Derivative Instruments and Hedging Activities (Tables)
|
12 Months Ended |
Dec. 31, 2015 |
|---|
| 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, 2015 and December 31, 2014.
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|
|
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|
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|
December 31, 2015 |
(in thousands) |
|
Derivative Assets |
|
Derivative Liabilities |
Trading instruments |
|
Fair Value |
|
Notional |
|
Fair Value |
|
Notional |
Inverse interest-only securities |
|
$ |
159,582 |
|
|
$ |
932,037 |
|
|
$ |
— |
|
|
$ |
— |
|
Interest rate swap agreements |
|
91,757 |
|
|
14,268,806 |
|
|
— |
|
|
— |
|
Credit default swaps |
|
— |
|
|
— |
|
|
(703 |
) |
|
125,000 |
|
Swaptions, net |
|
17,374 |
|
|
4,700,000 |
|
|
(4,831 |
) |
|
500,000 |
|
TBAs |
|
1,074 |
|
|
847,000 |
|
|
(1,324 |
) |
|
550,000 |
|
Put and call options for TBAs, net |
|
— |
|
|
— |
|
|
— |
|
|
— |
|
Constant maturity swaps |
|
— |
|
|
— |
|
|
— |
|
|
— |
|
Markit IOS total return swaps |
|
1,645 |
|
|
889,418 |
|
|
— |
|
|
— |
|
Forward purchase commitments |
|
77 |
|
|
98,736 |
|
|
(427 |
) |
|
187,384 |
|
Total |
|
$ |
271,509 |
|
|
$ |
21,735,997 |
|
|
$ |
(7,285 |
) |
|
$ |
1,362,384 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2014 |
(in thousands) |
|
Derivative Assets |
|
Derivative Liabilities |
Trading instruments |
|
Fair Value |
|
Notional |
|
Fair Value |
|
Notional |
Inverse interest-only securities |
|
$ |
188,592 |
|
|
$ |
1,168,226 |
|
|
$ |
— |
|
|
$ |
— |
|
Interest rate swap agreements |
|
55,471 |
|
|
9,569,000 |
|
|
(65,392 |
) |
|
9,015,000 |
|
Credit default swaps |
|
— |
|
|
— |
|
|
(1,672 |
) |
|
125,000 |
|
Swaptions, net |
|
121,591 |
|
|
9,550,000 |
|
|
(4,999 |
) |
|
2,860,000 |
|
TBAs |
|
10,350 |
|
|
875,000 |
|
|
(17,687 |
) |
|
2,200,000 |
|
Put and call options for TBAs, net |
|
90 |
|
|
2,000,000 |
|
|
— |
|
|
— |
|
Constant maturity swaps |
|
2,013 |
|
|
12,000,000 |
|
|
(483 |
) |
|
2,000,000 |
|
Markit IOS total return swaps |
|
1,387 |
|
|
598,459 |
|
|
— |
|
|
— |
|
Forward purchase commitments |
|
1,297 |
|
|
554,838 |
|
|
— |
|
|
— |
|
Total |
|
$ |
380,791 |
|
|
$ |
36,315,523 |
|
|
$ |
(90,233 |
) |
|
$ |
16,200,000 |
|
|
| 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 reported in the consolidated statements of comprehensive (loss) income on the Company’s derivative trading instruments:
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Trading Instruments |
|
Location of Gain (Loss) Recognized in Income on Derivatives |
|
Amount of Gain (Loss) Recognized in Income on Derivatives |
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|
|
Year Ended |
(in thousands) |
|
|
|
December 31, |
|
|
|
|
2015 |
|
2014 |
|
2013 |
Interest rate risk management |
|
|
|
|
|
|
|
|
TBAs (1)
|
|
(Loss) gain on other derivative instruments |
|
$ |
(39,748 |
) |
|
$ |
(69,921 |
) |
|
$ |
151,021 |
|
Short U.S. Treasuries (1)
|
|
(Loss) gain on other derivative instruments |
|
125 |
|
|
