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Derivative Instruments (Tables)
 9 Months Ended
Sep. 30, 2018
Derivative Instrument Detail [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 September 30, 2018 and December 31, 2017:
 
 
September 30, 2018
 
December 31, 2017
 
 
(In thousands)
Financial derivatives–assets, at fair value:
 
 
 
 
TBA securities purchase contracts
 
$
33

 
$
26

TBA securities sale contracts
 
1,414

 
376

Fixed payer interest rate swaps
 
18,189

 
7,475

Fixed receiver interest rate swaps
 
—

 
563

Swaptions
 
—

 
181

Futures
 
3,413

 
171

Total financial derivatives–assets, at fair value
 
23,049

 
8,792

Financial derivatives–liabilities, at fair value:
 
 
 
 
TBA securities purchase contracts
 
(295
)
 
(266
)
TBA securities sale contracts
 
(25
)
 
(469
)
Fixed payer interest rate swaps
 
(13
)
 
(1,128
)
Total financial derivatives–liabilities, at fair value
 
(333
)
 
(1,863
)
Total, net
 
$
22,716

 
$
6,929
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 September 30, 2018 and December 31, 2017:
September 30, 2018:
 
 
 
 
 
 
Weighted Average
Maturity
 
Notional Amount
 
Fair Value
 
Pay Rate
 
Receive Rate
 
Remaining Years to Maturity
 
 
(In thousands)
 
 
 
 
 
 
2020
 
$
86,000

 
$
1,529

 
1.60
%
 
2.33
%
 
1.57
2021
 
133,400

 
3,332

 
1.89

 
2.34

 
2.66
2022
 
68,480

 
2,245

 
2.00

 
2.34

 
3.68
2023
 
23,600

 
1,193

 
1.88

 
2.34

 
4.61
2024
 
8,900

 
454

 
1.99

 
2.34

 
5.51
2025
 
47,722

 
1,398

 
2.57

 
2.33

 
6.42
2026
 
40,885

 
4,189

 
1.63

 
2.34

 
7.96
2027
 
30,000

 
1,659

 
2.29

 
2.35

 
8.59
2028
 
126,063

 
1,949

 
2.92

 
2.33

 
9.82
2043
 
12,380

 
228

 
2.99

 
2.33

 
24.63
Total
 
$
577,430

 
$
18,176

 
2.17
%
 
2.33
%
 
5.77

December 31, 2017:
 
 
 
 
 
 
Weighted Average
Maturity
 
Notional Amount
 
Fair Value
 
Pay Rate
 
Receive Rate
 
Remaining Years to Maturity
 
 
(In thousands)
 
 
 
 
 
 
2018
 
$
65,990

 
$
187

 
0.97
%
 
1.38
%
 
0.43
2019
 
19,540

 
165

 
1.41

 
1.60

 
1.51
2020
 
131,900

 
1,514

 
1.60

 
1.41

 
2.39
2021
 
131,400

 
1,194

 
1.88

 
1.40

 
3.41
2022
 
79,044

 
736

 
1.97

 
1.39

 
4.48
2023
 
54,200

 
873

 
1.93

 
1.37

 
5.47
2024
 
8,900

 
142

 
1.99

 
1.34

 
6.26
2025
 
15,322

 
196

 
2.04

 
1.37

 
7.13
2026
 
40,885

 
2,230

 
1.63

 
1.36

 
8.71
2027
 
48,010

 
235

 
2.30

 
1.40

 
9.38
2043
 
12,380

 
(1,125
)
 
2.99

 
1.41

 
25.38
Total
 
$
607,571

 
$
6,347

 
1.77
%
 
1.40
%
 
4.54

The following table provides information about the Company's fixed receiver interest rate swaps as of December 31, 2017. The Company did not hold any fixed receiver interest rate swaps as of September 30, 2018.
December 31, 2017:
 
 
 
 
 
 
Weighted Average
Maturity
 
Notional Amount
 
Fair Value
 
Pay Rate
 
Receive Rate
 
Remaining Years to Maturity
 
 
(In thousands)
 
 
 
 
 
 
2025
 
$
9,700

 
$
563

 
1.36
%
 
3.00
%
 
7.54
Total
 
$
9,700

 
$
563

 
1.36
%
 
3.00
%
 
7.54
Interest Rate Swaptions By Remaining Maturity [Table Text Block]
The following tables provide information about the Company's swaptions as of December 31, 2017. The Company did not hold any swaptions as of September 30, 2018.
December 31, 2017:
Option
 
Underlying Swap
Type
 
Fair Value
 
Months to Expiration
 
Notional
Amount
 
Term (Years)
 
 
Fixed Rate
($ in thousands)
 
 
 
 
 
 
 
 
 
 
Fixed Payer
 
$
181

 
7.0
 
$
10,000

 
10
 
2.40%
Futures [Table Text Block]
The following tables provide information about the Company's short positions in futures as of September 30, 2018 and December 31, 2017.
September 30, 2018:
Description
 
