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Derivatives (Tables) | 3 Months Ended
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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 |

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