(8 |
) |
|
(991 |
) |
Put and call options for TBAs (1)
|
|
(Loss) gain on other derivative instruments |
|
6,846 |
|
|
(14,070 |
) |
|
7,798 |
|
Put and call options for U.S. Treasuries (1)
|
|
(Loss) gain on other derivative instruments |
|
(837 |
) |
|
— |
|
|
— |
|
Constant maturity swaps (1)
|
|
(Loss) gain on other derivative instruments |
|
6,164 |
|
|
6,340 |
|
|
(11,438 |
) |
Interest rate swap agreements - Receivers (1)
|
|
(Loss) gain on interest rate swap and swaption agreements |
|
52,785 |
|
|
201,536 |
|
|
(14,472 |
) |
Interest rate swap agreements - Payers (1)
|
|
(Loss) gain on interest rate swap and swaption agreements |
|
(69,495 |
) |
|
(114,121 |
) |
|
6,400 |
|
Swaptions (1)
|
|
(Loss) gain on interest rate swap and swaption agreements |
|
(63,797 |
) |
|
(242,795 |
) |
|
123,033 |
|
Markit IOS total return swaps (1)
|
|
(Loss) gain on other derivative instruments |
|
(13,371 |
) |
|
8,061 |
|
|
(1,087 |
) |
Interest rate swap agreements - Payers (2)
|
|
(Loss) gain on interest rate swap and swaption agreements |
|
(130,114 |
) |
|
(190,267 |
) |
|
130,268 |
|
Credit risk management |
|
|
|
|
|
|
|
|
Credit default swaps - Receive protection (3)
|
|
(Loss) gain on other derivative instruments |
|
(294 |
) |
|
1,742 |
|
|
(74,840 |
) |
Non-risk management |
|
|
|
|
|
|
|
|
TBAs |
|
(Loss) gain on other derivative instruments |
|
— |
|
|
(4,701 |
) |
|
38,297 |
|
Inverse interest-only securities |
|
(Loss) gain on other derivative instruments |
|
36,066 |
|
|
55,028 |
|
|
(13,415 |
) |
Forward purchase commitments |
|
Gain (loss) on residential mortgage loans held-for-sale |
|
(1,668 |
) |
|
4,729 |
|
|
(20,015 |
) |
Total |
|
|
|
$ |
(217,338 |
) |
|
$ |
(358,447 |
) |
|
$ |
320,559 |
|
____________________
|
|
(1) |
Includes derivative instruments held to mitigate interest rate risk associated with the Company’s investment portfolio. |
|
|
(2) |
Includes derivative instruments held to mitigate interest rate risk associated with the Company’s repurchase agreements and FHLB advances. |
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|
(3) |
Includes derivative instruments held to mitigate credit risk associated with the Company’s non-Agency RMBS and residential mortgage loans held-for-sale. |
|
| Schedule of Notional Amounts of Outstanding Derivative Positions [Table Text Block] |
The following tables present information with respect to the volume of activity in the Company’s derivative instruments during the years ended December 31, 2015 and 2014:
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|
Year Ended December 31, 2015 |
(in thousands) |
Beginning of Period Notional Amount |
|
Additions |
|
Settlement, Termination, Expiration or Exercise |
|
End of Period Notional Amount |
|
Average Notional Amount |
|
Realized Gain (Loss), net (1)
|
Inverse interest-only securities |
$ |
1,168,226 |
|
|
$ |
12,563 |
|
|
$ |
(248,752 |
) |
|
$ |
932,037 |
|
|
$ |
1,050,906 |
|
|
$ |
64 |
|
Interest rate swap agreements |
18,584,000 |
|
|
26,868,227 |
|
