v3.8.0.1
To Be Announced RMBS (Details) - USD ($)
$ in Thousands
Sep. 30, 2017
Dec. 31, 2016
To Be Announced Securities [Line Items]    
Fair Value $ 1,756,432 $ 1,505,026
Financial Instruments Sold, Not yet Purchased, at Fair Value (675,650) (584,896)
Payable for securities purchased (169,717) (85,168)
To Be Announced Fixed Rate Agency Securities [Member]    
To Be Announced Securities [Line Items]    
Fair Value 121,009 [1],[2],[3] 70,525 [4],[5],[6]
Investment Owned, Balance, Principal Amount 115,303 67,720
Receivable for securities sold 471,626 406,708
TBA - Fixed Rate Agency Securities Sold Short [Member]    
To Be Announced Securities [Line Items]    
Financial Instruments Sold, Not yet Purchased, at Fair Value (470,487) [2],[7] (404,728) [5],[8]
Investment Sold, Not yet Purchased, Balance, Principal Amount (447,590) (384,155)
Payable for securities purchased (121,353) (70,347)
Investment Owned At Fair Value, Net $ (349,478) $ (334,203)
[1] At September 30, 2017, 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 71.83%, 41.27%, and 35.73% of Total Equity, respectively.
[2] See Note 2 and Note 3 in Notes to Consolidated Financial Statements.
[3] The table below shows the ratings on the Company's long investments from Moody's, Standard and Poor's, or Fitch, as well as the Company's long investments that were unrated but guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, or the Government National Mortgage Association. 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 EquityUnrated but Agency-Guaranteed 148.83%A/A/A 0.05%Aaa/AAA/AAA 0.24%Baa/BBB/BBB 2.59%Ba/BB/BB or below 45.48%Unrated 81.73%
[4] At December 31, 2016, 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 73.78%, 42.13%, and 23.36% of Total Equity, respectively.
[5] See Note 2 and Note 3 in Notes to Consolidated Financial Statements.
[6] 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 guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, or the Government National Mortgage Association. 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 EquityUnrated but Agency-Guaranteed 139.27%Aaa/AAA/AAA 0.84%Aa/AA/AA 0.03%A/A/A 0.05%Baa/BBB/BBB 2.60%Ba/BB/BB or below 30.24%Unrated 60.39%
[7] At September 30, 2017, the Company's short investments guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, and the Government National Mortgage Association, represented 55.62%, 16.98%, and 2.11% of Total Equity, respectively.
[8] At December 31, 2016, the Company's short investments guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, and the Government National Mortgage Association, represented 32.67%, 22.21%, and 7.89% of Total Equity, respectively.