XML 52 R39.htm IDEA: XBRL DOCUMENT v3.4.0.3
Derivative Instruments Schedule of TBA Securities (Details) - USD ($)
$ in Thousands
Mar. 31, 2016
Dec. 31, 2015
Derivative [Line Items]    
Financial derivatives–assets, at fair value [1] $ 1,635 $ 2,183
Financial derivatives–liabilities, at fair value [1] (18,284) (4,725)
Derivative, Fair Value, Net (16,649) (2,542)
TBA securities- purchase contracts [Member]    
Derivative [Line Items]    
Derivative notional [2] 76,904 83,709
Derivative cost basis [3] 79,928 85,846
Market Value, Underyling [4] 80,293 85,912
Derivative, Fair Value, Net [5] 365 66
TBA securities- sale contracts [Member]    
Derivative [Line Items]    
Derivative notional [2] (311,246) (423,546)
Derivative cost basis [3] (332,743) (450,449)
Market Value, Underyling [4] (333,900) (450,462)
Derivative, Fair Value, Net [5] (1,157) (13)
TBA securities [Member]    
Derivative [Line Items]    
Derivative notional, net [2] (234,342) (339,837)
Derivative cost basis [3] (252,815) (364,603)
Market Value, Underyling [4] (253,607) (364,550)
Derivative, Fair Value, Net [5] (792) 53
Derivative Financial Instruments, Assets [Member] | TBA securities- purchase contracts [Member]    
Derivative [Line Items]    
Derivative notional [2] 76,904 60,291
Derivative cost basis [3] 79,928 61,638
Market Value, Underyling [4] 80,293 61,753
Financial derivatives–assets, at fair value [5] 365 115
Derivative Financial Instruments, Assets [Member] | TBA securities- sale contracts [Member]    
Derivative [Line Items]    
Derivative notional [2] 0 (170,800)
Derivative cost basis [3] 0 (181,476)
Market Value, Underyling [4] 0 (181,174)
Financial derivatives–assets, at fair value [5] 0 302
Derivative Financial Instruments, Liabilities [Member] | TBA securities- purchase contracts [Member]    
Derivative [Line Items]    
Derivative notional [2] 0 23,418
Derivative cost basis [3] 0 24,208
Market Value, Underyling [4] 0 24,159
Financial derivatives–liabilities, at fair value [5] 0 (49)
Derivative Financial Instruments, Liabilities [Member] | TBA securities- sale contracts [Member]    
Derivative [Line Items]    
Derivative notional [2] (311,246) (252,746)
Derivative cost basis [3] (332,743) (268,973)
Market Value, Underyling [4] (333,900) (269,288)
Financial derivatives–liabilities, at fair value [5] $ (1,157) $ (315)
[1] In the Company's Consolidated Balance Sheet, all balances associated with the repurchase agreements and financial derivatives are presented on a gross basis.
[2] Notional amount represents the principal balance of the underlying Agency RMBS.
[3] Cost basis represents the forward price to be paid for the underlying Agency RMBS.
[4] Market value represents the current market value of the underlying Agency RMBS (on a forward delivery basis) as of period end.
[5] 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.