
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Schedule Of Significant Unobservable Inputs, Qualitative Information | The following table identifies the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of December 31, 2012:
The following table identifies the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of June 30, 2013:
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Fair Value Measurement Using Significant Unobservable Inputs | Level 3—Fair Value Measurement Using Significant Unobservable Inputs: Three Month Period Ended June 30, 2013
Level 3—Fair Value Measurement Using Significant Unobservable Inputs: Six Month Period Ended June 30, 2012
Level 3—Fair Value Measurement Using Significant Unobservable Inputs: Three Month Period Ended June 30, 2012
Level 3—Fair Value Measurement Using Significant Unobservable Inputs: Six Month Period Ended June 30, 2013
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Significant Accounting Policies (Policy)
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6 Months Ended | ||||||||||||
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Jun. 30, 2013
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Accounting Policies [Abstract] | |||||||||||||
Non-controlling interest policy [Policy Text Block] | (L) Non-controlling interest: Non-controlling interest represents the interest in the Operating Partnership owned by an affiliate of the Manager. |
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Basis of Presentation | (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 for investment companies, ASC 946, Financial Services—Investment Companies ("ASC 946"), for interim financial information. ASC 946 requires, among other things, that investments be reported at fair value in the financial statements. The consolidated financial statements include the accounts of the Company, the Operating Partnership and its wholly owned subsidiaries. All inter-company balances and transactions have been eliminated. The preparation of consolidated financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. 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, 2012. |
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Valuation | (B) Valuation: The Company applies ASC 820-10, Fair Value Measurement and Disclosures ("ASC 820-10"), to its holdings of financial instruments. ASC 820-10 establishes a three-level valuation hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of an asset or liability as of the measurement date. The three levels are defined as follows:
A financial instrument's categorization within the valuation hierarchy is based upon the lowest level of input that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in these securities. |
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Securities Transactions and Investment Income | (C) Securities Transactions and Investment Income: Securities transactions are generally recorded on trade date. Realized and unrealized gains and losses are calculated based on identified cost. Interest income, which includes accretion of discounts and amortization of premiums on mortgage-backed securities, or "MBS," ABS, commercial mortgage loans, U.S. Treasury securities, and securitized debt, is recognized over the life of the investment using the effective interest method. For purposes of determining the effective interest rate, management estimates the future expected cash flows of its investment holdings based on assumptions including, but not limited to, assumptions for future prepayment rates, default rates and loss severities (each of which may in turn incorporate various macro-economic assumptions, such as future housing prices). These assumptions are re-evaluated not less than quarterly and require the use of a significant amount of judgment. Principal write-offs are generally treated as realized losses. For non-performing commercial mortgage loans, purchase discounts are generally not amortized. |
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Cash and Cash Equivalents | (D) Cash and Cash Equivalents: Cash and cash equivalents include amounts held in an interest bearing overnight account and money market funds. |
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Financial Derivatives | The Company uses average monthly notional values outstanding to indicate the volume of activity with respect to these instruments. (E) Financial Derivatives: The Company enters into various types of financial derivatives. The two major types utilized are swaps and futures. Swaps: The Company may enter into various types of swaps, including interest rate swaps, credit default swaps, and total return swaps. The primary risk associated with the Company's interest rate swap activity is interest rate risk. The primary risk associated with the Company's total return swap activity has been equity market risk. The primary risk associated with the Company's credit default swaps is credit risk. The Company is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. To help mitigate interest rate risk, the Company enters into interest rate swaps. Interest rate swaps are contractual agreements whereby one party pays a floating rate of interest on a notional principal amount and receives a fixed rate on the same notional principal, or vice versa, for a fixed period of time. Interest rate swaps change in value with movements in interest rates. The Company enters into credit default swaps. A credit default swap is a contract under which one party agrees to compensate another party for the financial loss associated with the occurrence of a "credit event" in relation to a "reference amount" or notional value of a credit obligation (usually a bond, loan or a basket of bonds or loans). The definition of a credit event often varies from contract to contract. A credit event may occur (i) when the underlying reference asset(s) fails to make scheduled principal or interest payments to its holders, (ii) with respect to credit default swaps referencing mortgage/asset-backed securities and indices, when the underlying reference obligation is downgraded below a certain rating level or (iii) with respect to credit default swaps referencing corporate entities and indices, upon the bankruptcy of the underlying reference obligor. The Company typically writes (sells) protection to take a "long" position or purchases (buys) protection to take a "short" position with respect to underlying reference assets or to hedge exposure to other investment holdings. The Company enters into total return swaps in order to take a "long" or "short" position with respect to an underlying referenced asset. The Company is subject to market price volatility of the underlying referenced asset. A total return swap involves commitments to pay interest in exchange for a market-linked return based on a notional value. To the extent that the total return of the security, group of securities or index underlying the transaction exceeds or falls short of the offsetting interest obligation, the Company will receive a payment from or make a payment to the counterparty. Swaps change in value with movements in interest rates or total return of the referenced securities. During the term of swap contracts, changes in value are recognized as unrealized gains or losses. 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/received by the Company to open swap contracts are recorded as an asset and/or liability on the Consolidated Statement of Assets, Liabilities, and Equity and are recorded as a realized gain or loss on the termination date. The Company may be required to deliver or receive cash or securities as collateral upon entering into swap transactions. The Company's swap contracts are generally governed by International Swaps and Derivatives Association, or "ISDA," trading agreements, which are separately negotiated agreements with dealer counterparties. Changes in the relative value of the swap transactions may require the Company or the counterparty to post or receive additional collateral. Typically, a collateral payment or receipt is triggered based on the net change in the value of all contracts governed by a particular ISDA trading agreement. Collateral received from counterparties is included in Due to brokers on the Consolidated Statement of Assets, Liabilities, and Equity. Collateral paid to counterparties is included in Due from brokers on the Consolidated Statement of Assets, Liabilities, and Equity. Entering into swap contracts involves market risk in excess of amounts recorded on the Consolidated Statement of Assets, Liabilities, and Equity. Futures Contracts: A futures contract is an agreement between two parties to buy and sell a financial instrument for a set price on a future date. The Company enters into Eurodollar and/or U.S. Treasury Note futures contracts to hedge its interest rate risk. 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 on a daily basis to reflect the market value of the contract at the end of each day's trading. Variation margin payments are made or received periodically, depending upon whether unrealized gains or losses 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. Derivative instruments disclosed on the Consolidated Condensed Schedule of Investments include: credit default swaps on asset-backed securities, credit default swaps on asset-backed indices, credit default swaps on corporate bond indices, interest rate swaps, total return swaps, and futures contracts. Swap assets are included in Financial derivatives—assets at fair value on the Consolidated Statement of Assets, Liabilities, and Equity. Swap liabilities are included in Financial derivatives—liabilities at fair value on the Consolidated Statement of Assets, Liabilities, and Equity. In addition, swap contracts are summarized by type on the Consolidated Condensed Schedule of Investments. Unrealized appreciation on futures contracts is included in Financial derivatives—assets at fair value on the Consolidated Statement of Assets, Liabilities, and Equity. Unrealized depreciation on futures contracts is included in Financial derivatives—liabilities at fair value on the Consolidated Statement of Assets, Liabilities, and Equity. |
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Investments Sold Short | (F) Investments Sold Short: When the Company sells securities short, it typically satisfies its security delivery settlement obligation by obtaining the security sold from the same or a different counterparty. The Company generally is required to deliver cash or securities as collateral to the counterparty for the Company's obligation to return the borrowed security. The amount by which the market value of the obligation falls short of or exceeds the proceeds from the short sale is treated as an unrealized gain or loss, respectively. A realized gain or loss will be recognized upon the termination of a short sale if the market price is less or greater than the proceeds originally received. |
