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Valuation (Tables) | 3 Months Ended
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Mar. 31, 2016
Fair Value Disclosures [Abstract] |
Schedule of Fair Value Measurements | The following tables present the Company's financial instruments measured at fair value on: March 31, 2016:
(In thousands) |  |  |  |  |  |  |  |
Description |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets: |  |  |  |  |  |  |  |
Mortgage-backed securities, at fair value: |  |  |  |  |  |  |  |
Agency RMBS: |  |  |  |  |  |  |  |
15-year fixed rate mortgages |  | $ | — |  |  | $ | 152,536 |  |  | $ | — |  |  | $ | 152,536 |
20-year fixed rate mortgages |  | — |  |  | 19,488 |  |  | — |  |  | 19,488 |
30-year fixed rate mortgages |  | — |  |  | 852,326 |  |  | — |  |  | 852,326 |
Adjustable rate mortgages |  | — |  |  | 37,133 |  |  | — |  |  | 37,133 |
Reverse mortgages |  | — |  |  | 77,548 |  |  | — |  |  | 77,548 |
Interest only securities |  | — |  |  | — |  |  | 6,931 |  |  | 6,931 |
Non-Agency RMBS |  | — |  |  | 25,487 |  |  | 2,144 |  |  | 27,631 |
Mortgage-backed securities, at fair value |  | — |  |  | 1,164,518 |  |  | 9,075 |  |  | 1,173,593 |
Financial derivatives–assets, at fair value: |  |  |  |  |  |  |  |
TBAs |  | — |  |  | 365 |  |  | — |  |  | 365 |
Interest rate swaps |  | — |  |  | 1,269 |  |  | — |  |  | 1,269 |
Futures |  | 1 |  |  | — |  |  | — |  |  | 1 |
Total financial derivatives–assets, at fair value |  | 1 |  |  | 1,634 |  |  | — |  |  | 1,635 |
Total mortgage-backed securities and financial derivatives–assets, at fair value |  | $ | 1 |  |  | $ | 1,166,152 |  |  | $ | 9,075 |  |  | $ | 1,175,228 |
Liabilities: |  |  |  |  |  |  |  |
U.S. Treasury securities sold short, at fair value |  | $ | — |  |  | $ | (69,607 | ) |  | $ | — |  |  | $ | (69,607 | )
Financial derivatives–liabilities, at fair value: |  |  |  |  |  |  |  |
TBAs |  | — |  |  | (1,157 | ) |  | — |  |  | (1,157 | )
Interest rate swaps |  | — |  |  | (17,122 | ) |  | — |  |  | (17,122 | )
Futures |  | (5 | ) |  | — |  |  | — |  |  | (5 | )
Total financial derivatives–liabilities, at fair value |  | (5 | ) |  | (18,279 | ) |  | — |  |  | (18,284 | )
Total U.S. Treasury securities sold short and financial derivatives–liabilities, at fair value |  | $ | (5 | ) |  | $ | (87,886 | ) |  | $ | — |  |  | $ | (87,891 | )
There were no transfers of financial instruments between Levels 1 and 2 of the fair value hierarchy during the three month period ended March 31, 2016. December 31, 2015:
(In thousands) |  |  |  |  |  |  |  |
Description |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets: |  |  |  |  |  |  |  |
Mortgage-backed securities, at fair value: |  |  |  |  |  |  |  |
Agency RMBS: |  |  |  |  |  |  |  |
15-year fixed rate mortgages |  | $ | — |  |  | $ | 170,261 |  |  | $ | — |  |  | $ | 170,261 |
20-year fixed rate mortgages |  | — |  |  | 19,830 |  |  | — |  |  | 19,830 |
30-year fixed rate mortgages |  | — |  |  | 900,794 |  |  | — |  |  | 900,794 |
Adjustable rate mortgages |  | — |  |  | 38,530 |  |  | — |  |  | 38,530 |
Reverse mortgages |  | — |  |  | 73,692 |  |  | — |  |  | 73,692 |
Interest only securities |  | — |  |  | — |  |  | 7,758 |  |  | 7,758 |
Non-Agency RMBS |  | — |  |  | 27,381 |  |  | 4,020 |  |  | 31,401 |
Mortgage-backed securities, at fair value |  | — |  |  | 1,230,488 |  |  | 11,778 |  |  | 1,242,266 |
Financial derivatives–assets, at fair value: |  |  |  |  |  |  |  |
TBAs |  | — |  |  | 417 |  |  | — |  |  | 417 |
Interest rate swaps |  | — |  |  | 1,748 |  |  | — |  |  | 1,748 |
Futures |  | 18 |  |  | — |  |  | — |  |  | 18 |
