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Derivatives (Tables)
 12 Months Ended
Dec. 31, 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:  
 
 
 
 
 
 
December 31, 2017
 
December 31, 2016
Type of Derivative Instrument
 
Balance Sheet Location
 
Purpose
 
Fair Value
 
Fair Value (1)
Interest rate swaps
 
Derivative assets
 
Economic hedging
 
$
791

 
$
28,534

Eurodollar futures(2)
 
Derivative assets
 
Economic hedging
 
666

 
—

TBA securities
 
Derivative assets
 
Investing
 
1,483

 
—

 
 
 
 
 
 
$
2,940

 
$
28,534

 
 
 
 
 
 
 
 
 
Interest rate swaps
 
Derivative liabilities
 
Economic hedging
 
$
—

 
$
(6,922
)
TBA securities
 
Derivative liabilities
 
Economic hedging
 
(269
)
 
—

 
 
 
 
 
 
$
(269
)
 
$
(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 December 31, 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 December 31, 2017 for the derivative asset and derivative liabilities as of December 31, 2016 were $104 and $(576), respectively.
(2)
The Eurodollar futures aggregate notional amount represents the total notional of the 3-month contracts with expiration dates from 2017 to 2018. The maximum notional outstanding for any future 3-month period did not exceed $650,000 as of December 31, 2017.
Schedule of Derivative Instruments
The following tables present information about the Company’s interest rate swaps as of the dates indicated:
 
 
December 31, 2017
 
 
 
 
Weighted-Average:
 
 
Years to Maturity:
 
Net Notional Amount (1)
 
Pay Rate (2)
 
Life Remaining (in Years)
 
Fair Value
< 3 years
 
$
3,320,000

 
1.35
%
 
0.7
 
$
791

>3 and < 6 years
 
1,210,000

 
2.00
%
 
4.6
 
—

>6 and < 10 years
 
1,025,000

 
2.49
%
 
8.0
 
—

   >10 years
 
120,000

 
2.75
%
 
17.3
 
—

Total
 
$
5,675,000

 
1.71
%
 
3.1
 
$
791

 
 
 
 
 
 
 
 
 
 
 
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 $2,525,000 and $2,725,000 of pay-fixed forward starting interest rate swaps as of December 31, 2017 and December 31, 2016, respectively.
(2) Excluding forward starting pay-fixed interest rate swaps, the weighted average pay rate was 1.36% and 0.73% as of December 31, 2017 and December 31, 2016, respectively.

The following table summarizes information about the Company's TBA securities as of December 31, 2017:
 
 
December 31, 2017
 
 
Notional Amount (1)
 
Implied Cost Basis (2)
 
Implied Market Value (3)
 
Net Carrying Value (4)
Dollar roll positions:
 
 
 
 
 
 
 
 
30-year 4.0% TBA securities
 
$
795,000

 
$
829,425

 
$
830,908

 
$
1,483

 
 
 
 
 
 
 
 
 
Economic hedges:
 
 
 
 
 
 
 
 
30-year 3.5% TBA securities
 
$
150,000

 
$
(153,797
)
 
$
(154,066
)
 
$
(269
)
(1)
Notional amount represents the par value (or principal balance) of the underlying Agency MBS as if settled as of the end of the period.
(2)
Implied cost basis represents the forward price to be paid for the underlying Agency MBS as if settled as of end of the period.
(3)
Implied market value represents the estimated fair value of the underlying Agency MBS as if settled as of the end of the period.
(4)
Net carrying value represents the difference between the implied market value and the implied cost basis of the TBA security as of the end of the period and is included on the consolidated balance sheets within “derivative assets (liabilities)”.
Schedule of Notional Amounts of Outstanding Derivative Positions
The tables below summarize changes in the Company’s 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 December 31, 2017
Receive-fixed interest rate swaps
 
$
425,000

 
$
—

 
$
(325,000
)
 
$
100,000

Pay-fixed interest rate swaps
 
3,455,000

 
3,890,000

 
(1,570,000
)
 
5,775,000

Eurodollar futures
 
—

 
2,600,000

 
(650,000
)
 
1,950,000

TBA dollar roll positions
 
—

 
6,729,000

 
(5,934,000
)
 
795,000

TBA economic hedges
 
—

 
(250,000
)
 
100,000

 
(150,000
)
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:
 
 
Year Ended
 
 
December 31,
Type of Derivative Instrument
 
2017
 
2016
 
2015
Receive-fixed interest rate swaps
 
$
23

 
$
2,515

 
$
6,522

Pay-fixed interest rate swaps
 
(2,655
)
 
(3,306
)
 
(28,687
)
Eurodollar futures
 
821

 
(4,815
)
 
(20,963
)
TBA dollar roll positions
 
5,757

 
—

 
—

TBA economic hedges
 
(902
)
 
—

 
—

Gain (loss) on derivative instruments, net
 
$
3,044

 
$
(5,606
)
 
$
(43,128
)
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
December 31, 2017
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
$
791

 
$
—

 
$
791

 
$
—

 
$
—

 
$
791

Eurodollar Futures
666

 
—

 
666

 
—

 
(666
)
 
—

TBA securities
1,483

 
—

 
1,483

 
(180
)
 
—

 
1,303

Derivative assets
$
2,940

 
$
—

 
$
2,940

 
$
(180
)
 
$
(666
)
 
$
2,094

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
December 31, 2017
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

TBA securities
269

 
—

 
269

 
(180
)
 
—

 
89

Derivative liabilities
$
269

 
$
—

 
$
269

 
$
(180
)
 
$
—

 
$
89

 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2016:
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
$
6,922

 
$
—

 
$
6,922

 
$
(6,913
)
 
$
—

 
$
9

TBA securities
—

 
—

 
—

 
—

 
—

 
—

Derivative liabilities
$
6,922

 
$
—

 
$
6,922

 
$
(6,913
)
 
$
—

 
$
9


(1)
Amounts disclosed for collateral received by or posted to the same counterparty include cash and the fair value of MBS up to and not exceeding the net amount of the asset or liability presented in the balance sheet. The fair value of the total collateral received by or posted to the same counterparty may exceed the amounts presented.