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Reverse Repurchase Agreements and Repurchase Agreements | (G) Reverse Repurchase Agreements and Repurchase Agreements: The Company enters into reverse repurchase agreements with third-party broker-dealers whereby it sells securities under agreements to be repurchased at an agreed-upon price and date. Interest on the value of repurchase and reverse repurchase agreements issued and outstanding is based upon competitive market rates at the time of issuance. The Company accounts for reverse repurchase agreements as collateralized borrowings. When the Company enters into a reverse repurchase agreement, the lender establishes and maintains an account containing cash and securities having a value not less than the repurchase price, including accrued interest, of the reverse repurchase agreement. The Company enters into repurchase agreement transactions with third-party broker-dealers whereby it purchases securities under agreements to resell at an agreed-upon price and date. In general, securities received pursuant to repurchase agreements are delivered to counterparties of short sale transactions. Assets held pursuant to repurchase agreements are reflected as assets on the Consolidated Statement of Assets, Liabilities, and Equity. Repurchase and reverse repurchase agreements that are conducted with the same counterparty may be reported on a net basis if they meet the requirements of ASC 210-20, Balance Sheet Offsetting. There are no repurchase and reverse repurchase agreements netted in the consolidated financial statements. Reverse repurchase agreements are carried at their contractual amounts, which the Company believes is the best estimate of fair value. |
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Securitized Debt | (H) Securitized Debt: The Company entered into a resecuritization transaction in January 2012, which is accounted for as a collateralized borrowing. The asset contributed to the securitization was not derecognized but rather, the liability issued by the securitization was recorded to reflect the term financing of the re-securitized asset. Under ASC 820-10, the Company has elected to carry securitized debt at fair value. |
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When-Issued/Delayed Delivery Securities | (I) When-Issued/Delayed Delivery Securities: The Company may purchase or sell securities on a when-issued or delayed delivery basis. Securities purchased or sold on a when-issued basis are traded for delivery beyond the normal settlement date at a stated price or yield, and no income accrues to the purchaser prior to settlement. Purchasing or selling securities on a when-issued or delayed delivery basis involves the risk that the market price or yield at the time of settlement may be lower or higher than the agreed-upon price or yield, in which case a realized loss may be incurred. The Company transacts in the forward settling To Be Announced MBS ("TBA") market. The Company typically does not take delivery of TBAs, but rather 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. The market value of the securities that the Company is required to purchase pursuant to a TBA transaction may decline below the agreed-upon purchase price. Conversely, the market value of the securities that the Company is required to sell pursuant to a TBA transaction may increase above the agreed upon sale price. As part of its TBA activities, the Company may "roll" its TBA positions, whereby the Company may sell (buy) securities for delivery (receipt) in an earlier month and simultaneously contract to repurchase (sell) similar, but not identical, securities at an agreed-upon price on a fixed date in a later month (with the later-month price typically lower than the earlier-month price). The Company accounts for its TBA transactions (including those related to TBA rolls) as purchases and sales. |
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Offering Costs/Underwriters' Discount | (J) Offering Costs/Underwriters' Discount: Offering costs and underwriters' discount are charged against shareholders' equity. |
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LTIP Units | (K) LTIP Units: Long term incentive plan units ("LTIP units") have been issued to the Company's dedicated personnel and independent directors as well as the Manager. Costs associated with LTIP units issued to dedicated personnel and independent directors are amortized over the vesting period in accordance with ASC 718-10, Compensation—Stock Compensation. Costs associated with LTIP units issued to the Manager are amortized over the vesting period in accordance with ASC 505-50, Equity-Based Payments to Non-Employees. The vesting period for units issued to dedicated personnel and independent directors under the Ellington Incentive Plan for Individuals (the "Individual LTIP") is typically one year. The vesting period for units issued to the Manager under the Ellington Incentive Plan for Entities (the "Manager LTIP") occurred over a three year period that ended in August 2010. The cost of the Manager LTIP units fluctuated with the price per share until the vesting date, whereas the cost of the Individual LTIP units is based on the price per share at the initial grant date. |
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Dividends | (M) Dividends: Dividends payable by the Company are recorded in the consolidated financial statements on the ex-dividend date. Dividends are typically declared and paid on a quarterly basis in arrears. |
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Shares Repurchased | (O) Shares Repurchased: Common shares that are repurchased by the Company subsequent to issuance decrease total number of shares outstanding and issued. |
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Earnings Per Share ("EPS") | (P) Earnings Per Share ("EPS"): Basic EPS is computed using the two class method by dividing net increase (decrease) in shareholders' equity resulting from operations after adjusting for the impact of long term incentive plan units deemed to be participating securities, by the weighted average number of common shares outstanding calculated including long term incentive plan units. Because the Company's long term incentive plan units are deemed to be participating securities, they are included in the calculation of basic and diluted EPS. Operating Partnership Units relating to the non-controlling interest ("OP Units") are convertible into common shares and are included in the calculation of diluted EPS. |
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Income Taxes | (Q) Income Taxes: The Company intends to be treated as a partnership for U.S. federal income tax purposes. Certain of the Company's subsidiaries are not consolidated for U.S. federal income tax purposes, but are also treated as partnerships. In general, partnerships are not subject to entity-level tax on their income, but the income of a partnership is taxable to its owners on a flow-through basis. The Company follows the provisions of ASC 740-10, Income Taxes ("ASC 740-10"), 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, based on the technical merits of the position. The Company did not have any additions to its unrecognized tax benefits resulting from tax positions related either to the current period or to 2012, 2011, 2010, or 2009 (its open tax years), and no reductions resulting from tax positions of prior years or due to settlements, and thus had no unrecognized tax benefits since inception. The Company does not expect any change in unrecognized tax benefits within the next fiscal year. There were no amounts accrued for tax penalties or interest as of or during the periods presented in these consolidated financial statements. The Company may take positions with respect to certain tax issues which depend on legal interpretation of facts or applicable tax regulations. Should the relevant tax regulators successfully challenge any such positions, the Company might be found to have a tax liability that has not been recorded in the accompanying consolidated financial statements. Also, management's conclusions regarding ASC 740-10 may be subject to review and adjustment at a later date based on factors including, but not limited to, further implementation guidance from the Financial Accounting Standards Board ("FASB"), and ongoing analyses of tax laws, regulations and interpretations thereof. |
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Subsequent Events | (R) Subsequent Events: The Company applies the provisions of ASC 855-10, Subsequent Events, in the preparation of its consolidated financial statements. This standard establishes general standards of accounting for and disclosure of events that occur after the balance sheet date but before financial statements are issued. |
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Recent Accounting Pronouncements | (S) Recent Accounting Pronouncements: In December 2011, the FASB issued ASU No. 2011-11, Disclosures about Offsetting Assets and Liabilities ("ASU 2011-11"). This amends ASC 210-20, Balance Sheet Offsetting, to require new disclosures about balance sheet offsetting for derivative and financial instruments which are offset on the Statement of Assets, Liabilities and Equity. The update requires disclosure of gross asset and liability amounts for financial instruments shown net on the Statement of Assets, Liabilities and Equity. ASU 2011-11 is effective for interim and annual periods beginning on or after January 1, 2013 and is to be applied retrospectively. In January 2013, the FASB issued ASU No. 2013-01, Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities ("ASU 2013- 01"). The amendment clarifies that the scope of ASU 2011-11 applies to derivatives accounted for in accordance with ASU No. 815, Derivatives and Hedging, including bifurcated embedded derivatives, repurchase agreements, reverse repurchase agreements, and securities borrowing and securities lending transactions that are either offset in accordance with Section 210-20-45 or Section 815-10-45 or subject to an enforceable master netting arrangement or similar agreement. The adoption of ASU 2011-11, as amended by ASU 2013-01, did not have a material impact on the Company's consolidated financial statements. In June 2013, the FASB issued ASU 2013-08, Financial Services-Investment Companies ("ASC 946"). This update modifies the guidance for ASC 946 for determining whether an entity is an investment company for GAAP purposes. It requires entities that adopted Statement of Position 07-1 prior to its deferral to reassess whether they continue to meet the definition of an investment company for GAAP purposes. The guidance is effective for interim and annual reporting periods in fiscal years that begin after December 15, 2013, with retrospective application. Earlier application is prohibited. While Management currently believes that the Company still meets the definition of an investment company under ASC 946, it is still in the process of performing its reassessment. |
