Derivative Instruments (Tables)

12 Months Ended

Dec. 31, 2013

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of fair value of derivative instruments and their balance sheet location

The following table presents the fair value of the Company’s derivative instruments and their balance sheet location at December 31, 2013 and 2012:

			December 31,
			2013					2012
Derivative Instrument	Designation	Balance Sheet Location	Notional Amount		Fair Value
(In Thousands)
Linked Transactions	Non-Hedging	Assets	N/A		$	28,181		$	12,704
Non-cleared legacy Swaps (1)	Hedging	Assets	$	450,000	$	4,925		$	203
Cleared Swaps (2)	Hedging	Assets	$	1,300,000	$	8,075		$	—
Non-cleared legacy Swaps (1)	Hedging	Liabilities	$	1,445,212	$	(24,437	)	$	(63,034	)
Cleared Swaps (2)	Hedging	Liabilities	$	850,000	$	(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 Non-Agency MBS and repurchase agreements underlying the Company’s Linked Transactions at December 31, 2013 and 2012:

Linked Transactions at December 31, 2013

Linked Repurchase Agreements					Linked MBS
Maturity or Repricing	Balance		Weighted Average Interest Rate		Non-Agency MBS	Fair Value		Amortized Cost		Par/Current Face		Weighted Average Coupon Rate
(Dollars in Thousands)					(Dollars in Thousands)
Within 30 days	$	93,835	1.76	%	Rated AA	$	9,054	$	8,486	$	8,790	5.00	%
>30 days to 90 days	8,902		1.44		Rated A	2,574		2,077		2,682		1.27
Total	$	102,737	1.73	%	Rated BBB	7,436		6,564		7,903		2.21
					Rated BB	6,476		6,067		6,608		2.47
					Rated D	13,740		11,834		16,216		5.20
					Not Rated	91,510		91,469		92,231		3.97
					Total	$	130,790	$	126,497	$	134,430	3.96	%

Linked Transactions at December 31, 2012

Linked Repurchase Agreements					Linked MBS
Maturity or Repricing	Balance		Weighted Average Interest Rate		Non-Agency MBS	Fair Value		Amortized Cost		Par/Current Face		Weighted Average Coupon Rate
(Dollars in Thousands)					(Dollars in Thousands)
Within 30 days	$	13,672	1.57	%	Rated AA	$	13,588	$	12,817	$	13,192	5.00	%
>30 days to 90 days	21,599		1.66		Rated A	3,075		2,548		3,342		0.76
Total	$	35,271	1.63	%	Rated BBB	8,299		7,226		8,847		2.55
					Rated BB	7,365		6,854		7,593		2.75
					Rated D	15,501		14,372		19,303		5.80
					Total	$	47,828	$	43,817	$	52,277	4.28	%

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, 2013, 2012 and 2011:

Components of Unrealized Net Gains and Net Interest Income from Linked Transactions	For the Year Ended December 31,
(In Thousands)	2013			2012			2011
Interest income attributable to MBS underlying Linked Transactions	$	3,869		$	5,089		$	25,592
Interest expense attributable to linked repurchase agreement borrowings underlying Linked Transactions	(925		)	(1,113		)	(4,794		)
Change in fair value of Linked Transactions included in earnings	281			8,634			(17,783		)
Unrealized net gains and net interest income from Linked Transactions	$	3,225		$	12,610		$	3,015

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, 2013 and December 31, 2012:

	December 31,
(In Thousands)	2013		2012
Agency MBS, at fair value	$	73,859	$	68,915
Restricted cash	37,520		5,016
Total assets pledged against Swaps	$	111,379	$	73,931

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, 2013:

(Dollars in Thousands)	December 31, 2013
New Swaps:
Aggregate notional amount	$	2,501,000
Weighted average fixed-pay rate	1.85		%
Initial maturity date range	Two months to ten years
Number of new Swaps	23
Swaps amortized/expired:
Aggregate notional amount	$	975,352
Weighted average fixed-pay rate	2.78		%

Schedule of information about swaps

The following table presents information about the Company’s Swaps at December 31, 2013 and 2012:

	December 31, 2013						December 31, 2012
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	$	17,635	3.90	%	0.21	%	$	25,828	3.88	%	0.28	%
Over 30 days to 3 months	24,216		3.93		0.21		30,185		3.96		0.26
Over 3 months to 6 months	476,147		1.80		0.17		527,275		1.63		0.21
Over 6 months to 12 months	167,043		3.22		0.18		391,063		4.17		0.22
Over 12 months to 24 months	710,171		1.97		0.17		685,042		2.28		0.22
Over 24 months to 36 months	150,000		1.03		0.17		710,171		1.97		0.21
Over 36 months to 48 months	350,000		0.58		0.17		150,000		1.03		0.21
Over 48 months to 60 months	550,000		1.49		0.17		—		—		—
Over 72 months to 84 months	1,500,000		2.22		0.17		—		—		—
Over 84 months (3)	100,000		2.75		0.17		—		—		—
Total Swaps	$	4,045,212	1.91	%	0.17	%	$	2,519,564	2.31	%	0.22	%

(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, 2013, 2012 and 2011:

	For the Year Ended December 31,
(Dollars in Thousands)	2013			2012			2011
Interest expense attributable to Swaps	$	59,031		$	73,266		$	95,677
Weighted average Swap rate paid	2.08		%	2.68		%	3.13		%
Weighted average Swap rate received	0.19		%	0.27		%	0.25		%

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, 2013, 2012 and 2011:

	For the Year Ended December 31,
(In Thousands)	2013			2012			2011
AOCI from derivative hedging instruments:
Balance at beginning of period	$	(62,831	)	$	(114,194	)	$	(139,142	)
Unrealized gain on Swaps, net	47,614			51,363			24,948
Balance at end of period	$	(15,217	)	$	(62,831	)	$	(114,194	)