Derivative Instruments and Hedging Activities (Tables)

3 Months Ended

Mar. 31, 2016

Derivative Instruments and Hedging Activities Disclosures [Line Items]

Schedule of Activity of Derivative Instruments Not Designated as Hedges

The tables below summarize the activity of derivative instruments not designated as hedges for the three months ended March 31, 2016 and 2015, respectively (dollar amounts in thousands):

	Notional Amount For the Three Months Ended March 31, 2016
Derivatives Not Designated as Hedging Instruments	December 31, 2015			Additions		Settlement, Expiration or Exercise			March 31, 2016
TBA securities	$	222,000		$	1,065,000	$	(1,006,000	)	$	281,000
U.S. Treasury futures	—			70,600		(35,300		)	35,300
Interest rate swap futures	(137,200		)	316,500		(272,900		)	(93,600		)
Eurodollar futures	(2,769,000		)	676,000		(1,484,000		)	(3,577,000		)
Options on U.S. Treasury futures	28,000			29,000		(35,000		)	22,000
Swaptions	159,000			—		(5,000		)	154,000
Interest rate swaps	10,000			5,000		—			15,000

	Notional Amount For the Three Months Ended March 31, 2015
Derivatives Not Designated as Hedging Instruments	December 31, 2014			Additions		Settlement, Expiration or Exercise			March 31, 2015
TBA securities	$	273,000		$	1,171,000	$	(1,123,000	)	$	321,000
U.S. Treasury futures	2,300			91,500		(64,200		)	29,600
Interest rate swap futures	(190,100		)	318,500		(336,400		)	(208,000		)
Eurodollar futures	(2,961,000		)	471,000		(388,000		)	(2,878,000		)
Options on U.S. Treasury futures	21,000			152,000		(122,000		)	51,000
Swaptions	180,000			5,000		—			185,000
Interest rate swaps	10,000			—		—			10,000

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

The following tables 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 (expense) in our condensed consolidated statements of operations for the three months ended March 31, 2016 and 2015 (dollar amounts in thousands):

	Three Months Ended March 31,
	2016						2015
	Realized Gains (Losses)			Unrealized Gains (Losses)			Realized Gains (Losses)			Unrealized Gains (Losses)
TBA Securities	$	4,808		$	1,976		$	2,829		$	655
Eurodollar futures (1)	(781		)	(2,035		)	(247		)	(1,573		)
Interest rate swaps	—			(119		)	—			(184		)
Swaptions	—			(128		)	—			(556		)
U.S. Treasury and Interest rate swap futures and options	(2,271		)	(1,384		)	(1,445		)	(3,056		)
Total	$	1,756		$	(1,690	)	$	1,137		$	(4,714	)

⁽¹⁾  At March 31, 2016, the Eurodollar futures consist of 3,577 contracts with expiration dates ranging between June 2016 and September 2017.

Schedule of Derivative Instruments Designated as Hedging Instruments and Location in Condensed Consolidated Balance Sheet

The following table presents the fair value of derivative instruments designated as hedging instruments and their location in the Company’s condensed consolidated balance sheets at March 31, 2016 and December 31, 2015, respectively (dollar amounts in thousands):

Derivatives Designated as Hedging Instruments	Balance Sheet Location	TotalNotional Amount		March 31, 2016		December 31, 2015
Interest Rate Swaps	Derivative liability	$	215,000	$	598	$	—
Interest Rate Swaps	Derivative asset	215,000		—		304

Schedule of Derivative Instruments, Effect on Accumulated Other Comprehensive Income

The following table presents the impact of the Company’s derivative instruments on the Company’s accumulated other comprehensive income for the three months ended March 31, 2016 and 2015, respectively (dollar amounts in thousands):

	Three Months Ended March 31,
Derivatives Designated as Hedging Instruments	2016			2015
Accumulated other comprehensive income for derivative instruments:
Balance at beginning of the period	$	304		$	1,135
Unrealized loss on interest rate swaps	(902		)	(1,261		)
Balance at end of the period	$	(598	)	$	(126	)

Schedule of Interest Rate Swaps Designated as Hedging Instruments

The following table details the impact of the Company’s interest rate swaps designated as hedging instruments included in interest expense for the three months ended March 31, 2016 and 2015, respectively (dollar amounts in thousands):

	Three Months Ended March 31,
	2016		2015
Interest income
Interest expense-investment securities	$	218	$	451

Schedule of Interest Rate Swaps, Variable and Fixed Interest Rates

The following table presents information about our interest rate swaps whereby we receive floating rate payments in exchange for fixed rate payments (includes interest rate swaps in our Agency IO portfolio) as of March 31, 2016 and December 31, 2015, respectively (dollar amounts in thousands):

	March 31, 2016						December 31, 2015
Swap Maturities	Notional Amount		Weighted Average Fixed Interest Rate		Weighted Average Variable Interest Rate		Notional Amount		Weighted Average Fixed Interest Rate		Weighted Average Variable Interest Rate
2017	$	215,000	0.83	%	0.43	%	$	215,000	0.83	%	0.39	%
2019	10,000		2.25	%	0.64	%	10,000		2.25	%	0.59	%
Total	$	225,000	0.90	%	0.44	%	$	225,000	0.90	%	0.40	%

The following table presents information about our interest rate swaps in our Agency IO portfolio whereby we receive fixed rate payments in exchange for floating rate payments as of March 31, 2016 and December 31, 2015, respectively (dollar amounts in thousands):

	March 31, 2016						December 31, 2015
Swap Maturities	Notional Amount		Weighted Average Fixed Interest Rate		Weighted Average Variable Interest Rate		Notional Amount		Weighted Average Fixed Interest Rate		Weighted Average Variable Interest Rate
2026	$	5,000	1.80	%	0.62	%	$	—	—	%	—	%
Total	$	5,000	1.80	%	0.62	%	$	—	—	%	—	%

Not Designated as Hedging Instrument

Derivative Instruments and Hedging Activities Disclosures [Line Items]

Schedule of Derivative Instruments

The following table presents the fair value of derivative instruments that were not designated as hedging instruments and their location in our condensed consolidated balance sheets at March 31, 2016 and December 31, 2015, respectively (dollar amounts in thousands):

Derivatives Not Designated as Hedging Instruments	Balance Sheet Location	March 31, 2016		December 31, 2015
TBA securities	Derivative assets	$	288,455	$	226,929
Options on U.S. Treasury futures	Derivative assets	79		15
Interest rate swap futures	Derivative assets	—		706
Swaptions	Derivative assets	391		821
Eurodollar futures	Derivative liabilities	3,277		1,242
U.S. Treasury futures	Derivative liabilities	64		—
Interest rate swap futures	Derivative liabilities	682		—
Interest rate swaps(1)	Derivative liabilities	377		258

⁽¹⁾  Includes interest rate swaps in our Agency IO portfolio. Contracts in a liability position of $0.5 million have been netted against the asset position of $0.1 million in the accompanying condensed consolidated balance sheets at March 31, 2016. There was no netting of interest rate swaps at December 31, 2015.