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Derivative Instruments (Tables) | 9 Months Ended
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Sep. 30, 2013
Derivative Instruments [Abstract] |
Schedule of Derivative Instruments [Table Text Block] | The following table details fair value of the Company's holdings of financial derivatives as of September 30, 2013:
|  | Fair Value
|  | (In thousands)
Financial derivatives-assets at fair value: |  |
TBA securities purchase contracts |  | $ | 104 |
Fixed payer interest rate swaps |  | 23,077 |
Total financial derivatives-assets at fair value: |  | $ | 23,181 |
Financial derivatives-liabilities at fair value: |  |
TBA securities sale contracts |  | $ | (5,572 | )
Fixed payer interest rate swaps |  | (1,409 | )
Fixed payer swaptions |  | (86 | )
Total financial derivatives-liabilities at fair value: |  | $ | (7,067 | )
Total |  | $ | 16,114 |
The Company did not have any financial derivatives outstanding as of December 31, 2012.
InterestRateSwapsByRemainingMaturity [Table Text Block] | The following table details the Company's interest rate swaps as of September 30, 2013:
|  |  |  |  |  | Weighted Average
Maturity |  | Notional Amount |  | Fair Value |  | Pay Rate |  | Receive Rate |  | Years to Maturity
|  | (In thousands) |  |  |  |  |  |
2016 |  | $ | 38,000 |  |  | $ | (204 | ) |  | 0.89 | % |  | 0.26 | % |  | 2.88
2017 |  | 109,000 |  |  | (696 | ) |  | 1.20 |  |  | 0.26 |  |  | 3.82
2018 |  | 90,000 |  |  | 1,773 |  |  | 0.88 |  |  | 0.27 |  |  | 4.60
2020 |  | 235,900 |  |  | 6,054 |  |  | 1.57 |  |  | 0.26 |  |  | 6.65
2023 |  | 213,000 |  |  | 9,279 |  |  | 2.14 |  |  | 0.26 |  |  | 9.65
2043 |  | 70,000 |  |  | 5,462 |  |  | 3.20 |  |  | 0.26 |  |  | 29.68
Total |  | $ | 755,900 |  |  | $ | 21,668 |  |  | 1.71 | % |  | 0.26 | % |  | 8.79
Schedule of To-be-announced securities (TBAs) [Table Text Block] | As of September 30, 2013, the Company had outstanding contracts to purchase ("long positions") and sell ("short positions") TBA securities as follows (shown in thousands):
TBA Securities |  | Notional Amount (1) |  | Cost Basis (2) |  | Market Value (3) |  | Net Carrying Value (4)
Purchase contracts: |  |  |  |  |  |  |  |
Assets |  | $ | 3,350 |  |  | $ | 3,169 |  |  | $ | 3,273 |  |  | $ | 104 |
Sale contracts: |  |  |  |  |  |  |  |
Liabilities |  | (438,579 | ) |  | (449,060 | ) |  | (454,632 | ) |  | (5,572 | )
Total TBA securities, net |  | $ | (435,229 | ) |  | $ | (445,891 | ) |  | $ | (451,359 | ) |  | $ | (5,468 | )
(1) | Notional amount represents the principal balance of the underlying Agency RMBS.
(2) | Cost basis represents the forward price to be paid for the underlying Agency RMBS.
(3) | Market value represents the current market value of the underlying Agency RMBS (on a forward delivery basis) as of September 30, 2013.
(4) | Net carrying value represents the difference between the market value of the TBA contract as of September 30, 2013 and the cost basis and is reported in Financial derivatives-assets at fair value and Financial derivatives-liabilities at fair value on the Consolidated Balance Sheet.
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance [Table Text Block] | Gains and losses on the Company's financial derivatives for the three and nine month periods ended September 30, 2013 are summarized in the tables below (shown in thousands):
|  | Three Month Period Ended September 30, 2013
Derivative Type |  | Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps |  | Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps |  | Net Realized Gains (Losses) on Financial Derivatives |  | Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps |  | Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps |  | Change in Net Unrealized Gains (Losses) on Financial Derivatives
Fixed payer interest rate swaps |  | $ | 49 |  |  | $ | 2,451 |  |  | $ | 2,500 |  |  | $ | (3,109 | ) |  | $ | (1,420 | ) |  | $ | (4,529 | )
Fixed payer swaptions |  |  |  | — |  |  | — |  |  |  |  | (86 | ) |  | (86 | )
TBAs |  |  |  | 1,773 |  |  | 1,773 |  |  |  |  | (7,557 | ) |  | (7,557 | )
Total |  | $ | 49 |  |  | $ | 4,224 |  |  | $ | 4,273 |  |  | $ | (3,109 | ) |  | $ | (9,063 | ) |  | $ | (12,172 | )
|  | Nine Month Period Ended September 30, 2013
Derivative Type |  | Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps |  | Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps |  | Net Realized Gains (Losses) on Financial Derivatives |  | Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps |  | Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps |  | Change in Net Unrealized Gains (Losses) on Financial Derivatives
Fixed payer interest rate swaps |  | $ | (20 | ) |  | $ | 2,631 |  |  | $ | 2,611 |  |  | $ | (4,151 | ) |  | $ | 25,819 |  |  | $ | 21,668 |
Fixed payer swaptions |  |  |  | — |  |  | — |  |  |  |  | (86 | ) |  | (86 | )
TBAs |  |  |  | 10,039 |  |  | 10,039 |  |  |  |  | (5,468 | ) |  | (5,468 | )
Total |  | $ | (20 | ) |  | $ | 12,670 |  |  | $ | 12,650 |  |  | $ | (4,151 | ) |  | $ | 20,265 |  |  | $ | 16,114 |

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