|
Derivative Instruments and Hedging Activities (Tables)
|
12 Months Ended |
|
Dec. 31, 2013
|
| Derivative Instruments and Hedging Activities Disclosure [Abstract] |
|
| Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block] |
The following tables present the gross fair value and notional amounts of the Company’s derivative financial instruments treated as trading instruments as of December 31, 2013 and December 31, 2012.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(in thousands) |
|
December 31, 2013 |
|
|
Derivative Assets |
|
Derivative Liabilities |
Trading instruments |
|
Fair Value |
|
Notional |
|
Fair Value |
|
Notional |
Inverse interest-only securities |
|
$ |
221,364 |
|
|
$ |
1,525,845 |
|
|
$ |
— |
|
|
$ |
— |
|
Interest rate swap agreements |
|
25,325 |
|
|
19,619,000 |
|
|
— |
|
|
— |
|
Credit default swaps |
|
— |
|
|
— |
|
|
(18,183 |
) |
|
476,702 |
|
Swaptions |
|
269,745 |
|
|
5,130,000 |
|
|
— |
|
|
— |
|
TBAs |
|
33,425 |
|
|
4,097,000 |
|
|
(125 |
) |
|
400,000 |
|
Constant maturity swaps |
|
— |
|
|
— |
|
|
(3,773 |
) |
|
10,000,000 |
|
Forward purchase commitment |
|
— |
|
|
12,063 |
|
|
— |
|
|
— |
|
Total |
|
$ |
549,859 |
|
|
$ |
30,383,908 |
|
|
$ |
(22,081 |
) |
|
$ |
10,876,702 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(in thousands) |
|
December 31, 2012 |
|
|
Derivative Assets |
|
Derivative Liabilities |
Trading instruments |
|
Fair Value |
|
Notional |
|
Fair Value |
|
Notional |
Inverse interest-only securities |
|
$ |
304,975 |
|
|
$ |
1,909,351 |
|
|
$ |
— |
|
|
$ |
— |
|
Interest rate swap agreements |
|
— |
|
|
— |
|
|
(129,055 |
) |
|
14,070,000 |
|
Credit default swaps |
|
52,906 |
|
|
438,440 |
|
|
— |
|
|
— |
|
Swaptions |
|
102,048 |
|
|
4,950,000 |
|
|
— |
|
|
— |
|
TBAs |
|
1,917 |
|
|
2,414,000 |
|
|
(239 |
) |
|
139,000 |
|
Forward purchase commitment |
|
234 |
|
|
56,865 |
|
|
— |
|
|
— |
|
Total |
|
$ |
462,080 |
|
|
$ |
9,768,656 |
|
|
$ |
(129,294 |
) |
|
$ |
14,209,000 |
|
|
| Schedule of Average Notional Amounts of Derivative Positions [Table Text Block] |
The following table provides the average outstanding notional amounts of the Company’s derivative financial instruments treated as trading instruments for the years ended December 31, 2013 and December 31, 2012.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(in thousands) |
|
Year Ended December 31, |
|
|
2013 |
|
2012 |
Trading instruments |
|
Derivative Assets |
|
Derivative Liabilities |
|
Derivative Assets |
|
Derivative Liabilities |
Inverse interest-only securities |
|
$ |
1,782,306 |
|
|
$ |
— |
|
|
$ |
1,741,380 |
|
|
$ |
— |
|
Interest rate swap agreements |
|
16,965,918 |
|
|
— |
|
|
— |
|
|
9,891,749 |
|
Credit default swaps |
|
— |
|
|
1,044,170 |
|
|
563,434 |
|
|
68,541 |
|
Swaptions |
|
5,592,274 |
|
|
— |
|
|
4,023,639 |
|
|
— |
|
TBAs |
|
2,186,016 |
|
|
1,508,836 |
|
|
546,429 |
|
|
526,085 |
|
Put and call options for TBAs |
|
420,334 |
|
|
— |
|
|
— |
|
|
— |
|
Constant maturity swaps |
|
— |
|
|
7,972,527 |
|
|
— |
|
|
— |
|
Short U.S. Treasuries |
|
— |
|
|
6,658 |
|
|
— |
|
|
11,749 |
|
Forward purchase commitment |
|
57,489 |
|
|
— |
|
|
94,855 |
|
|
— |
