Derivative Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2015

Derivative Financial Instruments [Abstract]

Schedule of Derivative Instruments

(in thousands)
Derivative Instruments and Related Accounts	Balance Sheet Location	March 31, 2015		December 31, 2014
Assets
Eurodollar futures - Margin posted to counterparty	Restricted cash	$	6,078	$	5,174
Payer swaptions	Derivative assets, at fair value		126		1,217
TBA securities	Derivative assets, at fair value		92		-
		$	6,296	$	6,391
Liability
Payer swaptions - Margin posted by counterparty	Other liabilities	$	(207)	$	(1,364)

Schedule of Eurodollar Positions

($ in thousands)
	March 31, 2015					December 31, 2014
			Average					Average
	Weighted		Contract			Weighted		Contract
	Average		Notional		Open	Average		Notional		Open
Expiration Year	LIBOR Rate		Amount		Equity(1)	LIBOR Rate		Amount		Equity(1)
2015	0.51%	$	800,000	$	(1,791)	0.63%	$	650,000	$	(1,039)
2016	1.13%		900,000		(3,435)	1.54%		800,000		139
2017	1.74%		825,000		(4,976)	2.23%		800,000		(1,041)
2018	2.09%		800,000		(5,061)	2.54%		800,000		(2,361)
Total / Weighted Average	1.37%	$	835,714	$	(15,263)	1.73%	$	760,000	$	(4,302)

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

($ 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)
March 31, 2015
≤ 1 year	$	5,350	$	126	3	$	375,000	2.79%	3 Month	7.3
December 31, 2014
≤ 1 year	$	5,350	$	1,217	6	$	375,000	2.79%	3 Month	7.3

Schedule of To Be Announced Securities [TableTextBlock]

($ in thousands)
								Net
		Notional		Cost		Market		Carrying
		Amount(1)		Basis(2)		Value(3)		Value(4)
Open purchase trade	$	75,000	$	81,722	$	81,730	$	8
Open sale trade		(75,000)		(81,930)		(81,950)		(20)
Unsettled offsetting purchases and sales trades		-		-		104		104
	$	-	$	(208)	$	(116)	$	92

Income Statement Effect of Derivatives [Table Text Block]

(in thousands)
		Three Months Ended March 31,
		2015		2014
Eurodollar futures contracts (short positions)	$	(11,317)	$	(1,537)
Payer swaptions		(1,091)		(156)
Net TBA securities		57		-
	$	(12,351)	$	(1,693)