Total financial derivatives–assets, at fair value |  | 18 |  |  | 2,165 |  |  | — |  |  | 2,183 |
Total mortgage-backed securities and financial derivatives–assets, at fair value |  | $ | 18 |  |  | $ | 1,232,653 |  |  | $ | 11,778 |  |  | $ | 1,244,449 |
Liabilities: |  |  |  |  |  |  |  |
U.S. Treasury securities sold short, at fair value |  | $ | — |  |  | $ | (78,447 | ) |  | $ | — |  |  | $ | (78,447 | )
Financial derivatives–liabilities, at fair value: |  |  |  |  |  |  |  |
TBAs |  | — |  |  | (364 | ) |  | — |  |  | (364 | )
Interest rate swaps |  | — |  |  | (4,361 | ) |  | — |  |  | (4,361 | )
Total financial derivatives–liabilities, at fair value |  | — |  |  | (4,725 | ) |  | — |  |  | (4,725 | )
Total U.S. Treasury securities sold short and financial derivatives–liabilities, at fair value |  | $ | — |  |  | $ | (83,172 | ) |  | $ | — |  |  | $ | (83,172 | )
There were no transfers of financial instruments between Levels 1 or 2 of the fair value hierarchy during the year ended December 31, 2015.
Unobservable Input Reconciliation | The following tables present additional information about the Company's investments which are measured at fair value for which the Company has utilized Level 3 inputs to determine fair value: Three month period ended March 31, 2016:
(In thousands) | Non-Agency RMBS |  | Agency RMBS
Beginning balance as of December 31, 2015 | $ | 4,020 |  |  | $ | 7,758 |
Purchases | — |  |  | 861 |
Proceeds from sales | — |  |  | — |
Principal repayments | (351 | ) |  | — |
(Amortization)/accretion, net | 109 |  |  | (691 | )
Net realized gains (losses) | — |  |  | — |
Change in net unrealized gains (losses) | 214 |  |  | (997 | )
Transfers: |  |  |
Transfers into level 3 | — |  |  | — |
Transfers out of level 3 | (1,848 | ) |  | — |
Ending balance as of March 31, 2016 | $ | 2,144 |  |  | $ | 6,931 |
All amounts of net realized and changes in net unrealized gains (losses) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gains (losses) for both Level 3 financial instruments held by the Company at March 31, 2016, as well as Level 3 financial instruments disposed of by the Company during the three month period ended March 31, 2016. For Level 3 financial instruments held by the Company as of March 31, 2016, change in net unrealized gains (losses) of $49.0 thousand and $(1.0) million, for the three month period ended March 31, 2016 relate to non-Agency RMBS and Agency RMBS, respectively. For the three month period ended March 31, 2016, the Company transferred $1.8 million of non-Agency RMBS from Level 3 to Level 2. These assets were transferred from Level 3 to Level 2 based on an increased volume of observed trading of these and similar assets. This increase in observed trading activity has led to greater price transparency for these assets, thereby making a Level 2 designation appropriate in the Company's view. However, changes in the volume of observable inputs for these assets, such as a decrease in observed trading, could impact price transparency, and thereby cause a change in the level designation for these assets in future periods. Three month period ended March 31, 2015:
(In thousands) | Non-Agency RMBS |  | Agency RMBS
Beginning balance as of December 31, 2014 | $ | 10,082 |  |  | $ | 11,244 |
Purchases | — |  |  | 1,099 |
Proceeds from sales | (2,861 | ) |  | (4,538 | )
Principal repayments | (601 | ) |  | — |
(Amortization)/accretion, net | 309 |  |  | (656 | )
Net realized gains (losses) | 791 |  |  | 601 |
Change in net unrealized gains (losses) | (276 | ) |  | (1,307 | )
Transfers: |  |  |
Transfers into level 3 | 3,359 |  |  | — |