|
Forward sale commitment |
|
— |
|
|
— |
|
|
2,395 |
|
|
— |
|
|
| Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance [Table Text Block] |
The following table summarizes the location and amount of gains and losses on derivative instruments reported in the consolidated statements of comprehensive income on its derivative instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(in thousands) |
|
|
|
|
|
|
|
|
Trading Instruments |
|
Location of Gain/(Loss) Recognized in Income on Derivatives |
|
Amount of Gain/(Loss) Recognized in Income on Derivatives |
|
|
|
|
Year Ended December 31, |
|
|
|
|
2013 |
|
2012 |
|
2011 |
Interest rate risk management |
|
|
|
|
|
|
|
|
TBAs (1)
|
|
Gain (loss) on other derivative instruments |
|
$ |
151,021 |
|
|
$ |
(30,897 |
) |
|
$ |
91 |
|
Put and call options for TBAs (1)
|
|
Gain (loss) on other derivative instruments |
|
7,798 |
|
|
— |
|
|
— |
|
Constant maturity swaps (1)
|
|
Gain (loss) on other derivative instruments |
|
(11,438 |
) |
|
— |
|
|
— |
|
Short U.S. Treasuries (1)
|
|
Gain (loss) on other derivative instruments |
|
(991 |
) |
|
(1,768 |
) |
|
— |
|
Interest rate swap agreements - Receivers (1)
|
|
(Loss) gain on interest rate swap and swaption agreements |
|
(15,378 |
) |
|
— |
|
|
— |
|
Interest rate swap agreements - Payers (1)
|
|
(Loss) gain on interest rate swap and swaption agreements |
|
16,641 |
|
|
— |
|
|
— |
|
Interest rate swap agreements - Receivers (2)
|
|
(Loss) gain on interest rate swap and swaption agreements |
|
906 |
|
|
— |
|
|
— |
|
Interest rate swap agreements - Payers (2)
|
|
(Loss) gain on interest rate swap and swaption agreements |
|
(10,241 |
) |
|
(13,056 |
) |
|
6,112 |
|
Forward sale commitments (3)
|
|
(Loss) gain on mortgage loans held-for-sale |
|
— |
|
|
(26 |
) |
|
— |
|
Interest rate swap agreements - Payers (4)
|
|
(Loss) gain on interest rate swap and swaption agreements |
|
130,268 |
|
|
(111,707 |
) |
|
(92,881 |
) |
Swaptions (4)
|
|
(Loss) gain on interest rate swap and swaption agreements |
|
123,033 |
|
|
(35,012 |
) |
|
— |
|
Credit risk management |
|
|
|
|
|
|
|
|
Credit default swaps - Receive protection (5)
|
|
Gain (loss) on other derivative instruments |
|
(75,927 |
) |
|
(61,935 |
) |
|
11,409 |
|
Non-risk management |
|
|
|
|
|
|
|
|
TBAs |
|
Gain (loss) on other derivative instruments |
|
38,297 |
|
|
— |
|
|
— |
|
Inverse interest-only securities |
|
Gain (loss) on other derivative instruments |
|
(13,415 |
) |
|
41,706 |
|
|
23,392 |
|
Credit default swaps - Provide protection |
|
Gain (loss) on other derivative instruments |
|
— |
|
|
11,988 |
|
|
(8,137 |
) |
Forward purchase commitments |
|
(Loss) gain on mortgage loans held-for-sale |
|
(20,015 |
) |
|
2,396 |
|
|
— |
|
Total |
|
|
|
$ |
320,559 |
|
|
$ |
(198,311 |
) |
|
$ |
(60,014 |
) |
|
| Schedule of TBA Positions [Table Text Block] |
The following table presents the notional amount, cost basis, market value and carrying value (which approximates fair value) of the Company’s TBA positions as of December 31, 2013 and December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As of December 31, 2013 |
|
|
|
|
|
|
|
Net Carrying Value (4)