Non-Controlling Interest - Operating Partnership (Details) (Noncontrolling Interest [Member])
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0 Months Ended | 6 Months Ended |
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Jan. 02, 2013
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Jun. 30, 2013
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Noncontrolling Interest [Member]
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Noncontrolling Interest [Line Items] | ||
Operating Partnership Units Issued | 212,000 | |
Holding Period Operating Partnership Units | 2 years | |
Operating Partnership Units | 212,000 | |
Ownership Percentage | 1.00% |
Financial Highlights (Tables)
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Jun. 30, 2013
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Financial Highlights [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Results of Operations For a Share Outstanding | Results of Operations for a Share Outstanding Throughout the Periods:
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Net Asset Based Total Return For a Shareholder | The following table illustrates the Company's total return for the periods presented based on net asset value: Net Asset Based Total Return for a Shareholder: (1)
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Net Asset Based Total Return For a Shareholder Assuming Conversion of All LTIP and OP Units | Supplemental Information—Net Asset Based Total Return for a Shareholder assuming conversion of all LTIP and OP units: (1)
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Net Investment Income Ratio to Average Equity | Net Investment Income Ratio to Average Equity: (1)
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Expense Ratios to Average Equity | Expense Ratios to Average Equity: (1)
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Financial Derivatives (Schedule Of Gains And Losses On Derivative Contracts) (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 6 Months Ended | ||
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Jun. 30, 2013
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Jun. 30, 2012
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Jun. 30, 2013
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Jun. 30, 2012
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Derivative [Line Items] | ||||
Net Realized Gain/Loss on Derivatives | $ (4,927) | $ (8,546) | $ (6,332) | $ (28,481) |
Unrealized Gain (Loss) on Derivatives | 21,837 | 2,926 | 16,582 | 17,679 |
Financial Derivatives - Assets [Member]
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Derivative [Line Items] | ||||
Net Realized Gain/Loss on Derivatives | (2,705) | (2,279) | (1,196) | (14,071) |
Unrealized Gain (Loss) on Derivatives | 20,206 | 3,363 | 15,072 | 6,922 |
Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Securities [Member]
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Derivative [Line Items] | ||||
Primary risk exposure | Credit | Credit | Credit | Credit |
Net Realized Gain/Loss on Derivatives | (542) | (734) | 2,709 | (5,477) |
Unrealized Gain (Loss) on Derivatives | 1,107 | 1,308 | (4,492) | 8,107 |
Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Indices [Member]
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Derivative [Line Items] | ||||
Primary risk exposure | Credit | Credit | Credit | Credit |
Net Realized Gain/Loss on Derivatives | (2,634) | (1,573) | (4,121) | (7,066) |
Unrealized Gain (Loss) on Derivatives | 3,489 | 1,522 | 3,514 | (2,268) |
Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Bond Indices [Member]
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Derivative [Line Items] | ||||
Primary risk exposure | Credit | Credit | Credit | Credit |
Net Realized Gain/Loss on Derivatives | 82 | (12) | 82 | (1,560) |
Unrealized Gain (Loss) on Derivatives | (44) | 602 | (44) | 1,173 |
Financial Derivatives - Assets [Member] | Total Return Swaps [Member]
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Derivative [Line Items] | ||||
Primary risk exposure | Equity Market | Equity Market | ||
Net Realized Gain/Loss on Derivatives | 42 | 4 | ||
Unrealized Gain (Loss) on Derivatives | 66 | 127 | ||
Financial Derivatives - Assets [Member] | Interest Rate Swaps [Member]
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Derivative [Line Items] | ||||
Primary risk exposure | Interest Rates | Interest Rates | Interest Rates | Interest Rates |
Net Realized Gain/Loss on Derivatives | 500 | 49 | 283 | 49 |
Unrealized Gain (Loss) on Derivatives | 15,583 | (69) | 15,962 | (78) |
Financial Derivatives - Assets [Member] | U.S. Treasury Note Futures [Member]
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Derivative [Line Items] | ||||
Primary risk exposure | Interest Rates | Interest Rates | ||
Net Realized Gain/Loss on Derivatives | (153) | (153) | ||
Unrealized Gain (Loss) on Derivatives | 5 | 5 | ||
Financial Derivatives - Assets [Member] | Eurodollar Futures [Member]
|
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Derivative [Line Items] | ||||
Primary risk exposure | Interest Rates | Interest Rates | ||
Net Realized Gain/Loss on Derivatives | (9) | (17) | ||
Unrealized Gain (Loss) on Derivatives | 0 | (12) | ||
Financial Derivatives - Liabilities [Member]
|
||||
Derivative [Line Items] | ||||
Net Realized Gain/Loss on Derivatives | (2,222) | (6,267) | (5,136) | (14,410) |
Unrealized Gain (Loss) on Derivatives | 1,631 | (437) | 1,510 | 10,757 |
Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Asset Backed Securities [Member]
|
||||
Derivative [Line Items] | ||||
Primary risk exposure | Credit | Credit | ||
Net Realized Gain/Loss on Derivatives | (29) | (57) | ||
Unrealized Gain (Loss) on Derivatives | (540) | (540) | ||
Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Asset Backed Indices [Member]
|
||||
Derivative [Line Items] | ||||
Primary risk exposure | Credit | Credit | Credit | Credit |
Net Realized Gain/Loss on Derivatives | 22 | 253 | 200 | 4,562 |
Unrealized Gain (Loss) on Derivatives | 455 | (927) | 814 | (893) |
Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Bond Indices [Member]
|
||||
Derivative [Line Items] | ||||
Primary risk exposure | Credit | Credit | Credit | Credit |
Net Realized Gain/Loss on Derivatives | (905) | 301 | (4,532) | 304 |
Unrealized Gain (Loss) on Derivatives | 378 | (66) | 200 | 0 |
Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member]
|
||||
Derivative [Line Items] | ||||
Primary risk exposure | Equity Market | Equity Market | Equity Market | Equity Market |
Net Realized Gain/Loss on Derivatives | (363) | (1,273) | (395) | (3,328) |
Unrealized Gain (Loss) on Derivatives | (90) | (4) | (53) | 21 |
Financial Derivatives - Liabilities [Member] | Interest Rate Swaps [Member]
|
||||
Derivative [Line Items] | ||||
Primary risk exposure | Interest Rates | Interest Rates | Interest Rates | Interest Rates |
Net Realized Gain/Loss on Derivatives | (325) | (5,548) | 292 | (15,948) |
Unrealized Gain (Loss) on Derivatives | 1,462 | 562 | 1,101 | 11,683 |
Financial Derivatives - Liabilities [Member] | U.S. Treasury Note Futures [Member]
|
||||
Derivative [Line Items] | ||||
Primary risk exposure | Interest Rates | Interest Rates | ||
Net Realized Gain/Loss on Derivatives | (597) | (597) | ||
Unrealized Gain (Loss) on Derivatives | (54) | (54) | ||
Financial Derivatives - Liabilities [Member] | Eurodollar Futures [Member]
|
||||
Derivative [Line Items] | ||||
Primary risk exposure | Interest Rates | Interest Rates | Interest Rates | Interest Rates |
Net Realized Gain/Loss on Derivatives | (25) | 0 | (47) | 0 |
Unrealized Gain (Loss) on Derivatives | $ 20 | $ (2) | $ 42 | $ (54) |
Earnings Per Share (Tables)
|
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2013
|
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Earnings Per Share [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Computation Of Basic And Diluted EPS | The components of the computation of basic and diluted EPS were as follows:
|
Base Management Fee And Incentive Fee (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2013
|
Jun. 30, 2012
|
Jun. 30, 2013
|
Jun. 30, 2012
|
|
Base Management Fee And Incentive Fee [Abstract] | ||||
Annual base management fee percentage | 1.50% | |||
Management fee description | The Operating Partnership pays the Manager 1.50% per annum of total equity of the Operating Partnership calculated in accordance with U.S. GAAP as of the end of each fiscal quarter (before deductions for base management fees and incentive fees payable with respect to such fiscal quarter), provided that total equity is adjusted to exclude one-time events pursuant to changes in U.S. GAAP, as well as non-cash charges after discussion between the Manager and the Company's independent directors, and approval by a majority of the Company's independent directors in the case of non-cash charges. | |||
Base management fee | $ 2,405 | $ 1,497 | $ 4,373 | $ 2,988 |
Incentive fee rate | 25.00% | |||
