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Derivatives (Tables)
 9 Months Ended
Sep. 30, 2017
Derivative [Line Items]  
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.
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
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
)
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
)
 
$
—
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


(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.
Interest Rate Swap  
Derivative [Line Items]  
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

(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.
TBA security  
Derivative [Line Items]  
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)".