Transfers out of level 3 | (4,977 | ) |  | — |
Ending balance as of March 31, 2015 | $ | 5,826 |  |  | $ | 6,443 |
All amounts of net realized and changes in net unrealized gains (losses) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gains (losses) for both Level 3 financial instruments held by the Company as of March 31, 2015, as well as Level 3 financial instruments disposed of by the Company during the three month period ended March 31, 2015. For Level 3 financial instruments held by the Company as of March 31, 2015, change in net unrealized gains (losses) of $0.2 million and $(0.4) million, for the three month period ended March 31, 2015 relate to non-Agency RMBS and Agency RMBS, respectively. At March 31, 2015, the Company transferred $5.0 million of non-Agency RMBS from Level 3 to Level 2. The decision to transfer these assets from Level 3 to Level 2 was based on observed market developments, including an increased volume of buying and selling of these and similar assets, greater consensus among market participants on price based on market quotes, and generally tighter credit spreads driven by improved performance in the underlying collateral as well as increased demand from investors seeking higher yielding assets. These factors have led to greater price transparency for these assets, thereby making a Level 2 designation appropriate in the Company's view. However, changes in observed market developments could impact future price transparency, and thereby cause a change in the level designation in subsequent periods. At March 31, 2015, the Company transferred $3.4 million of non-Agency RMBS from Level 2 to Level 3. Since December 31, 2014, these securities have exhibited indications of a reduced level of price transparency. Examples of such indications include wider spreads and/or higher delinquencies relative to similar securities and a reduction in observable transactions or executable quotes involving these and similar securities. Changes in these indications could impact price transparency, and thereby cause a change in the level designation in future periods.
Quantitative Information | The following tables identify the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of March 31, 2016 and December 31, 2015: March 31, 2016:
|  | Range |  |
Description |  | Fair Value |  | Valuation Technique |  | Significant Unobservable Input |  | Min |  | Max |  | Weighted Average(1)
|  | (In thousands) |  |  |  |  |  |  |  |  |  |
Non-Agency RMBS |  | $ | 2,144 |  |  | Discounted Cash Flows |  | Yield |  | 4.8 | % |  | 23.8 | % |  | 11.9 | %
|  |  |  |  |  | Projected Collateral Prepayments |  | 32.3 | % |  | 67.5 | % |  | 54.4 | %
|  |  |  |  |  | Projected Collateral Losses |  | 2.2 | % |  | 3.4 | % |  | 3.0 | %
|  |  |  |  |  | Projected Collateral Recoveries |  | 3.0 | % |  | 4.6 | % |  | 3.6 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 26.1 | % |  | 60.9 | % |  | 39.0 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
Agency RMBS–Interest Only Securities |  | 4,692 |  |  | Market quotes |  | Non-Binding Third-Party Valuation |  | $ | 4.29 |  |  | $ | 21.68 |  |  | $ | 10.93 |
Agency RMBS–Interest Only Securities |  | 2,239 |  |  | Option Adjusted Spread ("OAS") |  | LIBOR OAS (2) |  | 510 |  |  | 2,219 |  |  | 777 |
|  |  |  |  |  | Projected Collateral Prepayments |  | 61.5 | % |  | 83.8 | % |  | 77.4 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 16.2 | % |  | 38.5 | % |  | 22.6 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
(1) | Averages are weighted based on the fair value of the related instrument.
(2) | Shown in basis points.
