Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2017

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 March 31, 2017 and December 31, 2016.

			March 31, 2017
			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	$	1,535,900	Derivatives, at fair value, net	$	5,876	Derivatives, at fair value, net	$	—
Swaptions	482,000		Derivatives, at fair value, net	5,013		Derivatives, at fair value, net	(1,627		)
Treasury Futures	619,700		Derivatives, at fair value, net	—		Derivatives, at fair value, net	—
Total	$	2,637,600		$	10,889		$	(1,627	)

			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	)

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 Quarter Ended
Derivative Instruments	Location on Consolidated Statements of Operations and Comprehensive Income	March 31, 2017			March 31, 2016
		(dollars in thousands)
Interest Rate Swaps	Net unrealized gains (losses) on derivatives	$	6,316		$	(88,709	)
Interest Rate Swaps	Net realized gains (losses) on derivatives (1)	(4,106		)	(11,676		)
Treasury Futures	Net unrealized gains (losses) on derivatives	(2,568		)	(2,985		)
Treasury Futures	Net realized gains (losses) on derivatives	(2,084		)	(21,610		)
Swaptions	Net unrealized gains (losses) on derivatives	1,148			(8,987		)
Swaptions	Net realized gains (losses) on derivatives	(3,168		)	(2,140		)
Other Derivative Assets	Net unrealized gains (losses) on derivatives	—			(430		)
Other Derivative Assets	Net realized gains (losses) on derivatives	—			—
Total		$	(4,462	)	$	(136,537	)

(1) Includes loss on termination of interest rate swap of $458 thousand for the quarter ended March 31, 2016.