|
Derivative Instruments and Hedging Activities (Tables)
|
3 Months Ended |
|
Mar. 31, 2014
|
| 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 March 31, 2014 and December 31, 2013.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(in thousands) |
|
March 31, 2014 |
|
|
Derivative Assets |
|
Derivative Liabilities |
Trading instruments |
|
Fair Value |
|
Notional |
|
Fair Value |
|
Notional |
Inverse interest-only securities |
|
$ |
212,984 |
|
|
$ |
1,412,374 |
|
|
$ |
— |
|
|
$ |
— |
|
Interest rate swap agreements |
|
40,310 |
|
|
21,663,148 |
|
|
— |
|
|
— |
|
Credit default swaps |
|
— |
|
|
— |
|
|
(2,395 |
) |
|
125,000 |
|
Swaptions |
|
164,296 |
|
|
9,500,000 |
|
|
— |
|
|
— |
|
TBAs |
|
4,331 |
|
|
1,100,000 |
|
|
(5,487 |
) |
|
2,372,000 |
|
Put and call options for TBAs |
|
3,627 |
|
|
1,500,000 |
|
|
— |
|
|
— |
|
Constant maturity swaps |
|
3,871 |
|
|
10,000,000 |
|
|
— |
|
|
— |
|
Total return swaps |
|
— |
|
|
— |
|
|
(126 |
) |
|
243,987 |
|
Forward purchase commitment |
|
— |
|
|
— |
|
|
(387 |
) |
|
153,637 |
|
Total |
|
$ |
429,419 |
|
|
$ |
45,175,522 |
|
|
$ |
(8,395 |
) |
|
$ |
2,894,624 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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 |
|
— |
|
|
— |
|
|
(18,049 |
) |
|
427,073 |
|
Swaptions |
|
269,745 |
|
|
5,130,000 |
|
|
— |
|
|
— |
|
TBAs |
|
33,425 |
|
|
4,097,000 |
|
|
(125 |
) |
|
400,000 |
|
Constant maturity swaps |
|
— |
|
|
— |
|
|
(3,773 |
) |
|
10,000,000 |
|
Total return swaps |
|
— |
|
|
— |
|
|
(134 |
) |
|
49,629 |
|
Forward purchase commitment |
|
— |
|
|
12,063 |
|
|
— |
|
|
— |
|
Total |
|
$ |
549,859 |
|
|
$ |
30,383,908 |
|
|
$ |
(22,081 |
) |
|
$ |
10,876,702 |
|
|
| 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 three months ended March 31, 2014.
|
|
|
|
|
|
|
|
|
|
(in thousands) |
|
Three Months Ended March 31, 2014 |
Trading instruments |
|
Derivative Assets |
|
Derivative Liabilities |
Inverse interest-only securities |
|
$ |
1,470,667 |
|
|
$ |
— |
|
Interest rate swap agreements |
|
19,156,878 |
|
|
— |
|
Credit default swaps |
|
— |
|
|
179,418 |
|
Swaptions |
|
8,979,111 |
|
|
— |
|
TBAs |
|
1,289,500 |
|
|
1,815,944 |
|
Put and call options for TBAs |
|
255,556 |
|
|
— |
|
Constant maturity swaps |
|
10,000,000 |
|
|
— |
|
Total return swaps |
|
— |
|
|
153,910 |
|
Forward purchase commitment |
|
— |
|
|
38,913 |
|
|
| 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 condensed 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 |
|
|
|
|
Three Months Ended March 31, |
|
|
|
|
2014 |
|
2013 |
Interest rate risk management |
|
|
|
|
|
|
TBAs (1)
|
|
Gain (loss) on other derivative instruments |
|
$ |
(17,903 |
) |
|
$ |
(12,652 |
) |
Put and call options for TBAs (1)
|
|
Gain (loss) on other derivative instruments |
|
(1,705 |
) |
|
— |
|
Constant maturity swaps (1)
|
|
Gain (loss) on other derivative instruments |
|
11,531 |
|
|
— |
|
Interest rate swap agreements - Receivers (1)
|
|
(Loss) gain on interest rate swap and swaption agreements |
|
16,566 |
|
|
— |
|
Interest rate swap agreements - Payers (1)
|
|
(Loss) gain on interest rate swap and swaption agreements |
