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Derivatives (Tables) | 6 Months Ended
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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)".

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- Definition Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 5 -URI http://asc.fasb.org/extlink&oid=84234895&loc=d3e41641-113959 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -URI http://asc.fasb.org/extlink&oid=84234895&loc=SL5624163-113959 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 8 -URI http://asc.fasb.org/extlink&oid=84234895&loc=d3e41678-113959 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=84234895&loc=d3e41638-113959 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1B -URI http://asc.fasb.org/extlink&oid=84234895&loc=SL5580258-113959 Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -URI http://asc.fasb.org/extlink&oid=84234895&loc=SL5579245-113959 Reference 7: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI http://asc.fasb.org/extlink&oid=84234895&loc=SL5624171-113959 Reference 8: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=84234895&loc=SL5579240-113959 Reference 9: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=84234895&loc=d3e41620-113959 Reference 10: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 235 -SubTopic 10 -Section S99 -Paragraph 1 -Subparagraph (SX 210.4-08.(n)(2)) -URI http://asc.fasb.org/extlink&oid=26873400&loc=d3e23780-122690 + Details
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