XML 31 R47.htm IDEA: XBRL DOCUMENT v2.4.0.8
Derivative Instruments (Details 2) (USD $)
In Thousands, unless otherwise specified
12 Months Ended
Dec. 31, 2013
Dec. 31, 2012
Dec. 31, 2011
Components of the gain on Linked Transactions      
Change in fair value of Linked Transactions included in earnings $ 1,111 $ 9,593 $ (14,855)
Linked Transactions
     
Linked Repurchase Agreements      
Balance 102,737 35,271  
Weighted Average Interest Rate (as a percent) 1.73% 1.63%  
Linked MBS      
Fair Value 130,790 47,828  
Amortized Cost 126,497 43,817  
Par/Current Face 134,430 52,277  
Weighted Average Coupon Rate (as a percent) 3.96% 4.28%  
MBS, accrued interest receivable 210 185  
MBS, accrued interest payable 82 38  
Components of the gain on Linked Transactions      
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
Linked Transactions | Rated AA
     
Linked MBS      
Fair Value 9,054 13,588  
Amortized Cost 8,486 12,817  
Par/Current Face 8,790 13,192  
Weighted Average Coupon Rate (as a percent) 5.00% 5.00%  
Linked Transactions | Rated A
     
Linked MBS      
Fair Value 2,574 3,075  
Amortized Cost 2,077 2,548  
Par/Current Face 2,682 3,342  
Weighted Average Coupon Rate (as a percent) 1.27% 0.76%  
Linked Transactions | Rated BBB
     
Linked MBS      
Fair Value 7,436 8,299  
Amortized Cost 6,564 7,226  
Par/Current Face 7,903 8,847  
Weighted Average Coupon Rate (as a percent) 2.21% 2.55%  
Linked Transactions | Rated BB
     
Linked MBS      
Fair Value 6,476 7,365  
Amortized Cost 6,067 6,854  
Par/Current Face 6,608 7,593  
Weighted Average Coupon Rate (as a percent) 2.47% 2.75%  
Linked Transactions | Rated D
     
Linked MBS      
Fair Value 13,740 15,501  
Amortized Cost 11,834 14,372  
Par/Current Face 16,216 19,303  
Weighted Average Coupon Rate (as a percent) 5.20% 5.80%  
Linked Transactions | Not Rated
     
Linked MBS      
Fair Value 91,510    
Amortized Cost 91,469    
Par/Current Face 92,231    
Weighted Average Coupon Rate (as a percent) 3.97%    
Linked Transactions | Within 30 days
     
Linked Repurchase Agreements      
Balance 93,835 13,672  
Weighted Average Interest Rate (as a percent) 1.76% 1.57%  
Linked Transactions | Over 30 days to 90 days
     
Linked Repurchase Agreements      
Balance $ 8,902 $ 21,599  
Weighted Average Interest Rate (as a percent) 1.44% 1.66%