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(Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended
--- | --- | ---
Mar. 31, 2018 | Mar. 31, 2017 | Dec. 31, 2017
Derivative [Line Items] |  |  |  |
Derivative assets, fair value |  | $ 4,754 |  | $ 2,940
Gain on derivative instruments, net |  | $ 38,354 | $ 175 |
Derivative, Average Fixed Interest Rate, Current Effective |  | 1.63% |  | 1.36%
Other Footnotes Disclosing Derivative-Related Information, Cross-Reference |  | Note 1 |  |
Forward starting interest rate swap |  |  |  |
Derivative [Line Items] |  |  |  |
Derivative, Notional Amount |  | $ 1,575,000 |  | $ 2,525,000
Eurodollar futures |  |  |  |
Derivative [Line Items] |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  | 1,905 | 0 |
Long [Member] | Interest rate swaps |  |  |  |
Derivative [Line Items] |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  | (1,129) | (134) |
Long [Member] | TBA securities |  |  |  |
Derivative [Line Items] |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  | (12,087) | 0 |
Short [Member] | Interest rate swaps |  |  |  |
Derivative [Line Items] |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  | 49,372 | 309 |
Short [Member] | TBA securities |  |  |  |
Derivative [Line Items] |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  | 293 | $ 0 |
Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest rate swaps |  |  |  |
Derivative [Line Items] |  |  |  |
Derivative assets, fair value |  | 1,081 |  | 791
Derivative, Notional Amount | [1] | $ 4,650,000 |  | $ 5,675,000
Derivative, Average Fixed Interest Rate | [2] | 1.89% |  | 1.71%
Derivative, Average Remaining Maturity |  | 4 years 6 months |  | 3 years 1 month 6 days
Derivative, Fair Value, Net | [3] | $ 1,081 |  | $ 791
Not Designated as Hedging Instrument, Economic Hedge [Member] | Eurodollar futures |  |  |  |
Derivative [Line Items] |  |  |  |
Derivative assets, fair value |  | 1,674 |  | 666
Derivative, Notional Amount | [4] | 1,300,000 |  | 1,950,000
Not Designated as Hedging Instrument, Economic Hedge [Member] | Long [Member] | Interest rate swaps |  |  |  |
Derivative [Line Items] |  |  |  |
Derivative, Notional Amount |  | 100,000 |  | 100,000
Not Designated as Hedging Instrument, Economic Hedge [Member] | Short [Member] | Interest rate swaps |  |  |  |
Derivative [Line Items] |  |  |  |
Derivative, Notional Amount |  | 4,750,000 |  | 5,775,000
Not Designated as Hedging Instrument, Economic Hedge [Member] | Short [Member] | TBA securities |  |  |  |
Derivative [Line Items] |  |  |  |
Derivative liabilities, fair value |  | 0 |  | 269
Derivative, Notional Amount | [5] | 0 |  | 150,000
Not Designated as Hedging Instrument, Trading [Member] | Long [Member] | TBA securities |  |  |  |
Derivative [Line Items] |  |  |  |
Derivative assets, fair value |  | 1,999 |  | 1,483
Derivative, Notional Amount | [5] | 825,000 |  | 795,000
Maturity in three years or less | Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest rate swaps |  |  |  |
Derivative [Line Items] |  |  |  |
Derivative, Notional Amount | [1] | $ 2,020,000 |  | $ 3,320,000
Derivative, Average Fixed Interest Rate |  | 1.39% |  | 1.35%
Derivative, Average Remaining Maturity |  | 9 months 18 days |  | 8 months 12 days
Derivative, Fair Value, Net | [3] | $ 1,081 |  | $ 791
Maturity between 3 and 6 years | Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest rate swaps |  |  |  |
Derivative [Line Items] |  |  |  |
Derivative, Notional Amount | [1] | $ 1,310,000 |  | $ 1,210,000
Derivative, Average Fixed Interest Rate |  | 2.01% |  | 2.00%
Derivative, Average Remaining Maturity |  | 4 years 6 months |  | 4 years 7 months 6 days
Derivative, Fair Value, Net | [3] | $ 0 |  | $ 0
Maturity between 6 and 10 years | Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest rate swaps |  |  |  |
Derivative [Line Items] |  |  |  |
Derivative, Notional Amount | [1] | $ 1,100,000 |  | $ 1,025,000
Derivative, Average Fixed Interest Rate |  | 2.56% |  | 2.49%
Derivative, Average Remaining Maturity |  | 8 years 2 months 12 days |  | 8 years
Derivative, Fair Value, Net | [3] | $ 0 |  | $ 0
Maturity greater than 10 years [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest rate swaps |  |  |  |
Derivative [Line Items] |  |  |  |
Derivative, Notional Amount | [1] | $ 220,000 |  | $ 120,000
Derivative, Average Fixed Interest Rate |  | 2.81% |  | 2.75%
Derivative, Average Remaining Maturity |  | 22 years 3 months 18 days |  | 17 years 3 months 18 days
Derivative, Fair Value, Net | [3] | $ 0 |  | $ 0
[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 $1,575,000 and $2,525,000 of pay-fixed forward starting interest rate swaps as of March 31, 2018 and December 31, 2017, respectively.
[2] | Excluding forward starting pay-fixed interest rate swaps, the weighted average pay rate was 1.63% and 1.36% as of March 31, 2018 and December 31, 2017, respectively.
[3] | The majority of the Company’s interest rate swap agreements are centrally cleared through the CME. Please refer to Note 1 for information regarding the exchange of variation margin being legally considered as settlement of the derivative as opposed to a pledge of collateral.
[4] | The Eurodollar futures notional amounts represent the total notional of the 3-month contracts all of which expire in 2018. The maximum notional outstanding for any future 3-month period did not exceed $650,000 as of March 31, 2018 or December 31, 2017.
[5] | Notional amount represents the par value (or principal balance) of the underlying Agency MBS as if settled as of the end of the period.

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