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Derivatives (Notes)
 12 Months Ended
Dec. 31, 2016
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivatives
DERIVATIVES

     The Company utilizes derivative instruments to economically hedge a portion of its exposure to interest rate risk. As of December 31, 2016, the Company primarily uses pay-fixed interest rate swaps to hedge its exposure to changes in interest rates and uses receive-fixed interest rate swaps to offset a portion of its pay-fixed interest rate swaps in order to manage its overall hedge position. The objective of the Company's risk management strategy is to mitigate declines in book value resulting from fluctuations in the fair value of the Company's assets from changing interest rates and to protect some portion of the Company's earnings from rising interest rates. Please refer to Note 1 for information related to the Company's accounting policy for its derivative instruments.
    
The table below summarizes information about the Company’s derivative instruments treated as trading instruments on its consolidated balance sheet as of the dates indicated:  
 
 
December 31, 2016
 
 
Derivative Assets
 
Derivative Liabilities
Trading Instruments
 
Fair Value
 
Notional
 
Fair Value
 
Notional
Interest rate swaps
 
$
28,534

 
$
2,670,000

 
$
(6,922
)
 
$
1,210,000

Eurodollar futures (1)
 
—

 
—

 
—

 
—

Total
 
$
28,534

 
$
2,670,000

 
$
(6,922
)
 
$
1,210,000



 
 
December 31, 2015
 
 
Derivative Assets
 
Derivative Liabilities
Trading Instruments
 
Fair Value
 
Notional
 
Fair Value
 
Notional
Interest rate swaps
 
$
7,835

 
$
460,000

 
$
(12,108
)
 
$
2,920,000

Eurodollar futures (1)
 
—

 
—

 
(29,097
)
 
6,300,000

Total
 
$
7,835

 
$
460,000

 
$
(41,205
)
 
$
9,220,000

(1)
The Eurodollar futures aggregate notional amount represents the total notional of the 3-month contracts with expiration dates from 2017 to 2020. The maximum notional outstanding for any future 3-month period did not exceed $725,000 as of December 31, 2015.

The following table summarizes the notional activity related to derivative instruments for the period indicated:
For the year ended December 31, 2016:
Beginning of Period Notional Amount
 
Additions
 
Settlement, Termination, Expiration or Exercise
 
End of Period Notional Amount
Receive-fixed interest rate swaps
$
425,000

 
$
—

 
$
—

 
$
425,000

Pay-fixed interest rate swaps (1)
2,955,000

 
3,500,000

 
(3,000,000
)
 
3,455,000

Eurodollar futures
6,300,000

 
—

 
(6,300,000
)
 
—

 
$
9,680,000

 
$
3,500,000

 
$
(9,300,000
)
 
$
3,880,000


(1) The notional amount of pay-fixed interest rate swaps that were forward starting as of December 31, 2016 was $2,725,000.

The table below provides detail of the Company's "loss on derivative instruments, net" by type of derivative for the periods indicated:
 
Year Ended
 
December 31,
Type of Derivative Instrument
2016
 
2015
 
2014
Receive-fixed interest rate swaps
$
2,515

 
$
6,522

 
$
4,912

Pay-fixed interest rate swaps
(3,306
)
 
(28,687
)
 
(30,754
)
Eurodollar futures
(4,815
)
 
(20,963
)
 
(27,551
)
Loss on derivative instruments, net
$
(5,606
)
 
$
(43,128
)
 
$
(53,393
)


There is a net unrealized gain of $670 remaining in AOCI on the Company's consolidated balance sheet as of December 31, 2016 which represents the activity related to interest rate swap agreements while they were previously designated as cash flow hedges, and this amount will be recognized in the Company's net income as a portion of "interest expense" over the remaining contractual life of the agreements. The Company estimates a credit of $268 will be reclassified to net income as a reduction of "interest expense" within the next 12 months.

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 our repurchase agreements as described in Note 4. 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, 2016.
Please see Note 6 for the Company's disclosures related to offsetting assets and liabilities.