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DERIVATIVE FINANCIAL INSTRUMENTS (Tables)

6 Months Ended

Jun. 30, 2019

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 June 30, 2019 and December 31, 2018.

(in thousands)
Derivative Instruments and Related Accounts	Balance Sheet Location	June 30, 2019		December 31, 2018
Assets
Interest rate swaps	Derivative assets, at fair value	$	3,948	$	16,762
Payer swaptions	Derivative assets, at fair value		316		123
Total derivative assets, at fair value		$	4,264	$	16,885

Liabilities
Interest rate swaps	Derivative liabilities, at fair value	$	21,060	$	2,205
TBA securities	Derivative liabilities, at fair value		344		3,742
Total derivative liabilities, at fair value		$	21,404	$	5,947

Margin Balances Posted to (from) Counterparties
Futures contracts	Restricted cash	$	2,112	$	4,711
TBA securities	Restricted cash		113		6,236
Interest rate swaption contracts	Other liabilities		(382)		(268)
Interest rate swap contracts	Restricted cash		10,638		-
Interest rate swap contracts	Other liabilities		-		(14,308)
Total margin balances on derivative contracts		$	12,481	$	(3,629)

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 June 30, 2019 and December 31, 2018.

($ in thousands)
			June 30, 2019
			Average	Weighted	Weighted
			Contract	Average	Average
			Notional	Entry	Effective		Open
Expiration Year			Amount	Rate	Rate		Equity⁽¹⁾
Eurodollar Futures Contracts (Short Positions)
2019		$	500,000	2.88%	1.96%	$	(2,311)
2020			500,000	2.97%	1.61%		(6,805)
Total / Weighted Average		$	500,000	2.94%	1.73%	$	(9,116)

Treasury Note Futures Contracts (Short Position)⁽²⁾
September 2019 5-year T-Note futures
	(Sep 2019 - Sep 2024 Hedge Period)	$	165,000	2.42%	2.15%	$	(2,743)

($ in thousands)
			December 31, 2018
			Average	Weighted	Weighted
			Contract	Average	Average
			Notional	Entry	Effective		Open
Expiration Year			Amount	Rate	Rate		Equity⁽¹⁾
Eurodollar Futures Contracts (Short Positions)
2019		$	1,650,000	2.25%	2.64%	$	7,036
2020			1,800,000	2.74%	2.45%		(4,503)
Total / Weighted Average		$	1,725,000	2.51%	2.54%	$	2,533

Treasury Note Futures Contracts (Short Position)⁽²⁾
March 2019 5 year T-Note futures
	(Mar 2019 - Mar 2024 Hedge Period)	$	165,000	3.22%	2.83%	$	(3,185)

^[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 June 30, 2019 and December 31, 2018.

($ in thousands)
			Average			Net
			Fixed	Average		Estimated	Average
		Notional	Pay	Receive		Fair	Maturity
		Amount	Rate	Rate		Value	(Years)
June 30, 2019
Expiration > 1 to ≤ 3 years	$	1,150,000	1.70%	2.52%	$	(3,052)	1.3
Expiration > 3 to ≤ 5 years		560,000	2.19%	2.35%		(14,060)	4.6
	$	1,710,000	1.86%	2.46%	$	(17,112)	2.4
December 31, 2018
Expiration > 1 to ≤ 3 years	$	1,000,000	1.62%	2.63%	$	10,365	1.4
Expiration > 3 to ≤ 5 years		260,000	2.01%	2.68%		4,192	3.4
	$	1,260,000	1.70%	2.64%	$	14,557	1.8

Schedule Of Interest Rate Swaption Agreements [Table Text Block]

The table below presents information related to the Company’s interest rate swaption positions at June 30, 2019 and December 31, 2018.

($ 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)

June 30, 2019

≤ 1 year

Payer Swaptions

949

316

2.0

250,000

2.04%

3 Month

5.0

December 31, 2018

≤ 1 year

Payer Swaptions

7,805

123

1.4

700,000

3.20%

3 Month

9.0

Schedule of To Be Announced Securities [TableTextBlock]

The following table summarizes our contracts to purchase and sell TBA securities as of June 30, 2019 and December 31, 2018.

($ in thousands)
			Notional						Net
			Amount		Cost		Market		Carrying
			Long (Short)⁽¹⁾		Basis⁽²⁾		Value⁽³⁾		Value⁽⁴⁾
June 30, 2019
30-Year TBA securities:
	3.5%	$	(125,000)	$	(127,461)	$	(127,805)	$	(344)
Total		$	(125,000)	$	(127,461)	$	(127,805)	$	(344)
December 31, 2018
30-Year TBA securities:
	3.0%	$	(250,000)	$	(240,164)	$	(243,906)	$	(3,742)
Total		$	(250,000)	$	(240,164)	$	(243,906)	$	(3,742)

^{[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 statements of operations for the six and three months ended June 30, 2019 and 2018.

(in thousands)
		Six Months Ended June 30,				Three Months Ended June 30,
		2019		2018		2019		2018
Eurodollar futures contracts (short positions)	$	(14,329)	$	20,661	$	(4,287)	$	6,121
T-Note futures contracts (short position)		(5,199)		7,750		(3,523)		928
Interest rate swaps		(26,404)		14,037		(24,109)		3,530
Receiver swaptions		-		(779)		-		(430)
Payer swaptions		(1,063)		5,213		(685)		3,146
Net TBA securities		(6,325)		9,971		(1,684)		1,564
Total	$	(53,320)	$	56,853	$	(34,288)	$	14,859

[1]	Open equity represents the cumulative gains (losses) recorded on open futures positions from inception
[2]	T-Note futures contracts were valued at a price of $ 118.16 at June 30, 2019 and $114.69 at December 31, 2018 . The notional contract values of the short positions were $ 195.0 million and $185.6 million at June 30, 2019 and December 31, 2018 , 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 diff erence 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 value in our balance sheets
[6]	Notional amount represents the par value (or principal balance) of the underlying Agency RMBS