|
(6,776 |
) |
|
— |
|
Total return swaps (2)
|
|
Gain (loss) on other derivative instruments |
|
(1,725 |
) |
|
— |
|
Interest rate swap agreements - Receivers (2)
|
|
(Loss) gain on interest rate swap and swaption agreements |
|
24,413 |
|
|
— |
|
Interest rate swap agreements - Payers (2)
|
|
(Loss) gain on interest rate swap and swaption agreements |
|
(6,644 |
) |
|
(89 |
) |
Interest rate swap agreements - Payers (3)
|
|
(Loss) gain on interest rate swap and swaption agreements |
|
(20,529 |
) |
|
1,090 |
|
Swaptions (3)
|
|
(Loss) gain on interest rate swap and swaption agreements |
|
(112,558 |
) |
|
17,971 |
|
Credit risk management |
|
|
|
|
|
|
Credit default swaps - Receive protection (4)
|
|
Gain (loss) on other derivative instruments |
|
1,981 |
|
|
(5,643 |
) |
Non-risk management |
|
|
|
|
|
|
TBAs |
|
Gain (loss) on other derivative instruments |
|
(4,701 |
) |
|
403 |
|
Inverse interest-only securities |
|
Gain (loss) on other derivative instruments |
|
18,323 |
|
|
1,230 |
|
Forward purchase commitments |
|
(Loss) gain on mortgage loans held-for-sale |
|
(417 |
) |
|
287 |
|
Total |
|
|
|
$ |
(100,144 |
) |
|
$ |
2,597 |
|
____________________
|
|
(1) |
Includes derivative instruments held to mitigate interest rate risk associated with the Company’s AFS securities, mortgage loans held-for-sale and forward purchase commitments. |
|
|
(2) |
Includes derivative instruments held to mitigate interest rate risk associated with the Company’s U.S. Treasuries, TBAs and MSR. |
|
|
(3) |
Includes derivative instruments held to mitigate interest rate risk associated with the Company’s repurchase agreements and FHLB advances. |
|
|
(4) |
Includes derivative instruments held to mitigate credit risk associated with the Company’s non-Agency RMBS and mortgage loans held-for-sale. |
|
| 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 March 31, 2014 and December 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As of March 31, 2014 |
|
|
|
|
|
|
|
Net Carrying Value (4)
|
(in thousands) |
Notional Amount (1)
|
|
Cost Basis (2)
|
|
Market Value (3)
|
|
Derivative Assets |
|
Derivative Liabilities |
Purchase contracts |
$ |
1,225,000 |
|
|
$ |
1,183,028 |
|
|
$ |
1,186,866 |
|
|
$ |
4,331 |
|
|
$ |
(493 |
) |
Sale contracts |
(2,247,000 |
) |
|
(2,269,600 |
) |
|
(2,274,594 |
) |
|
— |
|
|
(4,994 |
) |
TBAs, net |
$ |
(1,022,000 |
) |
|
$ |
(1,086,572 |
) |
|
$ |
(1,087,728 |
) |
|
$ |
4,331 |
|
|
$ |
(5,487 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
) |
___________________
|
|
(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 condensed consolidated balance sheets. |
|
| Schedule of Constant Maturity Swaps [Table Text Block] |
The Company had the following constant maturity swap agreements in place at March 31, 2014 and December 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(notional and dollars in thousands) |
|
|
|
|
|
|
|
|
March 31, 2014 |
Determination Date |
|
Average Strike Swap Rate |
|
Notional Amount |
|
Fair Value |
|
Upfront Premium Paid |
|
Unrealized Gain/(Loss) |
May 2014 |
|
0.670 |
% |
|
3,000,000 |
|
|
872 |
