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Derivative Instruments (Notes) | 9 Months Ended
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Sep. 30, 2013
Derivative Instruments [Abstract] |
Derivative Instruments and Hedging Activities Disclosure [Text Block] | Financial Derivatives The Company is exposed to certain risks arising from both its business operations and economic conditions. Specifically, the Company’s primary source of debt financing is repurchase agreements and the Company enters into financial derivative and other instruments to manage exposure to variable cash flows on portions of its borrowings under those repurchase agreements. Since the interest rates on repurchase agreements typically change with market interest rates such as LIBOR, the Company is exposed to constantly changing interest rates, which accordingly affects cash flows associated with these rates on its borrowings. To mitigate the effect of changes in these interest rates and their related cash flows, the Company may enter into a variety of derivative contracts, including interest rate swaps, Eurodollar and U.S. Treasury futures, interest rate swaptions, and TBAs. 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. Interest Rate Swaps An interest rate swap involves the receipt of variable rate payments from a counterparty in exchange for the Company making fixed rate payments over the life of the interest rate swap without exchange of the underlying notional amount. 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
Interest Rate Swaptions As of September 30, 2013, the Company's outstanding fixed payer swaption contract had a notional value of $22 million and a remaining term to expiration of approximately 12 months. The underlying swap has a fixed pay rate of 3.31%, a receive rate of 3-month LIBOR and a term of 10 years. TBAs 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.
The Company primarily uses TBAs to hedge interest rate risk, but from time to time it also holds net long positions in certain TBA securities as a means of acquiring exposure to Agency RMBS. 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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- Definition The entire disclosure for the entity's entire derivative instruments and hedging activities. 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