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(Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended
--- | --- | --- | ---
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017
Derivative [Line Items] |  |  |  |  |  |
Derivative assets, fair value |  | $ 2,612 |  | $ 2,612 |  | $ 2,940
Derivative liabilities, fair value |  | (2,039) |  | (2,039) |  | $ (269)
Gain (loss) on derivative instruments, net |  | $ 19,499 | $ 5,993 | $ 78,520 | $ (9,634) |
Derivative, Average Fixed Interest Rate, Current Effective |  | 1.66% |  | 1.66% |  | 1.36%
Other Footnotes Disclosing Derivative-Related Information, Cross-Reference |  |  |  | Note 1 |  |
Forward starting interest rate swap |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative, Notional Amount |  | $ (1,525,000) |  | $ (1,525,000) |  | $ (2,655,000)
Eurodollar futures |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  |  | 0 | 1,886 | 0 |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  | (189) |  |  |  |
Call option on U.S. Treasury futures [Member] |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  | 148 | 0 | 148 | 0 |
Put option on U.S. Treasury future [Member] |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  |  | 0 | 616 | 0 |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  | (275) |  |  |  |
Long [Member] | Interest rate swaps |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  |  |  |  | 746 |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  | (153) | (99) | (1,658) |  |
Long [Member] | TBA securities |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  |  | 6,703 |  | 8,419 |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  | (5,204) |  | (18,256) |  |
Short [Member] | Interest rate swaps |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  | 25,172 |  | 95,491 |  |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  |  | (611) |  | (18,799) |
Short [Member] | TBA securities |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  | 0 | $ 0 | 293 | $ 0 |
Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest rate swaps |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative assets, fair value |  | 694 |  | 694 |  | 791
Derivative, Notional Amount | [1] | $ (4,180,000) |  | $ (4,180,000) |  | $ (5,675,000)
Derivative, Average Fixed Interest Rate | [2] | 2.24% |  | 2.24% |  | 1.71%
Derivative, Average Remaining Maturity |  |  |  | 5 years 1 month 6 days |  | 3 years 1 month 6 days
Derivative, Fair Value, Net | [3] | $ 694 |  | $ 694 |  | $ 791
Not Designated as Hedging Instrument, Economic Hedge [Member] | Eurodollar futures |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative assets, fair value |  | 0 |  | 0 |  | 666
Derivative, Notional Amount | [4] | 0 |  | 0 |  | (1,950,000)
Notional Amount of Derivative Instruments Added | [4] |  |  | 0 |  |
Notional Amount of Derivative Instruments Maturing, Settled, Terminated, or Paired-Off | [4] |  |  | 1,950,000 |  |
Not Designated as Hedging Instrument, Economic Hedge [Member] | Long [Member] | Interest rate swaps |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative, Notional Amount |  | 0 |  | 0 |  | (100,000)
Notional Amount of Derivative Instruments Added |  |  |  | 0 |  |
Notional Amount of Derivative Instruments Maturing, Settled, Terminated, or Paired-Off |  |  |  | 100,000 |  |
Not Designated as Hedging Instrument, Economic Hedge [Member] | Short [Member] | Interest rate swaps |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative, Notional Amount |  | (4,180,000) |  | (4,180,000) |  | (5,775,000)
Notional Amount of Derivative Instruments Added |  |  |  | 955,000 |  |
Notional Amount of Derivative Instruments Maturing, Settled, Terminated, or Paired-Off |  |  |  | 2,550,000 |  |
Not Designated as Hedging Instrument, Economic Hedge [Member] | Short [Member] | TBA securities |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative liabilities, fair value |  | 0 |  | 0 |  | (269)
Derivative, Notional Amount | [5] | 0 |  | 0 |  | (150,000)
Notional Amount of Derivative Instruments Added |  |  |  | 0 |  |
Notional Amount of Derivative Instruments Maturing, Settled, Terminated, or Paired-Off |  |  |  | 150,000 |  |
Not Designated as Hedging Instrument, Trading | Call option on U.S. Treasury futures [Member] |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative assets, fair value |  | 328 |  | 328 |  | 0
Derivative, Notional Amount |  | (100,000) |  | (100,000) |  | 0
Notional Amount of Derivative Instruments Added |  |  |  | 100,000 |  |
Notional Amount of Derivative Instruments Maturing, Settled, Terminated, or Paired-Off |  |  |  | 0 |  |
Not Designated as Hedging Instrument, Trading | Options on U.S. Treasury futures |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative assets, fair value |  | 719 |  | 719 |  |
Not Designated as Hedging Instrument, Trading | Put option on U.S. Treasury future [Member] |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative assets, fair value |  |  |  |  |  | 0
Derivative, Notional Amount |  | (100,000) |  | (100,000) |  | 0
Notional Amount of Derivative Instruments Added |  |  |  | 400,000 |  |
Notional Amount of Derivative Instruments Maturing, Settled, Terminated, or Paired-Off |  |  |  | (300,000) |  |
Not Designated as Hedging Instrument, Trading | Long [Member] | TBA securities |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative assets, fair value |  | 871 |  | 871 |  | 1,483
Derivative liabilities, fair value |  | (2,039) |  | (2,039) |  | 0
Derivative, Notional Amount | [5] | (761,000) |  | (761,000) |  | (795,000)
Notional Amount of Derivative Instruments Added |  |  |  | 7,857,000 |  |
Notional Amount of Derivative Instruments Maturing, Settled, Terminated, or Paired-Off |  |  |  | 7,891,000 |  |
Maturity in three years or less | Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest rate swaps |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative, Notional Amount | [1] | $ (1,520,000) |  | $ (1,520,000) |  | $ (3,320,000)
Derivative, Average Fixed Interest Rate |  | 2.01% |  | 2.01% |  | 1.35%
Derivative, Average Remaining Maturity |  |  |  | 1 year 4 months 24 days |  | 8 months 12 days
Derivative, Fair Value, Net | [3] | $ 694 |  | $ 694 |  | $ 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] | $ (1,290,000) |  | $ (1,290,000) |  | $ (1,210,000)
Derivative, Average Fixed Interest Rate |  | 2.10% |  | 2.10% |  | 2.00%
Derivative, Average Remaining Maturity |  |  |  | 4 years 1 month 6 days |  | 4 years 7 months 6 days
Derivative, Fair Value, Net | [3] | $ 0 |  | $ 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] | $ (1,150,000) |  | $ (1,150,000) |  | $ (1,025,000)
Derivative, Average Fixed Interest Rate |  | 2.61% |  | 2.61% |  | 2.49%
Derivative, Average Remaining Maturity |  |  |  | 7 years 10 months 24 days |  | 8 years
Derivative, Fair Value, Net | [3] | $ 0 |  | $ 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) |  | $ (220,000) |  | $ (120,000)
Derivative, Average Fixed Interest Rate |  | 2.81% |  | 2.81% |  | 2.75%
Derivative, Average Remaining Maturity |  |  |  | 22 years 2 months 12 days |  | 17 years 3 months 18 days
Derivative, Fair Value, Net | [3] | $ 0 |  | $ 0 |  | $ 0
[1] | The net notional amounts included in the tables above represent pay-fixed interest rate swaps, net of any receive-fixed interest rate swaps, and include $1,525,000 and $2,655,000 of pay-fixed forward starting interest rate swaps as of September 30, 2018 and December 31, 2017, respectively.
[2] | Excluding forward starting pay-fixed interest rate swaps, the weighted average pay rate was 1.66% and 1.36% as of September 30, 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 during the period indicated.
[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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