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Derivative Instruments (Tables)
 3 Months Ended
Mar. 31, 2016
Derivative Instruments [Abstract]  
Schedule of Derivative Instruments [Table Text Block]
The following table details the fair value of the Company's holdings of financial derivatives as of March 31, 2016 and December 31, 2015:
 
 
March 31, 2016
 
December 31, 2015
 
 
(In thousands)
Financial derivatives–assets, at fair value:
 
 
 
 
TBA securities purchase contracts
 
$
365

 
$
115

TBA securities sale contracts
 
—

 
302

Fixed payer interest rate swaps
 
4

 
891

Fixed receiver interest rate swaps
 
1,265

 
857

Futures
 
1

 
18

Total financial derivatives–assets, at fair value
 
1,635

 
2,183

Financial derivatives–liabilities, at fair value:
 
 
 
 
TBA securities purchase contracts
 
—

 
(49
)
TBA securities sale contracts
 
(1,157
)
 
(315
)
Fixed payer interest rate swaps
 
(17,122
)
 
(4,361
)
Futures
 
(5
)
 
—

Total financial derivatives–liabilities, at fair value
 
(18,284
)
 
(4,725
)
Total
 
$
(16,649
)
 
$
(2,542
)
Interest Rate Swaps By Remaining Maturity [Table Text Block]
The following tables provide information about the Company's fixed payer interest rate swaps as of March 31, 2016 and December 31, 2015:
March 31, 2016:
 
 
 
 
 
 
Weighted Average
Maturity
 
Notional Amount
 
Fair Value
 
Pay Rate
 
Receive Rate
 
Remaining Years to Maturity
 
 
(In thousands)
 
 
 
 
 
 
2016
 
$
48,000

 
$
(79
)
 
0.80
%
 
0.62
%
 
0.52
2017
 
74,750

 
(546
)
 
1.21

 
0.63

 
1.34
2018
 
71,529

 
(559
)
 
1.11

 
0.62

 
2.03
2020
 
107,461

 
(2,371
)
 
1.50

 
0.62

 
4.08
2021
 
10,400

 
1

 
1.15

 
0.62

 
4.87
2022
 
19,444

 
(587
)
 
1.76

 
0.62

 
6.26
2023
 
131,400

 
(7,080
)
 
2.10

 
0.63

 
7.14
2024
 
9,200

 
(428
)
 
1.99

 
0.61

 
8.01
2025
 
34,022

 
(1,503
)
 
2.05

 
0.62

 
8.86
2043
 
19,047

 
(3,966
)
 
3.02

 
0.62

 
27.14
Total
 
$
525,253

 
$
(17,118
)
 
1.59
%
 
0.62
%
 
5.16

December 31, 2015:
 
 
 
 
 
 
Weighted Average
Maturity
 
Notional Amount
 
Fair Value
 
Pay Rate
 
Receive Rate
 
Remaining Years to Maturity
 
 
(In thousands)
 
 
 
 
 
 
2016
 
$
48,000

 
$
(83
)
 
0.80
%
 
0.39
%
 
0.77
2017
 
74,750

 
(445
)
 
1.21

 
0.41

 
1.59
2018
 
71,529

 
80

 
1.11

 
0.34

 
2.28
2020
 
119,893

 
220

 
1.51

 
0.33

 
4.36
2022
 
19,444

 
86

 
1.76

 
0.34

 
6.51
2023
 
131,400

 
(1,367
)
 
2.10

 
0.38

 
7.39
2024
 
9,200

 
11

 
1.99

 
0.32

 
8.26
2025
 
58,560

 
(5
)
 
2.06

 
0.33

 
9.32
2043
 
21,067

 
(1,967
)
 
3.03

 
0.36

 
27.39
Total
 
$
553,843

 
$
(3,470
)
 
1.63
%
 
0.36
%
 
5.67

The following tables provide information about the Company's fixed receiver interest rate swaps as of March 31, 2016 and December 31, 2015.
March 31, 2016:
 
 
 
 
 
 
Weighted Average
Maturity
 
Notional Amount
 
Fair Value
 
Pay Rate
 
Receive Rate
 
Remaining Years to Maturity
 
 
(In thousands)
 
 
 
 
 
 
2025
 
$
9,700

 
$
1,255

 
0.62
%
 
3.00
%
 
9.30
2026
 
3,000

 
10

 
0.63
%
 
1.68
%
 
10.01
Total
 
$
12,700

 
$
1,265

 
0.62
%
 
2.69
%
 
9.46
December 31, 2015:
 
 
 
 
 
 
Weighted Average
Maturity
 
Notional Amount
 
Fair Value
 
Pay Rate
 
Receive Rate
 
Remaining Years to Maturity
 
 
(In thousands)
 
