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Derivatives (Tables) | 3 Months Ended
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Mar. 31, 2018
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:
Type of Derivative Instrument |  | Balance Sheet Location |  | Purpose |  | March 31, 2018 |  | December 31, 2017
Interest rate swaps |  | Derivative assets |  | Economic hedging |  | $ | 1,081 |  |  | $ | 791 |
Eurodollar futures |  | Derivative assets |  | Economic hedging |  | 1,674 |  |  | 666 |
TBA securities |  | Derivative assets |  | Investing |  | 1,999 |  |  | 1,483 |
|  |  |  |  |  | $ | 4,754 |  |  | $ | 2,940 |
TBA securities |  | Derivative liabilities |  | Economic hedging |  | $ | — |  |  | (269 | )
Schedule of Derivative Instruments | The following tables present information about the Company’s interest rate swaps as of the dates indicated:
|  | March 31, 2018
|  |  |  | Weighted-Average: |  |
Years to Maturity: |  | Net Notional Amount (1) |  | Pay Rate (2) |  | Life Remaining (in Years) |  | Fair Value (3)
< 3 years |  | $ | 2,020,000 |  |  | 1.39 | % |  | 0.8 |  | $ | 1,081 |
>3 and < 6 years |  | 1,310,000 |  |  | 2.01 | % |  | 4.5 |  | — |
>6 and < 10 years |  | 1,100,000 |  |  | 2.56 | % |  | 8.2 |  | — |
>10 years |  | 220,000 |  |  | 2.81 | % |  | 22.3 |  | — |
Total |  | $ | 4,650,000 |  |  | 1.89 | % |  | 4.5 |  | $ | 1,081 |
|  | December 31, 2017
|  |  |  | Weighted-Average: |  |
Years to Maturity: |  | Net Notional Amount (1) |  | Pay Rate (2) |  | Life Remaining (in Years) |  | Fair Value (3)
< 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 |
(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.
The following table summarizes information about the Company's TBA securities as of the dates indicated:
|  | March 31, 2018
TBA Securities: |  | Notional Amount (1) |  | Implied Cost Basis (2) |  | Implied Market Value (3) |  | Net Carrying Value (4)
Dollar roll positions |  | $ | 825,000 |  |  | $ | 844,941 |  |  | $ | 846,940 |  |  | $ | 1,999 |
Economic hedges |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
|  | December 31, 2017
|  | Notional Amount (1) |  | Implied Cost Basis (2) |  | Implied Market Value (3) |  | Net Carrying Value (4)
Dollar roll positions |  | $ | 795,000 |  |  | $ | 829,425 |  |  | $ | 830,908 |  |  | $ | 1,483 |
Economic hedges |  | $ | 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 is the amount included on the consolidated balance sheets within “derivative assets (liabilities)” and represents the difference between the implied market value and the implied cost basis of the TBA security as of the end of the period.
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, 2017 |  | Additions |  | Settlements, Terminations, or Pair-Offs |  | Notional Amount as of March 31, 2018
Receive-fixed interest rate swaps |  | $ | 100,000 |  |  | $ | — |  |  | $ | — |  |  | $ | 100,000 |
Pay-fixed interest rate swaps |  | 5,775,000 |  |  | 375,000 |  |  | (1,400,000 | ) |  | 4,750,000 |
Eurodollar futures (1) |  | 1,950,000 |  |  | — |  |  | (650,000 | ) |  | 1,300,000 |
TBA dollar roll positions |  | 795,000 |  |  | 2,840,000 |  |  | (2,810,000 | ) |  | 825,000 |
TBA economic hedges |  | (150,000 | ) |  | — |  |  | 150,000 |  |  | — |
Derivative Instruments, Gain (Loss) | The table below provides detail of the Company’s “gain on derivative instruments, net” by type of derivative for the periods indicated:
|  | Three Months Ended
|  | March 31,
Type of Derivative Instrument |  | 2018 |  | 2017
Receive-fixed interest rate swaps |  | $ | (1,129 | ) |  | $ | (134 | )
Pay-fixed interest rate swaps |  | 49,372 |  |  | 309 |
Eurodollar futures |  | 1,905 |  |  | — |
TBA dollar roll positions |  | (12,087 | ) |  | — |
TBA economic hedges |  | 293 |  |  | — |
Gain on derivative instruments, net |  | $ | 38,354 |  |  | $ | 175 |
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, 2018 |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps | $ | 1,081 |  |  | $ | — |  |  | $ | 1,081 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,081 |
Eurodollar Futures | 1,674 |  |  | — |  |  | 1,674 |  |  | — |  |  | (1,674 | ) |  | — |
TBA securities | 1,999 |  |  | — |  |  | 1,999 |  |  | — |  |  | — |  |  | 1,999 |
Derivative assets | $ | 4,754 |  |  | $ | — |  |  | $ | 4,754 |  |  | $ | — |  |  | $ | (1,674 | ) |  | $ | 3,080 |
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 |
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, 2018 |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
TBA securities | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Derivative liabilities | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
December 31, 2017 |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
TBA securities | 269 |  |  | — |  |  | 269 |  |  | (180 | ) |  | — |  |  | 89 |
Derivative liabilities | $ | 269 |  |  | $ | — |  |  | $ | 269 |  |  | $ | (180 | ) |  | $ | — |  |  | $ | 89 |
(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.

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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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