|
(in thousands) |
Notional Amount (1)
|
|
Cost Basis (2)
|
|
Market Value (3)
|
|
Derivative Assets |
|
Derivative Liabilities |
Purchase contracts |
$ |
2,550,000 |
|
|
$ |
2,749,648 |
|
|
$ |
2,767,295 |
|
|
$ |
17,771 |
|
|
$ |
(125 |
) |
Sale contracts |
(1,947,000 |
) |
|
(1,959,256 |
) |
|
(1,943,602 |
) |
|
15,654 |
|
|
— |
|
TBAs, net |
$ |
603,000 |
|
|
$ |
790,392 |
|
|
$ |
823,693 |
|
|
$ |
33,425 |
|
|
$ |
(125 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As of December 31, 2012 |
|
|
|
|
|
|
|
Net Carrying Value (4)
|
(in thousands) |
Notional Amount (1)
|
|
Cost Basis (2)
|
|
Market Value (3)
|
|
Derivative Assets |
|
Derivative Liabilities |
Purchase contracts |
$ |
1,753,000 |
|
|
$ |
1,867,621 |
|
|
$ |
1,869,112 |
|
|
$ |
1,729 |
|
|
$ |
(239 |
) |
Sale contracts |
(800,000 |
) |
|
(857,625 |
) |
|
(857,438 |
) |
|
188 |
|
|
— |
|
TBAs, net |
$ |
953,000 |
|
|
$ |
1,009,996 |
|
|
$ |
1,011,674 |
|
|
$ |
1,917 |
|
|
$ |
(239 |
) |
___________________
|
|
(1) |
Notional amount represents the face amount 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 market value of the TBA (or of the underlying Agency RMBS) as of period-end. |
|
|
(4) |
Net carrying value represents the difference between the market value of the TBA as of period-end and its cost basis, and is reported in derivative assets / (liabilities), at fair value, in the consolidated balance sheets. |
|
| Schedule of Constant Maturity Swaps [Table Text Block] |
The Company had the following constant maturity swaps agreements in place at December 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(notional and dollars in thousands) |
|
|
|
|
|
|
|
|
December 31, 2013 |
Determination Date |
|
Average Strike Swap Rate |
|
Notional Amount |
|
Fair Value |
|
Upfront Premium Paid |
|
Unrealized Gain/(Loss) |
February 2014 |
|
0.768 |
% |
|
3,000,000 |
|
|
625 |
|
|
— |
|
|
625 |
|
March 2014 |
|
0.850 |
% |
|
5,000,000 |
|
|
(3,171 |
) |
|
— |
|
|
(3,171 |
) |
June 2014 |
|
0.828 |
% |
|
2,000,000 |
|
|
(1,227 |
) |
|
— |
|
|
(1,227 |
) |
Total |
|
0.821 |
% |
|
$ |
10,000,000 |
|
|
$ |
(3,773 |
) |
|
$ |
— |
|
|
$ |
(3,773 |
) |
|
| Schedule of Interest Rate Swap Payers Associated with Available-for-Sale Securities [Table Text Block] |
As of December 31, 2013, the Company held the following interest rate swaps in order to mitigate mortgage interest rate exposure (or duration) risk associated with the Company’s available-for-sale securities whereby the Company receives interest at a 3-month LIBOR rate:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(notional in thousands) |
|
|
|
|
|
|
December 31, 2013 |
Swaps Maturities |
|
Notional Amounts |
|
Average Fixed Pay Rate |
|
Average Receive Rate |
|
Average Maturity (Years) |
2018 |
|
$ |
2,040,000 |
|
|
1.563 |
% |
|
0.241 |
% |
|
4.94 |
|
Total |
|
$ |
2,040,000 |
|
|
|
|
|
|
|
|
| Schedule of Interest Rate Swap Receivers Associated with Available-for-Sale Securities [Table Text Block] |
Additionally, as of December 31, 2013, the Company held the following interest rate swaps in order to mitigate mortgage interest rate exposure (or duration) risk associated with the Company’s available-for-sale securities whereby the Company pays interest at a 3-month LIBOR rate:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(notional in thousands) |