Incentive fees arrangement | The Manager is entitled to receive a quarterly incentive fee equal to the positive excess, if any, of (i) the product of (A) 25% and (B) the excess of (1) Adjusted Net Income (described below) for the Incentive Calculation Period (which means such fiscal quarter and the immediately preceding three fiscal quarters) over (2) the sum of the Hurdle Amounts (described below) for the Incentive Calculation Period, over (ii) the sum of the incentive fees already paid or payable for each fiscal quarter in the Incentive Calculation Period preceding such fiscal quarter. For purposes of calculating the incentive fee, "Adjusted Net Income" for the Incentive Calculation Period means the net increase in equity from operations of the Operating Partnership, after all base management fees but before any incentive fees for such period, and excluding any non-cash equity compensation expenses for such period, as reduced by any Loss Carryforward (as described below) as of the end of the fiscal quarter preceding the Incentive Calculation Period. For purposes of calculating the incentive fee, the "Loss Carryforward" as of the end of any fiscal quarter is calculated by determining the excess, if any, of (1) the Loss Carryforward as of the end of the immediately preceding fiscal quarter over (2) our net increase in equity from operations (expressed as a positive number) or net decrease in equity from operations (expressed as a negative number) of the Operating Partnership for such fiscal quarter. As of March 31, 2013 there was no Loss Carryforward. For purposes of calculating the incentive fee, the "Hurdle Amount" means, with respect to any fiscal quarter, the product of (i) one-fourth of the greater of (A) 9% and (B) 3% plus the ten-year U.S. Treasury rate for such fiscal quarter, (ii) the sum of (A) the weighted average gross proceeds per share of all common share and OP unit issuances since inception of the Company and up to the end of such fiscal quarter, with each issuance weighted by both the number of shares and OP units issued in such issuance and the number of days that such issued shares and OP units were outstanding during such fiscal quarter, using a first-in first-out basis of accounting (i.e. attributing any share and OP unit repurchases to the earliest issuances first) and (B) the result obtained by dividing (I) retained earnings attributable to common shares and OP units at the beginning of such fiscal quarter by (II) the average number of common shares and OP units outstanding for each day during such fiscal quarter, (iii) the sum of the average number of common shares, LTIP Units, and OP units outstanding for each day during such fiscal quarter. For purposes of determining the Hurdle Amount, issuances of common shares and OP units (a) as equity incentive awards, (b) to the Manager as part of its base management fee or incentive fee and (c) to the Manager or any of its affiliates in privately negotiated transactions, are excluded from the calculation. The payment of the incentive fee will be in a combination of common shares and cash, provided that at least 10% of any quarterly payment will be made in common shares. | |||
Incentive fee hurdle rate fixed | 9.00% | |||
Incentive fee hurdle rate floating | 3.00% | |||
Minimum percentage of incentive fee to be paid in share | 10.00% | |||
Incentive fee | $ 1,182 | $ 2,312 | $ 3,237 | $ 2,312 |
Subsequent Events
|
6 Months Ended |
---|---|
Jun. 30, 2013
|
|
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events On August 1, 2013, the Company's Board of Directors approved a dividend for the second quarter of 2013 in the amount of $0.77 per share payable on September 16, 2013 to shareholders of record as of August 30, 2013. |
Consolidated Condensed Schedule Of Investments (Investments Sold Short) (USD $)
In Thousands, unless otherwise specified |
6 Months Ended | 12 Months Ended | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2013
|
Dec. 31, 2012
|
|||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Investments sold short at fair value- | $ (608,922) | $ (622,301) | ||||||||||
Proceeds from investments sold short | (614,208) | (621,048) | ||||||||||
TBA - Fixed Rate Agency Securities Sold Short [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Investments sold short at fair value- | (561,845) | [1],[2] | (608,720) | [1],[3] | ||||||||
Proceeds from investments sold short | (566,128) | [1],[2] | (607,967) | [1],[3] | ||||||||
Investments sold not yet purchased as a percentage of net assets | (88.08%) | [1],[2],[4] | (120.22%) | [1],[3],[4] | ||||||||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 3.50% 2013-07 [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Current Principal/Notional Amount | (193,482) | [1],[2] | ||||||||||
Description | Federal National Mortgage Association (30 Year) | [1],[2] | ||||||||||
Rate | 3.50% | [1],[2] | ||||||||||
Investments maturity date | 2013-07 | [1],[2] | ||||||||||
Investments sold short at fair value- | (196,437) | [1],[2] | ||||||||||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 4.50% 2013-07 [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Current Principal/Notional Amount | (77,380) | [1],[2] | ||||||||||
Description | Federal National Mortgage Association (30 Year) | [1],[2] | ||||||||||
Rate | 4.50% | [1],[2] | ||||||||||
Investments maturity date | 2013-07 | [1],[2] | ||||||||||
Investments sold short at fair value- | (81,893) | [1],[2] | ||||||||||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 5.00% 2013-07 [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Current Principal/Notional Amount | (61,400) | [1],[2] | ||||||||||
Description | Federal National Mortgage Association (30 Year) | [1],[2] | ||||||||||
Rate | 5.00% | [1],[2] | ||||||||||
Investments maturity date | 2013-07 | [1],[2] | ||||||||||
Investments sold short at fair value- | (66,091) | [1],[2] | ||||||||||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (15 Year) 3.00% 2013-07 [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Current Principal/Notional Amount | (42,160) | [1],[2] | ||||||||||
Description | Federal National Mortgage Association (15 Year) | [1],[2] | ||||||||||
Rate | 3.00% | [1],[2] | ||||||||||
Investments maturity date | 2013-07 | [1],[2] | ||||||||||
Investments sold short at fair value- | (43,369) | [1],[2] | ||||||||||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 3.50% 2013-08 [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Current Principal/Notional Amount | (40,400) | [1],[2] | ||||||||||
Description | Federal National Mortgage Association (30 Year) | [1],[2] | ||||||||||
Rate | 3.50% | [1],[2] | ||||||||||
Investments maturity date | 2013-08 | [1],[2] | ||||||||||
Investments sold short at fair value- | (40,900) | [1],[2] | ||||||||||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 3.00% 2013-07 [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Current Principal/Notional Amount | (27,950) | [1],[2] | ||||||||||
Description | Federal National Mortgage Association (30 Year) | [1],[2] | ||||||||||
Rate | 3.00% | [1],[2] | ||||||||||
Investments maturity date | 2013-07 | [1],[2] | ||||||||||
Investments sold short at fair value- | (27,320) | [1],[2] | ||||||||||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation (30 Year) 3.50% 2013-07 [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Current Principal/Notional Amount | (20,100) | [1],[2] | ||||||||||
Description | Federal Home Loan Mortgage Corporation (30 Year) | [1],[2] | ||||||||||
Rate | 3.50% | [1],[2] | ||||||||||
Investments maturity date | 2013-07 | [1],[2] | ||||||||||
Investments sold short at fair value- | (20,356) | [1],[2] | ||||||||||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation (30 Year) 5.00% 2013-07 [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Current Principal/Notional Amount | (16,500) | [1],[2] | ||||||||||
Description | Federal Home Loan Mortgage Corporation (30 Year) | [1],[2] | ||||||||||
Rate | 5.00% | [1],[2] | ||||||||||
Investments maturity date | 2013-07 | [1],[2] | ||||||||||
Investments sold short at fair value- | (17,621) | [1],[2] | ||||||||||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (15 Year) 3.50% 2013-07 [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Current Principal/Notional Amount | (15,800) | [1],[2] | ||||||||||
Description | Federal National Mortgage Association (15 Year) | [1],[2] | ||||||||||
Rate | 3.50% | [1],[2] | ||||||||||
Investments maturity date | 2013-07 | [1],[2] | ||||||||||
Investments sold short at fair value- | (16,475) | [1],[2] | ||||||||||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (15 Year) 4.00% 2013-07 [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Current Principal/Notional Amount | (14,104) | [1],[2] | ||||||||||
Description | Federal National Mortgage Association (15 Year) | [1],[2] | ||||||||||
Rate | 4.00% | [1],[2] | ||||||||||
Investments maturity date | 2013-07 | [1],[2] | ||||||||||
Investments sold short at fair value- | (14,869) | [1],[2] | ||||||||||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (15 Year) 4.50% 2013-07 [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Current Principal/Notional Amount | (11,000) | [1],[2] | ||||||||||
Description | Federal National Mortgage Association (15 Year) | [1],[2] | ||||||||||
Rate | 4.50% | [1],[2] | ||||||||||
Investments maturity date | 2013-07 | [1],[2] | ||||||||||
Investments sold short at fair value- | (11,656) | [1],[2] | ||||||||||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation (30 Year) 4.00% 2013-07 [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Current Principal/Notional Amount | (9,200) | [1],[2] | ||||||||||
Description | Federal Home Loan Mortgage Corporation (30 Year) | [1],[2] | ||||||||||
Rate | 4.00% | [1],[2] | ||||||||||
Investments maturity date | 2013-07 | [1],[2] | ||||||||||
Investments sold short at fair value- | (9,564) | [1],[2] | ||||||||||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 4.00% 2013-08 [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Current Principal/Notional Amount | (7,400) | [1],[2] | ||||||||||
Description | Federal National Mortgage Association (30 Year) | [1],[2] | ||||||||||
Rate | 4.00% | [1],[2] | ||||||||||
Investments maturity date | 2013-08 | [1],[2] | ||||||||||
Investments sold short at fair value- | (7,689) | [1],[2] | ||||||||||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 5.50% 2013-07 [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Current Principal/Notional Amount | (3,500) | [1],[2] | ||||||||||
Description | Federal National Mortgage Association (30 Year) | [1],[2] | ||||||||||
Rate | 5.50% | [1],[2] | ||||||||||
Investments maturity date | 2013-07 | [1],[2] | ||||||||||
Investments sold short at fair value- | (3,801) | [1],[2] | ||||||||||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Other Federal National Mortgage Association (30 Year) 6.00% 2013-07 [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Current Principal/Notional Amount | (2,500) | [1],[2] | ||||||||||
Description | Other Federal National Mortgage Association (30 Year) | [1],[2] | ||||||||||
Rate | 6.00% | [1],[2] | ||||||||||
Investments maturity date | 2013-07 | [1],[2] | ||||||||||
Investments sold short at fair value- | (2,720) | [1],[2] | ||||||||||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Other Federal Home Loan Mortgage Corporation (30 Year) 6.00% 2013-07 [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Current Principal/Notional Amount | (1,000) | [1],[2] | ||||||||||
