Accumulated Other Comprehensive Income

12 Months Ended

Dec. 31, 2015

Equity [Abstract]

Accumulated Other Comprehensive Income

15. Accumulated Other Comprehensive Income

The Company records unrealized gains and losses on its MBS and its forward purchase commitments securities as described in Note 5 and Note 10.  As discussed in Note 10, 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 year ended December 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 (loss) before     reclassification		(101,141	)		875			48			8,275			(91,943	)
Balance Sheet Reclassification:
Amount reclassified to MBS available for sale		-			(918	)		-			(12,230	)		(13,148	)
Income Statement Reclassification:
Amounts reclassified to net gain on the sale     of MBS		(32,731	)		-			-			-			(32,731	)
Amounts reclassified to interest expense		-			-			-			30,715			30,715
Net current period other comprehensive     income (loss)		(133,872	)		(43	)		48			26,760			(107,107	)
Accumulated other comprehensive income     (loss) at December 31, 2015	$	98,368		$	(1	)	$	(547	)	$	838		$	98,658

The following table rolls forward the components of AOCI, including reclassification adjustments, for the year ended December 31, 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		127,946			558			32			11,789			140,325
Balance Sheet Reclassification:
Amount reclassified to MBS available for sale		-			(516	)		-			(7,011	)		(7,527	)
Income Statement Reclassification:
Amounts reclassified to net gain on the sale     of MBS		(5,196	)		-			-			-			(5,196	)
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		-			-			-			81,132			81,132
Net current period other comprehensive     income (loss)		122,750			42			32			90,993			213,817
Accumulated other comprehensive income     (loss) at December 31, 2014	$	232,240		$	42		$	(595	)	$	(25,922	)	$	205,765

The following table rolls forward the components of AOCI, including reclassification adjustments, for the year ended December 31, 2013.

	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, 2013	$	499,343		$	1,217		$	(107	)	$	(237,599	)	$	262,854
Other comprehensive income (loss) before     reclassification		(680,967	)		642			(520	)		(21,054	)		(701,899	)
Balance Sheet Reclassification:
Amount reclassified to MBS available for sale		-			(1,859	)		-			24,891			23,032
Income Statement Reclassification:
Amounts reclassified to net loss on the sale     of MBS		283,012			-			-			-			283,012
Amounts reclassified for impairment loss on mortgage-backed securities		8,102			-			-			-			8,102
Amounts reclassified to interest expense		-			-			-			116,847			116,847
Net current period other comprehensive     income (loss)		(389,853	)		(1,217	)		(520	)		120,684			(270,906	)
Accumulated other comprehensive income     (loss) at December 31, 2013	$	109,490		$	-		$	(627	)	$	(116,915	)	$	(8,052	)