|
|
|
|
|
|
December 31, 2013 |
Swaps Maturities |
|
Notional Amounts |
|
Average Pay Rate |
|
Average Fixed Receive Rate |
|
Average Maturity (Years) |
2023 |
|
$ |
1,099,000 |
|
|
0.242 |
% |
|
2.914 |
% |
|
9.94 |
|
Total |
|
$ |
1,099,000 |
|
|
|
|
|
|
|
|
| Schedule of Interest Rate Swaps Associated with U.S. Treasuries [Table Text Block] |
As of December 31, 2013 and December 31, 2012, the Company held $1.0 billion in fair value of U.S. Treasuries classified as trading securities and the following outstanding interest rate swaps utilized to economically hedge funding cost risk:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(notional in thousands) |
|
|
|
|
|
|
December 31, 2013 |
Swaps Maturities |
|
Notional Amounts |
|
Average Fixed Pay Rate |
|
Average Receive Rate |
|
Average Maturity (Years) |
2016 |
|
$ |
1,000,000 |
|
|
0.955 |
% |
|
0.239 |
% |
|
2.67 |
|
Total |
|
$ |
1,000,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(notional in thousands) |
|
|
|
|
|
|
December 31, 2012 |
Swaps Maturities |
|
Notional Amounts |
|
Average Fixed Pay Rate |
|
Average Receive Rate |
|
Average Maturity (Years) |
2015 |
|
$ |
1,000,000 |
|
|
0.799 |
% |
|
0.350 |
% |
|
2.28 |
|
Total |
|
$ |
1,000,000 |
|
|
|
|
|
|
|
|
| Schedule of Interest Rate Swaps Associated with TBA Contracts and MSRs [Table Text Block] |
As of December 31, 2013 and December 31, 2012, the Company held the following interest rate swaps that were entered into in combination with TBA contracts and/or MSR to economically hedge mortgage basis widening and duration:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(notional in thousands) |
|
|
|
|
|
|
December 31, 2013 |
Swaps Maturities |
|
Notional Amounts |
|
Average Pay Rate |
|
Average Fixed Receive Rate |
|
Average Maturity (Years) |
2018 and Thereafter |
|
1,055,000 |
|
|
0.239 |
% |
|
1.736 |
% |
|
5.65 |
|
Total |
|
$ |
1,055,000 |
|
|
0.239 |
% |
|
1.736 |
% |
|
5.65 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(notional in thousands) |
|
|
|
|
|
|
December 31, 2012 |
Swaps Maturities |
|
Notional Amounts |
|
Average Fixed Pay Rate |
|
Average Receive Rate |
|
Average Maturity (Years) |
2014 |
|
$ |
500,000 |
|
|
0.399 |
% |
|
0.356 |
% |
|
1.78 |
|
Total |
|
$ |
500,000 |
|
|
|
|
|
|
|
|
| Schedule of Interest Rate Swaps Associated with Repurchase Agreements [Table Text Block] |
As of December 31, 2013 and December 31, 2012, the Company had the following outstanding interest rate swaps that were utilized as economic hedges of interest rate exposure (or duration) associated with the Company’s short-term repurchase agreements:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(notional in thousands) |
|
|
|
|
|
|
December 31, 2013 |
Swaps Maturities |
|
Notional Amounts |
|
Average Fixed Pay Rate |
|
Average Receive Rate |
|
Average Maturity (Years) |
2014 |
|
$ |
3,900,000 |
|
|
0.300 |
% |
|
0.245 |
% |
|
0.76 |
|
2015 |
|
1,000,000 |
|
|
0.383 |
% |
|
0.244 |
% |
|
1.04 |
|
2016 |
|
2,950,000 |
|
