Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2015

Derivative Financial Instruments [Abstract]

Schedule of Derivative Instruments

(in thousands)
Derivative Instruments and Related Accounts	Balance Sheet Location	September 30, 2015		December 31, 2014
Assets
Futures contracts - Margin posted to counterparty	Restricted cash	$	9,188	$	5,174
Payer swaptions	Derivative assets, at fair value		-		1,217
		$	9,188	$	6,391
Liability
Payer swaptions - Margin posted by counterparty	Other liabilities	$	-	$	(1,364)

Schedule of Eurodollar Positions

($ in thousands)
			September 30, 2015
			Average	Weighted	Weighted
			Contract	Average	Average
			Notional	Entry	Effective		Open
Expiration Year			Amount	Rate	Rate		Equity(1)
Eurodollar Futures Contracts (Short Positions)
2015		$	1,400,000	0.79%	0.42%	$	(1,303)
2016			900,000	1.51%	0.72%		(7,035)
2017			900,000	2.31%	1.26%		(9,486)
2018			900,000	2.77%	1.70%		(9,625)
2019			900,000	2.56%	1.94%		(1,372)
Total / Weighted Average		$	935,714	2.07%	1.19%	$	(28,821)
Treasury Note Futures Contracts (Short Position)(2)
December 2015 10 year T-Note futures
	(Dec 2015 - Dec 2025 Hedge Period)	$	185,000	1.94%	1.71%	$	(2,818)

($ 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 (Short Positions)
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)
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)
		Nine Months Ended September 30,				Three Months Ended September 30,
		2015		2014		2015		2014
Eurodollar futures contracts (short positions)	$	(26,406)	$	(3,316)	$	(15,446)	$	2,820
T-Note futures contracts (short position)		(8,061)		72		(7,050)		72
Payer swaptions		(1,217)		(1,120)		(65)		165
Net TBA securities		24		-		55		-
	$	(35,660)	$	(4,364)	$	(22,506)	$	3,057