|
(31,183,421 |
) |
|
14,268,806 |
|
|
16,091,714 |
|
|
(126,870 |
) |
Credit default swaps |
125,000 |
|
|
— |
|
|
— |
|
|
125,000 |
|
|
125,000 |
|
|
— |
|
Swaptions, net |
12,410,000 |
|
|
8,550,000 |
|
|
(15,760,000 |
) |
|
5,200,000 |
|
|
9,780,027 |
|
|
(99,273 |
) |
TBAs, net |
(1,325,000 |
) |
|
(7,266,000 |
) |
|
8,888,000 |
|
|
297,000 |
|
|
(773,381 |
) |
|
(46,835 |
) |
Short U.S. Treasuries |
— |
|
|
(50,000 |
) |
|
50,000 |
|
|
— |
|
|
— |
|
|
125 |
|
Put and call options for TBAs, net |
2,000,000 |
|
|
1,250,000 |
|
|
(3,250,000 |
) |
|
— |
|
|
(120,548 |
) |
|
6,331 |
|
Put and call options for U.S. Treasuries, net |
— |
|
|
500,000 |
|
|
(500,000 |
) |
|
— |
|
|
685 |
|
|
(837 |
) |
Constant maturity swaps |
14,000,000 |
|
|
6,000,000 |
|
|
(20,000,000 |
) |
|
— |
|
|
2,257,534 |
|
|
7,694 |
|
Markit IOS total return swaps |
598,459 |
|
|
1,626,514 |
|
|
(1,335,555 |
) |
|
889,418 |
|
|
950,206 |
|
|
(11,296 |
) |
Forward purchase commitments |
554,838 |
|
|
3,512,843 |
|
|
(3,781,561 |
) |
|
286,120 |
|
|
563,108 |
|
|
(21 |
) |
Total |
$ |
48,115,523 |
|
|
$ |
41,004,147 |
|
|
$ |
(67,121,289 |
) |
|
$ |
21,998,381 |
|
|
$ |
29,925,251 |
|
|
$ |
(270,918 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended December 31, 2014 |
(in thousands) |
Beginning of Period Notional Amount |
|
Additions |
|
Settlement, Termination, Expiration or Exercise |
|
End of Period Notional Amount |
|
Average Notional Amount |
|
Realized Gain (Loss), net (1)
|
Inverse interest-only securities |
$ |
1,525,845 |
|
|
$ |
29,372 |
|
|
$ |
(386,991 |
) |
|
$ |
1,168,226 |
|
|
$ |
1,324,581 |
|
|
$ |
414 |
|
Interest rate swap agreements |
19,619,000 |
|
|
24,215,598 |
|
|
(25,250,598 |
) |
|
18,584,000 |
|
|
23,329,504 |
|
|
(803 |
) |
Credit default swaps |
427,073 |
|
|
— |
|
|
(302,073 |
) |
|
125,000 |
|
|
138,418 |
|
|
(13,705 |
) |
Swaptions, net |
5,130,000 |
|
|
15,860,000 |
|
|
(8,580,000 |
) |
|
12,410,000 |
|
|
9,460,438 |
|
|
(54,586 |
) |
TBAs, net |
603,000 |
|
|
(10,882,000 |
) |
|
8,954,000 |
|
|
(1,325,000 |
) |
|
827,140 |
|
|
(33,985 |
) |
Short U.S. Treasuries |
— |
|
|
(125,000 |
) |
|
125,000 |
|
|
— |
|
|
342 |
|
|
2 |
|
Put and call options for TBAs, net |
— |
|
|
5,500,000 |
|
|
(3,500,000 |
) |
|
2,000,000 |
|
|
772,603 |
|
|
(13,555 |
) |
Put and call options for U.S. Treasuries, net |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
Constant maturity swaps |
10,000,000 |
|
|
46,000,000 |
|
|
(42,000,000 |
) |
|
14,000,000 |
|
|
11,715,068 |
|
|
1,037 |
|
Markit IOS total return swaps |
49,629 |
|
|
586,550 |
|
|
(37,720 |
) |
|
598,459 |
|
|
437,604 |
|
|
— |
|
Forward purchase commitments |
12,063 |
|
|
2,753,280 |
|
|
(2,210,505 |
) |
|
554,838 |
|
|
361,326 |
|
|
3,431 |
|
Total |
$ |
37,366,610 |
|
|
$ |
83,937,800 |
|
|
$ |
(73,188,887 |
) |
|
$ |
48,115,523 |
|
|
$ |
48,367,024 |
|
|
$ |
(111,750 |
) |
____________________
|
|
(1) |
Excludes net interest paid or received in full settlement of the net interest spread liability. |
|