|
0.626 |
% |
|
0.246 |
% |
|
2.42 |
|
2017 |
|
5,300,000 |
|
|
0.920 |
% |
|
0.217 |
% |
|
3.49 |
|
2018 and Thereafter |
|
1,275,000 |
|
|
1.406 |
% |
|
0.242 |
% |
|
5.04 |
|
Total |
|
$ |
14,425,000 |
|
|
0.698 |
% |
|
0.235 |
% |
|
2.50 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(notional in thousands) |
|
|
|
|
|
|
December 31, 2012 |
Swaps Maturities |
|
Notional Amount |
|
Average Fixed Pay Rate |
|
Average Receive Rate |
|
Average Maturity (Years) |
2013 |
|
2,275,000 |
|
|
0.713 |
% |
|
0.315 |
% |
|
0.56 |
|
2014 |
|
1,675,000 |
|
|
0.644 |
% |
|
0.311 |
% |
|
1.57 |
|
2015 |
|
2,770,000 |
|
|
0.908 |
% |
|
0.313 |
% |
|
2.43 |
|
2016 |
|
1,940,000 |
|
|
0.874 |
% |
|
0.323 |
% |
|
3.46 |
|
2017 and Thereafter |
|
3,910,000 |
|
|
0.960 |
% |
|
0.313 |
% |
|
4.72 |
|
Total |
|
$ |
12,570,000 |
|
|
0.850 |
% |
|
0.315 |
% |
|
2.85 |
|
|
| Schedule of Interest Rate Swaptions [Table Text Block] |
s of December 31, 2013 and December 31, 2012, the Company had the following outstanding interest rate swaptions (agreements to enter into interest rate swaps in the future for which the Company would either pay or receive a fixed rate) that were utilized as macro-economic hedges:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2013 |
(notional and dollars in thousands) |
|
Option |
|
Underlying Swap |
Swaption |
|
Expiration |
|
Cost |
|
Fair Value |
|
Average Months to Expiration |
|
Notional Amount |
|
Average Fixed Pay Rate |
|
Average Receive Rate |
|
Average Term (Years) |
Purchase contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Payer |
|
< 6 Months |
|
$ |
10,431 |
|
|
$ |
10,458 |
|
|
2.78 |
|
$ |
675,000 |
|
|
3.33 |
% |
|
3M Libor |
|
10.0 |
|
Payer |
|
≥ 6 Months |
|
223,504 |
|
|
353,108 |
|
|
39.14 |
|
6,000,000 |
|
|
4.27 |
% |
|
3M Libor |
|
9.0 |
|
Total Payer |
|
|
|
$ |
233,935 |
|
|
$ |
363,566 |
|
|
38.16 |
|
$ |
6,675,000 |
|
|
4.18 |
% |
|
3M Libor |
|
9.1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Receiver |
|
< 6 Months |
|
$ |
3,991 |
|
|
$ |
681 |
|
|
1.93 |
|
$ |
275,000 |
|
|
3M Libor |
|
2.89 |
% |
|
10.0 |
|
Total Receiver |
|
|
|
$ |
3,991 |
|
|
$ |
681 |
|
|
1.93 |
|
$ |
275,000 |
|
|
3M Libor |
|
2.89 |
% |
|
10.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sale contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Payer |
|
< 6 Months |
|
$ |
(3,455 |
) |
|
$ |
(7,679 |
) |
|
1.93 |
|
$ |
(510,000 |
) |
|
1.60 |
% |
|
3M Libor |
|
5.0 |
|
Payer |
|
≥ 6 Months |
|
(81,248 |
) |
|
(86,361 |
) |
|
42.02 |
|
(800,000 |
) |
|
3.44 |
% |
|
3M Libor |
|
10.0 |
|
Total Payer |
|
|
|
$ |
(84,703 |
) |
|
$ |
(94,040 |
) |
|
33.68 |
|
$ |
(1,310,000 |
) |
|
2.72 |
% |
|
3M Libor |
|
8.1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Receiver |
|
< 6 Months |
|
$ |
(3,455 |
) |
|
$ |
(462 |
) |
|
1.93 |
|
$ |
(510,000 |
) |
|
3M Libor |
|
1.60 |
% |
|
5.0 |
|
Total Receiver |
|
|
|
$ |
(3,455 |
) |
|
$ |
(462 |
) |
|
1.93 |
|
$ |
(510,000 |
) |
|
3M Libor |
|
1.60 |
% |
|
5.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2012 |
(notional and dollars in thousands) |
|
Option |
|
Underlying Swap |
Swaption |
|
Expiration |
|
Cost |
|
Fair Value |
