Derivative Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2016

Derivative Financial Instruments [Abstract]

Schedule of Derivative Instruments

(in thousands)
Derivative Instruments and Related Accounts	Balance Sheet Location	2016		2015
Assets
Interest rate swaps	Derivative assets, at fair value	$	10,302	$	-
Receiver swaptions	Derivative assets, at fair value		-		669
TBA securities	Derivative assets, at fair value		63		-
Total derivative assets, at fair value		$	10,365	$	669
Liability
Interest rate swaps	Derivative liabilities, at fair value	$	802	$	-
TBA securities	Derivative liabilities, at fair value		1,180		-
Total derivative liabilities, at fair value		$	1,982	$	-
Margin Balances Posted to Counterparties
Futures contracts	Restricted cash	$	9,419	$	8,483
TBA securities	Restricted cash		446		-
Total margin balances on derivative contracts		$	9,865	$	8,483

Schedule of Eurodollar Positions

($ in thousands)
			December 31, 2016
			Average	Weighted	Weighted
			Contract	Average	Average
			Notional	Entry	Effective		Open
Expiration Year			Amount	Rate	Rate		Equity(1)
Eurodollar Futures Contracts (Short Positions)
2017		$	600,000	1.48%	1.28%	$	(1,206)
2018			600,000	1.81%	1.82%		76
2019			675,000	2.00%	2.21%		1,429
2020			700,000	2.65%	2.45%		(1,394)
Total / Weighted Average		$	643,750	2.01%	1.97%	$	(1,095)
Treasury Note Futures Contracts (Short Position)(2)
March 2017 10 year T-Note futures
	(Mar 2017 - Mar 2027 Hedge Period)	$	465,000	2.27%	2.24%	$	(3,134)

($ in thousands)
			December 31, 2015
			Average	Weighted	Weighted
			Contract	Average	Average
			Notional	Entry	Effective		Open
Expiration Year			Amount	Rate	Rate		Equity(1)
Eurodollar Futures Contracts (Short Positions)
2016		$	900,000	1.51%	0.98%	$	(4,718)
2017			900,000	2.31%	1.59%		(6,550)
2018			900,000	2.77%	1.99%		(7,060)
2019			900,000	2.56%	2.17%		(865)
Total / Weighted Average		$	900,000	2.23%	1.57%	$	(19,193)
Treasury Note Futures Contracts (Short Position)(2)
December 2015 10 year T-Note futures
	(Dec 2015 - Dec 2025 Hedge Period)	$	185,000	1.99%	1.95%	$	1,091

Schedule Of Interest Rate Swap Agreements [Table Text Block]

($ in thousands)
			Average			Net
			Fixed	Average		Estimated	Average
		Notional	Pay	Receive		Fair	Maturity
Expiration		Amount	Rate	Rate		Value	(Years)
> 3 to ≤ 5 years	$	700,000	1.20%	0.91%	$	9,500	3.4

Schedule Of Interest Rate Swaption Agreements Outstanding [Table Text Block]

($ in thousands)
	Option					Underlying Swap
					Weighted					Weighted
					Average			Fixed	Receive	Average
				Fair	Months to		Notional	Pay	Rate	Term
Expiration		Cost		Value	Expiration		Amount	Rate	(LIBOR)	(Years)
December 31, 2015 - Receiver Swaptions
≤ 1 year	$	1,100	$	669	4.2	$	100,000	1.77%	3 Month	5.0

Schedule Of To Be Announced Securities [Table Text Block]

($ in thousands)
			Notional						Net
			Amount		Cost		Market		Carrying
			Long (Short)(1)		Basis(2)		Value(3)		Value(4)
30-Year TBA securities:
	3.0%	$	(100,000)	$	(99,406)	$	(99,344)	$	62
	4.0%		(100,000)		(103,898)		(105,078)		(1,180)
		$	(200,000)	$	(203,304)	$	(204,422)	$	(1,118)

Income Statement Effect of Derivatives [Table Text Block]

(in thousands)
		2016		2015		2014
Eurodollar futures contracts (short positions)	$	(12,808)	$	(17,741)	$	(9,558)
T-Note futures contract (short position)		(3,600)		(3,887)		72
Interest rate swaps		9,503		-		-
Receiver swaptions		36		(431)		-
Payer swaptions		-		(1,217)		(4,439)
Net TBA securities		(2,518)		386		-
	$	(9,387)	$	(22,890)	$	(13,925)