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Derivatives (Tables)
 3 Months Ended
Mar. 31, 2017
Derivative [Line Items]  
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value
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:  
 
 
 
 
March 31, 2017
 
December 31, 2016
Trading Instruments
 
Balance Sheet Location
 
Fair Value (1)
 
Notional
 
WAVG Net Pay-Fixed Rate (2)
 
Fair Value
 
Notional
 
WAVG Net Pay-Fixed Rate (2)
Interest rate swaps
 
Derivative assets
 
$
272

 
$
3,695,000

 
1.61
%
 
$
28,534

 
$
2,670,000

 
1.41
%
Interest rate swaps
 
Derivative liabilities
 
(58
)
 
850,000

 
2.13
%
 
(6,922
)
 
1,210,000

 
1.96
%

(1)
Refer to Note 1 regarding information on a change in the CME rulebook. Amounts reported on the consolidated balance sheet as of March 31, 2017 reflect the netting of the derivative asset or liability with the related collateral received or posted, respectively. The gross amounts comparable to December 31, 2016 for the derivative asset and derivative liabilities as of March 31, 2017 were $24,828 and $(6,133), respectively.
(2)
Weighted average net pay fixed rate is weighted by the notional amount of pay fixed interest rate swaps, net of receive-fixed interest rate swaps held as of date indicated.
Schedule of Notional Amounts of Outstanding Derivative Positions
The following table summarizes the notional activity related to derivative instruments for the period indicated:
 
Notional receive-fixed interest rate swaps
 
Notional pay-fixed interest rate swaps
 
Total Notional
As of December 31, 2016
$
425,000

 
$
3,455,000

 
$
3,880,000

Additions
$
—

 
$
1,400,000

 
$
1,400,000

Settlements, terminations, or expirations
$
(300,000
)
 
$
(435,000
)
 
$
(735,000
)
As of March 31, 2017
$
125,000

 
$
4,420,000

 
$
4,545,000
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
 
 
March 31,
Type of Derivative Instrument
 
2017
 
2016
Receive-fixed interest rate swaps
 
$
(134
)
 
$
10,534

Pay-fixed interest rate swaps
 
309

 
(46,612
)
Eurodollar futures
 
—

 
(12,186
)
Gain (loss) on derivative instruments, net
 
$
175

 
$
(48,264
)
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
March 31, 2017
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
$
272

 
$
—

 
$
272

 
$
(29
)
 
$
—

 
$
243

December 31, 2016:
 
 
 
 
 
 
 
 
 
 
 
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
March 31, 2017
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities
$
58

 
$
—

 
$
58

 
$
(58
)
 
$
—

 
$
—

 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2016:
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities
$
6,922

 
$
—

 
$
6,922

 
$
(6,913
)
 
$
—

 
$
9