Accumulated Other Comprehensive Income

9 Months Ended

Sep. 30, 2015

Equity [Abstract]

Accumulated Other Comprehensive Income

13.      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 9.  As discussed in Note 9, 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 September 30, 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 July 1, 2015	$	233,289		$	(3	)	$	(305	)	$	(6,172	)	$	226,809
Other comprehensive income (loss) before     reclassification		(753	)		85			(21	)		2,109			1,420
Balance Sheet Reclassification:
Amount reclassified to MBS available for sale		-			3			-			(1,153	)		(1,150	)
Income Statement Reclassification:
Amounts reclassified to net loss on the sale     of MBS		(1,216	)		-			-			-			(1,216	)
Amounts reclassified to interest expense		-			-			-			5,433			5,433
Net current period other comprehensive     income (loss)		(1,969	)		88			(21	)		6,389			4,487
Accumulated other comprehensive income     (loss) at September 30, 2015	$	231,320		$	85		$	(326	)	$	217		$	231,296

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

	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 July 1, 2014	$	223,948		$	582		$	(495	)	$	(59,812	)	$	164,223
Other comprehensive income (loss) before     reclassification		(30,572	)		120			(111	)		1,872			(28,691	)
Balance Sheet Reclassification:
Amount reclassified to MBS available for sale		-			(582	)		-			(3,755	)		(4,337	)
Income Statement Reclassification:
Amounts reclassified to net gain on the sale     of MBS		(237	)		-			-			-			(237	)
Amounts reclassified to interest expense		-			-			-			19,806			19,806
Net current period other comprehensive     income (loss)		(30,809	)		(462	)		(111	)		17,923			(13,459	)
Accumulated other comprehensive income     (loss) at September 30, 2014	$	193,139		$	120		$	(606	)	$	(41,889	)	$	150,764

The following table rolls forward the components of AOCI, including reclassification adjustments, for the nine months ended September 30, 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 (loss) before     reclassification		16,440			876			269			8,110			25,695
Balance Sheet Reclassification:
Amount reclassified to MBS available for sale		-			(833	)		-			(10,121	)		(10,954	)
Income Statement Reclassification:
Amounts reclassified to net gain on the sale     of MBS		(17,360	)		-			-			-			(17,360	)
Amounts reclassified to interest expense		-			-			-			28,150			28,150
Net current period other comprehensive     income (loss)		(920	)		43			269			26,139			25,531
Accumulated other comprehensive income     (loss) at September 30, 2015	$	231,320		$	85		$	(326	)	$	217		$	231,296

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

	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, 2014	$	109,490		$	-		$	(627	)	$	(116,915	)	$	(8,052	)
Other comprehensive income (loss) before     reclassification		86,738			516			21			7,669			94,944
Balance Sheet Reclassification:
Amount reclassified to MBS available for sale		-			(396	)		-			(5,139	)		(5,535	)
Income Statement Reclassification:
Amounts reclassified to net gain on the sale     of MBS		(3,089	)		-			-			-			(3,089	)
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		-			-			-			67,413			67,413
Net current period other comprehensive     income (loss)		83,649			120			21			75,026			158,816
Accumulated other comprehensive income     (loss) at September 30, 2014	$	193,139		$	120		$	(606	)	$	(41,889	)	$	150,764