Description | Other Federal Home Loan Mortgage Corporation (30 Year) | [1],[2] | ||||||||||
Rate | 6.00% | [1],[2] | ||||||||||
Investments maturity date | 2013-07 | [1],[2] | ||||||||||
Investments sold short at fair value- | (1,084) | [1],[2] | ||||||||||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 3.50% 2013-01 [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Current Principal/Notional Amount | (198,168) | [1],[3] | ||||||||||
Description | Federal National Mortgage Association (30 Year) | [1],[3] | ||||||||||
Rate | 3.50% | [1],[3] | ||||||||||
Investments maturity date | 2013-01 | [1],[3] | ||||||||||
Investments sold short at fair value- | (211,343) | [1],[3] | ||||||||||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 5.00% 2013-01 [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Current Principal/Notional Amount | (87,500) | [1],[3] | ||||||||||
Description | Federal National Mortgage Association (30 Year) | [1],[3] | ||||||||||
Rate | 5.00% | [1],[3] | ||||||||||
Investments maturity date | 2013-01 | [1],[3] | ||||||||||
Investments sold short at fair value- | (94,794) | [1],[3] | ||||||||||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 4.50% 2013-01 [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Current Principal/Notional Amount | (77,730) | [1],[3] | ||||||||||
Description | Federal National Mortgage Association (30 Year) | [1],[3] | ||||||||||
Rate | 4.50% | [1],[3] | ||||||||||
Investments maturity date | 2013-01 | [1],[3] | ||||||||||
Investments sold short at fair value- | (83,982) | [1],[3] | ||||||||||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation (30 Year) 3.50% 2013-01 [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Current Principal/Notional Amount | (53,400) | [1],[3] | ||||||||||
Description | Federal Home Loan Mortgage Corporation (30 Year) | [1],[3] | ||||||||||
Rate | 3.50% | [1],[3] | ||||||||||
Investments maturity date | 2013-01 | [1],[3] | ||||||||||
Investments sold short at fair value- | (56,804) | [1],[3] | ||||||||||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (15 Year) 3.00% 2013-01 [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Current Principal/Notional Amount | (34,510) | [1],[3] | ||||||||||
Description | Federal National Mortgage Association (15 Year) | [1],[3] | ||||||||||
Rate | 3.00% | [1],[3] | ||||||||||
Investments maturity date | 2013-01 | [1],[3] | ||||||||||
Investments sold short at fair value- | (36,430) | [1],[3] | ||||||||||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 3.00% 2013-01 [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Current Principal/Notional Amount | (31,600) | [1],[3] | ||||||||||
Description | Federal National Mortgage Association (30 Year) | [1],[3] | ||||||||||
Rate | 3.00% | [1],[3] | ||||||||||
Investments maturity date | 2013-01 | [1],[3] | ||||||||||
Investments sold short at fair value- | (33,128) | [1],[3] | ||||||||||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation (30 Year) 5.00% 2013-01 [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Current Principal/Notional Amount | (16,500) | [1],[3] | ||||||||||
Description | Federal Home Loan Mortgage Corporation (30 Year) | [1],[3] | ||||||||||
Rate | 5.00% | [1],[3] | ||||||||||
Investments maturity date | 2013-01 | [1],[3] | ||||||||||
Investments sold short at fair value- | (17,776) | [1],[3] | ||||||||||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (15 Year) 3.50% 2013-01 [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Current Principal/Notional Amount | (16,450) | [1],[3] | ||||||||||
Description | Federal National Mortgage Association (15 Year) | [1],[3] | ||||||||||
Rate | 3.50% | [1],[3] | ||||||||||
Investments maturity date | 2013-01 | [1],[3] | ||||||||||
Investments sold short at fair value- | (17,460) | [1],[3] | ||||||||||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 4.00% 2013-01 [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Current Principal/Notional Amount | (15,718) | [1],[3] | ||||||||||
Description | Federal National Mortgage Association (30 Year) | [1],[3] | ||||||||||
Rate | 4.00% | [1],[3] | ||||||||||
Investments maturity date | 2013-01 | [1],[3] | ||||||||||
Investments sold short at fair value- | (16,852) | [1],[3] | ||||||||||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (15 Year) 4.00% 2013-01 [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Current Principal/Notional Amount | (14,104) | [1],[3] | ||||||||||
Description | Federal National Mortgage Association (15 Year) | [1],[3] | ||||||||||
Rate | 4.00% | [1],[3] | ||||||||||
Investments maturity date | 2013-01 | [1],[3] | ||||||||||
Investments sold short at fair value- | (15,096) | [1],[3] | ||||||||||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (15 Year) 4.50% 2013-01 [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Current Principal/Notional Amount | (11,000) | [1],[3] | ||||||||||
Description | Federal National Mortgage Association (15 Year) | [1],[3] | ||||||||||
Rate | 4.50% | [1],[3] | ||||||||||
Investments maturity date | 2013-01 | [1],[3] | ||||||||||
Investments sold short at fair value- | (11,833) | [1],[3] | ||||||||||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 5.50% 2013-01 [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Current Principal/Notional Amount | (7,500) | [1],[3] | ||||||||||
Description | Federal National Mortgage Association (30 Year) | [1],[3] | ||||||||||
Rate | 5.50% | [1],[3] | ||||||||||
Investments maturity date | 2013-01 | [1],[3] | ||||||||||
Investments sold short at fair value- | (8,148) | [1],[3] | ||||||||||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association (30 Year) 6.00% 2013-01 [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Current Principal/Notional Amount | (2,500) | [1],[3] | ||||||||||
Description | Federal National Mortgage Association (30 Year) | [1],[3] | ||||||||||
Rate | 6.00% | [1],[3] | ||||||||||
Investments maturity date | 2013-01 | [1],[3] | ||||||||||
Investments sold short at fair value- | (2,731) | [1],[3] | ||||||||||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Other Federal National Mortgage Association (15 Year) 2.50% 2013-01 [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Current Principal/Notional Amount | (1,200) | [1],[3] | ||||||||||
Description | Other Federal National Mortgage Association (15 Year) | [1],[3] | ||||||||||
Rate | 2.50% | [1],[3] | ||||||||||
Investments maturity date | 2013-01 | [1],[3] | ||||||||||
Investments sold short at fair value- | (1,255) | [1],[3] | ||||||||||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Other Federal Home Loan Mortgage Corporation (30 Year) 6.00% 2013-01 [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Current Principal/Notional Amount | (1,000) | [1],[3] | ||||||||||
Description | Other Federal Home Loan Mortgage Corporation (30 Year) | [1],[3] | ||||||||||
Rate | 6.00% | [1],[3] | ||||||||||
Investments maturity date | 2013-01 | [1],[3] | ||||||||||
Investments sold short at fair value- | (1,088) | [1],[3] | ||||||||||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal National Mortgage Association [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Investments sold not yet purchased as a percentage of net assets | (80.46%) | (105.27%) | ||||||||||
TBA - Fixed Rate Agency Securities Sold Short [Member] | Federal Home Loan Mortgage Corporation [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Investments sold not yet purchased as a percentage of net assets | (7.62%) | (14.95%) | ||||||||||
U.S. Treasury Securities Sold Short [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Investments sold short at fair value- | (40,977) | [1] | (13,581) | [1] | ||||||||
Proceeds from investments sold short | (41,929) | [1] | (13,081) | [1] | ||||||||
Investments sold not yet purchased as a percentage of net assets | (6.42%) | [1],[4] | (2.68%) | [1],[4] | ||||||||
U.S. Treasury Securities Sold Short [Member] | U.S. Treasury Note 2.00% 2023-02 [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Current Principal/Notional Amount | (18,700) | [1] | ||||||||||
Description | U.S. Treasury Note | [1] | ||||||||||
Rate | 2.00% | [1] | ||||||||||
Investments maturity date | 2023-02 | [1] | ||||||||||
Investments sold short at fair value- | (17,989) | [1] | ||||||||||
U.S. Treasury Securities Sold Short [Member] | U.S. Treasury Note 1.75% 2016-05 [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Current Principal/Notional Amount | (13,000) | [1] | (13,000) | [1] | ||||||||
Description | U.S. Treasury Note | [1] | U.S. Treasury Note | [1] | ||||||||
Rate | 1.75% | [1] | 1.75% | [1] | ||||||||
Investments maturity date | 2016-05 | [1] | 2016-05 | [1] | ||||||||
Investments sold short at fair value- | (13,408) | [1] | (13,581) | [1] | ||||||||
U.S. Treasury Securities Sold Short [Member] | U.S. Treasury Note 1.13% 2019-02 [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Current Principal/Notional Amount | (10,000) | [1] | ||||||||||
Description | U.S. Treasury Note | [1] | ||||||||||
Rate | 1.13% | [1] | ||||||||||
Investments maturity date | 2019-12 | [1] | ||||||||||
Investments sold short at fair value- | (9,580) | [1] | ||||||||||
Common Stock Sold Short [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Investments sold short at fair value- | (6,100) | [1] | ||||||||||
Proceeds from investments sold short | (6,151) | [1] | ||||||||||
Investments sold not yet purchased as a percentage of net assets | (0.96%) | [1],[4] | ||||||||||
Common Stock Sold Short [Member] | Real Estate Investment Trusts [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Description | Publicly Traded Real Estate Investment Trusts | [1] | ||||||||||
Investments sold short at fair value- | (6,100) | [1] | ||||||||||
Investment Sold, Not yet Purchased, Balance, Shares | (439) | [1] | ||||||||||
Securities Sold Short - Securities Sold, Not Yet Purchased [Member]
|
||||||||||||
Investments Sold, Not yet Purchased [Line Items] | ||||||||||||
Investments sold short at fair value- | (608,922) | [1] | (622,301) | [1] | ||||||||
Proceeds from investments sold short | $ (614,208) | [1] | $ (621,048) | [1] | ||||||||
Investments sold not yet purchased as a percentage of net assets | (95.46%) | [1],[4] | (122.90%) | [1],[4] | ||||||||
|
Consolidated Statement Of Operations (USD $)
In Thousands, except Per Share data, unless otherwise specified |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2013
|
Jun. 30, 2012
|
Jun. 30, 2013
|
