Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2013

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block]

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

			September 30, 2013		September 30, 2013			December 31, 2012
Derivative Instrument	Designation	Balance Sheet Location	Notional Amount		Fair Value
(In Thousands)
Linked Transactions	Non-Hedging	Assets	N/A		$	23,940		$	12,704
Non-cleared legacy Swaps (1)	Hedging	Assets	$	450,000	$	4,629		$	203
Non-cleared legacy Swaps (1)	Hedging	Liabilities	$	1,479,263	$	(31,154	)	$	(63,034	)
Cleared Swaps (2)	Hedging	Liabilities	$	2,150,000	$	(25,375	)	$	—
TBA short positions	Non-Hedging	Liabilities	N/A		$	(8,724	)	$	—

(1)  Non-cleared legacy Swaps include Swaps executed and settled bilaterally with counterparties without the use of an organized exchange or central clearing house.

(2) 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 September 30, 2013 and December 31, 2012:

Linked Transactions atSeptember 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	$	61,642	1.72	%	Rated AA	$	9,724	$	9,162	$	9,487	5.00	%
>30 days to 90 days	20,775		1.61		Rated A	2,654		2,138		2,793		1.28
Total	$	82,417	1.69	%	Rated BBB	7,672		6,730		8,149		2.31
					Rated BB	6,637		6,177		6,773		2.56
					Rated D	13,921		12,450		16,939		5.80
					Rated NR	65,623		65,655		66,523		3.85	%
					Total	$	106,231	$	102,312	$	110,664	3.99	%

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 nine months ended September 30, 2013 and 2012:

Components of Unrealized Net Gains and Net Interest Income from Linked Transactions	Three Months Ended September 30,						Nine Months Ended September 30,
(In Thousands)	2013			2012			2013			2012
Interest income attributable to MBS underlying Linked Transactions	$	1,109		$	812		$	2,431		$	4,386
Interest expense attributable to linked repurchase agreement borrowings underlying Linked Transactions	(275		)	(168		)	(552		)	(965		)
Change in fair value of Linked Transactions included in earnings	(290		)	2,533			(94		)	8,023
Unrealized net gains and net interest income from Linked Transactions	$	544		$	3,177		$	1,785		$	11,444

Schedule of assets pledged as collateral against derivative contracts

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

(In Thousands)	September 30, 2013		December 31, 2012
Agency MBS, at fair value	$	67,255	$	68,915
Restricted cash	59,275		5,016
Total assets pledged against Swaps	$	126,530	$	73,931

Schedule of information about Swap activity [Table Text Block]

The following table presents certain information with respect to the Company's Swap activity during the three and nine months ended September 30, 2013:

(Dollars in Thousands)	Three Months Ended   September 30, 2013			Nine Months Ended   September 30, 2013
New Swaps:
Aggregate notional amount	$	1,750,000		$	2,501,000
Weighted average fixed-pay rate	2.13		%	1.85		%
Initial maturity date	Five years to ten years			Two months to ten years
Number of new Swaps	14			23
Swaps amortized/expired:
Aggregate notional amount	$	358,012		$	941,300
Weighted average fixed-pay rate	4.16		%	2.73		%

Schedule of information about swaps

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

	September 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	$	14,509	4.02	%	0.23	%	$	25,828	3.88	%	0.28	%
Over 30 days to 3 months	19,542		4.16		0.21		30,185		3.96		0.26
Over 3 months to 6 months	41,851		3.92		0.23		527,275		1.63		0.21
Over 6 months to 12 months	522,469		1.90		0.18		391,063		4.17		0.22
Over 12 months to 24 months	830,892		2.17		0.19		685,042		2.28		0.22
Over 24 months to 36 months	50,000		2.13		0.18		710,171		1.97		0.21
Over 36 months to 48 months	450,000		0.56		0.18		150,000		1.03		0.21
Over 48 months to 60 months	550,000		1.49		0.18		—		—		—
Over 60 months to 72 months	—		—		—		—		—		—
Over 72 months to 84 months	1,500,000		2.22		0.18		—		—		—
Over 84 months (3)	100,000		2.75		0.18		—		—		—
Total Swaps	$	4,079,263	1.93	%	0.18	%	$	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.

(3) Reflects one Swap with a maturity date of July 2023.

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 nine months ended September 30, 2013 and 2012:

	Three Months Ended   September 30,						Nine Months Ended   September 30,
(Dollars in Thousands)	2013			2012			2013			2012
Interest expense attributable to Swaps	$	15,888		$	18,138		$	40,884		$	58,275
Weighted average Swap rate paid	2.07		%	2.72		%	2.15		%	2.74		%
Weighted average Swap rate received	0.20		%	0.27		%	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 nine months ended September 30, 2013 and 2012:

	Three Months Ended   September 30,						Nine Months Ended   September 30,
(In Thousands)	2013			2012			2013			2012
AOCI from derivative hedging instruments:
Balance at beginning of period	$	(31,967	)	$	(89,823	)	$	(62,831	)	$	(114,194	)
Unrealized (loss)/gain on Swaps, net	(19,934		)	11,654			10,930			36,025
Balance at end of period	$	(51,901	)	$	(78,169	)	$	(51,901	)	$	(78,169	)

Schedule Of Short Position of Derivative Instruments [Table Text Block]

The following table presents the Company's TBA short positions as of September 30, 2013 and December 31, 2012:

	September 30, 2013									December 31, 2012
(In Thousands)	Principal		Cost Basis (1)		Fair Value (2)		Net Carrying Value (3)			Principal		Cost Basis (1)		Fair Value (2)		Net Carrying Value (3)
TBA short positions	$	350,000	$	343,436	$	352,160	$	(8,724	)	$	—	$	—	$	—	$	—

(1) Cost basis represents the forward price to be received for the underlying agency security.

(2) Fair value represents the current fair value of the underlying agency security as of period-end.

(3) Net carrying value represents the difference between the fair value of the underlying agency security as of period-end and the cost basis and is reported in Other derivative instruments, at fair value in the Company's consolidated balance sheets. Gains and losses associated with TBA short positions are reported in Other income on the Company's consolidated statement of operations.