Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2015

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 June 30, 2015 and December 31, 2014:

			June 30, 2015		June 30, 2015			December 31, 2014
Derivative Instrument	Designation	Balance Sheet Location	Notional Amount		Fair Value
(In Thousands)
Linked Transactions	Non-Hedging	Assets	N/A		N/A			$	398,336
Non-cleared legacy Swaps (1)	Hedging	Assets	$	400,000	$	849		$	3,136
Non-cleared legacy Swaps (1)	Hedging	Liabilities	$	100,000	$	(582	)	$	(4,263	)
Cleared Swaps (2)	Hedging	Liabilities	$	2,550,000	$	(64,838	)	$	(57,935	)

(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 Legacy Non-Agency MBS, RPL/NPL MBS, CRT securities 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:

Linked Transactions at December 31, 2014

Linked Repurchase Agreements					Linked MBS/CRT Securities
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	%

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, 2014:

	Three Months Ended June 30,			Six Months Ended   June 30,
(In Thousands)	2014			2014
Interest income attributable to MBS underlying Linked Transactions	$	2,925		$	4,966
Interest expense attributable to linked repurchase agreement borrowings underlying Linked Transactions	(921		)	(1,472		)
Change in fair value of Linked Transactions included in earnings	1,772			3,533
Unrealized net gains and net interest income from Linked Transactions	$	3,776		$	7,027

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 June 30, 2015 and December 31, 2014:

(In Thousands)	June 30, 2015		December 31, 2014
Agency MBS, at fair value	$	44,621	$	57,247
Restricted cash	67,333		66,486
Total assets pledged against Swaps	$	111,954	$	123,733

Schedule of information about Swap activity

The following table presents certain information with respect to the Company’s Swap activity during the three and six months ended June 30, 2015:

(Dollars in Thousands)	Three Months Ended   June 30, 2015			Six Months Ended   June 30, 2015
New Swaps:
Aggregate notional amount	$	—		$	—
Weighted average fixed-pay rate	—		%	—		%
Initial maturity date	N/A			N/A
Number of new Swaps	—			—
Swaps amortized/expired:
Aggregate notional amount	$	300,000		$	710,170
Weighted average fixed-pay rate	2.06		%	1.96		%

Schedule of information about swaps

The following table presents information about the Company’s Swaps at June 30, 2015 and December 31, 2014:

	June 30, 2015						December 31, 2014
	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	$	—	—	%	—	%	$	22,290	3.63	%	0.23	%
Over 30 days to 3 months	—		—		—		387,880		1.80		0.16
Over 3 months to 6 months	—		—		—		300,000		2.06		0.17
Over 6 months to 12 months	50,000		2.13		0.19		—		—		—
Over 12 months to 24 months	450,000		0.56		0.18		150,000		1.03		0.16
Over 24 months to 36 months	50,000		1.45		0.19		350,000		0.58		0.16
Over 36 months to 48 months	700,000		1.56		0.19		550,000		1.49		0.16
Over 48 months to 60 months	200,000		2.05		0.19		200,000		1.71		0.17
Over 60 months to 72 months	1,500,000		2.24		0.19		1,500,000		2.22		0.16
Over 72 months to 84 months	—		—		—		200,000		2.20		0.17
Over 84 months (3)	100,000		2.75		0.19		100,000		2.75		0.16
Total Swaps	$	3,050,000	1.82	%	0.19	%	$	3,760,170	1.85	%	0.16	%

(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 six months ended June 30, 2015 and 2014:

	Three Months Ended   June 30,						Six Months Ended   June 30,
(Dollars in Thousands)	2015			2014			2015			2014
Interest expense attributable to Swaps	$	13,174		$	18,075		$	28,555		$	35,638
Weighted average Swap rate paid	1.83		%	1.92		%	1.84		%	1.92		%
Weighted average Swap rate received	0.18		%	0.15		%	0.18		%	0.16		%

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, 2015 and 2014:

	Three Months Ended   June 30,						Six Months Ended   June 30,
(In Thousands)	2015			2014			2015			2014
AOCI from derivative hedging instruments:
Balance at beginning of period	$	(91,429	)	$	(27,037	)	$	(59,062	)	$	(15,217	)
Unrealized gain/(loss) on Swaps, net	26,858			(27,634		)	(5,509		)	(39,901		)
Reclassification of unrealized loss on de-designated Swaps	—			—			—			447
Balance at end of period	$	(64,571	)	$	(54,671	)	$	(64,571	)	$	(54,671	)