Derivatives (Tables)
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9 Months Ended |
Sep. 30, 2017 |
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| Derivative [Line Items] |
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| Schedule of Derivative Instruments in Statement of Financial Position, Fair Value |
The table below summarizes information about the fair value by type of derivative instrument on the Company's consolidated balance sheets as of the dates indicated: | | | | | | | | | | | | | | | | September 30, 2017 | | December 31, 2016 | Type of Derivative Instruments | | Balance Sheet Location | | Fair Value | | Fair Value (1) | Interest rate swaps | | Derivative assets | | $ | 368 |
| | $ | 28,534 |
| TBA securities | | Derivative assets | | — |
| | — |
| | | | | $ | 368 |
| | $ | 28,534 |
| | | | | | | | Interest rate swaps | | Derivative liabilities | | $ | — |
| | $ | (6,922 | ) | TBA securities | | Derivative liabilities | | (133 | ) | | — |
| | | | | $ | (133 | ) | | $ | (6,922 | ) |
| | (1) | Refer to Note 1 regarding information on a change in the CME rulebook. Amounts reported on the consolidated balance sheet as of September 30, 2017 for its interest rate swaps reflect the netting of the derivative asset or liability with the related collateral received or posted, respectively. The net amounts comparable to September 30, 2017 for the derivative asset and derivative liabilities as of December 31, 2016 were $104 and $(576), respectively. |
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| Schedule of Notional Amounts of Outstanding Derivative Positions |
The tables below summarize changes in our derivative instruments for the periods indicated: | | | | | | | | | | | | | | | | | | Type of Derivative Instrument | | Notional Amount as of December 31, 2016 | | Additions | | Settlements, Terminations, or Pair-Offs | | Notional Amount as of September 30, 2017 | Receive-fixed interest rate swaps | | $ | 425,000 |
| | $ | — |
| | $ | (325,000 | ) | | $ | 100,000 |
| Pay-fixed interest rate swaps | | 3,455,000 |
| | 3,010,000 |
| | (920,000 | ) | | 5,545,000 |
| TBA securities | | — |
| | 3,814,000 |
| | (3,164,000 | ) | | 650,000 |
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| Derivative Instruments, Gain (Loss) |
The table below provides detail of the Company's "gain (loss) on derivative instruments, net" by type of derivative for the periods indicated: | | | | | | | | | | | | | | | | | | | | Three Months Ended | | Nine Months Ended | | | September 30, | | September 30, | Type of Derivative Instrument | | 2017 | | 2016 | | 2017 | | 2016 | Receive-fixed interest rate swaps | | $ | (99 | ) | | $ | (2,976 | ) | | $ | 746 |
| | $ | 11,301 |
| Pay-fixed interest rate swaps | | (611 | ) | | 2,555 |
| | (18,799 | ) | | (59,912 | ) | TBA securities | | 6,703 |
| | — |
| | 8,419 |
| | — |
| Eurodollar futures | | — |
| | 2,830 |
| | — |
| | (13,542 | ) | Gain (loss) on derivative instruments, net | | $ | 5,993 |
| | $ | 2,409 |
| | $ | (9,634 | ) | | $ | (62,153 | ) |
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| Offsetting Assets |
| | | | | | | | | | | | | | | | | | | | | | | | | | Offsetting of Assets | | Gross Amount of Recognized Assets | | Gross Amount Offset in the Balance Sheet | | Net Amount of Assets Presented in the Balance Sheet | | Gross Amount Not Offset in the Balance Sheet (1) | | Net Amount | Financial Instruments Received as Collateral | | Cash Received as Collateral | September 30, 2017 | | | | | | | | | | | | Interest rate swaps | $ | 368 |
| | $ | — |
| | $ | 368 |
| | $ | — |
| | $ | — |
| | $ | 368 |
| TBA securities | — |
| | — |
| | — |
| | — |
| | — |
| | — |
| Derivative assets | $ | 368 |
| | $ | — |
| | $ | 368 |
| | $ | — |
| | $ | — |
| | $ | 368 |
| December 31, 2016: | | | | | | | | | | | | Interest rate swaps | $ | 28,534 |
| | $ | — |
| | $ | 28,534 |
| | $ | (6,449 | ) | | $ | (22,085 | ) | | $ | — |
| TBA securities | — |
| | — |
| | — |
| | — |
| | — |
| | — |
| Derivative assets | $ | 28,534 |
| | $ | — |
| | $ | 28,534 |
| | $ | (6,449 | ) | | $ | (22,085 | ) | | $ | — |
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| Offsetting Liabilities |
