Derivatives (Tables)

6 Months Ended

Jun. 30, 2017

Derivative [Line Items]

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:  

		June 30, 2017			December 31, 2016
Type of Derivative Instruments	Balance Sheet Location	Fair Value			Fair Value (1)
Interest rate swaps	Derivative assets	$	267		$	28,534
TBA securities	Derivative assets	—			—
		$	267		$	28,534
Interest rate swaps	Derivative liabilities	$	(18	)	$	(6,922	)
TBA securities	Derivative liabilities	(1,668		)	—
		$	(1,686	)	$	(6,922	)

(1) Refer to Note 1 regarding information on a change in the CME rulebook. Amounts reported on the consolidated balance sheet as of June 30, 2017 for its interest rate swaps reflect the netting of the derivative asset or liability with the related collateral received or posted, respectively. The net amounts comparable to June 30, 2017 for the derivative asset and derivative liabilities as of December 31, 2016 were $104 and $(576), respectively.

Schedule of Notional Amounts of Outstanding Derivative Positions

The tables below summarize changes in our derivative instruments for the periods indicated:

Type of Derivative Instrument	Notional Amount as of December 31, 2016		Additions		Settlements, Terminations, or Pair-Offs			Notional Amount as of June 30, 2017
Receive-fixed interest rate swaps	$	425,000	$	—	$	(325,000	)	$	100,000
Pay-fixed interest rate swaps	3,455,000		2,750,000		(820,000		)	5,385,000
TBA securities	—		1,300,000		(900,000		)	400,000

Derivative Instruments, Gain (Loss)

The table below provides detail of the Company's "loss on derivative instruments, net" by type of derivative for the periods indicated:

	Three Months Ended						Six Months Ended
	June 30,						June 30,
Type of Derivative Instrument	2017			2016			2017			2016
Receive-fixed interest rate swaps	$	979		$	3,743		$	845		$	14,277
Pay-fixed interest rate swaps	(18,498		)	(15,854		)	(18,189		)	(62,466		)
TBA securities	1,717			—			1,717			—
Eurodollar futures	—			(4,186		)	—			(16,372		)
Loss on derivative instruments, net	$	(15,802	)	$	(16,297	)	$	(15,627	)	$	(64,561	)

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
June 30, 2017
Interest rate swaps	$	267	$	—	$	267	$	(4	)	$	—		$	263
TBA securities	—		—		—		—			—			—
Derivative assets	$	267	$	—	$	267	$	(4	)	$	—		$	263
December 31, 2016:
Interest rate swaps	$	28,534	$	—	$	28,534	$	(6,449	)	$	(22,085	)	$	—
TBA securities	—		—		—		—			—			—
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
June 30, 2017
Interest rate swaps	$	18	$	—	$	18	$	(18	)	$	—		$	—
TBA securities	1,668		—		1,668		—			(961		)	707
Derivative liabilities	$	1,686	$	—	$	1,686	$	(18	)	$	(961	)	$	707
December 31, 2016:
Interest rate swaps	$	6,922	$	—	$	6,922	$	(6,913	)	$	—		$	9
TBA securities	—		—		—		—			—			—
Derivative liabilities	$	6,922	$	—	$	6,922	$	(6,913	)	$	—		$	9

Interest Rate Swap

Derivative [Line Items]

Schedule of Derivative Instruments

The following tables present information about the Company's interest rate swaps as of the dates indicated:

	June 30, 2017
			Weighted-Average:
Years to Maturity:	Net Notional Amount (1)		Pay Rate (2)		Life Remaining (in Years)	Fair Value
< 3 years	$	3,060,000	1.39	%	1.1	$	249
>3 and < 6 years	1,050,000		1.63	%	4.3	—
>6 and < 10 years	1,175,000		2.45	%	8.3	—
Total	$	5,285,000	1.67	%	3.4	$	249
	December 31, 2016
			Weighted-Average:
Years to Maturity:	Net Notional Amount (1)		Pay Rate (2)		Life Remaining (in Years)	Fair Value
< 3 years	$	595,000	0.73	%	2.3	$	4,348
>3 and < 6 years	1,185,000		1.47	%	4.3	8,631
>6 and < 10 years	1,250,000		2.42	%	8.9	8,633
Total	$	3,030,000	1.58	%	5.3	$	21,612

(1) The net notional amounts included in the tables above represent pay-fixed interest rate swaps, net of receive-fixed interest rate swaps and include $2,425,000 and $2,725,000 of pay-fixed forward starting interest rate swaps as of June 30, 2017 and December 31, 2016, respectively.

(2) Excluding forward starting pay-fixed interest rate swaps, the weighted average pay rate was 1.31% and 0.73% as of June 30, 2017 and December 31, 2016, respectively.

TBA security

Derivative [Line Items]

Schedule of Derivative Instruments

The following table summarizes information about the Company's TBA securities as of June 30, 2017:

	June 30, 2017
By Coupon:	Notional Amount (1)		Cost Basis (2)		Market Value (3)		Net Carrying Value (4)
30-year TBA securities:
3.0%	$	100,000	$	100,656	$	99,867	$	(789	)
4.0%	300,000		315,656		314,777		(879		)
Total 30-year TBA securities	$	400,000	$	416,312	$	414,644	$	(1,668	)

(1) Notional amount represents the par value (or principal balance) of the underlying Agency MBS.

(2) Cost basis represents the forward price to be paid for the underlying Agency MBS as if settled.

(3) Market value is the current fair value of the TBA contract and represents the estimated fair value of the underlying Agency security as of the end of the period.

(4) Net carrying value represents the difference between the market value and the cost basis of the TBA contract as of the end of the period and is included on the consolidated balance sheets within "derivative assets (liabilities)".