Derivative Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2015

Derivative Financial Instruments [Abstract]

Schedule of Derivative Instruments

(in thousands)
Derivative Instruments and Related Accounts	Balance Sheet Location	June 30, 2015		December 31, 2014
Assets
Futures contracts - Margin posted to counterparty	Restricted cash	$	8,663	$	5,174
Payer swaptions	Derivative assets, at fair value		65		1,217
		$	8,728	$	6,391
Liability
Payer swaptions - Margin posted by counterparty	Other liabilities	$	(207)	$	(1,364)

Schedule of Eurodollar Positions

($ in thousands)
			June 30, 2015
			Average	Weighted	Weighted
			Contract	Average	Average
			Notional	Entry	Effective		Open
Expiration Year			Amount(2)	Rate	Rate		Equity(1)
Eurodollar Futures Contracts
2015		$	900,000	0.85%	0.45%	$	(1,819)
2016			900,000	1.51%	1.04%		(4,189)
2017			900,000	2.31%	1.81%		(4,570)
2018			900,000	2.77%	2.34%		(3,887)
2019			900,000	2.56%	2.61%		124
Total / Weighted Average		$	900,000	2.04%	1.62%	$	(14,341)
Treasury Note Futures Contracts
September 2015 10 year T-Note futures
	(Sep 2015 - Sep 2025 Hedge Period)	$	120,000	2.15%	2.07%	$	(1,011)

($ in thousands)
		December 31, 2014
		Average	Weighted	Weighted
		Contract	Average	Average
		Notional	Entry	Effective		Open
Expiration Year		Amount	Rate	Rate		Equity(1)
Eurodollar Futures Contracts
2015	$	650,000	0.79%	0.63%	$	(1,039)
2016		800,000	1.52%	1.54%		139
2017		800,000	2.36%	2.23%		(1,041)
2018		800,000	2.94%	2.54%		(2,361)
Total / Weighted Average	$	760,000	1.88%	1.73%	$	(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)
June 30, 2015
≤ 1 year	$	3,200	$	65	2	$	175,000	3.29%	3 Month	10
December 31, 2014
≤ 1 year	$	5,350	$	1,217	6	$	375,000	2.79%	3 Month	7.3

Income Statement Effect of Derivatives [Table Text Block]

(in thousands)
		Six Months Ended June 30,				Three Months Ended June 30,
		2015		2014		2015		2014
Eurodollar futures contracts (short positions)	$	(10,960)	$	(6,136)	$	358	$	(4,599)
T-Note futures contracts (short position)		(1,011)		-		(1,011)		-
Payer swaptions		(1,152)		(1,285)		(61)		(1,129)
Net TBA securities		(31)		-		(88)		-
	$	(13,154)	$	(7,421)	$	(802)	$	(5,728)