| Schedule of TBA Positions [Table Text Block] |
The following tables present the notional amount, cost basis, market value and carrying value (which approximates fair value) of the Company’s TBA positions as of December 31, 2015 and December 31, 2014:
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As of December 31, 2015 |
|
|
|
|
|
|
|
Net Carrying Value (4)
|
(in thousands) |
Notional Amount (1)
|
|
Cost Basis (2)
|
|
Market Value (3)
|
|
Derivative Assets |
|
Derivative Liabilities |
Purchase contracts |
$ |
847,000 |
|
|
$ |
858,572 |
|
|
$ |
859,646 |
|
|
$ |
1,074 |
|
|
$ |
— |
|
Sale contracts |
(550,000 |
) |
|
(568,813 |
) |
|
(570,137 |
) |
|
— |
|
|
(1,324 |
) |
TBAs, net |
$ |
297,000 |
|
|
$ |
289,759 |
|
|
$ |
289,509 |
|
|
$ |
1,074 |
|
|
$ |
(1,324 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As of December 31, 2014 |
|
|
|
|
|
|
|
Net Carrying Value (4)
|
(in thousands) |
Notional Amount (1)
|
|
Cost Basis (2)
|
|
Market Value (3)
|
|
Derivative Assets |
|
Derivative Liabilities |
Purchase contracts |
$ |
875,000 |
|
|
$ |
862,868 |
|
|
$ |
873,218 |
|
|
$ |
10,350 |
|
|
$ |
— |
|
Sale contracts |
(2,200,000 |
) |
|
(2,294,813 |
) |
|
(2,312,500 |
) |
|
— |
|
|
(17,687 |
) |
TBAs, net |
$ |
(1,325,000 |
) |
|
$ |
(1,431,945 |
) |
|
$ |
(1,439,282 |
) |
|
$ |
10,350 |
|
|
$ |
(17,687 |
) |
___________________
|
|
(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 current 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, 2014:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(notional and dollars in thousands) |
|
|
|
|
|
|
|
|
December 31, 2014 |
Determination Date |
|
Average Strike Swap Rate |
|
Notional Amount |
|
Fair Value |
|
Upfront Premium Paid |
|
Unrealized Gain (Loss) |
January 2015 |
|
0.538 |
% |
|
$ |
7,000,000 |
|
|
$ |
1,502 |
|
|
$ |
— |
|
|
$ |
1,502 |
|
February 2015 |
|
0.572 |
% |
|
2,000,000 |
|
|
(13 |
) |
|
— |
|
|
(13 |
) |
March 2015 |
|
0.552 |
% |
|
5,000,000 |
|
|
41 |
|
|
— |
|
|
41 |
|
Total |
|
0.548 |
% |
|
$ |
14,000,000 |
|
|
$ |
1,530 |
|
|
$ |
— |
|
|
$ |
1,530 |
|
|
| Schedule of Interest Rate Swap Payers Associated with the Investment Portfolio [Table Text Block] |
As of December 31, 2015 and December 31, 2014, the Company held the following interest rate swaps in order to mitigate mortgage interest rate exposure (or duration) risk associated with the Company’s investment portfolio whereby the Company receives interest at a 3-month LIBOR rate:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(notional in thousands) |
|
|
|
|
|
|
December 31, 2015 |
Swaps Maturities |
|
Notional Amounts |
|
Average Fixed Pay Rate |
|
Average Receive Rate |
|
Average Maturity (Years) |
2018 |
|
$ |
2,040,000 |
|
|
1.563 |
% |
|
0.487 |
% |
|
2.94 |
|
2020 and Thereafter |
|
1,210,000 |
|
|
2.164 |
% |
|
0.531 |
% |
|
5.08 |
|
Total |
|
$ |
3,250,000 |
|
|
1.787 |
% |
|
0.503 |
% |
|
3.74 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(notional in thousands) |
|
|
|
|
|
|
December 31, 2014 |
Swaps Maturities |
