XML 33 R17.htm IDEA: XBRL DOCUMENT
v3.10.0.1

Derivatives (Tables) | 9 Months Ended
--- | ---
Sep. 30, 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 |  | September 30, 2018 |  | December 31, 2017
Interest rate swaps |  | Derivative assets |  | Economic hedging |  | $ | 694 |  |  | $ | 791 |
Eurodollar futures |  | Derivative assets |  | Economic hedging |  | — |  |  | 666 |
TBA securities |  | Derivative assets |  | Trading |  | 871 |  |  | 1,483 |
Call Options on U.S. Treasury futures |  | Derivative assets |  | Trading |  | 328 |  |  | — |
Put Options on U.S. Treasury futures |  | Derivative assets |  | Trading |  | 719 |  |  | — |
|  |  |  |  |  | $ | 2,612 |  |  | $ | 2,940 |
TBA securities |  | Derivative liabilities |  | Trading |  | $ | (2,039 | ) |  | $ | — |
TBA securities |  | Derivative liabilities |  | Economic hedging |  | — |  |  | (269 | )
|  |  |  |  |  | $ | (2,039 | ) |  | $ | (269 | )
Schedule of Derivative Instruments | The following tables present information about the Company’s interest rate swaps as of the dates indicated:
|  | September 30, 2018
|  |  |  | Weighted-Average: |  |
Years to Maturity: |  | Net Notional Amount (1) |  | Pay Rate (2) |  | Life Remaining (in Years) |  | Fair Value (3)
< 3 years |  | $ | 1,520,000 |  |  | 2.01 | % |  | 1.4 |  | $ | 694 |
>3 and < 6 years |  | 1,290,000 |  |  | 2.10 | % |  | 4.1 |  | — |
>6 and < 10 years |  | 1,150,000 |  |  | 2.61 | % |  | 7.9 |  | — |
>10 years |  | 220,000 |  |  | 2.81 | % |  | 22.2 |  | — |
Total |  | $ | 4,180,000 |  |  | 2.24 | % |  | 5.1 |  | $ | 694 |
|  | 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 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.
The following table summarizes information about the Company's TBA securities as of the dates indicated:
|  | September 30, 2018
TBA Securities: |  | Notional Amount (1) |  | Implied Cost Basis (2) |  | Implied Market Value (3) |  | Net Carrying Value (4)
Dollar roll positions |  | $ | 761,000 |  |  | $ | 780,865 |  |  | $ | 779,697 |  |  | $ | (1,168 | )
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 September 30, 2018
Receive-fixed interest rate swaps |  | $ | 100,000 |  |  | $ | — |  |  | $ | (100,000 | ) |  | $ | — |
Pay-fixed interest rate swaps |  | 5,775,000 |  |  | 955,000 |  |  | (2,550,000 | ) |  | 4,180,000 |
Eurodollar futures (1) |  | 1,950,000 |  |  | — |  |  | (1,950,000 | ) |  | — |
TBA dollar roll positions |  | 795,000 |  |  | 7,857,000 |  |  | (7,891,000 | ) |  | 761,000 |
TBA economic hedges |  | 150,000 |  |  | — |  |  | (150,000 | ) |  | — |
Call Options on U.S. Treasury futures |  | — |  |  | 100,000 |  |  | — |  |  | 100,000 |
Put Options on U.S. Treasury futures |  | — |  |  | 400,000 |  |  | (300,000 | ) |  | 100,000 |
Derivative Instruments, Gain (Loss) | The table below provides detail of the Company’s “gain (loss) on derivative instruments, net” by type of derivative for the periods indicated:
|  | Three Months Ended |  | Nine Months Ended
|  | September 30, |  | September 30,
Type of Derivative Instrument |  | 2018 |  | 2017 |  | 2018 |  | 2017
Receive-fixed interest rate swaps |  | $ | (153 | ) |  | $ | (99 | ) |  | $ | (1,658 | ) |  | $ | 746 |
Pay-fixed interest rate swaps |  | 25,172 |  |  | (611 | ) |  | 95,491 |  |  | (18,799 | )
Eurodollar futures |  | (189 | ) |  | — |  |  | 1,886 |  |  | — |
TBA dollar roll positions |  | (5,204 | ) |  | 6,703 |  |  | (18,256 | ) |  | 8,419 |
TBA economic hedges |  | — |  |  | — |  |  | 293 |  |  | — |
Call Options on U.S. Treasury futures |  | 148 |  |  | — |  |  | 148 |  |  | — |
Put Options on U.S. Treasury futures |  | (275 | ) |  | — |  |  | 616 |  |  | — |
Gain (loss) on derivative instruments, net |  | $ | 19,499 |  |  | $ | 5,993 |  |  | $ | 78,520 |  |  | $ | (9,634 | )
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
