Derivatives (Tables)
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12 Months Ended |
Dec. 31, 2018 |
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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: | | | | | | | | | | | | | | Type of Derivative Instrument | | Balance Sheet Location | | Purpose | | December 31, 2018 | | December 31, 2017 | Interest rate swaps | | Derivative assets | | Economic hedging | | $ | 324 |
| | $ | 791 |
| Eurodollar futures | | Derivative assets | | Economic hedging | | — |
| | 666 |
| TBA securities | | Derivative assets | | Trading | | 6,239 |
| | 1,483 |
| | | | | | | $ | 6,563 |
| | $ | 2,940 |
| | | | | | | | | | U.S. Treasury futures | | Derivative liabilities | | Economic hedging | | $ | (1,218 | ) | | $ | — |
| TBA securities | | Derivative liabilities | | Economic hedging | | — |
| | (269 | ) | | | | | | | $ | (1,218 | ) | | $ | (269 | ) |
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| Derivative Instruments, Gain (Loss) |
The table below provides detail of the Company’s “(loss) gain on derivative instruments, net” by type of derivative for the periods indicated: | | | | | | | | | | | | | | | | Year Ended | | | December 31, | Type of Derivative Instrument | | 2018 | | 2017 | | 2016 | Receive-fixed interest rate swaps | | $ | (1,658 | ) | | $ | 23 |
| | $ | 2,515 |
| Pay-fixed interest rate swaps | | 12,021 |
| | (2,655 | ) | | (3,306 | ) | Eurodollar futures | | 1,887 |
| | 821 |
| | (4,815 | ) | TBA dollar roll positions | | (10,737 | ) | | 5,757 |
| | — |
| TBA economic hedges | | 293 |
| | (902 | ) | | — |
| U.S. Treasury futures | | (4,609 | ) | | — |
| | — |
| Options on U.S. Treasury futures | | (658 | ) | | — |
| | — |
| (Loss) gain on derivative instruments, net | | $ | (3,461 | ) | | $ | 3,044 |
| | $ | (5,606 | ) |
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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: | | | | | | | | | | | | | | | | | December 31, 2018 | | | | | Weighted-Average: | | | Years to Maturity: | | Net Notional Amount (1) | | Pay Rate (2) | | Life Remaining (in Years) | | Fair Value (3) | < 3 years | | $ | 1,560,000 |
| | 1.96 | % | | 1.4 | | $ | 324 |
| >3 and < 6 years | | 1,230,000 |
| | 2.23 | % | | 4.4 | | — |
| >6 and < 10 years | | 1,505,000 |
| | 2.80 | % | | 8.3 | | — |
| >10 years | | 220,000 |
| | 2.81 | % | | 21.9 | | — |
| Total | | $ | 4,515,000 |
| | 2.35 | % | | 5.5 | | $ | 324 |
| | | | | | | | | | | | December 31, 2017 | | | | | Weighted-Average: | | | Years to Maturity: | | Net Notional Amount (1) | | Pay Rate (2) | | Life Remaining (in Years) | | Fair Value (3) | < 3 years | | $ | 3,320,000 |
| | 1.35 | % | | 0.7 | | $ | 791 |
| >3 and < 6 years | | 1,210,000 |
| | 2.00 | % | | 4.6 | | — |
| >6 and < 10 years | | 1,025,000 |
| | 2.49 | % | | 8.0 | | — |
| >10 years | | 120,000 |
| | 2.75 | % | | 17.3 | | — |
| Total | | $ | 5,675,000 |
| | 1.71 | % | | 3.1 | | $ | 791 |
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| | (1) | The net notional amounts included in the tables above represent pay-fixed interest rate swaps, net of any receive-fixed interest rate swaps, and include $775,000 and $2,655,000 of pay-fixed forward starting interest rate swaps as of December 31, 2018 and December 31, 2017, respectively. |
| | (2) | Excluding forward starting pay-fixed interest rate swaps, the weighted average pay rate was 2.29% and 1.36% as of December 31, 2018 and December 31, 2017, respectively. |
| | (3) | The majority of the Company’s interest rate swap agreements are centrally cleared through the CME. Please refer to Note 1 for information regarding the exchange of variation margin being legally considered as settlement of the derivative as opposed to a pledge of collateral. |
A portion of the Company’s interest rate swaps were entered into under bilateral agreements which contain cross-default provisions with other agreements between the parties. In addition, these bilateral agreements contain financial and operational covenants similar to those contained in the repurchase agreements as described in Note 3. The Company was in compliance with all covenants with respect to bilateral agreements under which interest rate swaps were entered into as of December 31, 2018.
