Accumulated Other Comprehensive Income (Tables)

3 Months Ended

Mar. 31, 2015

Equity [Abstract]

Components of Accumulated Other Comprehensive Income

The Company records unrealized gains and losses on its MBS and its forward purchase commitments securities as described in Note 4 and Note 8.  As discussed in Note 8, 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 March 31, 2015.  

	Unrealized gain/(loss) on available for sale MBS			Unrealized gain/(loss) on unsettled MBS			Unrealized gain/(loss) on other investments			Unrealized gain/(loss) on derivative instruments			Total
Accumulated other comprehensive income     (loss) at January 1, 2015	$	232,240		$	42		$	(595	)	$	(25,922	)	$	205,765
Other comprehensive income before     reclassification		90,119			794			129			4,848			95,890
Balance Sheet Reclassification:
Amount reclassified to MBS available for sale		-			(42	)		-			(4,120	)		(4,162	)
Income Statement Reclassification:
Amounts reclassified to net gain on the sale     of MBS		(16,453	)		-			-			-			(16,453	)
Amounts reclassified to interest expense		-			-			-			13,438			13,438
Net current period other comprehensive     income		73,666			752			129			14,166			88,713
Accumulated other comprehensive income     (loss) at March 31, 2015	$	305,906		$	794		$	(466	)	$	(11,756	)	$	294,478

The following table rolls forward the components of AOCI, including reclassification adjustments, for the three months ended March 31, 2014.

	Unrealized gain/(loss) on available for sale mortgage-backed securities			Unrealized gain/(loss) on unsettled mortgage-backed 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		41,702			(186	)		58			2,042			43,616
Balance Sheet Reclassification:
Amount reclassified to mortgage-backed securities available for sale		-			-			-			658			658
Income Statement Reclassification:
Amounts reclassified to net gain on the sale of mortgage-backed securities		(7,436	)		-			-			-			(7,436	)
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		-			-			-			24,684			24,684
Net current period other comprehensive income (loss)		34,266			(186	)		58			32,467			66,605
Accumulated other comprehensive income (loss) at March 31, 2014	$	143,756		$	(186	)	$	(569	)	$	(84,448	)	$	58,553