|
Notional Amounts |
|
Average Fixed Pay Rate |
|
Average Receive Rate |
|
Average Maturity (Years) |
2017 |
|
$ |
2,000,000 |
|
|
1.070 |
% |
|
0.229 |
% |
|
2.54 |
|
2018 |
|
2,040,000 |
|
|
1.563 |
% |
|
0.238 |
% |
|
3.94 |
|
2019 and Thereafter |
|
900,000 |
|
|
2.378 |
% |
|
0.255 |
% |
|
6.24 |
|
Total |
|
$ |
4,940,000 |
|
|
1.512 |
% |
|
0.237 |
% |
|
3.80 |
|
|
| Schedule of Interest Rate Swap Receivers Associated with the Investment Portfolio [Table Text Block] |
Additionally, as of December 31, 2015 and December 31, 2014, the Company held the following interest rate swaps in order to mitigate mortgage interest rate exposure (or duration) risk associated with the Company’s investment portfolio whereby the Company pays interest at a 3-month LIBOR rate:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(notional in thousands) |
|
|
|
|
|
|
December 31, 2015 |
Swaps Maturities |
|
Notional Amounts |
|
Average Pay Rate |
|
Average Fixed Receive Rate |
|
Average Maturity (Years) |
2018 |
|
$ |
575,000 |
|
|
0.329 |
% |
|
1.440 |
% |
|
2.89 |
|
2020 and Thereafter |
|
2,589,000 |
|
|
0.453 |
% |
|
2.301 |
% |
|
7.00 |
|
Total |
|
$ |
3,164,000 |
|
|
0.431 |
% |
|
2.145 |
% |
|
6.26 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(notional in thousands) |
|
|
|
|
|
|
December 31, 2014 |
Swaps Maturities |
|
Notional Amounts |
|
Average Pay Rate |
|
Average Fixed Receive Rate |
|
Average Maturity (Years) |
2018 |
|
$ |
575,000 |
|
|
0.231 |
% |
|
1.440 |
% |
|
3.89 |
|
2019 and Thereafter |
|
1,579,000 |
|
|
0.239 |
% |
|
2.794 |
% |
|
9.19 |
|
Total |
|
$ |
2,154,000 |
|
|
0.237 |
% |
|
2.433 |
% |
|
7.77 |
|
|
| Schedule of Interest Rate Swaps Associated with Borrowings [Table Text Block] |
As of December 31, 2015 and December 31, 2014, the Company had the following outstanding interest rate swaps that were utilized as economic hedges of interest rate exposure (or duration) risk associated with the Company’s short-term repurchase agreements and FHLB advances:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(notional in thousands) |
|
|
|
|
|
|
December 31, 2015 |
Swaps Maturities |
|
Notional Amounts |
|
Average Fixed Pay Rate |
|
Average Receive Rate |
|
Average Maturity (Years) |
2016 |
|
$ |
1,700,000 |
|
|
0.462 |
% |
|
0.481 |
% |
|
0.73 |
|
2017 |
|
2,375,000 |
|
|
0.765 |
% |
|
0.510 |
% |
|
1.59 |
|
2018 |
|
800,000 |
|
|
0.944 |
% |
|
0.384 |
% |
|
2.14 |
|
2019 |
|
350,000 |
|
|
1.283 |
% |
|
0.340 |
% |
|
3.44 |
|
2020 and Thereafter |
|
2,629,806 |
|
|
1.821 |
% |
|
0.371 |
% |
|
8.04 |
|
Total |
|
$ |
7,854,806 |
|
|
1.094 |
% |
|
0.437 |
% |
|
3.71 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(notional in thousands) |
|
|
|
|
|
|
December 31, 2014 |
Swaps Maturities |
|
Notional Amount |
|
Average Fixed Pay Rate |
|
Average Receive Rate |
|
Average Maturity (Years) |
2016 |
|
$ |
4,100,000 |
|
|
0.667 |
% |
|
0.249 |
% |
|
1.65 |
|
2017 |
|
5,285,000 |
|
|
1.063 |
% |
|
0.248 |
% |
|
2.55 |
|
2018 |
|
625,000 |
|
|
0.945 |
% |
|
0.233 |