Notional Amount
 
Fair Value
 
Remaining Months to Expiration
($ in thousands)
 
 
 
 
 
 
U.S. Treasury Futures
 
$
(246,700
)
 
$
3,413

 
2.92
December 31, 2017:
Description
 
Notional Amount
 
Fair Value
 
Remaining Months to Expiration
($ in thousands)
 
 
 
 
 
 
U.S. Treasury Futures
 
$
(25,800
)
 
$
171

 
2.63
Schedule of To-be-announced securities (TBAs) [Table Text Block]
As of September 30, 2018 and December 31, 2017, the Company had outstanding contracts to purchase ("long positions") and sell ("short positions") TBA securities as follows:
 
 
September 30, 2018
 
December 31, 2017
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
 
$
16,800

 
$
16,503

 
$
16,536

 
$
33

 
$
37,355

 
$
38,065

 
$
38,091

 
$
26

Liabilities
 
111,229

 
113,076

 
112,781

 
(295
)
 
75,789

 
79,570

 
79,304

 
(266
)
 
 
128,029


129,579


129,317


(262
)

113,144

 
117,635

 
117,395

 
(240
)
Sale contracts:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Assets
 
(343,137
)
 
(344,620
)
 
(343,206
)
 
1,414

 
(358,279
)
 
(372,219
)
 
(371,843
)
 
376

Liabilities
 
(9,811
)
 
(9,856
)
 
(9,881
)
 
(25
)
 
(328,576
)
 
(341,134
)
 
(341,603
)
 
(469
)
 
 
(352,948
)

(354,476
)

(353,087
)

1,389


(686,855
)
 
(713,353
)
 
(713,446
)
 
(93
)
Total TBA securities, net
 
$
(224,919
)
 
$
(224,897
)
 
$
(223,770
)
 
$
1,127

 
$
(573,711
)
 
$
(595,718
)
 
$
(596,051
)
 
$
(333
)
(1)
Notional amount represents the principal balance of the underlying Agency RMBS.
(2)
Cost basis represents the forward price to be paid (received) 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 table below details the average notional values of the Company's financial derivatives, using absolute value of month end notional values, for the nine-month period ended September 30, 2018 and the year ended December 31, 2017:
Derivative Type
 
Nine-Month
Period Ended
September 30, 2018
 
Year Ended
December 31, 2017
 
 
(In thousands)
Interest rate swaps
 
$
596,159

 
$
549,907

TBAs
 
624,974

 
796,813

Futures
 
231,870

 
30,092

Swaptions
 
7,000

 
4,615
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, 2018 and 2017 are summarized in the tables below:
 
 
Three-Month Period Ended September 30, 2018
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
 
$
1,281

 
$
2,096

 
$
3,377

 
$
(893
)
 
$
2,383

 
$
1,490

Swaptions
 
 
 
(249
)
 
(249
)
 
 
 
(221
)
 
(221
)
TBAs
 
 
 
(692
)
 
(692
)
 
 
 
2,100

 
2,100

Futures
 
 
 
1,622

 
1,622

 
 
 
1,237

 
1,237

Total
 
$
1,281

 
$
2,777

 
$
4,058

 
$
(893
)
 
$
5,499

 
$
4,606

 
 
Three-Month Period Ended September 30, 2017
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
 
$
957

 
$
(76
)
 
$
881

 
$
(1,657
)
 
$
808

 
$
(849
)
Swaptions
 
 
 
—

 
—

 
 
 
(37
)
 
(37
)
TBAs
 
 
 
(3,475
)
 
(3,475
)
 
 
 
(179
)
 
(179
)
Futures
 
 
 
(387
)
 
(387
)
 
 
 
376

 
376

Total
 
$
957

 
$
(3,938
)
 
$
(2,981
)
 
$
(1,657
)
 
$
968

 
$
(689
)

 
 
Nine-Month Period Ended September 30, 2018
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
 
$
1,072

 
$
5,065

 
$
6,137

 
$
(932
)
 
$
12,167

 
$
11,235

Swaptions
 
 
 
(249
)
 
(249
)
 
 
 
68

 
68

TBAs
 
 
 
10,151

 
10,151

 
 
 
1,460

 
1,460

Futures
 
 
 
272

 
272

 
 
 
3,242

 
3,242

Total
 
$
1,072

 
$
15,239

 
$
16,311

 
$
(932
)
 
$
16,937

 
$
16,005


 
 
Nine-Month Period Ended September 30, 2017
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
 
$
7

 
$
(71
)
 
$
(64
)
 
$
(1,801
)
 
$
(870
)
 
$
(2,671
)
Swaptions
 
 
 
—

 
—

 
 
 
(37
)
 
(37
)
TBAs
 
 
 
(9,363
)
 
(9,363
)
 
 
 
936

 
936

Futures
 
 
 
(1,028
)
 
(1,028
)
 
 
 
470

 
470

Total
 
$
7

 
$
(10,462
)
 
$
(10,455
)
 
$
(1,801
)
 
$
499

 
$
(1,302
)