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DERIVATIVE FINANCIAL INSTRUMENTS (Tables)

9 Months Ended

Sep. 30, 2018

Derivative Financial Instruments [Abstract]

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block]

Derivative Assets (Liabilities), at Fair Value

The table below summarizes fair value information about our derivative assets and liabilities as of September 30, 2018 and December 31, 2017.

(in thousands)
Derivative Instruments and Related Accounts	Balance Sheet Location	September 30, 2018		December 31, 2017
Assets
Interest rate swaps	Derivative assets, at fair value	$	28,030	$	13,745
Payer swaptions	Derivative assets, at fair value		7,357		3,405
TBA securities	Derivative assets, at fair value		2,035		10
Total derivative assets, at fair value		$	37,422	$	17,160

Liabilities
Interest rate swaps	Derivative liabilities, at fair value	$	-	$	215
TBA securities	Derivative liabilities, at fair value		-		1,823
Total derivative liabilities, at fair value		$	-	$	2,038

Margin Balances Posted to (from) Counterparties
Futures contracts	Restricted cash	$	5,112	$	5,545
TBA securities	Restricted cash		-		1,508
TBA securities	Other liabilities		(1,749)		(59)
Interest rate swaption contracts	Other liabilities		(7,581)		(3,505)
Total margin balances on derivative contracts		$	(4,218)	$	3,489

Schedule of Eurodollar and T-Note futures positions

Eurodollar and T-Note futures are cash settled futures contracts on an interest rate, with gains and losses credited or charged to the Company’s cash accounts on a daily basis. A minimum balance, or “margin”, is required to be maintained in the account on a daily basis. The tables below present information related to the Company’s Eurodollar and T-Note futures positions at September 30, 2018 and December 31, 2017.

($ in thousands)
			September 30, 2018
			Average	Weighted	Weighted
			Contract	Average	Average
			Notional	Entry	Effective		Open
Expiration Year			Amount	Rate	Rate		Equity⁽¹⁾
Eurodollar Futures Contracts (Short Positions)
2019		$	1,500,000	2.16%	3.01%	$	12,841
2020			1,500,000	2.64%	3.17%		7,823
Total / Weighted Average		$	1,500,000	2.40%	3.09%	$	20,664

Treasury Note Futures Contracts (Short Position)⁽²⁾
December 2018 5-year T-Note futures
	(Dec 2018 - Dec 2023 Hedge Period)	$	165,000	3.08%	3.20%	$	1,163

($ in thousands)
			December 31, 2017
			Average	Weighted	Weighted
			Contract	Average	Average
			Notional	Entry	Effective		Open
Expiration Year			Amount	Rate	Rate		Equity⁽¹⁾
Eurodollar Futures Contracts (Short Positions)
2018		$	1,212,500	1.86%	1.98%	$	1,418
2019			1,350,000	2.11%	2.27%		2,152
2020			987,500	2.59%	2.36%		(2,360)
Total / Weighted Average		$	1,183,333	2.16%	2.20%	$	1,210

Treasury Note Futures Contracts (Short Position)⁽²⁾
March 2018 10 year T-Note futures
	(Mar 2018 - Mar 2028 Hedge Period)	$	140,000	2.23%	2.33%	$	755

^[1],[2]

Schedule of Interest Rate Swap Agreements [Table Text Block]

Under our interest rate swap agreements, we typically pay a fixed rate and receive a floating rate based on the London Interbank Offered Rate (“LIBOR”) ("payer swaps"). The floating rate we receive under our swap agreements has the effect of offsetting the repricing characteristics of our repurchase agreements and cash flows on such liabilities. We are typically required to post collateral on our interest rate swap agreements. The table below presents information related to the Company’s interest rate swap positions at September 30, 2018 and December 31, 2017.

