Derivative Instruments (Tables)

12 Months Ended

Dec. 31, 2014

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of derivative instruments and balance sheet location

The following table presents the fair value of the Company’s derivative instruments and their balance sheet location at December 31, 2014 and 2013:

			December 31,
			2014					2013
Derivative Instrument	Designation	Balance Sheet Location	Notional Amount		Fair Value
(In Thousands)
Linked Transactions	Non-Hedging	Assets	N/A		$	398,336		$	28,181
Non-cleared legacy Swaps (1)	Hedging	Assets	$	450,000	$	3,136		$	4,925
Cleared Swaps (2)	Hedging	Assets	$	—	$	—		$	8,075
Non-cleared legacy Swaps (1)	Hedging	Liabilities	$	760,170	$	(4,263	)	$	(24,437	)
Cleared Swaps (2)	Hedging	Liabilities	$	2,550,000	$	(57,935	)	$	(3,780	)

(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 Legacy Non-Agency MBS, RPL/NPL MBS, CRT securities and repurchase agreements underlying the Company’s Linked Transactions at December 31, 2014 and 2013:

Linked Transactions at December 31, 2014

Linked Repurchase Agreements					Linked MBS
Maturity or Repricing	Balance		Weighted Average Interest Rate			Fair Value		Amortized Cost		Par/Current Face		Weighted Average Coupon Rate
(Dollars in Thousands)					(Dollars in Thousands)
Within 30 days	$	1,514,393	1.47	%	Legacy Non-Agency MBS	$	66,382	$	61,658	$	72,513	4.20	%
>30 days to 90 days	5,200		1.35		RPL/NPL MBS	1,846,807		1,847,118		1,849,974		3.49
Total	$	1,519,593	1.47	%	CRT securities	4,624		4,500		4,500		4.56
					Total	$	1,917,813	$	1,913,276	$	1,926,987	3.52	%

Linked Transactions at December 31, 2013

Linked Repurchase Agreements					Linked MBS
Maturity or Repricing	Balance		Weighted Average Interest Rate			Fair Value		Amortized Cost		Par/Current Face		Weighted Average Coupon Rate
(Dollars in Thousands)					(Dollars in Thousands)
Within 30 days	$	93,835	1.76	%	Legacy Non-Agency MBS	$	39,280	$	35,028	$	42,199	3.92	%
>30 days to 90 days	8,902		1.44		RPL/NPL MBS	91,510		91,469		92,231		3.97
Total	$	102,737	1.73	%	Total	$	130,790	$	126,497	$	134,430	3.96	%

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 years ended December 31, 2014, 2013 and 2012:

	For the Year Ended December 31,
(In Thousands)	2014			2013			2012
Interest income attributable to securities underlying Linked Transactions	$	24,443		$	3,869		$	5,089
Interest expense attributable to linked repurchase agreement borrowings underlying Linked Transactions	(8,028		)	(925		)	(1,113		)
Change in fair value of Linked Transactions included in earnings	677			281			8,634
Unrealized net gains and net interest income from Linked Transactions	$	17,092		$	3,225		$	12,610

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 December 31, 2014 and December 31, 2013:

	December 31,
(In Thousands)	2014		2013
Agency MBS, at fair value	$	57,247	$	73,859
Restricted cash	66,486		37,520
Total assets pledged against Swaps	$	123,733	$	111,379

Schedule of information about Swap activity

The following table presents certain information with respect to the Company’s Swap activity for the year ended December 31, 2014:

(Dollars in Thousands)	December 31, 2014
New Swaps:
Aggregate notional amount	$	400,000
Weighted average fixed-pay rate	1.95		%
Initial maturity date	Five to seven years
Number of new Swaps	Four
Swaps amortized/expired:
Aggregate notional amount	$	685,042
Weighted average fixed-pay rate	2.28		%

Schedule of information about swaps

The following table presents information about the Company’s Swaps at December 31, 2014 and 2013:

	December 31, 2014						December 31, 2013
Maturity (1)	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)
(Dollars in Thousands)
Within 30 days	$	22,290	3.63	%	0.23	%	$	17,635	3.90	%	0.21	%
Over 30 days to 3 months	387,880		1.80		0.16		24,216		3.93		0.21
Over 3 months to 6 months	300,000		2.06		0.17		476,147		1.80		0.17
Over 6 months to 12 months	—		—		—		167,043		3.22		0.18
Over 12 months to 24 months	150,000		1.03		0.16		710,171		1.97		0.17
Over 24 months to 36 months	350,000		0.58		0.16		150,000		1.03		0.17
Over 36 months to 48 months	550,000		1.49		0.16		350,000		0.58		0.17
Over 48 months to 60 months	200,000		1.71		0.17		550,000		1.49		0.17
Over 60 months to 72 months	1,500,000		2.22		0.16		—		—		—
Over 72 months to 84 months	200,000		2.20		0.17		1,500,000		2.22		0.17
Over 84 months (3)	100,000		2.75		0.16		100,000		2.75		0.17
Total Swaps	$	3,760,170	1.85	%	0.16	%	$	4,045,212	1.91	%	0.17	%

(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 years ended December 31, 2014, 2013 and 2012:

	For the Year Ended December 31,
(Dollars in Thousands)	2014			2013			2012
Interest expense attributable to Swaps	$	69,842		$	59,031		$	73,266
Weighted average Swap rate paid	1.93		%	2.08		%	2.68		%
Weighted average Swap rate received	0.16		%	0.19		%	0.27		%

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 years ended December 31, 2014, 2013 and 2012:

	For the Year Ended December 31,
(In Thousands)	2014			2013			2012
AOCI from derivative hedging instruments:
Balance at beginning of period	$	(15,217	)	$	(62,831	)	$	(114,194	)
Unrealized (loss)/gain on Swaps, net	(44,292		)	47,614			51,363
Reclassification of unrealized loss on de-designated Swaps	447			—			—
Balance at end of period	$	(59,062	)	$	(15,217	)	$	(62,831	)