December 31, 2015:
|  | Range |  |
Description |  | Fair Value |  | Valuation Technique |  | Significant Unobservable Input |  | Min |  | Max |  | Weighted Average(1)
|  | (In thousands) |  |  |  |  |  |  |  |  |  |
Non-Agency RMBS |  | $ | 4,020 |  |  | Discounted Cash Flows |  | Yield |  | 8.8 | % |  | 25.7 | % |  | 13.4 | %
|  |  |  |  |  | Projected Collateral Prepayments |  | 32.5 | % |  | 68.7 | % |  | 60.5 | %
|  |  |  |  |  | Projected Collateral Losses |  | 1.3 | % |  | 9.0 | % |  | 5.3 | %
|  |  |  |  |  | Projected Collateral Recoveries |  | 3.4 | % |  | 9.2 | % |  | 6.4 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 13.1 | % |  | 60.1 | % |  | 27.8 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
Agency RMBS–Interest Only Securities |  | 5,645 |  |  | Market quotes |  | Non-Binding Third-Party Valuation |  | $ | 4.39 |  |  | $ | 21.63 |  |  | $ | 11.88 |
Agency RMBS–Interest Only Securities |  | 2,113 |  |  | Option Adjusted Spread ("OAS") |  | LIBOR OAS(2) |  | 221 |  |  | 984 |  |  | 576 |
|  |  |  |  |  | Projected Collateral Prepayments |  | 52.7 | % |  | 88.0 | % |  | 74.1 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 12.0 | % |  | 47.3 | % |  | 25.9 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
(1) | Averages are weighted based on the fair value of the related instrument.
(2) | Shown in basis points.
Fair Value, Other Financial Instruments | The following table summarizes the estimated fair value of all other financial instruments not included in the disclosures above as of March 31, 2016 and December 31, 2015:
|  | March 31, 2016 |  | December 31, 2015
(In thousands) |  | Fair Value |  | Carrying Value |  | Fair Value |  | Carrying Value
Other financial instruments |  |  |  |  |  |  |  |
Assets: |  |  |  |  |  |  |  |
Cash and cash equivalents |  | $ | 41,242 |  |  | $ | 41,242 |  |  | $ | 40,166 |  |  | $ | 40,166 |
Due from brokers |  | 30,206 |  |  | 30,206 |  |  | 33,297 |  |  | 33,297 |
Reverse repurchase agreements |  | 69,575 |  |  | 69,575 |  |  | 78,632 |  |  | 78,632 |
Liabilities: |  |  |  |  |  |  |  |
Repurchase agreements |  | 1,133,841 |  |  | 1,133,841 |  |  | 1,222,719 |  |  | 1,222,719 |
Due to brokers |  | 127 |  |  | 127 |  |  | 439 |  |  | 439 |
Cash and cash equivalents includes cash held in an interest bearing overnight account for which fair value equals the carrying value and cash held in money market accounts which are liquid in nature and for which fair value equals the carrying value; such assets are considered Level 1 assets. Due from brokers and Due to brokers include collateral transferred to or received from counterparties, along with receivables and payables for open and/or closed derivative positions. These balances consist primarily of cash and are short term in nature; fair value approximates carrying value and such balances are considered Level 1 assets and liabilities. The Company's repurchase and reverse repurchase agreements are carried at cost, which approximates fair value due to their short term nature. Repurchase agreements and reverse repurchase agreements are classified as Level 2 assets and liabilities based on the adequacy of the collateral and their short term nature.

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- Definition Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=36462937&loc=d3e19279-110258 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a,b,bb) -URI http://asc.fasb.org/extlink&oid=36462937&loc=d3e19207-110258 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2C -URI http://asc.fasb.org/extlink&oid=36462937&loc=SL7498348-110258 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=36462937&loc=d3e19190-110258 + Details
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- Definition Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=36462937&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=36462937&loc=d3e19279-110258 + Details
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- Definition Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 12 -URI http://asc.fasb.org/extlink&oid=49121117&loc=d3e13476-108611 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=36462937&loc=d3e19207-110258 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 11 -URI http://asc.fasb.org/extlink&oid=49121117&loc=d3e13467-108611 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 45 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=6447952&loc=d3e13220-108610 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 30 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=6957238&loc=d3e14172-108612 Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 10 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=49121117&loc=d3e13433-108611 + Details
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- Definition Tabular disclosure of quantitative information about the inputs used in the fair value measurement of assets. This disclosure may include, but is not limited to, the fair value of the asset, valuation technique used to measure fair value, the inputs used to measure fair value, the ranges of the inputs, and the weighted averages of the inputs. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bbb) -URI http://asc.fasb.org/extlink&oid=36462937&loc=d3e19207-110258 + Details
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