Derivatives (Tables)

3 Months Ended

Mar. 31, 2013

Derivatives

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

		Balance Sheet	March 31,			December 31,
Derivative Instrument	Designation	Location	2013			2012
(In Thousands)
Swaps, at fair value ($100.0 million notional at March 31, 2013)	Hedging	Assets	$	324		$	203
Linked Transactions, at fair value	Non-Hedging	Assets	$	12,572		$	12,704
Swaps, at fair value ($2.414 billion notional at March 31, 2013)	Hedging	Liabilities	$	(50,839	)	$	(63,034	)

Schedule of information about the Non-Agency MBS and repurchase agreements underlying the Linked Transactions

Linked Transactions at March 31, 2013

Linked Repurchase Agreements					Linked MBS
			Weighted									Weighted
			Average									Average
Maturity or Repricing	Balance		Interest Rate		Non-Agency MBS	Fair Value		Amortized Cost		Par/Current Face		Coupon Rate
(Dollars in Thousands)					(Dollars in Thousands)
Within 30 days	$	23,236	1.67	%	Rated AA	$	12,654	$	11,578	$	11,937	5.00	%
>30 days to 90 days	10,900		1.45		Rated A	3,019		2,431		3,178		0.75
Total	$	34,136	1.60	%	Rated BBB	8,270		7,121		8,680		2.53
					Rated BB	7,162		6,540		7,234		2.70
					Rated D	15,478		13,894		18,606		5.82
					Total	$	46,583	$	41,564	$	49,635	4.27	%

Linked Transactions at December 31, 2012

Linked Repurchase Agreements					Linked MBS
			Weighted									Weighted
			Average									Average
Maturity or Repricing	Balance		Interest Rate		Non-Agency MBS	Fair Value		Amortized Cost		Par/Current Face		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

Components of Unrealized Net Gains and Net Interest Income from Linked Transactions	Three Months Ended March 31,
(In Thousands)	2013			2012
Interest income attributable to MBS underlying Linked Transactions	$	668		$	2,288
Interest expense attributable to linked repurchase agreement borrowings underlying Linked Transactions	(140		)	(504		)
Change in fair value of Linked Transactions included in earnings	1,008			5,915
Unrealized net gains and net interest income from Linked Transactions	$	1,536		$	7,699

Schedule of assets pledged as collateral against derivative contracts

(In Thousands)	March 31, 2013		December 31, 2012
Agency MBS, at fair value	$	57,119	$	68,915
Restricted cash	5,017		5,016
Total assets pledged against derivative contracts	$	62,136	$	73,931

Schedule of information about swaps

	March 31, 2013						December 31, 2012
			Weighted						Weighted
			Average		Weighted				Average		Weighted
	Notional		Fixed-Pay		Average Variable		Notional		Fixed-Pay		Average Variable
Maturity (1)	Amount		Interest Rate		Interest Rate (2)		Amount		Interest Rate		Interest Rate (2)
(Dollars in Thousands)
Within 30 days	$	287,832	1.85	%	0.21	%	$	25,828	3.88	%	0.28	%
Over 30 days to 3 months	239,443		1.36		0.21		30,185		3.96		0.26
Over 3 months to 6 months	357,012		4.18		0.21		527,275		1.63		0.21
Over 6 months to 12 months	75,902		4.00		0.25		391,063		4.17		0.22
Over 12 months to 24 months	1,053,361		2.06		0.21		685,042		2.28		0.22
Over 24 months to 36 months	350,000		2.07		0.20		710,171		1.97		0.21
Over 36 months to 48 months	150,000		0.54		0.20		150,000		1.03		0.21
Total Swaps	$	2,513,550	2.24	%	0.21	%	$	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.

Schedule of interest expense and the weighted average interest rate paid and received on swaps

	Three Months Ended
	March 31,
(Dollars in Thousands)	2013			2012
Interest expense attributable to Swaps	$	12,969		$	20,823
Weighted average Swap rate paid	2.27		%	2.78		%
Weighted average Swap rate received	0.21		%	0.31		%

Schedule of impact of hedging instruments on AOCI

	Three Months Ended
	March 31,
(In Thousands)	2013			2012
AOCI from derivative hedging instruments:
Balance at beginning of period	$	(62,831	)	$	(114,194	)
Unrealized gain on Swaps, net	12,316			12,091
Balance at end of period	$	(50,515	)	$	(102,103	)