Derivative Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2017

Derivative Financial Instruments [Abstract]

Schedule of Derivative Instruments

(in thousands)
Derivative Instruments and Related Accounts	Balance Sheet Location	June 30, 2017		December 31, 2016
Assets
Interest rate swaps	Derivative assets, at fair value	$	8,523	$	10,302
TBA securities	Derivative assets, at fair value		2,090		63
Total derivative assets, at fair value		$	10,613	$	10,365
Liabilities
Interest rate swaps	Derivative liabilities, at fair value	$	2,712	$	802
TBA securities	Derivative liabilities, at fair value		-		1,180
Total derivative liabilities, at fair value		$	2,712	$	1,982
Margin Balances Posted to Counterparties
Futures contracts	Restricted cash	$	10,021	$	9,419
TBA securities	Restricted cash		257		446
Interest rate swap contracts	Restricted cash		3,047		-
Total margin balances on derivative contracts		$	13,325	$	9,865

Schedule of Eurodollar Positions

($ in thousands)
			June 30, 2017
			Average	Weighted	Weighted
			Contract	Average	Average
			Notional	Entry	Effective		Open
Expiration Year			Amount	Rate	Rate		Equity(1)
Eurodollar Futures Contracts (Short Positions)
2017		$	1,000,000	1.56%	1.42%	$	(723)
2018			1,000,000	1.84%	1.68%		(1,666)
2019			1,000,000	2.09%	1.95%		(1,463)
2020			925,000	2.62%	2.16%		(4,268)
Total / Weighted Average		$	978,571	2.08%	1.85%	$	(8,120)
Treasury Note Futures Contracts (Short Position)(2)
September 2017 10-year T-Note futures
	(Sep 2017 - Sep 2027 Hedge Period)	$	465,000	2.06%	2.12%	$	1,582

($ in thousands)
			December 31, 2016
			Average	Weighted	Weighted
			Contract	Average	Average
			Notional	Entry	Effective		Open
Expiration Year			Amount	Rate	Rate		Equity(1)
Eurodollar Futures Contracts (Short Positions)
2017		$	600,000	1.48%	1.28%	$	(1,206)
2018			600,000	1.81%	1.82%		76
2019			675,000	2.00%	2.21%		1,429
2020			700,000	2.65%	2.45%		(1,394)
Total / Weighted Average		$	643,750	2.01%	1.97%	$	(1,095)
Treasury Note Futures Contracts (Short Position)(2)
March 2017 10 year T-Note futures
	(Mar 2017 - Mar 2027 Hedge Period)	$	465,000	2.27%	2.24%	$	(3,134)

Schedule of Interest Rate Swap Agreements [Table Text Block]

($ in thousands)
			Average			Net
			Fixed	Average		Estimated	Average
		Notional	Pay	Receive		Fair	Maturity
		Amount	Rate	Rate		Value	(Years)
June 30, 2017
Expiration > 1 to ≤ 3 years	$	650,000	1.09%	1.18%	$	8,485	2.6
Expiration > 3 to ≤ 5 years		300,000	2.08%	1.24%		(2,674)	4.7
	$	950,000	1.40%	1.20%	$	5,811	3.2
December 31, 2016
Expiration > 3 to ≤ 5 years	$	700,000	1.20%	0.91%	$	9,500	3.4

Schedule of To Be Announced Securities [TableTextBlock]

($ in thousands)
			Notional						Net
			Amount		Cost		Market		Carrying
			Long (Short)(1)		Basis(2)		Value(3)		Value(4)
June 30, 2017
30-Year TBA securities:
	3.0%	$	(250,000)	$	(251,063)	$	(249,628)	$	1,435
	4.5%		(150,000)		(161,531)		(160,876)		655
		$	(400,000)	$	(412,594)	$	(410,504)	$	2,090
December 31, 2016
30-Year TBA securities:
	3.0%	$	(100,000)	$	(99,406)	$	(99,344)	$	62
	4.0%		(100,000)		(103,898)		(105,078)		(1,180)
		$	(200,000)	$	(203,304)	$	(204,422)	$	(1,118)

Income Statement Effect of Derivatives [Table Text Block]

(in thousands)
		Six Months Ended June 30,				Three Months Ended June 30,
		2017		2016		2017		2016
Eurodollar futures contracts (short positions)	$	(7,562)	$	(18,701)	$	(6,990)	$	(1,196)
T-Note futures contracts (short position)		(9,740)		(13,976)		(5,890)		(5,001)
Interest rate swaps		(4,175)		(4,629)		(4,178)		(4,608)
Receiver swaptions		-		36		-		-
Net TBA securities		(2,384)		(1,911)		(2,384)		(786)
	$	(23,861)	$	(39,181)	$	(19,442)	$	(11,591)