($ in thousands)
			Average			Net
			Fixed	Average		Estimated	Average
		Notional	Pay	Receive		Fair	Maturity
		Amount	Rate	Rate		Value	(Years)
September 30, 2018
Expiration > 1 to ≤ 3 years	$	900,000	1.56%	2.33%	$	16,734	1.5
Expiration > 3 to ≤ 5 years		360,000	2.05%	2.33%		11,296	3.5
	$	1,260,000	1.70%	2.33%	$	28,030	2.1
December 31, 2017
Expiration > 1 to ≤ 3 years	$	650,000	1.09%	1.41%	$	11,828	2.1
Expiration > 3 to ≤ 5 years		360,000	2.05%	1.53%		1,702	4.3
	$	1,010,000	1.43%	1.45%	$	13,530	2.8

Schedule Of Interest Rate Swaption Agreements [Table Text Block]

The table below presents information related to the Company’s interest rate swaption positions at September 30, 2018 and December 31, 2017.

($ in thousands)

Option

Underlying Swap

Weighted

Average

Weighted

Average

Adjustable

Average

Fair

Months to

Notional

Fixed

Rate

Term

Expiration

Cost

Value

Expiration

Amount

Rate

(LIBOR)

(Years)

September 30, 2018

≤ 1 year

Payer Swaptions

8,690

7,357

4.1

850,000

3.21%

3 Month

9.2

December 31, 2017

≤ 1 year

Payer Swaptions

2,367

3,405

8.0

200,000

2.16%

3 Month

6.0

Schedule of To Be Announced Securities [TableTextBlock]

The following table summarizes our contracts to purchase and sell TBA securities as of September 30, 2018 and December 31, 2017.

($ in thousands)
			Notional						Net
			Amount		Cost		Market		Carrying
			Long (Short)⁽¹⁾		Basis⁽²⁾		Value⁽³⁾		Value⁽⁴⁾
September 30, 2018
30-Year TBA securities:
	3.0%	$	(200,000)	$	(192,324)	$	(191,344)	$	980
	3.5%		(200,000)		(197,804)		(196,749)		1,055
Total		$	(400,000)	$	(390,128)	$	(388,093)	$	2,035
December 31, 2017
30-Year TBA securities:
	3.0%	$	(300,000)	$	(299,371)	$	(300,153)	$	(782)
	4.0%		(357,000)		(373,403)		(373,477)		(74)
	4.5%		356,556		380,371		379,414		(957)
Total		$	(300,444)	$	(292,403)	$	(294,216)	$	(1,813)

^{[3],[4],[5],[6]}

Schedule of the effect of the Company's deriviative financial instruments on the consolidated statement of operations

Gain (Loss) From Derivative Instruments, Net

The table below presents the effect of the Company’s derivative financial instruments on the consolidated statements of operations for the nine and three months ended September 30, 2018 and 2017.

(in thousands)
		Nine Months Ended September 30,				Three Months Ended September 30,
		2018		2017		2018		2017
Eurodollar futures contracts (short positions)	$	25,301	$	(6,955)	$	4,640	$	607
T-Note futures contracts (short position)		9,232		(16,190)		1,482		(6,450)
Interest rate swaps		17,032		(3,170)		2,994		1,005
Receiver swaptions		(909)		-		(130)		-
Payer swaptions		5,627		827		414		827
Net TBA securities		13,264		(3,843)		3,293		(1,459)
Total	$	69,547	$	(29,331)	$	12,693	$	(5,470)

[1]	Open equity represents the cumulative gains (losses) recorded on open futures positions from inception
[2]	T -Note f utures c ontracts were valued at a price of $ 112.48 at September 30, 2018 and $12 4.05 at December 31, 2017 . The no tional contract values of the short positions were $ 185.6 million and $ 173.7 million at September 30, 2018 and December 31, 2017 , respectively
[3]	Market value represents the current market value of the TBA securities (or of the underlying Agency RMBS ) as of period-end
[4]	Market value represents the current market value of the TBA securities (or of the underlying Agency RMBS ) as of period-end
[5]	Net carrying value represents the difference between the market value and the cost basis of the TBA securities as of period-end and is reported in derivative assets (liabilities) , at fair valu e in our consolidated balance sheets
[6]	Notional amount represents the par value (or principal balance) of the underlying Agency RMBS