|
|
— |
|
|
872 |
|
June 2014 |
|
0.846 |
% |
|
5,000,000 |
|
|
2,167 |
|
|
— |
|
|
2,167 |
|
September 2014 |
|
0.847 |
% |
|
2,000,000 |
|
|
832 |
|
|
— |
|
|
832 |
|
Total |
|
0.793 |
% |
|
$ |
10,000,000 |
|
|
$ |
3,871 |
|
|
$ |
— |
|
|
$ |
3,871 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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 March 31, 2014 and 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 AFS securities whereby the Company receives interest at a three-month LIBOR rate:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(notional in thousands) |
|
|
|
|
|
|
March 31, 2014 |
Swaps Maturities |
|
Notional Amounts |
|
Average Fixed Pay Rate |
|
Average Receive Rate |
|
Average Maturity (Years) |
2018 and Thereafter |
|
$ |
1,920,000 |
|
|
1.946 |
% |
|
0.235 |
% |
|
5.77 |
|
Total |
|
$ |
1,920,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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 March 31, 2014 and 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 AFS securities whereby the Company pays interest at a three-month LIBOR rate:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(notional in thousands) |
|
|
|
|
|
|
March 31, 2014 |
Swaps Maturities |
|
Notional Amounts |
|
Average Pay Rate |
|
Average Fixed Receive Rate |
|
Average Maturity (Years) |
2018 and Thereafter |
|
$ |
1,494,148 |
|
|
0.235 |
% |
|
2.463 |
% |
|
7.83 |
|
Total |
|
$ |
1,494,148 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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 March 31, 2014 and December 31, 2013, the Company held $1.0 billion and $1.0 billion, respectively, 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) |
|
|
|
|
|
|
March 31, 2014 |
Swaps Maturities |
|
Notional Amount |
|
Average Fixed Pay Rate |
|
Average Receive Rate |
|
Average Maturity (Years) |
2016 |
|
$ |
1,000,000 |
|
|
0.955 |
% |
|
0.233 |
% |
|
2.42 |
|
Total |
|
$ |
1,000,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(notional in thousands) |
|
|
|
|
|
|
December 31, 2013 |
Swaps Maturities |
|
Notional Amount |
|
Average Fixed Pay Rate |
|
Average Receive Rate |
|
Average Maturity (Years) |
2016 |
|
$ |
1,000,000 |
|
|
0.955 |
% |
|
0.239 |
% |
|
2.67 |
|
Total |
|
$ |
1,000,000 |
|
|
|
|
|
|
|
|
| Schedule of Interest Rate Swap Payers Associated with TBA Contracts and MSRs [Table Text Block] |
As of March 31, 2014, the Company held the following interest rate swaps entered in combination with TBA contracts and/or MSR to economically hedge mortgage basis widening and duration whereby the Company receives interest at a three-month LIBOR rate:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(notional in thousands) |
|
|
|
|
|
|
March 31, 2014 |
Swaps Maturities |
|
Notional Amount |
|
Average Fixed Pay Rate |
|
Average Receive Rate |
|
Average Maturity (Years) |
2018 |
|
$ |
1,020,000 |
|
|
1.560 |
% |
|
0.235 |
% |
|
4.69 |
|
Total |
|
$ |
1,020,000 |
|
|
|
|
|
|
|
The Company did not hold any interest rate swaps in connection with TBA contracts and/or MSR whereby the Company receives interest at a three-month LIBOR rate at December 31, 2013.