Jun. 30, 2012
|
|
INVESTMENT INCOME | ||||
Interest income | $ 20,335 | $ 16,045 | $ 38,717 | $ 31,777 |
EXPENSES | ||||
Base management fee | 2,405 | 1,497 | 4,373 | 2,988 |
Incentive fee | 1,182 | 2,312 | 3,237 | 2,312 |
Interest expense | 2,582 | 1,992 | 4,724 | 3,824 |
Other investment related expenses | 327 | 0 | 327 | 0 |
Compensation expense | 432 | 300 | 760 | 675 |
Custody and other fees | 338 | 304 | 656 | 608 |
Professional fees | 338 | 328 | 779 | 606 |
Agency and administration fees | 281 | 217 | 543 | 430 |
Insurance expense | 173 | 177 | 353 | 354 |
Directors' fees and expenses | 66 | 66 | 143 | 140 |
Share-based LTIP expense | 43 | 30 | 85 | 58 |
Total expenses | 8,167 | 7,223 | 15,980 | 11,995 |
NET INVESTMENT INCOME | 12,168 | 8,822 | 22,737 | 19,782 |
Net realized gain (loss) on: | ||||
Investments | 10,598 | (2,734) | 24,596 | 5,413 |
Swaps | (4,152) | (8,537) | (5,535) | (28,464) |
Futures | (775) | (9) | (797) | (17) |
Total net realized gain (loss) on investments and financial derivatives | 5,671 | (11,280) | 18,264 | (23,068) |
Change in net unrealized gain (loss) on: | ||||
Investments | (27,971) | 10,300 | (5,132) | 28,430 |
Swaps | 21,866 | 2,928 | 16,589 | 17,745 |
Futures | (29) | (2) | (7) | (66) |
Total net unrealized gain (loss) on investments and financial derivatives | (6,134) | 13,226 | 11,450 | 46,109 |
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FINANCIAL DERIVATIVES | (463) | 1,946 | 29,714 | 23,041 |
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | 11,705 | 10,768 | 52,451 | 42,823 |
Net Income (Loss) Attributable to Noncontrolling Interest | 105 | 0 | 516 | 0 |
Net Income (Loss) Attributable to Parent | $ 11,600 | $ 10,768 | $ 51,935 | $ 42,823 |
NET INCREASE (DECREASE) IN SHAREHOLDERS' EQUITY RESULTING FROM OPERATIONS PER SHARE: | ||||
Basic and Diluted (in usd per share) | $ 0.49 | $ 0.64 | $ 2.35 | $ 2.54 |
Consolidated Statement Of Cash Flows (USD $)
In Thousands, unless otherwise specified |
6 Months Ended | |
---|---|---|
Jun. 30, 2013
|
Jun. 30, 2012
|
|
INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS: | ||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | $ 52,451 | $ 42,823 |
Reconciliation of the net increase in equity resulting from operations to net cash provided by (used in) operating activities: | ||
Change in net unrealized gain (loss) on investments and financial derivatives | (11,450) | (46,109) |
Net realized (gain) loss on investments and financial derivatives | (18,264) | 23,068 |
Amortization of premiums and accretion of discounts (net) | (10,204) | (5,150) |
Purchase of investments | (1,026,018) | (1,188,608) |
Proceeds from disposition of investments | 602,098 | 1,257,719 |
Proceeds from principal payments of investments | 97,641 | 63,097 |
Proceeds from investments sold short | 631,565 | 480,034 |
Repurchase of investments sold short | (624,288) | (459,870) |
Payments made to open financial derivatives | (4,974) | (67,208) |
Proceeds received to close financial derivatives | 23,201 | 89,373 |
Proceeds received to open financial derivatives | 11,815 | 35,603 |
Payments made to close financial derivatives | (14,934) | (38,363) |
Shares issued in connection with incentive fee payment | 941 | 0 |
Share-based LTIP expense | 85 | 58 |
(Increase) decrease in assets: | ||
Increase in repurchase agreements | (27,538) | (20,998) |
Increase in receivable for securities sold | (45,116) | (78,158) |
(Increase) decrease in due from brokers | (25,550) | 4,803 |
Increase in interest and principal receivable | (852) | (1,002) |
Increase in other assets | (674) | (626) |
Increase (decrease) in liabilities: | ||
Decrease in due to brokers | (609) | (33,350) |
Increase (decrease) in payable for securities purchased | 78,751 | (44,217) |
Increase (decrease) in accounts payable and accrued expenses | (159) | 278 |
Increase (decrease) in incentive fee payable | (6,161) | 2,312 |
Increase (decrease) in other payables | (592) | 0 |
Increase (decrease) in interest and dividends payable | 948 | (224) |
Increase in base management fee payable | 471 | 101 |
Net cash provided by (used in) operating activities | (317,416) | 15,386 |
Cash flows provided by (used in) financing activities: | ||
Proceeds from the issuance of shares | 125,600 | 0 |
Proceeds from Noncontrolling Interests | 4,664 | 0 |
Offering costs paid | (253) | 0 |
Dividends paid | (51,976) | (18,522) |
Proceeds from issuance of securitized debt | 0 | 1,522 |
Principal payments on securitized debt | (182) | (115) |
Reverse repurchase agreements, net of repayments | 382,274 | (12,888) |
Net cash provided by (used in) financing activities | 460,127 | (30,003) |
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS | 142,711 | (14,617) |
CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD | 59,084 | 62,737 |
CASH AND CASH EQUIVALENTS, END OF PERIOD | 201,795 | 48,120 |
Supplemental disclosure of cash flow information: | ||
Interest paid | 4,007 | 4,034 |
Shares issued in connection with incentive fee payment (non-cash) | 941 | 0 |
Share-based LTIP awards (non-cash) | 85 | 58 |
Aggregate TBA trade activity (buys sells) (non-cash) | $ 10,009,367 | $ 8,312,761 |
Consolidated Statement Of Changes In Equity (USD $)
In Thousands, unless otherwise specified |
Total
|
Parent [Member]
|
Noncontrolling Interest [Member]
|
|||||
---|---|---|---|---|---|---|---|---|
Stockholders' Equity, Including Portion Attributable to Noncontrolling Interest at Dec. 31, 2011 | $ 370,916 | |||||||
Stockholders' Equity Attributable to Noncontrolling Interest at Dec. 31, 2011 | 0 | |||||||
Stockholders' Equity Attributable to Parent at Dec. 31, 2011 | 370,916 | |||||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ||||||||
Net investment income | 19,782 | |||||||
Net realized gain (loss) on investments and financial derivatives | (23,068) | |||||||
Change in net unrealized gain (loss) on investments and financial derivatives | 46,109 | |||||||
Net Income (Loss) Attributable to Parent | 42,823 | 42,823 | ||||||
Net Income (Loss) Attributable to Noncontrolling Interest | 0 | 0 | ||||||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | 42,823 | |||||||
CHANGE IN EQUITY RESULTING FROM TRANSACTIONS | ||||||||
Proceeds from the issuance of shares | 0 | 0 | ||||||
Shares issued in connection with incentive fee payment | 0 | 0 | ||||||
Noncontrolling Interest, Increase from Equity Issuance or Sale of Parent Equity Interest | 0 | 0 | ||||||
Dividends(1) | [1] | (18,522) | [2] | (18,522) | 0 | |||
Offering costs | 0 | 0 | ||||||
Share-based LTIP awards | 58 | 58 | 0 | |||||
Net increase (decrease) in equity from transactions | (18,464) | (18,464) | 0 | |||||
Net increase in equity | 24,359 | 24,359 | 0 | |||||
Stockholders' Equity, Including Portion Attributable to Noncontrolling Interest at Jun. 30, 2012 | 395,275 | |||||||
Stockholders' Equity Attributable to Noncontrolling Interest at Jun. 30, 2012 | 0 | |||||||
Stockholders' Equity Attributable to Parent at Jun. 30, 2012 | 395,275 | |||||||
Stockholders' Equity, Including Portion Attributable to Noncontrolling Interest at Dec. 31, 2012 | 506,355 | |||||||
Stockholders' Equity Attributable to Noncontrolling Interest at Dec. 31, 2012 | 0 | 0 | ||||||
Stockholders' Equity Attributable to Parent at Dec. 31, 2012 | 506,355 | 506,355 | ||||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ||||||||
Net investment income | 22,737 | |||||||
Net realized gain (loss) on investments and financial derivatives | 18,264 | |||||||
Change in net unrealized gain (loss) on investments and financial derivatives | 11,450 | |||||||
Net Income (Loss) Attributable to Parent | 51,935 | 51,935 | ||||||
Net Income (Loss) Attributable to Noncontrolling Interest | 516 | 516 | ||||||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | 52,451 | |||||||
CHANGE IN EQUITY RESULTING FROM TRANSACTIONS | ||||||||
Proceeds from the issuance of shares | 125,600 | 125,600 | ||||||
Shares issued in connection with incentive fee payment | 941 | 941 | ||||||
Noncontrolling Interest, Increase from Equity Issuance or Sale of Parent Equity Interest | 4,664 | 4,664 | ||||||
Dividends(1) | [1] | (51,976) | [2] | (51,491) | (485) | |||
Offering costs | (262) | (262) | ||||||
Share-based LTIP awards | 85 | 84 | 1 | |||||
Net increase (decrease) in equity from transactions | 79,052 | 74,872 | 4,180 | |||||
Net increase in equity | 131,503 | 126,807 | 4,696 | |||||
Stockholders' Equity, Including Portion Attributable to Noncontrolling Interest at Jun. 30, 2013 | 637,858 | |||||||
Stockholders' Equity Attributable to Noncontrolling Interest at Jun. 30, 2013 | 4,696 | 4,696 | ||||||
Stockholders' Equity Attributable to Parent at Jun. 30, 2013 | $ 633,162 | $ 633,162 | ||||||
|
Financial Derivatives (Schedule Of Credit Derivatives) (Details) (USD $)
In Thousands, unless otherwise specified |
Jun. 30, 2013
|
Dec. 31, 2012
|
||||||
---|---|---|---|---|---|---|---|---|
Credit Default Swap, Selling Protection [Member]
|
||||||||
Credit Derivatives [Line Items] | ||||||||
Fair Value of Written Credit Derivatives, Net | $ (13,351) | $ (11,986) | ||||||
Notional value | (48,522) | [1] | (40,216) | [1] | ||||
Credit Default Swap, Buying Protection [Member]
|
||||||||
Credit Derivatives [Line Items] | ||||||||
Fair Value of Written Credit Derivatives, Net | 126 | [2] | (717) | [2] | ||||
Notional value | $ 4,875 | [2] | $ 7,792 | [2] | ||||
|
Financial Derivatives (Tables)
|
6 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2013
|
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Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Gains and Losses on Derivative Contracts | Gains and losses on the Company's derivative contracts for the three and six month periods ended June 30, 2013 and 2012 are summarized in the tables below: June 30, 2013:
June 30, 2012:
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Credit Derivatives | Written credit derivatives held by the Company at June 30, 2013 and December 31, 2012, respectively, are summarized below:
|
Counterparty Risk (Tables)
|
6 Months Ended | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2013
|
|||||||||||||||||||
Risks and Uncertainties [Abstract] | |||||||||||||||||||
% Of Total Collateral On Reverse Repurchase Agreements | The following table details the percentage of such collateral held by counterparties who hold greater than 15% of the aggregate $1.5 billion in collateral for various reverse repurchase agreements as of June 30, 2013. In addition to the below, unencumbered investments, on a settlement date basis, of approximately $146.3 million were held in custody at the Bank of New York Mellon Corporation.
