Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2016

Derivative Financial Instruments [Abstract]

Schedule of Derivative Instruments

(in thousands)
Derivative Instruments and Related Accounts	Balance Sheet Location	September 30, 2016		December 31, 2015
Assets
Interest rate swaps	Derivative assets, at fair value	$	1,097	$	-
Receiver swaptions	Derivative assets, at fair value		-		669
Total derivative assets, at fair value		$	1,097	$	669
Liabilities
Interest rate swaps	Derivative liabilities, at fair value	$	305	$	-
TBA securities	Derivative liabilities, at fair value		240		-
Total derivative liabilities, at fair value		$	545	$	-
Margin Balances Posted to Counterparties
Futures contracts	Restricted cash	$	3,268	$	8,483
Interest rate swap contracts	Restricted cash		5,240		-
Total margin balances on derivative contracts		$	8,508	$	8,483

Schedule of Eurodollar Positions

($ in thousands)
			September 30, 2016
			Average	Weighted	Weighted
			Contract	Average	Average
			Notional	Entry	Effective		Open
Expiration Year			Amount	Rate	Rate		Equity(1)
Eurodollar Futures Contracts (Short Positions)
2016		$	200,000	1.79%	0.92%	$	(432)
2017			200,000	2.14%	1.00%		(2,279)
2018			200,000	2.53%	1.14%		(2,786)
2019			200,000	2.55%	1.22%		(665)
Total / Weighted Average		$	200,000	2.30%	1.07%	$	(6,162)
Treasury Note Futures Contracts (Short Position)(2)
December 2016 10 year T-Note futures
	(Dec 2016 - Dec 2026 Hedge Period)	$	185,000	1.44%	1.40%	$	(335)

($ in thousands)
			December 31, 2015
			Average	Weighted	Weighted
			Contract	Average	Average
			Notional	Entry	Effective		Open
Expiration Year			Amount	Rate	Rate		Equity(1)
Eurodollar Futures Contracts (Short Positions)
2016		$	900,000	1.51%	0.98%	$	(4,718)
2017			900,000	2.31%	1.59%		(6,550)
2018			900,000	2.77%	1.99%		(7,060)
2019			900,000	2.56%	2.17%		(865)
Total / Weighted Average		$	900,000	2.23%	1.57%	$	(19,193)
Treasury Note Futures Contracts (Short Position)(2)
December 2015 10 year T-Note futures
	(Dec 2015 - Dec 2025 Hedge Period)	$	185,000	1.99%	1.95%	$	1,091

Schedule of Interest Rate Swap Agreements [Table Text Block]

($ in thousands)
			Average			Net
			Fixed	Average		Estimated	Average
		Notional	Pay	Receive		Fair	Maturity
Expiration		Amount	Rate	Rate		Value	(Years)
> 3 to ≤ 5 years	$	600,000	1.05%	0.80%	$	792	3.4

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)
Receiver Swaptions
≤ 1 year	$	1,100	$	669	4.2	$	100,000	1.77%	3 Month	5.0

Schedule of To Be Announced Securities [TableTextBlock]

($ in thousands)
			Notional						Net
			Amount		Cost		Market		Carrying
			Long (Short)(1)		Basis(2)		Value(3)		Value(4)
30-Year TBA securities:
	4.0%	$	(100,000)	$	(107,219)	$	(107,422)	$	(203)
	4.5%		(46,800)		(51,231)		(51,268)		(37)
		$	(146,800)	$	(158,450)	$	(158,690)	$	(240)

Income Statement Effect of Derivatives [Table Text Block]

(in thousands)
		Nine Months Ended September 30,				Three Months Ended September 30,
		2016		2015		2016		2015
Eurodollar futures contracts (short positions)	$	(17,507)	$	(26,406)	$	1,194	$	(15,446)
T-Note futures contracts (short position)		(12,288)		(8,061)		1,688		(7,050)
Interest rate swaps		(450)		-		4,179		-
Receiver swaptions		36		-		-		-
Payer swaptions		-		(1,217)		-		(65)
Net TBA securities		(2,385)		24		(474)		55
	$	(32,594)	$	(35,660)	$	6,587	$	(22,506)