Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2016

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, 2016 and December 31, 2015:

			June 30, 2016					December 31, 2015
Derivative Instrument	Designation	Balance Sheet Location	Notional Amount		Fair Value			Notional Amount		Fair Value
(In Thousands)
Non-cleared legacy Swaps (1)	Hedging	Assets	$	—	$	—		$	450,000	$	1,127
Non-cleared legacy Swaps (1)	Hedging	Liabilities	$	450,000	$	(296	)	$	50,000	$	(59	)
Cleared Swaps (2)	Hedging	Liabilities	$	2,550,000	$	(131,675	)	$	2,550,000	$	(70,467	)

(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 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, 2016 and December 31, 2015:

(In Thousands)	June 30, 2016		December 31, 2015
Agency MBS, at fair value	$	35,661	$	38,569
Restricted cash	135,894		70,573
Total assets pledged against Swaps	$	171,555	$	109,142

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, 2016:

(Dollars in Thousands)	Three Months Ended   June 30, 2016			Six Months Ended   June 30, 2016
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	$	—		$	50,000
Weighted average fixed-pay rate	—		%	2.13		%

Schedule of information about swaps

The following table presents information about the Company’s Swaps at June 30, 2016 and December 31, 2015:

	June 30, 2016						December 31, 2015
	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	$	—	—	%	—	%	$	50,000	2.13	%	0.42	%
Over 3 months to 6 months	100,000		0.48		0.45		—		—		—
Over 6 months to 12 months	350,000		0.58		0.46		100,000		0.48		0.32
Over 12 months to 24 months	50,000		1.45		0.45		350,000		0.58		0.27
Over 24 months to 36 months	700,000		1.56		0.45		550,000		1.49		0.32
Over 36 months to 48 months	200,000		2.05		0.45		200,000		1.71		0.42
Over 48 months to 60 months	1,500,000		2.24		0.45		1,500,000		2.22		0.36
Over 60 months to 72 months	—		—		—		200,000		2.20		0.30
Over 84 months (3)	100,000		2.75		0.45		100,000		2.75		0.40
Total Swaps	$	3,000,000	1.82	%	0.45	%	$	3,050,000	1.82	%	0.34	%

(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, 2016 and 2015:

	Three Months Ended   June 30,						Six Months Ended   June 30,
(Dollars in Thousands)	2016			2015			2016			2015
Interest expense attributable to Swaps	$	10,459		$	13,174		$	21,109		$	28,555
Weighted average Swap rate paid	1.82		%	1.83		%	1.82		%	1.84		%
Weighted average Swap rate received	0.44		%	0.18		%	0.43		%	0.18		%

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, 2016 and 2015:

	Three Months Ended   June 30,						Six Months Ended   June 30,
(In Thousands)	2016			2015			2016			2015
AOCI from derivative hedging instruments:
Balance at beginning of period	$	(118,741	)	$	(91,429	)	$	(69,399	)	$	(59,062	)
Unrealized (loss)/gain on Swaps, net	(13,230		)	26,858			(62,572		)	(5,509		)
Balance at end of period	$	(131,971	)	$	(64,571	)	$	(131,971	)	$	(64,571	)