Accumulated Other Comprehensive Income (Tables)

6 Months Ended

Jun. 30, 2014

Components of Accumulated Other Comprehensive Income

The Company records unrealized gains and losses on its agency securities and its forward purchase commitments securities as described in Note 4 and Note 7.  As discussed in Note 7, the Company ceased hedge accounting for its interest rate swaps effective September 30, 2013.  Beginning October 1, 2013, changes in the fair value of interest rate swaps are recorded directly to net income.  The cumulative unrealized loss on interest rate swaps in AOCI as of September 30, 2013 is being amortized to net income as the hedged forecasted transactions occur.  The following table rolls forward the components of AOCI, including reclassification adjustments, for the three months ended June 30, 2014.  

	Unrealized gain/(loss) on available for sale agency securities		Unrealized gain/(loss) on unsettled agency securities			Unrealized gain/(loss) on other investments			Unrealized gain/(loss) on derivative instruments			Total
Accumulated other comprehensive income     (loss) at April 1, 2014	$	143,756	$	(186	)	$	(569	)	$	(84,448	)	$	58,553
Other comprehensive income (loss) before     reclassification		75,608		582			74			3,755			80,019
Balance Sheet Reclassification:
Amount reclassified to mortgage-backed     securities available for sale		-		186			-			(2,042	)		(1,856	)
Income Statement Reclassification:
Amounts reclassified to net loss on the sale     of mortgage-backed securities		4,584		-			-			-			4,584
Amounts reclassified to interest expense		-		-			-			22,923			22,923
Net current period other comprehensive     income (loss)		80,192		768			74			24,636			105,670
Accumulated other comprehensive income     (loss) at June 30, 2014	$	223,948	$	582		$	(495	)	$	(59,812	)	$	164,223

The following table rolls forward the components of AOCI, including reclassification adjustments, for the three months ended June 30, 2013.

	Unrealized gain/(loss) on available for sale agency securities			Unrealized gain/(loss) on unsettled agency securities			Unrealized gain/(loss) on other investments			Unrealized gain/(loss) on derivative instruments			Total
Accumulated other comprehensive income (loss) at April 1, 2013	$	481,323		$	492		$	(214	)	$	(212,553	)	$	269,048
Other comprehensive income (loss) before reclassification		(615,199	)		(2,776	)		(291	)		13,569			(604,697	)
Balance Sheet Reclassification:
Amount reclassified to mortgage-backed securities available for sale		-			(492	)		-			(6,476	)		(6,968	)
Income Statement Reclassification:
Amounts reclassified to net gain on the sale of mortgage-backed securities		(8,802	)		-			-			-			(8,802	)
Amounts reclassified to interest expense		-			-			-			30,586			30,586
Net current period other comprehensive income (loss)		(624,001	)		(3,268	)		(291	)		37,679			(589,881	)
Accumulated other comprehensive income (loss) at June 30, 2013	$	(142,678	)	$	(2,776	)	$	(505	)	$	(174,874	)	$	(320,833	)

The following table rolls forward the components of AOCI, including reclassification adjustments, for the six months ended June 30, 2014.

	Unrealized gain/(loss) on available for sale agency securities			Unrealized gain/(loss) on unsettled agency securities		Unrealized gain/(loss) on other investments			Unrealized gain/(loss) on derivative instruments			Total
Accumulated other comprehensive income     (loss) at January 1, 2014	$	109,490		$	-	$	(627	)	$	(116,915	)	$	(8,052	)
Other comprehensive income (loss) before     reclassification		117,310			396		132			5,797			123,635
Balance Sheet Reclassification:
Amount reclassified to mortgage-backed     securities available for sale		-			186		-			(1,384	)		(1,198	)
Income Statement Reclassification:
Amounts reclassified to net gain on the sale     of mortgage-backed securities		(2,852	)		-		-			-			(2,852	)
Amounts reclassified for termination of all-     in-one cash flow hedge accounting     on dollar roll TBAs		-			-		-			5,083			5,083
Amounts reclassified to interest expense		-			-		-			47,607			47,607
Net current period other comprehensive     income (loss)		114,458			582		132			57,103			172,275
Accumulated other comprehensive income     (loss) at June 30, 2014	$	223,948		$	582	$	(495	)	$	(59,812	)	$	164,223

The following table rolls forward the components of AOCI, including reclassification adjustments, for the six months ended June 30, 2013.

	Unrealized gain/(loss) on available for sale agency securities			Unrealized gain/(loss) on unsettled agency securities			Unrealized gain/(loss) on other investments			Unrealized gain/(loss) on derivative instruments			Total
Accumulated other comprehensive income (loss) at January 1, 2013	$	499,343		$	1,217		$	(107	)	$	(237,599	)	$	262,854
Other comprehensive income (loss) before reclassification		(630,719	)		(2,284	)		(398	)		14,138			(619,263	)
Balance Sheet Reclassification:
Amount reclassified to mortgage-backed securities available for sale		-			(1,709	)		-			(11,928	)		(13,637	)
Income Statement Reclassification:
Amounts reclassified to net gain on the sale of mortgage-backed securities		(11,302	)		-			-			-			(11,302	)
Amounts reclassified to interest expense		-			-			-			60,515			60,515
Net current period other comprehensive income (loss)		(642,021	)		(3,993	)		(398	)		62,725			(583,687	)
Accumulated other comprehensive income (loss) at June 30, 2013	$	(142,678	)	$	(2,776	)	$	(505	)	$	(174,874	)	$	(320,833	)