|
Average Months to Expiration |
|
Notional Amount |
|
Average Fixed Pay Rate |
|
Average Receive Rate |
|
Average Term (Years) |
Purchase contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Payer |
|
< 6 Months |
|
$ |
3,983 |
|
|
$ |
30 |
|
|
5.38 |
|
$ |
300,000 |
|
|
4.00 |
% |
|
3M Libor |
|
10.0 |
|
Payer |
|
≥ 6 Months |
|
129,925 |
|
|
102,018 |
|
|
53.38 |
|
4,650,000 |
|
|
3.74 |
% |
|
3M Libor |
|
9.7 |
|
Total Payer |
|
|
|
$ |
133,908 |
|
|
$ |
102,048 |
|
|
53.38 |
|
$ |
4,950,000 |
|
|
3.75 |
% |
|
3M Libor |
|
9.8 |
|
|
| Schedule of Credit Default Swaps, Receive Protection [Table Text Block] |
The following tables present credit default swaps where the Company is receiving protection held as of December 31, 2013 and December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(notional and dollars in thousands) |
|
|
|
|
|
|
|
|
December 31, 2013 |
Protection |
Maturity Date |
|
Average Implied Credit Spread |
|
Current Notional Amount |
|
Fair Value |
|
Upfront Payable |
|
Unrealized Gain/(Loss) |
Receive |
6/20/2016 |
|
105.50 |
|
|
(100,000 |
) |
|
(2,149 |
) |
|
(260 |
) |
|
(2,409 |
) |
|
12/20/2016 |
|
496.00 |
|
|
(25,000 |
) |
|
(401 |
) |
|
(4,062 |
) |
|
(4,463 |
) |
|
12/20/2018 |
|
393.31 |
|
|
(270,000 |
) |
|
(23,568 |
) |
|
12,838 |
|
|
(10,730 |
) |
|
1/12/2043 |
|
176.00 |
|
|
(49,629 |
) |
|
(134 |
) |
|
(453 |
) |
|
(587 |
) |
|
5/25/2046 |
|
356.00 |
|
|
(32,073 |
) |
|
8,069 |
|
|
(15,026 |
) |
|
(6,957 |
) |
|
Total |
|
313.19 |
|
|
$ |
(476,702 |
) |
|
$ |
(18,183 |
) |
|
$ |
(6,963 |
) |
|
$ |
(25,146 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(notional and dollars in thousands) |
|
|
|
|
|
|
|
|
December 31, 2012 |
Protection |
Maturity Date |
|
Average Implied Credit Spread |
|
Current Notional Amount |
|
Fair Value |
|
Upfront Payable |
|
Unrealized Gain/(Loss) |
Receive |
9/20/2013 |
|
460.00 |
|
|
$ |
(45,000 |
) |
|
$ |
(264 |
) |
|
$ |
(3,127 |
) |
|
$ |
(3,391 |
) |
|
12/20/2013 |
|
181.91 |
|
|
(105,000 |
) |
|
(198 |
) |
|
(3,225 |
) |
|
(3,423 |
) |
|
6/20/2016 |
|
105.50 |
|
|
(100,000 |
) |
|
(1,940 |
) |
|
(260 |
) |
|
(2,200 |
) |
|
12/20/2016 |
|
496.00 |
|
|
(25,000 |
) |
|
527 |
|
|
(4,062 |
) |
|
(3,535 |
) |
|
5/25/2046 |
|
297.60 |
|
|
(163,440 |
) |
|
54,781 |
|
|
(71,114 |
) |
|
(16,333 |
) |
|
Total |
|
254.06 |
|
|
$ |
(438,440 |
) |
|
$ |
52,906 |
|
|
$ |
(81,788 |
) |
|
$ |
(28,882 |
) |
|
| Schedule of Inverse Interest-Only Securities Reconciliation [Table Text Block] |
The following table presents the amortized cost and carrying value (which approximates fair value) of inverse interest-only securities as of December 31, 2013 and December 31, 2012:
|
|
|
|
|
|
|
|
|
(in thousands) |
December 31,
2013 |
|
December 31,
2012 |
Face Value |
$ |
1,525,845 |
|
|
$ |
1,909,351 |
|
Unamortized premium |
— |
|
|
— |
|
Unamortized discount |
|
|
|
Designated credit reserve |
— |
|
|
— |
|
Net, unamortized |
(1,292,785 |
) |
|
(1,620,966 |
) |
Amortized Cost |
233,060 |
|
|
288,385 |
|
Gross unrealized gains |
5,891 |
|
|
21,616 |
|
Gross unrealized losses |
(20,442 |
) |
|
(8,737 |
) |
Carrying Value |
$ |
218,509 |
|
|
$ |
301,264 |
|
|