TBA Securities
The following table summarizes information about the Company's TBA securities as of the dates indicated: | | | | | | | | | | | | | | | | | | | | December 31, 2018 | TBA Securities: | | Notional Amount (1) | | Implied Cost Basis (2) | | Implied Market Value (3) | | Net Carrying Value (4) | Dollar roll positions | | $ | 860,000 |
| | $ | 882,230 |
| | $ | 888,469 |
| | $ | 6,239 |
| | | December 31, 2017 | | | Notional Amount (1) | | Implied Cost Basis (2) | | Implied Market Value (3) | | Net Carrying Value (4) | Dollar roll positions | | $ | 795,000 |
| | $ | 829,425 |
| | $ | 830,908 |
| | $ | 1,483 |
| Economic hedges | | $ | 150,000 |
| | $ | (153,797 | ) | | $ | (154,066 | ) | | $ | (269 | ) |
| | (1) | Notional amount represents the par value (or principal balance) of the underlying Agency MBS as if settled as of the date indicated. |
| | (2) | Implied cost basis represents the forward price to be paid for the underlying Agency MBS as if settled as of the date indicated. |
| | (3) | Implied market value represents the estimated fair value of the underlying Agency MBS as if settled as of the date indicated. |
(4) Net carrying value is the amount included on the consolidated balance sheets within “derivative assets (liabilities)” and represents the difference between the implied market value and the implied cost basis of the TBA security as of the date indicated.
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| Schedule of Notional Amounts of Outstanding Derivative Positions |
The tables below summarize changes in the Company’s derivative instruments for the periods indicated: | | | | | | | | | | | | | | | | | | Type of Derivative Instrument | | Notional Amount as of December 31, 2017 | | Additions | | Settlements, Terminations, or Pair-Offs | | Notional Amount as of December 31, 2018 | Receive-fixed interest rate swaps | | $ | 100,000 |
| | $ | — |
| | $ | (100,000 | ) | | $ | — |
| Pay-fixed interest rate swaps | | 5,775,000 |
| | 1,770,000 |
| | (3,030,000 | ) | | 4,515,000 |
| Eurodollar futures (1) | | 1,950,000 |
| | — |
| | (1,950,000 | ) | | — |
| TBA dollar roll positions | | 795,000 |
| | 9,689,000 |
| | (9,624,000 | ) | | 860,000 |
| TBA economic hedges | | 150,000 |
| | — |
| | (150,000 | ) | | — |
| U.S. Treasury futures | | — |
| | 470,000 |
| | (420,000 | ) | | 50,000 |
| Options on U.S. Treasury futures | | — |
| | 800,000 |
| | (800,000 | ) | | — |
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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 | December 31, 2018 | | | | | | | | | | | | Interest rate swaps | $ | 324 |
| | $ | — |
| | $ | 324 |
| | $ | — |
| | $ | — |
| | $ | 324 |
| TBA securities | 6,239 |
| | — |
| | 6,239 |
| | — |
| | (1,719 | ) | | 4,520 |
| Derivative assets | $ | 6,563 |
| | $ | — |
| | $ | 6,563 |
| | $ | — |
| | $ | (1,719 | ) | | $ | 4,844 |
| December 31, 2017 | | | | | | | | | | | | Interest rate swaps | $ | 791 |
| | $ | — |
| | $ | 791 |
| | $ | — |
| | $ | — |
| | $ | 791 |
| Eurodollar futures | 666 |
| | — |
| | 666 |
| | — |
| | (666 | ) | | — |
| TBA securities | 1,483 |
| | — |
| | 1,483 |
| | (180 | ) | | — |
| | 1,303 |
| Derivative assets | $ | 2,940 |
| | $ | — |
| | $ | 2,940 |
| | $ | (180 | ) | | $ | (666 | ) | | $ | 2,094 |
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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 | December 31, 2018 | | | | | | | | | | | | Interest rate swaps | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| U.S. Treasury futures | 1,218 |
| | — |
| | 1,218 |
| | — |
| | (1,218 | ) | | — |
| Derivative liabilities | $ | 1,218 |
| | $ | — |
| | $ | 1,218 |
| | $ | — |
| | $ | (1,218 | ) | | $ | — |
| | | | | | | | | | | | | December 31, 2017 | | | | | | | | | | | | Interest rate swaps | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| TBA securities | 269 |
| | — |
| | 269 |
| | (180 | ) | | — |
| | 89 |
| Derivative liabilities | $ | 269 |
| | $ | — |
| | $ | 269 |
| | $ | (180 | ) | | $ | — |
| | $ | 89 |
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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 derivative asset or liability presented in the balance sheet. The fair value of the total collateral received by or posted to the same counterparty may exceed the amounts presented. Please refer to the consolidated balance sheets for the total cash posted as collateral, which is recorded as "restricted cash", and the total fair value of financial instruments pledged as collateral for derivatives and repurchase agreements, which is shown parenthetically.
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