| | | | | | | | | | | | | | | | | | | | | | | | | | Offsetting of Liabilities | | Gross Amount of Recognized Liabilities | | Gross Amount Offset in the Balance Sheet | | Net Amount of Liabilities Presented in the Balance Sheet | | Gross Amount Not Offset in the Balance Sheet (1) | | Net Amount | Financial Instruments Posted as Collateral | | Cash Posted as Collateral | September 30, 2017 | | | | | | | | | | | | Interest rate swaps | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| TBA securities | 133 |
| | — |
| | 133 |
| | — |
| | (63 | ) | | 70 |
| Derivative liabilities | $ | 133 |
| | $ | — |
| | $ | 133 |
| | $ | — |
| | $ | (63 | ) | | $ | 70 |
| | | | | | | | | | | | | December 31, 2016: | | | | | | | | | | | | Interest rate swaps | $ | 6,922 |
| | $ | — |
| | $ | 6,922 |
| | $ | (6,913 | ) | | $ | — |
| | $ | 9 |
| TBA securities | — |
| | — |
| | — |
| | — |
| | — |
| | — |
| Derivative liabilities | $ | 6,922 |
| | $ | — |
| | $ | 6,922 |
| | $ | (6,913 | ) | | $ | — |
| | $ | 9 |
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| | (1) | Amounts disclosed for collateral received by or posted to the same counterparty include cash and the fair value of MBS up to and not exceeding the net amount of the asset or liability presented in the balance sheet. The fair value of the actual collateral received by or posted to the same counterparty may exceed the amounts presented. |
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| Interest Rate Swap |
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| Derivative [Line Items] |
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| Schedule of Derivative Instruments |
The following tables present information about the Company's interest rate swaps as of the dates indicated: | | | | | | | | | | | | | | | | | September 30, 2017 | | | | | Weighted-Average: | | | Years to Maturity: | | Net Notional Amount (1) | | Pay Rate (2) | | Life Remaining (in Years) | | Fair Value | < 3 years | | $ | 3,110,000 |
| | 1.39 | % | | 0.9 | | $ | 368 |
| >3 and < 6 years | | 1,160,000 |
| | 1.66 | % | | 4.2 | | — |
| >6 and < 10 years | | 1,175,000 |
| | 2.45 | % | | 8.1 | | — |
| Total | | $ | 5,445,000 |
| | 1.68 | % | | 3.2 | | $ | 368 |
| | | | | | | | | | | | December 31, 2016 | | | | | Weighted-Average: | | | Years to Maturity: | | Net Notional Amount (1) | | Pay Rate (2) | | Life Remaining (in Years) | | Fair Value | < 3 years | | $ | 595,000 |
| | 0.73 | % | | 2.3 | | $ | 4,348 |
| >3 and < 6 years | | 1,185,000 |
| | 1.47 | % | | 4.3 | | 8,631 |
| >6 and < 10 years | | 1,250,000 |
| | 2.42 | % | | 8.9 | | 8,633 |
| Total | | $ | 3,030,000 |
| | 1.58 | % | | 5.3 | | $ | 21,612 |
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| | (1) | The net notional amounts included in the tables above represent pay-fixed interest rate swaps, net of receive-fixed interest rate swaps and include $2,425,000 and $2,725,000 of pay-fixed forward starting interest rate swaps as of September 30, 2017 and December 31, 2016, respectively. |
(2) Excluding forward starting pay-fixed interest rate swaps, the weighted average pay rate was 1.34% and 0.73% as of September 30, 2017 and December 31, 2016, respectively.
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| TBA security |
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| Derivative [Line Items] |
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| Schedule of Derivative Instruments |
The following table summarizes information about the Company's TBA securities as of September 30, 2017: | | | | | | | | | | | | | | | | | | | | September 30, 2017 | | | Notional Amount (1) | | Cost Basis (2) | | Market Value (3) | | Net Carrying Value (4) | 30-year 4.0% TBA securities | | $ | 650,000 |
| | $ | 683,813 |
| | $ | 683,680 |
| | $ | (133 | ) |
| | (1) | Notional amount represents the par value (or principal balance) of the underlying Agency MBS. |
| | (2) | Cost basis represents the forward price to be paid for the underlying Agency MBS as if settled. |
| | (3) | Market value is the current fair value of the TBA contract and represents the estimated fair value of the underlying Agency security as of the end of the period. |
| | (4) | Net carrying value represents the difference between the market value and the cost basis of the TBA contract as of the end of the period and is included on the consolidated balance sheets within "derivative assets (liabilities)". |
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