Derivatives (Tables)

6 Months Ended

Jun. 30, 2013

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Cash Flow Hedging Instruments, Statements of Financial Performance and Financial Position, Location [Table Text Block]

The following table presents the fair value of the Company’s derivative instruments and their balance sheet location at June 30, 2013 and December 31, 2012:

	Designation	Balance Sheet Location	June 30, 2013			December 31, 2012
Derivative Instrument (1)
(In Thousands)
Non-cleared legacy Swaps, at fair value ($450.0 million notional at June 30, 2013)	Hedging	Assets	$	7,140		$	203
Linked Transactions, at fair value	Non-Hedging	Assets	$	10,519		$	12,704
Non-cleared legacy Swaps, at fair value ($1.836 billion notional at June 30, 2013)	Hedging	Liabilities	$	(38,525	)	$	(63,034	)
Cleared Swaps, at fair value ($401.0 million notional at June 30, 2013)	Hedging	Liabilities	$	(582	)	$	—

(1)  Non-cleared legacy Swaps include Swaps executed and settled bilaterally with counterparties without the use of an organized exchange or central clearing house. Cleared Swaps include Swaps executed bilaterally with a counterparty in the over-the-counter market but then novated to a central clearing house, whereby the central clearing house becomes the counterparty to both of the original counterparties.

Schedule of information about the Non-Agency MBS and repurchase agreements underlying the Linked Transactions

The following tables present certain information about the Non-Agency MBS and repurchase agreements underlying the Company’s Linked Transactions at June 30, 2013 and December 31, 2012:

Linked Transactions at June 30, 2013

Linked Repurchase Agreements					Linked MBS
	Balance		Weighted Average Interest Rate		Non-Agency MBS	Fair Value		Amortized Cost		Par/Current Face		Weighted Average Coupon Rate
Maturity or Repricing
(Dollars in Thousands)					(Dollars in Thousands)
Within 30 days	$	23,386	1.65	%	Rated AA	$	11,271	$	10,600	$	10,943	5.00	%
>30 days to 90 days	9,863		1.40		Rated A	2,713		2,215		2,917		1.29
Total	$	33,249	1.58	%	Rated BBB	7,993		6,961		8,452		2.41
					Rated BB	6,959		6,454		7,101		2.64
					Rated D	14,715		13,214		17,820		5.80
					Total	$	43,651	$	39,444	$	47,233	4.26	%

Linked Transactions at December 31, 2012

Linked Repurchase Agreements					Linked MBS
	Balance		Weighted Average Interest Rate		Non-Agency MBS	Fair Value		Amortized Cost		Par/Current Face		Weighted Average Coupon Rate
Maturity or Repricing
(Dollars in Thousands)					(Dollars in Thousands)
Within 30 days	$	13,672	1.57	%	Rated AA	$	13,588	$	12,817	$	13,192	5.00	%
>30 days to 90 days	21,599		1.66		Rated A	3,075		2,548		3,342		0.76
Total	$	35,271	1.63	%	Rated BBB	8,299		7,226		8,847		2.55
					Rated BB	7,365		6,854		7,593		2.75
					Rated D	15,501		14,372		19,303		5.80
					Total	$	47,828	$	43,817	$	52,277	4.28	%

Schedule of information about the components of the unrealized net gains/(losses) and net interest income from Linked Transactions

The following table presents certain information about the components of the unrealized net gains and net interest income from Linked Transactions included in the Company’s consolidated statements of operations for the three and six months ended June 30, 2013 and 2012:

Components of Unrealized Net Gains and Net Interest Income from Linked Transactions	Three Months Ended June 30,						Six Months Ended June 30,
(In Thousands)	2013			2012			2013			2012
Interest income attributable to MBS underlying Linked Transactions	$	654		$	1,286		$	1,322		$	3,574
Interest expense attributable to linked repurchase agreement borrowings underlying Linked Transactions	(137		)	(293		)	(277		)	(797		)
Change in fair value of Linked Transactions included in earnings	(812		)	(425		)	196			5,490
Unrealized net (losses)/gains and net interest income from Linked Transactions	$	(295	)	$	568		$	1,241		$	8,267

Schedule of assets pledged as collateral against derivative contracts

The following table presents the assets pledged as collateral against the Company’s derivative contracts at June 30, 2013 and December 31, 2012:

(In Thousands)	June 30, 2013		December 31, 2012
Agency MBS, at fair value	$	41,264	$	68,915
Restricted cash	3,020		5,016
Total assets pledged against derivative contracts	$	44,284	$	73,931

Schedule of information about swaps

The following table presents information about the Company’s Swaps at June 30, 2013 and December 31, 2012:

	June 30, 2013						December 31, 2012
	Notional Amount		Weighted Average Fixed-Pay Interest Rate		Weighted Average Variable Interest Rate (2)		Notional Amount		Weighted Average Fixed-Pay Interest Rate		Weighted Average Variable Interest Rate (2)
Maturity (1)
(Dollars in Thousands)
Within 30 days	$	185,729	4.02	%	0.20	%	$	25,828	3.88	%	0.28	%
Over 30 days to 3 months	172,283		4.32		0.20		30,185		3.96		0.26
Over 3 months to 6 months	34,051		4.10		0.23		527,275		1.63		0.21
Over 6 months to 12 months	517,998		1.97		0.20		391,063		4.17		0.22
Over 12 months to 24 months	877,214		2.20		0.20		685,042		2.28		0.22
Over 24 months to 36 months	50,000		2.13		0.19		710,171		1.97		0.21
Over 36 months to 48 months	450,000		0.56		0.19		150,000		1.03		0.21
Over 48 months to 60 months	50,000		1.45		0.20		—		—		—
Over 60 months to 72 months	150,000		1.46		0.20		—		—		—
Over 72 months to 84 months	200,000		2.05		0.20		—		—		—
Total Swaps	$	2,687,275	2.10	%	0.20	%	$	2,519,564	2.31	%	0.22	%

(1)  Each maturity category reflects contractual amortization and/or maturity of notional amounts.

(2)  Reflects the benchmark variable rate due from the counterparty at the date presented, which rate adjusts monthly or quarterly based on one-month or three-month LIBOR, respectively.

Schedule of interest expense and the weighted average interest rate paid and received on swaps

The following table presents the net impact of the Company’s derivative hedging instruments on its interest expense and the weighted average interest rate paid and received for such Swaps for the three and six months ended June 30, 2013 and 2012:

	Three Months Ended June 30,						Six Months Ended June 30,
(Dollars in Thousands)	2013			2012			2013			2012
Interest expense attributable to Swaps	$	12,027		$	19,314		$	24,996		$	40,137
Weighted average Swap rate paid	2.12		%	2.70		%	2.22		%	2.74		%
Weighted average Swap rate received	0.20		%	0.28		%	0.20		%	0.29		%

Schedule of impact of hedging instruments on AOCI

The following table presents the impact of the Company’s derivative hedging instruments on its AOCI for the three and six months ended June 30, 2013 and 2012:

	Three Months Ended June 30,						Six Months Ended June 30,
(In Thousands)	2013			2012			2013			2012
AOCI from derivative hedging instruments:
Balance at beginning of period	$	(50,515	)	$	(102,103	)	$	(62,831	)	$	(114,194	)
Unrealized gain on Swaps, net	18,548			12,280			30,864			24,371
Balance at end of period	$	(31,967	)	$	(89,823	)	$	(31,967	)	$	(89,823	)