Derivative Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2017

Derivative Financial Instruments [Abstract]

Schedule of Derivative Instruments

(in thousands)
Derivative Instruments and Related Accounts	Balance Sheet Location	March 31, 2017		December 31, 2016
Assets
Interest rate swaps	Derivative assets, at fair value	$	12,430	$	10,302
TBA securities	Derivative assets, at fair value		-		63
Total derivative assets, at fair value		$	12,430	$	10,365
Liabilities
Interest rate swaps	Derivative liabilities, at fair value	$	1,397	$	802
TBA securities	Derivative liabilities, at fair value		2,236		1,180
Total derivative liabilities, at fair value		$	3,633	$	1,982
Margin Balances Posted to Counterparties
Futures contracts	Restricted cash	$	12,001	$	9,419
TBA securities	Restricted cash		1,219		446
Total margin balances on derivative contracts		$	13,220	$	9,865

Schedule of Eurodollar Positions

($ in thousands)
			March 31, 2017
			Average	Weighted	Weighted
			Contract	Average	Average
			Notional	Entry	Effective		Open
Expiration Year			Amount	Rate	Rate		Equity(1)
Eurodollar Futures Contracts (Short Positions)
2017		$	866,667	1.53%	1.44%	$	(556)
2018			1,000,000	1.84%	1.83%		(91)
2019			1,000,000	2.09%	2.20%		1,050
2020			925,000	2.62%	2.43%		(1,767)
Total / Weighted Average		$	953,333	2.06%	2.02%	$	(1,364)
Treasury Note Futures Contracts (Short Position)(2)
June 2017 10 year T-Note futures
	(Jun 2017 - Jun 2027 Hedge Period)	$	465,000	2.22%	2.20%	$	(2,347)

($ 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)
March 31, 2017
Expiration > 1 to ≤ 3 years	$	600,000	1.05%	1.04%	$	12,430	2.9
Expiration > 3 to ≤ 5 years		200,000	2.14%	1.15%		(1,397)	4.9
	$	800,000	1.32%	1.07%	$	11,033	3.4
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)
March 31, 2017
30-Year TBA securities:
	3.0%	$	(150,000)	$	(147,406)	$	(148,781)	$	(1,375)
	4.5%		(297,000)		(317,199)		(318,060)		(861)
		$	(447,000)	$	(464,605)	$	(466,841)	$	(2,236)
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)
		2017		2016
Eurodollar futures contracts (short positions)	$	(571)	$	(17,505)
T-Note futures contracts (short position)		(3,851)		(8,975)
Interest rate swaps		3		(21)
Receiver swaptions		-		36
Net TBA securities		-		(1,125)
	$	(4,419)	$	(27,590)