Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2014

Derivative Financial Instruments [Abstract]

Schedule of Derivative Instruments

Derivative Assets (Liability), at Fair Value

The table below summarizes fair value information about our derivative assets and liability as of September 30, 2014 and December 31, 2013.

(in thousands)
Derivative Instruments and Related Accounts	Balance Sheet Location	September 30, 2014		December 31, 2013
Assets
Eurodollar futures - Margin posted to counterparty	Restricted cash	$	3,000	$	2,446
Payer swaptions	Derivative assets, at fair value		3,906		-
		$	6,906	$	2,446
Liability
Payer swaptions - Margin posted by counterparty	Other liabilities	$	(3,776)	$	-

Schedule of Eurodollar Positions

The tables below present information related to the Company’s Eurodollar futures positions at September 30, 2014 and December 31, 2013.

($ in thousands)
	September 30, 2014					December 31, 2013
			Average					Average
	Weighted		Contract			Weighted		Contract
	Average		Notional		Open	Average		Notional		Open
Expiration Year	LIBOR Rate		Amount		Equity(1)	LIBOR Rate		Amount		Equity(1)
2014	-	$	-	$	-	0.40%	$	262,500	$	(189)
2015	0.74%		550,000		(329)	0.80%		275,000		(146)
2016	1.76%		550,000		1,379	1.90%		250,000		1,367
2017	2.68%		400,000		1,067	3.03%		250,000		2,291
2018	3.07%		400,000		(177)	3.77%		250,000		1,575
Total / Weighted Average	1.87%	$	480,000	$	1,940	2.02%	$	257,353	$	4,898

Schedule Of Interest Rate Swaption Agreements Outstanding [Table Text Block]

The table below presents information related to the Company’s interest rate swaption positions at September 30, 2014.

($ in thousands)
	Option					Underlying Swap
					Weighted					Weighted
					Average			Fixed	Receive	Average
				Fair	Months to		Notional	Pay	Rate	Term
Expiration		Cost		Value	Expiration		Amount	Rate	(LIBOR)	(Years)
≤ 1 year	$	4,720	$	3,906	10	$	275,000	2.96%	3 Month	8.2

Income Statement Effect of Derivatives [Table Text Block]

Gain (Loss) From Derivative Instruments, Net

The table below presents the effect of the Company’s derivative financial instruments on the statements of operations for thenine and three months ended September 30, 2014 and 2013.

(in thousands)
		Nine Months Ended September 30,				Three Months Ended September 30,
		2014		2013		2014		2013
Eurodollar futures contracts (short positions)	$	(3,316)	$	4,096	$	2,820	$	(2,272)
T-Note futures contract (short position)		72		-		72		-
Payer swaptions		(1,120)		-		166		-
	$	(4,364)	$	4,096	$	3,058	$	(2,272)