|
| Schedule of Interest Rate Swap Receivers Associated with TBA Contracts and MSRs [Table Text Block] |
As of March 31, 2014 and December 31, 2013, the Company held the following interest rate swaps entered in combination with TBA contracts and/or MSR to economically hedge mortgage basis widening and duration whereby the Company pays interest at a three-month LIBOR rate:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(notional in thousands) |
|
|
|
|
|
|
March 31, 2014 |
Swaps Maturities |
|
Notional Amount |
|
Average Pay Rate |
|
Average Fixed Receive Rate |
|
Average Maturity (Years) |
2018 and Thereafter |
|
1,604,000 |
|
|
0.235 |
% |
|
2.134 |
% |
|
6.87 |
|
Total |
|
$ |
1,604,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(notional in thousands) |
|
|
|
|
|
|
December 31, 2013 |
Swaps Maturities |
|
Notional Amount |
|
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 |
|
|
|
|
|
|
|
|
| Schedule of Interest Rate Swaps Associated with Repurchase Agreements [Table Text Block] |
As of March 31, 2014 and December 31, 2013, 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) |
|
|
|
|
|
|
March 31, 2014 |
Swaps Maturities |
|
Notional Amount |
|
Average Fixed Pay Rate |
|
Average Receive Rate |
|
Average Maturity (Years) |
2014 |
|
$ |
3,000,000 |
|
|
0.295 |
% |
|
0.234 |
% |
|
0.73 |
|
2015 |
|
1,000,000 |
|
|
0.383 |
% |
|
0.237 |
% |
|
0.79 |
|
2016 |
|
2,950,000 |
|
|
0.626 |
% |
|
0.238 |
% |
|
2.17 |
|
2017 |
|
6,300,000 |
|
|
0.936 |
% |
|
0.236 |
% |
|
3.20 |
|
2018 and Thereafter |
|
1,375,000 |
|
|
1.424 |
% |
|
0.235 |
% |
|
4.80 |
|
Total |
|
$ |
14,625,000 |
|
|
0.750 |
% |
|
0.236 |
% |
|
2.47 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(notional in thousands) |
|
|
|
|
|
|
December 31, 2013 |
Swaps Maturities |
|
Notional Amount |
|
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 |
|
|
| Schedule of Interest Rate Swaptions [Table Text Block] |
As of March 31, 2014 and December 31, 2013, 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:
|
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|
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|
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|
|
|
|
|
March 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 |
|
$ |
9,090 |
|
|
$ |
1,325 |
|
|
2.29 |
|
$ |
800,000 |
|
|
3.56 |
% |
|
3M Libor |
|
10.0 |
|
Payer |
|
≥ 6 Months |
|
223,504 |
|
|
219,922 |
|
|
36.49 |
|
6,000,000 |
|
|
4.27 |
% |
|
3M Libor |
|
9.0 |
|
Total Payer |
|
|
|
$ |
232,594 |
|
|
$ |
221,247 |
|
|
36.19 |
|
$ |
6,800,000 |
|
|
4.19 |
% |
|
3M Libor |
|
9.1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Receiver |
|
< 6 Months |
|
$ |
6,038 |
|
|
$ |
3,939 |
|
|
3.23 |
|
$ |
2,000,000 |
|
|
3M Libor |
|
1.68 |
% |
|
5.0 |
|
Receiver |
|
≥ 6 Months |
|
900 |
|
|
522 |
|
|
9.30 |
|
2,000,000 |
|
|
3M Libor |
|
1.08 |
% |
|
5.0 |
|
Total Receiver |
|
|
|
$ |
6,938 |
|
|
$ |
4,461 |
|
|
4.51 |
|
$ |
4,000,000 |
|
|
3M Libor |
|
1.38 |
% |
|
5.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sale contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Payer |
|
≥ 6 Months |
|
(81,248 |
) |
|
(58,645 |
) |
|
39.02 |