|
||||||||||||||||||
% Of Total Deposits With Dealers Held As Collateral | The following table details the percentage of collateral amounts held by dealers who hold greater than 15% of the Company's Due from Broker, included as of June 30, 2013:
|
||||||||||||||||||
% Of Total Receivable For Securities Sold | The following table details the percentage of amounts held by dealers who hold greater than 15% of the Company's Receivable for securities sold as of June 30, 2013:
|
Valuation (Schedule Of Financial Instruments) (Details) (USD $)
In Thousands, unless otherwise specified |
6 Months Ended | 12 Months Ended | ||||
---|---|---|---|---|---|---|
Jun. 30, 2013
|
Dec. 31, 2012
|
|||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-assets at fair value- | $ 46,977 | $ 48,504 | ||||
Fair value | 41,188 | [1] | 13,650 | [1] | ||
Investments sold short at fair value- | (608,922) | (622,301) | ||||
Financial derivatives-liabilities at fair value- | (18,543) | (15,212) | ||||
Level 1 [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Cash and cash equivalents | 201,795 | 59,084 | ||||
Total investments, financial derivatives-assets at fair value, and repurchase agreements | 2,992 | 0 | ||||
Total investments sold short, financial derivatives-liabilities at fair value, and securitized debt | (6,183) | (70) | ||||
Level 1 [Member] | Investments Sold Short [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments sold short at fair value- | (6,100) | |||||
Level 1 [Member] | Investments Sold Short [Member] | U.S. Treasury And Agency Residential Mortgage-Backed Securities [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments sold short at fair value- | 0 | 0 | ||||
Level 1 [Member] | Investments Sold Short [Member] | Common Stock Sold Short [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments sold short at fair value- | (6,100) | |||||
Level 1 [Member] | Financial Derivatives - Liabilities [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-liabilities at fair value- | (83) | (70) | ||||
Level 1 [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Indices [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-liabilities at fair value- | 0 | 0 | ||||
Level 1 [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Asset Backed Indices [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-liabilities at fair value- | 0 | 0 | ||||
Level 1 [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Asset Backed Securities [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-liabilities at fair value- | 0 | 0 | ||||
Level 1 [Member] | Financial Derivatives - Liabilities [Member] | Interest Rate Swaps [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-liabilities at fair value- | 0 | 0 | ||||
Level 1 [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-liabilities at fair value- | 0 | 0 | ||||
Level 1 [Member] | Financial Derivatives - Liabilities [Member] | Unrealized Depreciation On Future Contracts [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-liabilities at fair value- | (83) | (70) | ||||
Level 1 [Member] | Securitized Debt [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Securitized debt | 0 | 0 | ||||
Level 1 [Member] | Investments [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments at fair value- | 2,987 | 0 | ||||
Level 1 [Member] | Investments [Member] | U.S. Treasury And Agency Residential Mortgage-Backed Securities [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments at fair value- | 0 | 0 | ||||
Level 1 [Member] | Investments [Member] | Private Label Residential Mortgage-Backed Securities [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments at fair value- | 0 | 0 | ||||
Level 1 [Member] | Investments [Member] | Private Label Commercial Mortgage-Backed Securities [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments at fair value- | 0 | 0 | ||||
Level 1 [Member] | Investments [Member] | Commercial Mortgage Loans [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments at fair value- | 0 | 0 | ||||
Level 1 [Member] | Investments [Member] | Asset-backed Securities [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments at fair value- | 0 | |||||
Level 1 [Member] | Investments [Member] | Common Stocks, by Industry [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments at fair value- | 2,987 | |||||
Level 1 [Member] | Financial Derivatives - Assets [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-assets at fair value- | 5 | 0 | ||||
Level 1 [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Indices [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-assets at fair value- | 0 | |||||
Level 1 [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Indices [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-assets at fair value- | 0 | 0 | ||||
Level 1 [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Securities [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-assets at fair value- | 0 | 0 | ||||
Level 1 [Member] | Financial Derivatives - Assets [Member] | Interest Rate Swaps [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-assets at fair value- | 0 | 0 | ||||
Level 1 [Member] | Financial Derivatives - Assets [Member] | Total Return Swaps [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-assets at fair value- | 0 | |||||
Level 1 [Member] | Financial Derivatives - Assets [Member] | Unrealized Appreciation On Futures Contracts [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-assets at fair value- | 5 | |||||
Level 1 [Member] | Repurchase Agreements [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Fair value | 0 | 0 | ||||
Level 2 [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Cash and cash equivalents | 0 | 0 | ||||
Total investments, financial derivatives-assets at fair value, and repurchase agreements | 981,245 | 837,356 | ||||
Total investments sold short, financial derivatives-liabilities at fair value, and securitized debt | (620,741) | (637,442) | ||||
Level 2 [Member] | Investments Sold Short [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments sold short at fair value- | (602,822) | |||||
Level 2 [Member] | Investments Sold Short [Member] | U.S. Treasury And Agency Residential Mortgage-Backed Securities [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments sold short at fair value- | (602,822) | (622,301) | ||||
Level 2 [Member] | Investments Sold Short [Member] | Common Stock Sold Short [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments sold short at fair value- | 0 | |||||
Level 2 [Member] | Financial Derivatives - Liabilities [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-liabilities at fair value- | (17,919) | (15,141) | ||||
Level 2 [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Indices [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-liabilities at fair value- | (4,236) | (484) | ||||
Level 2 [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Asset Backed Indices [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-liabilities at fair value- | (13,543) | (13,468) | ||||
Level 2 [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Asset Backed Securities [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-liabilities at fair value- | 0 | 0 | ||||
Level 2 [Member] | Financial Derivatives - Liabilities [Member] | Interest Rate Swaps [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-liabilities at fair value- | (22) | (1,124) | ||||
Level 2 [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-liabilities at fair value- | (118) | (65) | ||||
Level 2 [Member] | Financial Derivatives - Liabilities [Member] | Unrealized Depreciation On Future Contracts [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-liabilities at fair value- | 0 | 0 | ||||
Level 2 [Member] | Securitized Debt [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Securitized debt | 0 | 0 | ||||
Level 2 [Member] | Investments [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments at fair value- | 914,219 | 811,233 | ||||
Level 2 [Member] | Investments [Member] | U.S. Treasury And Agency Residential Mortgage-Backed Securities [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments at fair value- | 914,219 | 811,233 | ||||
Level 2 [Member] | Investments [Member] | Private Label Residential Mortgage-Backed Securities [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments at fair value- | 0 | 0 | ||||
Level 2 [Member] | Investments [Member] | Private Label Commercial Mortgage-Backed Securities [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments at fair value- | 0 | 0 | ||||
Level 2 [Member] | Investments [Member] | Commercial Mortgage Loans [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments at fair value- | 0 | 0 | ||||
Level 2 [Member] | Investments [Member] | Asset-backed Securities [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments at fair value- | 0 | |||||
Level 2 [Member] | Investments [Member] | Common Stocks, by Industry [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments at fair value- | 0 | |||||
Level 2 [Member] | Financial Derivatives - Assets [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-assets at fair value- | 25,838 | 12,473 | ||||
Level 2 [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Indices [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-assets at fair value- | 127 | |||||
Level 2 [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Indices [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-assets at fair value- | 9,618 | 12,468 | ||||
Level 2 [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Securities [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-assets at fair value- | 0 | 0 | ||||
Level 2 [Member] | Financial Derivatives - Assets [Member] | Interest Rate Swaps [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-assets at fair value- | 15,967 | 5 | ||||
Level 2 [Member] | Financial Derivatives - Assets [Member] | Total Return Swaps [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-assets at fair value- | 126 | |||||
Level 2 [Member] | Financial Derivatives - Assets [Member] | Unrealized Appreciation On Futures Contracts [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-assets at fair value- | 0 | |||||
Level 2 [Member] | Repurchase Agreements [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Fair value | 41,188 | 13,650 | ||||
Level 3 [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Cash and cash equivalents | 0 | 0 | ||||
Total investments, financial derivatives-assets at fair value, and repurchase agreements | 814,350 | 599,914 | ||||
Total investments sold short, financial derivatives-liabilities at fair value, and securitized debt | (1,709) | (1,336) | ||||
Level 3 [Member] | Investments Sold Short [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments sold short at fair value- | 0 | |||||
