Derivative Instruments and Hedging Activities (Tables)

12 Months Ended

Dec. 31, 2015

Derivative Instruments and Hedging Activities Disclosures [Line Items]

Schedule of Other Derivatives Not Designated as Hedging Instruments, Statements of Financial Performance and Financial Position, Location

The tables below summarize the activity of derivative instruments not designated as hedges for the years ended December 31, 2015 and 2014, respectively (dollar amounts in thousands).

	Notional Amount For the Year Ended December 31, 2015
	December 31, 2014			Additions		Settlement, Expiration or Exercise			December 31, 2015
TBA securities	$	273,000		$	3,801,000	$	(3,852,000	)	$	222,000
U.S. Treasury futures	2,300			150,200		(152,500		)	—
Interest rate swap futures	(190,100		)	1,165,200		(1,112,300		)	(137,200		)
Eurodollar futures	(2,961,000		)	2,925,000		(2,733,000		)	(2,769,000		)
Options on U.S. Treasury futures	21,000			375,000		(368,000		)	28,000
Swaptions	180,000			9,000		(30,000		)	159,000
Interest rate swaps	10,000			—		—			10,000

	Notional Amount For the Year Ended December 31, 2014
	December 31, 2013			Additions		Settlement, Expiration or Exercise			December 31, 2014
TBA securities	$	188,000		$	2,575,000	$	(2,490,000	)	$	273,000
U.S. Treasury futures	(11,900		)	130,500		(116,300		)	2,300
Interest rate swap futures	(242,700		)	996,500		(943,900		)	(190,100		)
Eurodollar futures	(3,360,000		)	3,134,000		(2,735,000		)	(2,961,000		)
Options on U.S. Treasury futures	40,000			48,200		(67,200		)	21,000
Swaptions	100,000			150,000		(70,000		)	180,000
Interest rate swaps	—			10,000		—			10,000

Schedule of Components of Realized and Unrealized Gains and Losses To Derivative Not Designated as Hedging Instruments

The following table presents the components of realized and unrealized gains and losses related to our derivative instruments that were not designated as hedging instruments included in other income (loss) in our consolidated statements of operations for the years ended December 31, 2015, 2014 and 2013:

	Years Ended December 31,
	2015						2014						2013
	Realized Gains (Losses)			Unrealized Gains (Losses)			Realized Gains (Losses)			Unrealized Gains (Losses)			Realized Gains (Losses)			Unrealized Gains (Losses)
TBA	$	5,244		$	(2,253	)	$	13,708		$	2,472		$	(12,393	)	$	(629	)
Eurodollar futures (1)	(2,321		)	(342		)	(2,146		)	533			(3,591		)	2,366
Interest rate swaps	—			(26		)	259			(232		)	—			—
Swaptions	—			(658		)	—			(1,068		)	—			1,153
U.S. Treasury and Interest rate swap futures and options	(9,631		)	579			(8,831		)	(3,332		)	5,418			2,866
Total	$	(6,708	)	$	(2,700	)	$	2,990		$	(1,627	)	$	(10,566	)	$	5,756

(1) At December 31, 2015, the Eurodollar futures consist of 2,769 contracts with expiration dates ranging between March 2016 and September 2017.

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value

The following table presents the fair value of derivative instruments designated as hedging instruments and their location in the Company’s consolidated balance sheets at December 31, 2015 and December 31, 2014, respectively (dollar amounts in thousands):

	Balance Sheet Location	December 31, 2015		December 31, 2014
Interest rate swaps	Derivative assets	$	304	$	1,135

Schedule of Interest Rate Swaps Designated as Hedging Instruments, Effect on Other Comprehensive Income (Loss)

The following table presents the impact of the Company’s interest rate swaps designated as hedging instruments on the Company’s accumulated other comprehensive income (loss) for the years ended December 31, 2015, 2014 and 2013 (dollar amounts in thousands):

	Years Ended December 31,
	2015			2014			2013
Accumulated other comprehensive income (loss) for derivative instruments:
Balance at beginning of the period	$	1,135		$	2,041		$	(1,744	)
Unrealized (loss) gain on interest rate swaps	(831		)	(906		)	3,785
Balance at end of the period	$	304		$	1,135		$	2,041

Schedule of Interest Rate Swaps Designated as Hedging Instruments Included in Interest Expense

The following table details the impact of the Company’s interest rate swaps designated as hedging instruments included in interest expense for the years ended December 31, 2015, 2014 and 2013, respectively (dollar amounts in thousands):

	Years Ended December 31,
	2015		2014		2013
Interest Rate Swaps:
Interest expense-investment securities	$	1,619	$	1,848	$	1,737

Schedule of Interest Rate Swaps, Including Those in Agency IO Portfolio

The following table presents information about the Company’s interest rate swaps, including interest rate swaps in its Agency IO portfolio as of December 31, 2015 and December 31, 2014, respectively (dollar amounts in thousands):

	December 31, 2015				December 31, 2014
Maturity	Notional Amount		Weighted Average Fixed Pay Interest Rate		Notional Amount		Weighted Average Fixed Pay Interest Rate
Within 30 Days	$	—	—	%	$	—	—	%
Over 30 days to 3 months	—		—	%	—		—	%
Over 3 months to 6 months	—		—	%	—		—	%
Over 6 months to 12 months	—		—	%	135,000		0.45	%
Over 12 months to 24 months	215,000		0.83	%	—		—	%
Over 24 months to 36 months	—		—	%	215,000		0.83	%
Over 36 months to 48 months	—		—	%	—		—	%
Over 48 months to 60 months	10,000		2.25	%	10,000		2.25	%
Total	$	225,000	0.90	%	$	360,000	0.73	%

Not Designated as Hedging Instrument

Derivative Instruments and Hedging Activities Disclosures [Line Items]

Schedule of Fair Value of Derivative Instruments Not Designated as Hedging Instruments, Balance Sheet Location

The following table presents the fair value of derivative instruments that were not designated as hedging instruments and their location in our consolidated balance sheets at December 31, 2015 and December 31, 2014, respectively (dollar amounts in thousands):

	Balance Sheet Location	December 31, 2015		December 31, 2014
TBA securities(1)	Derivative assets	$	226,929	$	284,971
U.S. Treasury futures	Derivative assets	—		379
Options on U.S. Treasury futures	Derivative assets	15		92
Interest rate swap futures	Derivative assets	706		—
Swaptions	Derivative assets	821		2,273
Eurodollar futures	Derivative liabilities	1,242		900
Interest rate swap futures	Derivative liabilities	—		331
Interest rate swaps(2)	Derivative liabilities	258		232

(1) Open TBA purchases and sales involving the same counterparty, same underlying deliverable and the same settlement date are reflected in our accompanying consolidated financial statements on a net basis. There was no netting of TBA sales against TBA purchases as of December 31, 2015 and December 31, 2014.

(2) Includes interest rate swaps in our Agency IO portfolio.