|
(800,000 |
) |
|
3.44 |
% |
|
3M Libor |
|
10.0 |
|
Total Payer |
|
|
|
$ |
(81,248 |
) |
|
$ |
(58,645 |
) |
|
39.02 |
|
$ |
(800,000 |
) |
|
3.44 |
% |
|
3M Libor |
|
10.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Receiver |
|
< 6 Months |
|
$ |
(2,625 |
) |
|
$ |
(2,767 |
) |
|
2.30 |
|
$ |
(500,000 |
) |
|
3M Libor |
|
3.20 |
% |
|
10.0 |
|
Total Receiver |
|
|
|
$ |
(2,625 |
) |
|
$ |
(2,767 |
) |
|
2.30 |
|
$ |
(500,000 |
) |
|
3M Libor |
|
3.20 |
% |
|
10.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
| 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 March 31, 2014 and December 31, 2013:
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(notional and dollars in thousands) |
|
|
|
|
|
|
|
|
March 31, 2014 |
Protection |
Maturity Date |
|
Average Implied Credit Spread |
|
Current Notional Amount |
|
Fair Value |
|
Upfront (Payable)/Receivable |
|
Unrealized Gain/(Loss) |
Receive |
6/20/2016 |
|
105.50 |
|
|
(100,000 |
) |
|
(2,045 |
) |
|
(260 |
) |
|
(2,305 |
) |
|
12/20/2016 |
|
496.00 |
|
|
(25,000 |
) |
|
(350 |
) |
|
(4,062 |
) |
|
(4,412 |
) |
|
Total |
|
183.60 |
|
|
$ |
(125,000 |
) |
|
$ |
(2,395 |
) |
|
$ |
(4,322 |
) |
|
$ |
(6,717 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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 |
) |
|
5/25/2046 |
|
356.00 |
|
|
(32,073 |
) |
|
8,069 |
|
|
(15,026 |
) |
|
(6,957 |
) |
|
Total |
|
329.13 |
|
|
$ |
(427,073 |
) |
|
$ |
(18,049 |
) |
|
$ |
(6,510 |
) |
|
$ |
(24,559 |
) |
|
| Schedule of Inverse Interest-Only Securities Reconciliation [Table Text Block] |
he following table presents the amortized cost and carrying value (which approximates fair value) of inverse interest-only securities as of March 31, 2014 and December 31, 2013:
|
|
|
|
|
|
|
|
|
(in thousands) |
March 31,
2014 |
|
December 31,
2013 |
Face Value |
$ |
1,412,374 |
|
|
$ |
1,525,845 |
|
Unamortized premium |
— |
|
|
— |
|
Unamortized discount |
|
|
|
Designated credit reserve |
— |
|
|
— |
|
Net, unamortized |
(1,198,616 |
) |
|
(1,292,785 |
) |
Amortized Cost |
213,758 |
|
|
233,060 |
|
Gross unrealized gains |
9,014 |
|
|
5,891 |
|
Gross unrealized losses |
(12,441 |
) |
|
(20,442 |
) |
Carrying Value |
$ |
210,331 |
|
|
$ |
218,509 |
|
|
| Schedule of Total Return Swaps [Table Text Block] |
The Company had the following total return swap agreements in place at March 31, 2014 and December 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(notional and dollars in thousands) |
|
|
|
|
|
March 31, 2014 |
Maturity Date |
|
Current Notional Amount |
|
Fair Value |
|
Upfront (Payable)/Receivable |
|
Unrealized Gain/(Loss) |
1/12/2043 |
|
(243,987 |
) |
|
(126 |
) |
|
(1,430 |
) |
|
(1,556 |
) |
Total |
|
$ |
(243,987 |
) |
|
$ |
(126 |
) |
|
$ |
(1,430 |
) |
|
$ |
(1,556 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(notional and dollars in thousands) |
|
|
|
|
|
December 31, 2013 |
Maturity Date |
|
Current Notional Amount |
|
Fair Value |
|
Upfront Payable |
|
Unrealized Gain/(Loss) |
1/12/2043 |
|
(49,629 |
) |
|
(134 |
) |
|
(453 |
) |
|
(587 |
) |
Total |
|
$ |
(49,629 |
) |
|
$ |
(134 |
) |
|
$ |
(453 |
) |
|
$ |
(587 |
) |
|