Level 3 [Member] | Investments Sold Short [Member] | U.S. Treasury And Agency Residential Mortgage-Backed Securities [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments sold short at fair value- | 0 | 0 | ||||
Level 3 [Member] | Investments Sold Short [Member] | Common Stock Sold Short [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments sold short at fair value- | 0 | |||||
Level 3 [Member] | Financial Derivatives - Liabilities [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-liabilities at fair value- | (541) | (1) | ||||
Level 3 [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Indices [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-liabilities at fair value- | 0 | 0 | ||||
Level 3 [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Asset Backed Indices [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-liabilities at fair value- | 0 | 0 | ||||
Level 3 [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Asset Backed Securities [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-liabilities at fair value- | (541) | (1) | ||||
Level 3 [Member] | Financial Derivatives - Liabilities [Member] | Interest Rate Swaps [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-liabilities at fair value- | 0 | 0 | ||||
Level 3 [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-liabilities at fair value- | 0 | 0 | ||||
Level 3 [Member] | Financial Derivatives - Liabilities [Member] | Unrealized Depreciation On Future Contracts [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-liabilities at fair value- | 0 | 0 | ||||
Level 3 [Member] | Securitized Debt [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Securitized debt | (1,168) | (1,335) | ||||
Level 3 [Member] | Investments [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments at fair value- | 793,216 | 563,883 | ||||
Level 3 [Member] | Investments [Member] | U.S. Treasury And Agency Residential Mortgage-Backed Securities [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments at fair value- | 27,397 | 6,644 | ||||
Level 3 [Member] | Investments [Member] | Private Label Residential Mortgage-Backed Securities [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments at fair value- | 694,510 | 528,366 | ||||
Level 3 [Member] | Investments [Member] | Private Label Commercial Mortgage-Backed Securities [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments at fair value- | 23,906 | 19,327 | ||||
Level 3 [Member] | Investments [Member] | Commercial Mortgage Loans [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments at fair value- | 7,563 | 9,546 | ||||
Level 3 [Member] | Investments [Member] | Asset-backed Securities [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments at fair value- | 39,840 | |||||
Level 3 [Member] | Investments [Member] | Common Stocks, by Industry [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments at fair value- | 0 | |||||
Level 3 [Member] | Financial Derivatives - Assets [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-assets at fair value- | 21,134 | 36,031 | ||||
Level 3 [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Indices [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-assets at fair value- | 0 | |||||
Level 3 [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Indices [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-assets at fair value- | 0 | 0 | ||||
Level 3 [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Securities [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-assets at fair value- | 21,134 | 36,031 | ||||
Level 3 [Member] | Financial Derivatives - Assets [Member] | Interest Rate Swaps [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-assets at fair value- | 0 | 0 | ||||
Level 3 [Member] | Financial Derivatives - Assets [Member] | Total Return Swaps [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-assets at fair value- | 0 | |||||
Level 3 [Member] | Financial Derivatives - Assets [Member] | Unrealized Appreciation On Futures Contracts [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-assets at fair value- | 0 | |||||
Level 3 [Member] | Repurchase Agreements [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Fair value | 0 | 0 | ||||
Estimate of Fair Value, Fair Value Disclosure [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Cash and cash equivalents | 201,795 | 59,084 | ||||
Total investments, financial derivatives-assets at fair value, and repurchase agreements | 1,798,587 | 1,437,270 | ||||
Total investments sold short, financial derivatives-liabilities at fair value, and securitized debt | (628,633) | (638,848) | ||||
Estimate of Fair Value, Fair Value Disclosure [Member] | Investments Sold Short [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments sold short at fair value- | (608,922) | |||||
Estimate of Fair Value, Fair Value Disclosure [Member] | Investments Sold Short [Member] | U.S. Treasury And Agency Residential Mortgage-Backed Securities [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments sold short at fair value- | (602,822) | (622,301) | ||||
Estimate of Fair Value, Fair Value Disclosure [Member] | Investments Sold Short [Member] | Common Stock Sold Short [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments sold short at fair value- | (6,100) | |||||
Estimate of Fair Value, Fair Value Disclosure [Member] | Financial Derivatives - Liabilities [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-liabilities at fair value- | (18,543) | (15,212) | ||||
Estimate of Fair Value, Fair Value Disclosure [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Corporate Indices [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-liabilities at fair value- | (4,236) | (484) | ||||
Estimate of Fair Value, Fair Value Disclosure [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Asset Backed Indices [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-liabilities at fair value- | (13,543) | (13,468) | ||||
Estimate of Fair Value, Fair Value Disclosure [Member] | Financial Derivatives - Liabilities [Member] | Credit Default Swaps On Asset Backed Securities [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-liabilities at fair value- | (541) | (1) | ||||
Estimate of Fair Value, Fair Value Disclosure [Member] | Financial Derivatives - Liabilities [Member] | Interest Rate Swaps [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-liabilities at fair value- | (22) | (1,124) | ||||
Estimate of Fair Value, Fair Value Disclosure [Member] | Financial Derivatives - Liabilities [Member] | Total Return Swaps [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-liabilities at fair value- | (118) | (65) | ||||
Estimate of Fair Value, Fair Value Disclosure [Member] | Financial Derivatives - Liabilities [Member] | Unrealized Depreciation On Future Contracts [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-liabilities at fair value- | (83) | (70) | ||||
Estimate of Fair Value, Fair Value Disclosure [Member] | Securitized Debt [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Securitized debt | (1,168) | (1,335) | ||||
Estimate of Fair Value, Fair Value Disclosure [Member] | Investments [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments at fair value- | 1,710,422 | 1,375,116 | ||||
Estimate of Fair Value, Fair Value Disclosure [Member] | Investments [Member] | U.S. Treasury And Agency Residential Mortgage-Backed Securities [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments at fair value- | 941,616 | 817,877 | ||||
Estimate of Fair Value, Fair Value Disclosure [Member] | Investments [Member] | Private Label Residential Mortgage-Backed Securities [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments at fair value- | 694,510 | 528,366 | ||||
Estimate of Fair Value, Fair Value Disclosure [Member] | Investments [Member] | Private Label Commercial Mortgage-Backed Securities [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments at fair value- | 23,906 | 19,327 | ||||
Estimate of Fair Value, Fair Value Disclosure [Member] | Investments [Member] | Commercial Mortgage Loans [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments at fair value- | 7,563 | 9,546 | ||||
Estimate of Fair Value, Fair Value Disclosure [Member] | Investments [Member] | Asset-backed Securities [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments at fair value- | 39,840 | |||||
Estimate of Fair Value, Fair Value Disclosure [Member] | Investments [Member] | Common Stocks, by Industry [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments at fair value- | 2,987 | |||||
Estimate of Fair Value, Fair Value Disclosure [Member] | Financial Derivatives - Assets [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-assets at fair value- | 46,977 | 48,504 | ||||
Estimate of Fair Value, Fair Value Disclosure [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Corporate Indices [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-assets at fair value- | 127 | |||||
Estimate of Fair Value, Fair Value Disclosure [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Indices [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-assets at fair value- | 9,618 | 12,468 | ||||
Estimate of Fair Value, Fair Value Disclosure [Member] | Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Securities [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-assets at fair value- | 21,134 | 36,031 | ||||
Estimate of Fair Value, Fair Value Disclosure [Member] | Financial Derivatives - Assets [Member] | Interest Rate Swaps [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-assets at fair value- | 15,967 | 5 | ||||
Estimate of Fair Value, Fair Value Disclosure [Member] | Financial Derivatives - Assets [Member] | Total Return Swaps [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-assets at fair value- | 126 | |||||
Estimate of Fair Value, Fair Value Disclosure [Member] | Financial Derivatives - Assets [Member] | Unrealized Appreciation On Futures Contracts [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives-assets at fair value- | 5 | |||||
Estimate of Fair Value, Fair Value Disclosure [Member] | Repurchase Agreements [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Fair value | 41,188 | 13,650 | ||||
Fair Value, Measurements, Recurring [Member]
|
||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Transfers of financial instruments between Level 1, Level 2, or Level 3 | $ 0 | $ 0 | ||||
|
Financial Highlights (Narrative) (Details)
|
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2013
|
Jun. 30, 2012
|
Jun. 30, 2013
|
Jun. 30, 2012
|
|
Financial Highlights [Abstract] | ||||
Market based total return | (4.93%) | 11.92% | 11.13% | 30.06% |
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