September 30, 2018 |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps | $ | 694 |  |  | $ | — |  |  | $ | 694 |  |  | $ | — |  |  | $ | — |  |  | $ | 694 |
Eurodollar Futures | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
TBA securities | 871 |  |  | — |  |  | 871 |  |  | (346 | ) |  | (123 | ) |  | 402 |
Options on U.S. Treasury futures | 1,047 |  |  | — |  |  | 1,047 |  |  | (1,047 | ) |  | — |  |  | — |
Derivative assets | $ | 2,612 |  |  | $ | — |  |  | $ | 2,612 |  |  | $ | (1,393 | ) |  | $ | (123 | ) |  | $ | 1,096 |
December 31, 2017 |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps | $ | 791 |  |  | $ | — |  |  | $ | 791 |  |  | $ | — |  |  | $ | — |  |  | $ | 791 |
Eurodollar Futures | 666 |  |  | — |  |  | 666 |  |  | — |  |  | (666 | ) |  | — |
TBA securities | 1,483 |  |  | — |  |  | 1,483 |  |  | (180 | ) |  | — |  |  | 1,303 |
Options on U.S. Treasury futures | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
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
September 30, 2018 |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
TBA securities | 2,039 |  |  | — |  |  | 2,039 |  |  | (346 | ) |  | (873 | ) |  | 820 |
Derivative liabilities | $ | 2,039 |  |  | $ | — |  |  | $ | 2,039 |  |  | $ | (346 | ) |  | $ | (873 | ) |  | $ | 820 |
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.

X
- Definition Line items represent financial concepts included in a table. These concepts are used to disclose reportable information associated with domain members defined in one or many axes to the table. + References No definition available. + Details
Name: | us-gaap_DerivativeLineItems
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of derivative and other financial assets that are subject to offsetting, including master netting arrangements. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 210 -SubTopic 20 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=51824906&loc=SL20225862-175312 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 210 -SubTopic 20 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=51824906&loc=SL20225877-175312 + Details
Name: | us-gaap_OffsettingAssetsTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of derivative and other financial liabilities that are subject to offsetting, including master netting arrangements. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 210 -SubTopic 20 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=51824906&loc=SL20225877-175312 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 210 -SubTopic 20 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=51824906&loc=SL20225862-175312 + Details
Name: | us-gaap_OffsettingLiabilitiesTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position. + References Reference 1: 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 + Details
Name: | us-gaap_ScheduleOfDerivativeInstrumentsInStatementOfFinancialPositionFairValueTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of gains and losses on derivative instruments included in an entity's trading activities. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 55 -Paragraph 184 -URI http://asc.fasb.org/extlink&oid=95459573&loc=SL5634876-113961 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4F -Subparagraph (a),(b) -URI http://asc.fasb.org/extlink&oid=84234895&loc=SL5624186-113959 + Details
Name: | us-gaap_ScheduleOfDerivativeInstrumentsIncludedInTradingActivitiesTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- 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
Name: | us-gaap_ScheduleOfDerivativeInstrumentsTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of the notional amounts of outstanding derivative positions. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -Subparagraph (d) -URI http://asc.fasb.org/extlink&oid=84234895&loc=SL5579245-113959 + Details
Name: | us-gaap_ScheduleOfNotionalAmountsOfOutstandingDerivativePositionsTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration