v3.20.1

Financial Derivatives (Tables) | 3 Months Ended
--- | ---
Mar. 31, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Schedule of Derivative Instruments | The following table details the fair value of the Company's holdings of financial derivatives as of March 31, 2020 and December 31, 2019:
|  | March 31, 2020 |  | December 31, 2019
(In thousands) |  |  |  |
Financial derivatives–assets, at fair value: |  |  |  |
TBA securities purchase contracts |  | $ | 302 |  |  | $ | 90 |
TBA securities sale contracts |  | 249 |  |  | 506 |
Fixed payer interest rate swaps |  | — |  |  | 3,914 |
Fixed receiver interest rate swaps |  | 8,592 |  |  | 1,554 |
Credit default swaps on asset-backed securities |  | 353 |  |  | 993 |
Credit default swaps on asset-backed indices |  | 14,276 |  |  | 3,319 |
Credit default swaps on corporate bonds |  | 1,202 |  |  | 2 |
Credit default swaps on corporate bond indices |  | 3,732 |  |  | 5,599 |
Total return swaps |  | 37 |  |  | 620 |
Options |  | 2,658 |  |  | — |
Futures |  | 37 |  |  | 148 |
Forwards |  | 188 |  |  | 43 |
Warrants |  | 126 |  |  | — |
Total financial derivatives–assets, at fair value |  | 31,752 |  |  | 16,788 |
Financial derivatives–liabilities, at fair value: |  |  |  |
TBA securities sale contracts |  | (6,391 | ) |  | (1,012 | )
Fixed payer interest rate swaps |  | (31,959 | ) |  | (8,513 | )
Fixed receiver interest rate swaps |  | (327 | ) |  | (206 | )
Credit default swaps on asset-backed indices |  | (162 | ) |  | (250 | )
Credit default swaps on corporate bonds |  | (62 | ) |  | (1,693 | )
Credit default swaps on corporate bond indices |  | (1,922 | ) |  | (14,524 | )
Total return swaps |  | (839 | ) |  | (1,209 | )
Futures |  | (6,049 | ) |  | (45 | )
Forwards |  | (61 | ) |  | (169 | )
Total financial derivatives–liabilities, at fair value |  | (47,772 | ) |  | (27,621 | )
Total |  | $ | (16,020 | ) |  | $ | (10,833 | )
Schedule of Interest Rate Derivatives [Table Text Block] | The following tables provide information about the Company's fixed payer interest rate swaps as of March 31, 2020 and December 31, 2019: March 31, 2020:
|  |  |  |  |  | Weighted Average
Maturity |  | Notional Amount |  | Fair Value |  | Pay Rate |  | Receive Rate |  | Remaining Years to Maturity
|  | (In thousands) |  |  |  |  |  |
2020 |  | $ | 5,600 |  |  | $ | (28 | ) |  | 1.64 | % |  | 1.23 | % |  | 0.24
2021 |  | 160,029 |  |  | (2,788 | ) |  | 1.86 |  |  | 1.52 |  |  | 1.26
2022 |  | 142,747 |  |  | (1,854 | ) |  | 1.16 |  |  | 1.40 |  |  | 1.90
2023 |  | 101,012 |  |  | (5,098 | ) |  | 2.06 |  |  | 1.20 |  |  | 3.04
2025 |  | 58,500 |  |  | (887 | ) |  | 0.82 |  |  | 0.22 |  |  | 4.99
2026 |  | 28,104 |  |  | (1,264 | ) |  | 1.25 |  |  | 1.45 |  |  | 6.25
2028 |  | 32,942 |  |  | (4,688 | ) |  | 2.40 |  |  | 1.28 |  |  | 8.09
2029 |  | 92,594 |  |  | (9,600 | ) |  | 1.78 |  |  | 1.46 |  |  | 9.54
2030 |  | 67,936 |  |  | (2,563 | ) |  | 1.10 |  |  | 1.28 |  |  | 9.94
2036 |  | 1,100 |  |  | (108 | ) |  | 1.45 |  |  | 1.45 |  |  | 15.89
2049 |  | 5,796 |  |  | (3,081 | ) |  | 2.89 |  |  | 1.91 |  |  | 28.78
Total |  | $ | 696,360 |  |  | $ | (31,959 | ) |  | 1.58 | % |  | 1.30 | % |  | 4.68
December 31, 2019:
|  |  |  |  |  | Weighted Average
Maturity |  | Notional Amount(1) |  | Fair Value(1) |  | Pay Rate(2)(3) |  | Receive Rate(2) |  | Remaining Years to Maturity(4)
|  | (In thousands) |  |  |  |  |  |
2020 |  | $ | 68,607 |  |  | $ | (234 | ) |  | 1.74 | % |  | 1.93 | % |  | 0.24
2021 |  | 268,929 |  |  | (419 | ) |  | 1.73 |  |  | 1.95 |  |  | 1.64
2022 |  | 31,350 |  |  | 9 |  |  | 1.65 |  |  | 1.93 |  |  | 2.14
2023 |  | 101,012 |  |  | (1,265 | ) |  | 2.06 |  |  | 1.91 |  |  | 3.29
2024 |  | 13,000 |  |  | 99 |  |  | 1.56 |  |  | 1.89 |  |  | 4.90
2025 |  | 12,800 |  |  | (24 | ) |  | n/a |  |  | n/a |  |  | 5.22
2026 |  | 59,902 |  |  | 1,946 |  |  | 1.24 |  |  | 1.94 |  |  | 6.50
2028 |  | 32,942 |  |  | (1,634 | ) |  | 2.40 |  |  | 1.93 |  |  | 8.34
2029 |  | 136,838 |  |  | (2,018 | ) |  | 2.02 |  |  | 1.96 |  |  | 9.61
2030 |  | 685 |  |  | (32 | ) |  | 2.38 |  |  | 1.90 |  |  | 10.90
2036 |  | 1,100 |  |  | 87 |  |  | 1.45 |  |  | 1.94 |  |  | 16.14
2049 |  | 5,796 |  |  | (1,114 | ) |  | 2.89 |  |  | 2.09 |  |  | 29.03
Total |  | $ | 732,961 |  |  | $ | (4,599 | ) |  | 1.83 | % |  | 1.94 | % |  | 4.31
(1) | Includes forward-starting interest rate swaps with a notional amount of $20.9 million and fair value of $(41) thousand.
(2) | Excludes forward-starting interest rate swaps.
(3) | Including forward-starting interest rate swaps the total weighted average pay rate was 1.83%.
(4) | Includes forward-starting interest rate swaps, all of which start within six months of period end.
The following tables provide information about the Company's fixed receiver interest rate swaps as of March 31, 2020 and December 31, 2019: March 31, 2020:
|  |  |  |  |  | Weighted Average
Maturity |  | Notional Amount |  | Fair Value |  | Pay Rate |  | Receive Rate |  | Remaining Years to Maturity
|  | (In thousands) |  |  |  |  |  |
2021 |  | $ | 12,950 |  |  | $ | 253 |  |  | 0.90 | % |  | 1.75 | % |  | 1.46
2022 |  | 87,683 |  |  | 1,184 |  |  | 1.12 |  |  | 1.33 |  |  | 1.95
2023 |  | 48,657 |  |  | 2,340 |  |  | 1.18 |  |  | 2.00 |  |  | 3.01
2024 |  | 11,342 |  |  | 895 |  |  | 1.91 |  |  | 2.33 |  |  | 3.98
2025 |  | 134,876 |  |  | 238 |  |  | 1.22 |  |  | 0.55 |  |  | 4.98
2027 |  | 25,108 |  |  | 28 |  |  | 0.00 |  |  | 0.63 |  |  | 7.01
2029 |  | 9,800 |  |  | 1,011 |  |  | 1.51 |  |  | 1.78 |  |  | 9.52
2030 |  | 103,948 |  |  | 2,316 |  |  | 1.15 |  |  | 0.95 |  |  | 9.95
Total |  | $ | 434,364 |  |  | $ | 8,265 |  |  | 1.12 | % |  | 1.08 | % |  | 5.43
December 31, 2019:
|  |  |  |  |  | Weighted Average
Maturity |  | Notional Amount |  | Fair Value |  | Pay Rate |  | Receive Rate |  | Remaining Years to Maturity
|  | (In thousands) |  |  |  |  |  |
2021 |  | $ | 181,950 |  |  | $ | (49 | ) |  | 1.89 | % |  | 1.67 | % |  | 1.84
2022 |  | 53,974 |  |  | 441 |  |  | 1.91 |  |  | 1.85 |  |  | 2.17
2023 |  | 48,657 |  |  | 709 |  |  | 1.92 |  |  | 2.00 |  |  | 3.26
2024 |  | 11,342 |  |  | 306 |  |  | 2.09 |  |  | 2.33 |  |  | 4.23
2029 |  | 9,800 |  |  | (59 | ) |  | 1.91 |  |  | 1.78 |  |  | 9.77
Total |  | $ | 305,723 |  |  | $ | 1,348 |  |  | 1.91 | % |  | 1.78 | % |  | 2.47
Schedule of Credit Default Swaps [Table Text Block] | The following table provides information about the Company's credit default swaps as of March 31, 2020 and December 31, 2019:
|  | As of
|  | March 31, 2020 |  | December 31, 2019
Type(1) |  | Notional |  | Fair Value |  | Weighted Average Remaining Term (Years) |  | Notional |  | Fair Value |  | Weighted Average Remaining Term (Years)
($ in thousands) |  |  |  |  |  |  |  |  |  |  |  |
Asset: |  |  |  |  |  |  |  |  |  |  |  |
Long: |  |  |  |  |  |  |  |  |  |  |  |
Credit default swaps on asset-backed indices |  | $ | 474 |  |  | $ | 5 |  |  | 17.75 |  |  | $ | 695 |  |  | $ | 10 |  |  | 23.80 |
Credit default swaps on corporate bonds |  | — |  |  | — |  |  | — |  |  | 430 |  |  | 2 |  |  | 0.47 |
Credit default swaps on corporate bond indices |  | 32,159 |  |  | 11 |  |  | 2.72 |  |  | 130,707 |  |  | 5,547 |  |  | 2.42 |
Short: |  |  |  |  |  |  |  |  |  |  |  |
Credit default swaps on asset-backed securities |  | (998 | ) |  | 353 |  |  | 15.46 |  |  | (2,640 | ) |  | 993 |  |  | 15.63 |
Credit default swaps on asset-backed indices |  | (63,528 | ) |  | 14,271 |  |  | 37.70 |  |  | (63,515 | ) |  | 3,309 |  |  | 38.40 |
Credit default swaps on corporate bonds |  | (6,200 | ) |  | 1,202 |  |  | 4.73 |  |  | — |  |  | — |  |  | — |
Credit default swaps on corporate bond indices |  | (73,826 | ) |  | 3,721 |  |  | 2.95 |  |  | (1,997 | ) |  | 52 |  |  | 3.97 |
Liability: |  |  |  |  |  |  |  |  |  |  |  |
Long: |  |  |  |  |  |  |  |  |  |  |  |
Credit default swaps on asset-backed indices |  | 523 |  |  | (162 | ) |  | 32.79 |  |  | 344 |  |  | (145 | ) |  | 29.35 |
Credit default swaps on corporate bonds |  | 430 |  |  | (3 | ) |  | 0.22 |  |  | — |  |  | — |  |  | — |
Credit default swaps on corporate bond indices |  | 40,438 |  |  | (1,843 | ) |  | 3.59 |  |  | — |  |  | — |  |  | — |
Short: |  |  |  |  |  |  |  |  |  |  |  |
Credit default swaps on asset-backed indices |  | (1 | ) |  | — |  |  | 29.76 |  |  | (4,501 | ) |  | (105 | ) |  | 40.31 |
Credit default swaps on corporate bonds |  | (2,800 | ) |  | (59 | ) |  | 0.67 |  |  | (10,800 | ) |  | (1,693 | ) |  | 3.92 |
Credit default swaps on corporate bond indices |  | (57,518 | ) |  | (79 | ) |  | 1.74 |  |  | (250,088 | ) |  | (14,524 | ) |  | 2.51 |
|  | $ | (130,847 | ) |  | $ | 17,417 |  |  | 19.11 |  |  | $ | (201,365 | ) |  | $ | (6,554 | ) |  | 14.88 |
(1) Long notional represents contracts where the Company has written protection and short notional represents contracts where the Company has purchased protection.
Schedule of Futures Contracts [Table Text Block] | The following table provides information about the Company's long and short positions in futures as of March 31, 2020 and December 31, 2019:
|  | As of
|  | March 31, 2020 |  | December 31, 2019
Description |  | Notional Amount |  | Fair Value |  | Remaining Months to Expiration |  | Notional Amount |  | Fair Value |  | Remaining Months to Expiration
|  | (In thousands) |  |  |  | (In thousands) |  |
Long Contracts: |  |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury futures |  | $ | 1,900 |  |  | $ | 37 |  |  | 2.67 |  | $ | — |  |  | $ | — |  |  | — |
Short Contracts: |  |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury futures |  | (7,000 | ) |  | (43 | ) |  | 2.53 |  | (16,000 | ) |  | 148 |  |  | 2.77 |
Eurodollar futures |  | (172,100 | ) |  | (6,006 | ) |  | 2.96 |  | (14,000 | ) |  | (45 | ) |  | 4.05 |
Total, net |  | $ | (177,200 | ) |  | $ | (6,012 | ) |  | 2.95 |  | $ | (30,000 | ) |  | $ | 103 |  |  | 3.37 |
Schedule of Options Contracts [Table Text Block] | The following table provides information about the Company's options contracts as of March 31, 2020. The Company did not have any options contracts as of December 31, 2019:
Option |  | Underlying Swap
Type |  | Fair Value |  | Months to Expiration |  | Notional Amount |  | Term (Years) |  | Fixed Rate
($ in thousands) |  |  |  |  |  |  |  |  |  |
Put options on credit default swaps on corporate bond indices (1) |  | $ | 2,658 |  |  | 0.51 |  |  | $ | 19,700 |  |  | 5.00 |  | 5.00 | %
(1) Represents the option on the part of a counterparty to enter into a credit default swap on a corporate bond index whereby the Company would receive a fixed rate and pay credit protection payments.
Schedule of Derivative Warrant Contracts [Table Text Block] | Warrants The following table provides information about the Company's warrants contracts to purchase shares as of March 31, 2020 and December 31, 2019:
|  | As of March, 31, 2020 |  | As of December, 31, 2019
Description |  | Number of Shares Underlying Warrant |  | Fair Value |  | Remaining Years to Expiration |  | Number of Shares Underlying Warrant |  | Fair Value |  | Remaining Years to Expiration
|  | (In thousands) |  |  |  | (In thousands) |  |
Warrants |  | 1,546 |  |  | $ | 126 |  |  | 2.58 |  | 1,515 |  |  | $ | — |  |  | 2.82
Schedule of TBA securities [Table Text Block] | As of March 31, 2020 and December 31, 2019, the Company had outstanding TBA purchase and sale contracts as follows:
|  | As of March 31, 2020 |  | As of December 31, 2019
TBA Securities |  | Notional Amount(1) |  | Cost Basis(2) |  | Market Value(3) |  | Net Carrying Value(4) |  | Notional Amount(1) |  | Cost Basis(2) |  | Market Value(3) |  | Net Carrying Value(4)
(In thousands) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Purchase contracts: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Assets |  | $ | 28,400 |  |  | $ | 29,235 |  |  | $ | 29,537 |  |  | $ | 302 |  |  | $ | 40,100 |  |  | $ | 40,585 |  |  | $ | 40,675 |  |  | $ | 90 |
|  | 28,400 |  |  | 29,235 |  |  | 29,537 |  |  | 302 |  |  | 40,100 |  |  | 40,585 |  |  | 40,675 |  |  | 90 |
Sale contracts: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Assets |  | (44,697 | ) |  | (48,301 | ) |  | (48,052 | ) |  | 249 |  |  | (319,981 | ) |  | (332,080 | ) |  | (331,574 | ) |  | 506 |
Liabilities |  | (413,175 | ) |  | (431,820 | ) |  | (438,211 | ) |  | (6,391 | ) |  | (773,749 | ) |  | (806,568 | ) |  | (807,580 | ) |  | (1,012 | )
|  | (457,872 | ) |  | (480,121 | ) |  | (486,263 | ) |  | (6,142 | ) |  | (1,093,730 | ) |  | (1,138,648 | ) |  | (1,139,154 | ) |  | (506 | )
Total TBA securities, net |  | $ | (429,472 | ) |  | $ | (450,886 | ) |  | $ | (456,726 | ) |  | $ | (5,840 | ) |  | $ | (1,053,630 | ) |  | $ | (1,098,063 | ) |  | $ | (1,098,479 | ) |  | $ | (416 | )
(1) | Notional amount represents the principal balance of the underlying Agency RMBS.
(2) | Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS.
(3) | Market value represents the current market value of the underlying Agency RMBS (on a forward delivery basis) as of period end.
(4) Net carrying value represents the difference between the market value of the TBA contract as of period end and the cost basis, and is reported in Financial derivatives-assets, at fair value and Financial derivatives-liabilities, at fair value on the Condensed Consolidated Balance Sheet.
Schedule of Gains and Losses on Derivative Contracts | Gains and losses on the Company's derivative contracts for the three-month periods ended March 31, 2020 and 2019 are summarized in the tables below: March 31, 2020:
Derivative Type |  | Primary Risk Exposure |  | Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps |  | Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps(1) |  | Net Realized Gains (Losses) on Financial Derivatives(1) |  | Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps |  | Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps(2) |  | Change in Net Unrealized Gains (Losses) on Financial Derivatives(2)
(In thousands) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | Interest Rate |  | $ | 143 |  |  | $ | (6,384 | ) |  | $ | (6,241 | ) |  | $ | (111 | ) |  | $ | (20,020 | ) |  | $ | (20,131 | )
Credit default swaps on asset-backed securities |  | Credit |  |  |  | (994 | ) |  | (994 | ) |  |  |  | 917 |  |  | 917 |
Credit default swaps on asset-backed indices |  | Credit |  |  |  | (556 | ) |  | (556 | ) |  |  |  | 12,524 |  |  | 12,524 |
Credit default swaps on corporate bond indices |  | Credit |  |  |  | 579 |  |  | 579 |  |  |  |  | 4,116 |  |  | 4,116 |
Credit default swaps on corporate bonds |  | Credit |  |  |  | 94 |  |  | 94 |  |  |  |  | 1,527 |  |  | 1,527 |
Total return swaps |  | Credit |  |  |  | (1,571 | ) |  | (1,571 | ) |  |  |  | (213 | ) |  | (213 | )
TBAs |  | Interest Rate |  |  |  | (3,173 | ) |  | (3,173 | ) |  |  |  | (5,423 | ) |  | (5,423 | )
Futures |  | Interest Rate |  |  |  | (1,122 | ) |  | (1,122 | ) |  |  |  | (6,115 | ) |  | (6,115 | )
Forwards |  | Currency |  |  |  | 592 |  |  | 592 |  |  |  |  | 253 |  |  | 253 |
Warrants |  | Equity Market/Credit |  |  |  | — |  |  | — |  |  |  |  | 20 |  |  | 20 |
Options |  | Credit |  |  |  | — |  |  | — |  |  |  |  | 2,558 |  |  | 2,558 |
Total |  |  |  | $ | 143 |  |  | $ | (12,535 | ) |  | $ | (12,392 | ) |  | $ | (111 | ) |  | $ | (9,856 | ) |  | $ | (9,967 | )
(1) | Includes gain/(loss) on foreign currency transactions on financial derivatives in the amount of $14 thousand for the three-month period ended March 31, 2020, which is included on the Condensed Consolidated Statement of Operations in Other, net.
(2) | Includes foreign currency remeasurement on financial derivatives in the amount of $17 thousand for the three-month period ended March 31, 2020, which is included on the Condensed Consolidated Statement of Operations in Other, net.
March 31, 2019:
Derivative Type |  | Primary Risk Exposure |  | Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps |  | Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps(1) |  | Net Realized Gains (Losses) on Financial Derivatives(1) |  | Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps |  | Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps(2) |  | Change in Net Unrealized Gains (Losses) on Financial Derivatives(2)
(In thousands) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | Interest Rate |  | $ | 719 |  |  | $ | 1,458 |  |  | $ | 2,177 |  |  | $ | (275 | ) |  | $ | (5,774 | ) |  | $ | (6,049 | )
Credit default swaps on asset-backed securities |  | Credit |  |  |  | 275 |  |  | 275 |  |  |  |  | (239 | ) |  | (239 | )
Credit default swaps on asset-backed indices |  | Credit |  |  |  | (746 | ) |  | (746 | ) |  |  |  | (548 | ) |  | (548 | )
Credit default swaps on corporate bond indices |  | Credit |  |  |  | (2,513 | ) |  | (2,513 | ) |  |  |  | (2,407 | ) |  | (2,407 | )
Credit default swaps on corporate bonds |  | Credit |  |  |  | (425 | ) |  | (425 | ) |  |  |  | 766 |  |  | 766 |
Total return swaps |  | Equity Market/Credit |  |  |  | (1,298 | ) |  | (1,298 | ) |  |  |  | 129 |  |  | 129 |
TBAs |  | Interest Rate |  |  |  | (6,435 | ) |  | (6,435 | ) |  |  |  | 1,898 |  |  | 1,898 |
Futures |  | Interest Rate/Currency |  |  |  | (2,433 | ) |  | (2,433 | ) |  |  |  | 359 |  |  | 359 |
Forwards |  | Currency |  |  |  | (114 | ) |  | (114 | ) |  |  |  | 423 |  |  | 423 |
Options |  | Interest Rate |  |  |  | (33 | ) |  | (33 | ) |  |  |  | — |  |  | — |
Total |  |  |  | $ | 719 |  |  | $ | (12,264 | ) |  | $ | (11,545 | ) |  | $ | (275 | ) |  | $ | (5,393 | ) |  | $ | (5,668 | )
(1) | Includes gain/(loss) on foreign currency transactions on financial derivatives in the amount of $25 thousand for the three-month period ended March 31, 2019, which is included on the Condensed Consolidated Statement of Operations in Other, net.
(2) Includes foreign currency remeasurement on financial derivatives in the amount of $21 thousand for the three-month period ended March 31, 2019, which is included on the Condensed Consolidated Statement of Operations in Other, net.
Derivative activity, volume | The table below details the average notional values of the Company's financial derivatives, using absolute value of month end notional values, for the three-month period ended March 31, 2020 and year ended December 31, 2019:
Derivative Type |  | Three-Month Period Ended March 31, 2020 |  | Year Ended December 31, 2019
(In thousands) |  |  |  |
Interest rate swaps |  | $ | 1,194,366 |  |  | $ | 731,941 |
TBAs |  | 969,311 |  |  | 973,331 |
Credit default swaps |  | 328,023 |  |  | 399,316 |
Total return swaps |  | 12,626 |  |  | 39,434 |
Futures |  | 110,200 |  |  | 167,708 |
Options |  | 4,876 |  |  | 19,825 |
Forwards |  | 35,847 |  |  | 30,930 |
Warrants |  | 1,538 |  |  | 2,222 |
Schedule of Credit Derivatives | Written credit derivatives held by the Company at March 31, 2020 and December 31, 2019 are summarized below:
Credit Derivatives |  | March 31, 2020 |  | December 31, 2019
(In thousands) |  |  |  |
Fair Value of Written Credit Derivatives, Net |  | $ | (1,992 | ) |  | $ | 5,414 |
Fair Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) |  | — |  |  | (3,248 | )
Notional Value of Written Credit Derivatives (2) |  | 74,024 |  |  | 132,176 |
Notional Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) |  | — |  |  | (81,637 | )
(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 protection 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 credit derivative contracts with an International Swaps and Derivatives Association, or "ISDA," counterparty may be offset against amounts due or owed on other credit derivative contracts with the same ISDA counterparty. As a result, the notional value of written credit derivatives involving a particular underlying reference asset or index has been reduced (but not below zero) by the notional value of any contracts where the Company has purchased credit protection on the same reference asset or index with the same ISDA counterparty.

X
- Definition Disclosure of the volume of derivative activity for the period. Calculated using average monthly notional. + References No definition available. + Details
Name: | efc_DerivativeactivityvolumeTableTextBlock
Namespace Prefix: | efc_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of credit default swaps. + References No definition available. + Details
Name: | efc_ScheduleofCreditDefaultSwapsTableTextBlock
Namespace Prefix: | efc_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition [Table Text Block] for Schedule of Derivative Warrant Contracts [Table] + References No definition available. + Details
Name: | efc_ScheduleofDerivativeWarrantContractsTableTextBlock
Namespace Prefix: | efc_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of futures contracts. + References No definition available. + Details
Name: | efc_ScheduleofFuturesContractsTableTextBlock
Namespace Prefix: | efc_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Schedule of Options Contracts [Table Text Block] + References No definition available. + Details
Name: | efc_ScheduleofOptionsContractsTableTextBlock
Namespace Prefix: | efc_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of TBA securities, classified as derivatives, including notional amount, cost basis, market value, and net carrying cost. + References No definition available. + Details
Name: | efc_ScheduleofTBAsecuritiesTableTextBlock
Namespace Prefix: | efc_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- References No definition available. + Details
Name: | us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note). + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4J -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5708773-113959 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4K -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5708775-113959 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4L -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5708777-113959 + Details
Name: | us-gaap_DisclosureOfCreditDerivativesTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of the location and amount of derivative instruments and nonderivative instruments designated as hedging instruments reported before netting adjustments, and the amount of gain (loss) on derivative instruments and nonderivative instruments designated and qualified as hedging instruments. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4E -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5624181-113959 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4A -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5618551-113959 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5624171-113959 + Details
Name: | us-gaap_ScheduleOfDerivativeInstrumentsGainLossInStatementOfFinancialPerformanceTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5624163-113959 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1B -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5580258-113959 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=109980867&loc=d3e41620-113959 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5579245-113959 Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=109980867&loc=d3e41638-113959 Reference 6: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 8 -URI http://asc.fasb.org/extlink&oid=109980867&loc=d3e41678-113959 Reference 7: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 5 -URI http://asc.fasb.org/extlink&oid=109980867&loc=d3e41641-113959 Reference 8: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5624171-113959 Reference 9: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 235 -SubTopic 10 -Section S99 -Paragraph 1 -Subparagraph (SX 210.4-08.(n)(2)) -URI http://asc.fasb.org/extlink&oid=26873400&loc=d3e23780-122690 Reference 10: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5579240-113959 + Details
Name: | us-gaap_ScheduleOfDerivativeInstrumentsTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of interest rate derivatives, including, but not limited to, the fair value of the derivatives, statement of financial position location, and statement of financial performance location of these instruments. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5624171-113959 + Details
Name: | us-gaap_ScheduleOfInterestRateDerivativesTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration