v3.10.0.1
To Be Announced RMBS (Details) - USD ($)
$ in Thousands
Jun. 30, 2018
Dec. 31, 2017
To Be Announced Securities [Line Items]    
Investments Fair Value $ 2,625,471 $ 2,071,707
Financial Instruments Sold, Not yet Purchased, at Fair Value (882,146) (642,240)
Payable for securities purchased (431,024) (202,703)
To Be Announced Fixed Rate Agency Securities [Member]    
To Be Announced Securities [Line Items]    
Investments Fair Value 317,013 [1],[2],[3] 123,680 [4],[5],[6]
Investment Owned, Balance, Principal Amount 306,847 118,806
Receivable for securities sold 617,433 460,666
TBA - Fixed Rate Agency Securities Sold Short [Member]    
To Be Announced Securities [Line Items]    
Financial Instruments Sold, Not yet Purchased, at Fair Value (618,665) [2],[7] (460,189) [5],[8]
Investment Sold, Not yet Purchased, Balance, Principal Amount (608,800) (442,197)
Payable for securities purchased (317,088) (123,918)
Investment Owned At Fair Value, Net $ (301,652) $ (336,509)
[1] At June 30, 2018, 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 89.40%, 46.63%, and 70.33% of Total Equity, respectively.
[2] See Note 2 and Note 3 in Notes to Consolidated Financial Statements.
[3] 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 206.36%Aaa/AAA/AAA 11.52%Aa/AA/AA 0.85%A/A/A 1.04%Baa/BBB/BBB 4.71%Ba/BB/BB or below 67.62%Unrated 136.01%
[4] At December 31, 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 72.39%, 42.86%, and 45.07% of Total Equity, respectively.
[5] See Note 2 and Note 3 in Notes to Consolidated Financial Statements.
[6] 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 160.32%A/A/A 0.81%Baa/BBB/BBB 2.62%Ba/BB/BB or below 68.03%Unrated 101.85%
[7] At June 30, 2018, 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 40.02%, 24.94%, and 35.92% of Total Equity, respectively.
[8] At December 31, 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 44.61%, 19.27%, and 10.23% of Total Equity, respectively.