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Derivative Instruments (Tables)
 12 Months Ended
Dec. 31, 2016
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivative Instruments in Statement of Financial Position
The table below summarizes the location and fair value of the derivatives reported in the Consolidated Statements of Financial Condition after counterparty netting and posting of cash collateral as of December 31, 2016 and December 31, 2015.

 
 
 
 
December 31, 2016
 
 
 
 
Derivative Assets
 
Derivative Liabilities
Derivative Instruments
 
Notional Amount Outstanding
 
Location on Consolidated Statements of Financial
Condition
Net Estimated Fair Value/Carrying Value
 
Location on Consolidated Statements of Financial
Condition
Net Estimated Fair Value/Carrying Value
 
 
 
 
(dollars in thousands) 
 
 
 
Interest Rate Swaps
 
$
1,396,900

 
Derivatives, at fair value, net
$
—

 
Derivatives, at fair value, net
$
—

Swaptions
 
624,000

 
Derivatives, at fair value, net
7,892

 
Derivatives, at fair value, net
(2,350
)
Treasury Futures
 
619,700

 
Derivatives, at fair value, net
1,785

 
Derivatives, at fair value, net
—

Total
 
$
2,640,600

 
 
$
9,677

 
 
$
(2,350
)

 
 
 
 
December 31, 2015
 
 
 
 
Derivative Assets
 
Derivative Liabilities
Derivative Instruments
 
Notional Amount Outstanding
 
Location on Consolidated Statements of Financial
Condition
Net Estimated Fair Value/Carrying Value
 
Location on Consolidated Statements of Financial
Condition
Net Estimated Fair Value/Carrying Value
 
 
 
 
(dollars in thousands)  
 
 
 
Interest Rate Swaps
 
$
4,555,400

 
Derivatives, at fair value, net
$
1,232

 
Derivatives, at fair value, net
$
(6,369
)
Swaptions
 
779,000

 
Derivatives, at fair value, net
12,821

 
Derivatives, at fair value, net
(3,265
)
Treasury Futures
 
752,200

 
Derivatives, at fair value, net
1,407

 
Derivatives, at fair value, net
—

Total
 
$
6,086,600

 
 
$
15,460

 
 
$
(9,634
)
Schedule of Derivative Instruments Effects on Operating Results
The effect of the Company’s derivatives on the Consolidated Statements of Operations is presented below.

 
 
Net gains (losses) on derivatives
For the Year Ended
Derivative Instruments
Location on Consolidated Statements of
Operations and Comprehensive Income
December 31, 2016
December 31, 2015
December 31, 2014
 
   
(dollars in thousands)

Interest Rate Swaps
Net unrealized gains (losses) on derivatives
$
47,170

$
64,819

$
(84,913
)
Interest Rate Swaps
Net realized gains (losses) on derivatives (1)
(88,722
)
(146,173
)
(52,523
)
Mortgage Options
Net unrealized gains (losses) on derivatives
—

225

340

Mortgage Options
Net realized gains (losses) on derivatives
—

443

7,505

Treasury Futures
Net unrealized gains (losses) on derivatives
378

8,634

(17,856
)
Treasury Futures
Net realized gains (losses) on derivatives
(9,170
)
(35,523
)
(38,552
)
Swaptions
Net unrealized gains (losses) on derivatives
2,545

(6,294
)
(1,067
)
Swaptions
Net realized gains (losses) on derivatives
(7,044
)
(353
)
(24
)
Other Derivative Assets
Net unrealized gains (losses) on derivatives
—

—

—

Other Derivative Assets
Net realized gains (losses) on derivatives
(566
)
(415
)
742

Total
 
$
(55,409
)
$
(114,637
)
$
(186,348
)
(1) Includes loss on termination of interest rate swap of $61 million and $99 million for the years ended December 31, 2016 and 2015, respectively.