% |
|
3.08 |
|
2019 and Thereafter |
|
1,480,000 |
|
|
2.408 |
% |
|
0.235 |
% |
|
7.70 |
|
Total |
|
$ |
11,490,000 |
|
|
1.089 |
% |
|
0.246 |
% |
|
2.92 |
|
|
| Schedule of Interest Rate Swaptions [Table Text Block] |
As of December 31, 2015 and December 31, 2014, 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, 2015 |
(notional and dollars in thousands) |
|
Option |
|
Underlying Swap |
Swaption |
|
Expiration |
|
Cost |
|
Fair Value |
|
Average Months to Expiration |
|
Notional Amount |
|
Average Pay Rate |
|
Average Receive Rate |
|
Average Term (Years) |
Purchase contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Payer |
|
< 6 Months |
|
$ |
375 |
|
|
$ |
174 |
|
|
0.75 |
|
$ |
2,000,000 |
|
|
2.23 |
% |
|
3M Libor |
|
6.3 |
|
Payer |
|
≥ 6 Months |
|
126,273 |
|
|
19,150 |
|
|
39.17 |
|
4,500,000 |
|
|
3.69 |
% |
|
3M Libor |
|
5.8 |
|
Total Payer |
|
|
|
$ |
126,648 |
|
|
$ |
19,324 |
|
|
38.51 |
|
$ |
6,500,000 |
|
|
3.24 |
% |
|
3M Libor |
|
5.9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sale contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Payer |
|
≥ 6 Months |
|
$ |
(81,248 |
) |
|
$ |
(6,738 |
) |
|
18.01 |
|
$ |
(800,000 |
) |
|
3.44 |
% |
|
3M Libor |
|
10.0 |
|
Total Payer |
|
|
|
$ |
(81,248 |
) |
|
$ |
(6,738 |
) |
|
18.01 |
|
$ |
(800,000 |
) |
|
3.44 |
% |
|
3M Libor |
|
10.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Receiver |
|
< 6 Months |
|
$ |
(100 |
) |
|
$ |
(43 |
) |
|
0.73 |
|
$ |
(500,000 |
) |
|
3M Libor |
|
1.75 |
% |
|
10.0 |
|
Total Receiver |
|
|
|
$ |
(100 |
) |
|
$ |
(43 |
) |
|
0.73 |
|
$ |
(500,000 |
) |
|
3M Libor |
|
1.75 |
% |
|
10.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2014 |
(notional and dollars in thousands) |
|
Option |
|
Underlying Swap |
Swaption |
|
Expiration |
|
Cost |
|
Fair Value |
|
Average Months to Expiration |
|
Notional Amount |
|
Average Pay Rate |
|
Average Receive Rate |
|
Average Term (Years) |
Purchase contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Payer |
|
≥ 6 Months |
|
$ |
255,358 |
|
|
$ |
130,120 |
|
|
56.62 |
|
$ |
8,210,000 |
|
|
4.12 |
% |
|
3M Libor |
|
7.4 |
|
Total Payer |
|
|
|
$ |
255,358 |
|
|
$ |
130,120 |
|
|
56.62 |
|
$ |
8,210,000 |
|
|
4.12 |
% |
|
3M Libor |
|
7.4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Receiver |
|
< 6 Months |
|
$ |
10,715 |
|
|
$ |
6,462 |
|
|
3.38 |
|
$ |
5,000,000 |
|
|
3M Libor |
|
1.35 |
% |
|
5.0 |
|
Total Receiver |
|
|
|
$ |
10,715 |
|
|
$ |
6,462 |
|
|
3.38 |
|
$ |
5,000,000 |
|
|
3M Libor |
|
1.35 |
% |
|
5.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sale contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Payer |
|
≥ 6 Months |
|
$ |
(81,248 |
) |
|
$ |
(19,990 |
) |
|
30.02 |
|
$ |
(800,000 |
) |
|
3.44 |
% |
|
3M Libor |
|
10.0 |
|
Total Payer |
|
|
|
$ |
(81,248 |
) |
|
$ |
(19,990 |
) |
|
30.02 |
|
$ |
(800,000 |
) |
|
3.44 |
% |
|
3M Libor |
|
10.0 |
|
|
| Schedule of Total Return Swaps [Table Text Block] |