 
 
 
 
 
2025
 
$
9,700

 
$
857

 
0.32
%
 
3.00
%
 
9.55
Total
 
$
9,700

 
$
857

 
0.32
%
 
3.00
%
 
9.55
Futures [Table Text Block]
The following table provides information about the Company's short positions in Eurodollar futures as of March 31, 2016 and December 31, 2015.
March 31, 2016:
Maturity
 
Notional Amount
 
Fair Value
 
Remaining Months to Expiration
($ in thousands)
 
 
 
 
 
 
2016
 
$
(9,000
)
 
$
1

 
5.66
2017
 
(9,000
)
 
(5
)
 
14.76
Total
 
$
(18,000
)
 
$
(4
)
 
10.21
December 31, 2015:
Maturity
 
Notional Amount
 
Fair Value
 
Remaining Months to Expiration
($ in thousands)
 
 
 
 
 
 
2016
 
$
(12,000
)
 
$
10

 
7.13
2017
 
(9,000
)
 
8

 
17.79
Total
 
$
(21,000
)
 
$
18

 
11.70
Schedule of To-be-announced securities (TBAs) [Table Text Block]
As of March 31, 2016 and December 31, 2015, the Company had outstanding contracts to purchase ("long positions") and sell ("short positions") TBA securities as follows:
 
 
March 31, 2016
 
December 31, 2015
TBA Securities
 
Notional Amount(1)
 
Cost
Basis(2)
 
Market Value(3)
 
Net Carrying Value(4)
 
Notional Amount (1)
 
Cost
Basis(2)
 
Market Value(3)
 
Net Carrying Value(4)
(In thousands)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Purchase contracts:
 
 
 
 
 

 
 
 
 
 
 
 
 
 
 
Assets
 
$
76,904

 
$
79,928

 
$
80,293

 
$
365

 
$
60,291

 
$
61,638

 
$
61,753

 
$
115

Liabilities
 
—

 
—

 
—

 
—

 
23,418

 
24,208

 
24,159

 
(49
)
 
 
76,904


79,928


80,293


365


83,709


85,846


85,912


66

Sale contracts:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Assets
 
—

 
—

 
—

 
—

 
(170,800
)
 
(181,476
)
 
(181,174
)
 
302

Liabilities
 
(311,246
)
 
(332,743
)
 
(333,900
)
 
(1,157
)
 
(252,746
)
 
(268,973
)
 
(269,288
)
 
(315
)
 
 
(311,246
)

(332,743
)

(333,900
)

(1,157
)

(423,546
)

(450,449
)

(450,462
)

(13
)
Total TBA securities, net
 
$
(234,342
)
 
$
(252,815
)
 
$
(253,607
)
 
$
(792
)
 
$
(339,837
)
 
$
(364,603
)
 
$
(364,550
)
 
$
53

(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 period end.
(4)
Net carrying value represents the difference between the market value of the TBA contract as of period end 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.
Derivative Activity, Volume [Table Text Block]
The tables below details the average notional values of the Company's financial derivatives, using absolute value of month end notional values, for the three month period ended March 31, 2016 and the year ended December 31, 2015:
Derivative Type
 
Three Month
Period Ended
March 31, 2016
 
Year Ended
December 31, 2015
 
 
(In thousands)
Interest rate swaps
 
$
545,110

 
$
525,037

TBAs
 
430,152

 
606,665

Interest rate swaptions
 
—

 
5,223

Futures
 
20,250

 
5,308
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 month periods ended March 31, 2016 and 2015 are summarized in the tables below:
 
 
Three Month Period Ended March 31, 2016
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
(In thousands)
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
 
$
(672
)
 
$
(1,226
)
 
$
(1,898
)
 
$
(726
)
 
$
(12,543
)
 
$
(13,269
)
TBAs
 
 
 
(2,099
)
 
(2,099
)
 
 
 
(844
)
 
(844
)
Futures
 
 
 
1

 
1

 
 
 
(22
)
 
(22
)
Total
 
$
(672
)
 
$
(3,324
)
 
$
(3,996
)
 
$
(726
)
 
$
(13,409
)
 
$
(14,135
)

 
 
Three Month Period Ended March 31, 2015
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
(In thousands)
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
 
$
(707
)
 
$
(3,441
)
 
$
(4,148
)
 
$
(851
)
 
$
(6,383
)
 
$
(7,234
)
Swaptions
 
 
 
—

 
—

 
 
 
237

 
237

TBAs
 
 
 
(4,595
)
 
(4,595
)
 
 
 
(97
)
 
(97
)
Total
 
$
(707
)
 
$
(8,036
)
 
$
(8,743
)
 
$
(851
)
 
$
(6,243
)
 
$
(7,094
)