Derivative Instruments (Tables)

12 Months Ended

Dec. 31, 2015

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments in Statement of Financial Position

The table below summarizes the location and fair value of the derivatives reported in the Consolidated Statements of Financial Condition after counterparty netting and posting of cash collateral as of December 31, 2015 and December 31, 2014.

December 31, 2015
			Derivative Assets			Derivative Liabilities
Derivative Instruments	Notional Amount Outstanding		Location on Consolidated Statements of Financial Condition	Net Estimated Fair Value/Carrying Value		Location on Consolidated Statements of Financial Condition	Net Estimated Fair Value/Carrying Value
(dollars in thousands)
Interest Rate Swaps	$	4,555,400	Derivatives, at fair value, net	$	1,232	Derivatives, at fair value, net	$	(6,369	)
Mortgage Options		-	Derivatives, at fair value, net		-	Derivatives, at fair value, net		-
Swaptions		779,000	Derivatives, at fair value, net		12,821	Derivatives, at fair value, net		(3,265	)
Treasury Futures		752,200	Derivatives, at fair value, net		1,407	Derivatives, at fair value, net		-
Total	$	6,086,600		$	15,460		$	(9,634	)

December 31, 2014
			Derivative Assets			Derivative Liabilities
Derivative Instruments	Notional Amount Outstanding		Location on Consolidated Statements of Financial Condition	Net Estimated Fair Value/Carrying Value		Location on Consolidated Statements of Financial Condition	Net Estimated Fair Value/Carrying Value
(dollars in thousands)
Interest Rate Swaps	$	3,573,000	Derivatives, at fair value, net	$	-	Derivatives, at fair value, net		(14,061	)
Mortgage Options		200,000	Derivatives, at fair value, net		-	Derivatives, at fair value, net		(71	)
Swaptions		242,000	Derivatives, at fair value, net		2,889	Derivatives, at fair value, net		(45	)
Treasury Futures		1,240,000	Derivatives, at fair value, net		-	Derivatives, at fair value, net		-
Total	$	5,255,000		$	2,889		$	(14,177	)

Schedule of Derivative Instruments Effects on Operating Results

The effect of the Company’s derivatives on the Consolidated Statements of Operations and Comprehensive Income is presented below.

		Net gains (losses) on derivatives
		For the Year Ended
Derivative Instruments	Location on Consolidated Statements of Operations and Comprehensive Income	December 31, 2015			December 31, 2014			December 31, 2013
(dollars in thousands)
Interest Rate Swaps	Net unrealized gains (losses) on derivatives	$	64,819		$	(84,913	)	$	23,740
Interest Rate Swaps	Net realized gains (losses) on derivatives  (1)		(146,173	)		(52,523	)		(21,857	)
Mortgage Options	Net unrealized gains (losses) on derivatives		225			340			-
Mortgage Options	Net realized gains (losses) on derivatives		443			7,505			12,115
Treasury Futures	Net unrealized gains (losses) on derivatives		8,634			(17,856	)		10,629
Treasury Futures	Net realized gains (losses) on derivatives		(35,523	)		(38,552	)		2,029
Swaptions	Net unrealized gains (losses) on derivatives		(6,294	)		(1,067	)		-
Swaptions	Net realized gains (losses) on derivatives		(353	)		(24	)		-
Other Derivative Assets	Net unrealized gains (losses) on derivatives		-			-			-
Other Derivative Assets	Net realized gains (losses) on derivatives		(415	)		742			-
Total		$	(114,637	)	$	(186,348	)	$	26,656
(1) Includes loss on termination of interest rate swap of $99 million for the year ended December 31, 2015