The Company had the following total return swap agreements in place at December 31, 2015 and December 31, 2014:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(notional and dollars in thousands) |
|
|
|
|
|
December 31, 2015 |
Maturity Date |
|
Current Notional Amount |
|
Fair Value |
|
Upfront Payable |
|
Unrealized Gain (Loss) |
January 12, 2043 |
|
$ |
(369,639 |
) |
|
$ |
456 |
|
|
$ |
(866 |
) |
|
$ |
(410 |
) |
January 12, 2044 |
|
(325,003 |
) |
|
350 |
|
|
(1,679 |
) |
|
(1,329 |
) |
January 12, 2045 |
|
(194,776 |
) |
|
839 |
|
|
1,162 |
|
|
2,001 |
|
Total |
|
$ |
(889,418 |
) |
|
$ |
1,645 |
|
|
$ |
(1,383 |
) |
|
$ |
262 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(notional and dollars in thousands) |
|
|
|
|
|
December 31, 2014 |
Maturity Date |
|
Current Notional Amount |
|
Fair Value |
|
Upfront Payable |
|
Unrealized Gain (Loss) |
January 12, 2043 |
|
$ |
(411,281 |
) |
|
$ |
763 |
|
|
$ |
(1,457 |
) |
|
$ |
(694 |
) |
January 12, 2044 |
|
(187,178 |
) |
|
624 |
|
|
(275 |
) |
|
349 |
|
Total |
|
$ |
(598,459 |
) |
|
$ |
1,387 |
|
|
$ |
(1,732 |
) |
|
$ |
(345 |
) |
|
| Schedule of Credit Default Swaps, Receive Protection [Table Text Block] |
The following tables present credit default swaps whereby the Company is receiving protection held as of December 31, 2015 and December 31, 2014:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(notional and dollars in thousands) |
|
|
|
|
|
|
|
|
December 31, 2015 |
Protection |
|
Maturity Date |
|
Average Implied Credit Spread |
|
Current Notional Amount |
|
Fair Value |
|
Upfront Payable |
|
Unrealized Gain (Loss) |
Receive |
|
June 20, 2016 |
|
105.50 |
|
|
$ |
(100,000 |
) |
|
$ |
(502 |
) |
|
$ |
(260 |
) |
|
$ |
(762 |
) |
|
|
December 20, 2016 |
|
496.00 |
|
|
(25,000 |
) |
|
(201 |
) |
|
(4,062 |
) |
|
(4,263 |
) |
|
|
Total |
|
183.60 |
|
|
$ |
(125,000 |
) |
|
$ |
(703 |
) |
|
$ |
(4,322 |
) |
|
$ |
(5,025 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(notional and dollars in thousands) |
|
|
|
|
|
|
|
|
December 31, 2014 |
Protection |
|
Maturity Date |
|
Average Implied Credit Spread |
|
Current Notional Amount |
|
Fair Value |
|
Upfront Payable |
|
Unrealized Gain (Loss) |
Receive |
|
June 20, 2016 |
|
105.50 |
|
|
$ |
(100,000 |
) |
|
$ |
(1,350 |
) |
|
$ |
(260 |
) |
|
$ |
(1,610 |
) |
|
|
December 20, 2016 |
|
496.00 |
|
|
(25,000 |
) |
|
(322 |
) |
|
(4,062 |
) |
|
(4,384 |
) |
|
|
Total |
|
183.60 |
|
|
$ |
(125,000 |
) |
|
$ |
(1,672 |
) |
|
$ |
(4,322 |
) |
|
$ |
(5,994 |
) |
|
| 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, 2015 and December 31, 2014:
|
|
|
|
|
|
|
|
|
(in thousands) |
December 31,
2015 |
|
December 31,
2014 |
Face Value |
$ |
932,037 |
|
|
$ |
1,168,226 |
|
Unamortized premium |
— |
|
|
— |
|
Unamortized discount |
|
|
|
Designated credit reserve |
— |
|
|
— |
|
Net, unamortized |
(792,178 |
) |
|
(991,715 |
) |
Amortized Cost |
139,859 |
|
|
176,511 |
|
Gross unrealized gains |
19,655 |
|
|
14,162 |
|
Gross unrealized losses |
(1,608 |
) |
|
(4,269 |
) |
Carrying Value |
$ |
157,906 |
|
|
$ |
186,404 |
|
|