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Derivatives (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended
--- | --- | --- | ---
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | Dec. 31, 2016
Derivative [Line Items] |  |  |  |  |  |  |  |  |
Derivative assets, fair value |  | $ 267 |  |  | $ 267 |  |  | $ 28,534 | [1]
Derivative liabilities, fair value |  | (1,686) |  |  | (1,686) |  |  | (6,922) | [1]
Derivative, Notional Amount | [2] | $ 5,285,000 |  |  | $ 5,285,000 |  |  | $ 3,030,000 |
Derivative, Average Fixed Interest Rate | [3] | 1.67% |  |  | 1.67% |  |  | 1.58% |
Derivative, Average Remaining Maturity |  |  |  |  | 3 years 4 months 13 days |  |  | 5 years 3 months 18 days |
Derivative, Fair Value, Net |  | $ 249 |  |  | $ 249 |  |  | $ 21,612 |
Loss on derivative instruments, net |  | $ (15,802) |  | $ (16,297) | $ (15,627) |  | $ (64,561) |  |
Derivative, Average Fixed Interest Rate, Current Effective |  | 1.31% |  |  | 1.31% |  |  | 0.73% |
Interest Rate Swap |  |  |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |  |  |
Derivative assets, fair value |  | $ 267 |  |  | $ 267 |  |  | $ 28,534 | [1]
Derivative liabilities, fair value |  | (18) |  |  | (18) |  |  | (6,922) | [1]
Forward starting interest rate swap |  |  |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |  |  |
Derivative, Notional Amount |  | 2,425,000 |  |  | 2,425,000 |  |  | 2,725,000 |
TBA security |  |  |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |  |  |
Derivative liabilities, fair value |  | (1,668) |  |  | (1,668) |  |  | 0 |
Derivative, Notional Amount |  | 400,000 | [4] |  | 400,000 | [4] |  | 0 |
Cost Basis,TBA | [5] | 416,312 |  |  | 416,312 |  |  |  |
Market value, TBA | [6] | 414,644 |  |  | 414,644 |  |  |  |
Net carrying value, TBA | [7] | (1,668) |  |  | (1,668) |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  | 1,717 |  | 0 | 1,717 |  | 0 |  |
Eurodollar Future |  |  |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  | 0 |  | (4,186) | 0 |  | (16,372) |  |
Receive-fixed interest rate swap | Interest Rate Swap |  |  |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |  |  |
Derivative, Notional Amount |  | 100,000 |  |  | 100,000 |  |  | 425,000 |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  | 979 |  | 3,743 | 845 |  | 14,277 |  |
Pay-fixed interest rate swap | Interest Rate Swap |  |  |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |  |  |
Derivative, Notional Amount |  | 5,385,000 |  |  | 5,385,000 |  |  | 3,455,000 |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  | (18,498) |  | $ (15,854) | (18,189) |  | $ (62,466) |  |
Maturity in three years or less |  |  |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |  |  |
Derivative, Notional Amount | [2] | $ 3,060,000 |  |  | $ 3,060,000 |  |  | $ 595,000 |
Derivative, Average Fixed Interest Rate |  | 1.39% |  |  | 1.39% |  |  | 0.73% |
Derivative, Average Remaining Maturity |  |  |  |  | 1 year 1 month 6 days |  |  | 2 years 3 months 18 days |
Derivative, Fair Value, Net |  | $ 249 |  |  | $ 249 |  |  | $ 4,348 |
Maturity between 3 and 6 years |  |  |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |  |  |
Derivative, Notional Amount | [2] | $ 1,050,000 |  |  | $ 1,050,000 |  |  | $ 1,185,000 |
Derivative, Average Fixed Interest Rate |  | 1.63% |  |  | 1.63% |  |  | 1.47% |
Derivative, Average Remaining Maturity |  |  |  |  | 4 years 3 months 18 days |  |  | 4 years 3 months 18 days |
Derivative, Fair Value, Net |  | $ 0 |  |  | $ 0 |  |  | $ 8,631 |
Maturity between 6 and 10 years |  |  |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |  |  |
Derivative, Notional Amount | [2] | $ 1,175,000 |  |  | $ 1,175,000 |  |  | $ 1,250,000 |
Derivative, Average Fixed Interest Rate |  | 2.45% |  |  | 2.45% |  |  | 2.42% |
Derivative, Average Remaining Maturity |  |  |  |  | 8 years 3 months 29 days |  |  | 8 years 10 months 24 days |
Derivative, Fair Value, Net |  | $ 0 |  |  | $ 0 |  |  | $ 8,633 |
TBA 3 percent coupon | TBA security |  |  |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |  |  |
Derivative, Notional Amount | [4] | 100,000 |  |  | 100,000 |  |  |  |
Cost Basis,TBA | [5] | 100,656 |  |  | 100,656 |  |  |  |
Market value, TBA | [6] | 99,867 |  |  | 99,867 |  |  |  |
Net carrying value, TBA | [7] | (789) |  |  | (789) |  |  |  |
TBA 4 percent coupon | TBA security |  |  |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |  |  |
Derivative, Notional Amount | [4] | 300,000 |  |  | 300,000 |  |  |  |
Cost Basis,TBA | [5] | 315,656 |  |  | 315,656 |  |  |  |
Market value, TBA | [6] | 314,777 |  |  | 314,777 |  |  |  |
Net carrying value, TBA | [7] | $ (879) |  |  | $ (879) |  |  |  |
[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.
[2] | 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.
[3] | 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.
[4] | Notional amount represents the par value (or principal balance) of the underlying Agency MBS.
[5] | Cost basis represents the forward price to be paid for the underlying Agency MBS as if settled.
[6] | 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.
[7] | 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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