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Derivatives (Tables) | 6 Months Ended
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Jun. 30, 2019
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 |  | June 30, 2019 |  | December 31, 2018
Interest rate swaps (1) |  | Derivative assets |  | Economic hedging |  | $ | — |  |  | $ | 324 |
TBA securities |  | Derivative assets |  | Trading |  | 342 |  |  | 6,239 |
|  |  |  |  |  | $ | 342 |  |  | $ | 6,563 |
Eurodollar futures |  | Derivative liabilities |  | Economic hedging |  | $ | (102 | ) |  | $ | — |
TBA securities |  | Derivative liabilities |  | Trading |  | (105 | ) |  | — |
U.S. Treasury futures |  | Derivative liabilities |  | Economic hedging |  | — |  |  | (1,218 | )
|  |  |  |  |  | $ | (207 | ) |  | $ | (1,218 | )
Derivative Instruments, Gain (Loss) | The table below provides detail of the Company’s “(loss) gain on derivative instruments, net” by type of derivative for the periods indicated:
|  | Three Months Ended |  | Six Months Ended
|  | June 30, |  | June 30,
Type of Derivative Instrument |  | 2019 |  | 2018 |  | 2019 |  | 2018
Interest rate swaps |  | $ | (124,213 | ) |  | 20,571 |  |  | $ | (195,978 | ) |  | 68,814 |
Eurodollar futures |  | (102 | ) |  | 170 |  |  | (102 | ) |  | 2,075 |
U.S. Treasury futures |  | — |  |  | — |  |  | (109 | ) |  | — |
Options on U.S. Treasury futures |  | — |  |  | 891 |  |  | — |  |  | 891 |
TBA dollar roll positions |  | 6,780 |  |  | (965 | ) |  | 16,956 |  |  | (13,052 | )
TBA economic hedges |  | — |  |  | — |  |  | — |  |  | 293 |
(Loss) gain on derivative instruments, net |  | $ | (117,535 | ) |  | $ | 20,667 |  |  | $ | (179,233 | ) |  | $ | 59,021 |
Schedule of Derivative Instruments | The following tables present information about the Company’s interest rate swaps as of the dates indicated:
|  | June 30, 2019
|  |  |  | Weighted-Average:
Years to Maturity: |  | Notional Amount (1) |  | Pay Rate (2) |  | Life Remaining (in Years)
< 3 years |  | $ | 1,150,000 |  |  | 1.76 | % |  | 1.3
>3 and < 6 years |  | 910,000 |  |  | 2.15 | % |  | 3.5
>6 and < 10 years |  | 1,320,000 |  |  | 2.14 | % |  | 9.5
>10 years |  | 120,000 |  |  | 2.84 | % |  | 28.2
Total |  | $ | 3,500,000 |  |  | 2.04 | % |  | 5.9
|  | December 31, 2018
|  |  |  | Weighted-Average:
Years to Maturity: |  | Notional Amount (1) |  | Pay Rate (2) |  | Life Remaining (in Years)
< 3 years |  | $ | 1,560,000 |  |  | 1.96 | % |  | 1.4
>3 and < 6 years |  | 1,230,000 |  |  | 2.23 | % |  | 4.4
>6 and < 10 years |  | 1,505,000 |  |  | 2.80 | % |  | 8.3
>10 years |  | 220,000 |  |  | 2.81 | % |  | 21.9
Total |  | $ | 4,515,000 |  |  | 2.35 | % |  | 5.5
(1) | The notional amounts include $0 and $775,000 of forward starting pay-fixed interest rate swaps as of June 30, 2019 and December 31, 2018, respectively.
(2) | Excluding forward starting pay-fixed interest rate swaps, the weighted average pay rate was 2.04% and 2.29% as of June 30, 2019 and December 31, 2018, respectively.
TBA Securities The following table summarizes information about the Company's TBA securities as of the dates indicated:
| June 30, 2019 |  | December 31, 2018
Implied market value (1) | $ | 374,688 |  |  | $ | 888,469 |
Implied cost basis (2) | 374,451 |  |  | 882,230 |
Net carrying value (3) | $ | 237 |  |  | $ | 6,239 |
(1) | Implied market value represents the estimated fair value of the underlying Agency MBS as if settled as of the date indicated.
(2) | Implied cost basis represents the forward price to be paid for the underlying Agency MBS as if settled as of the date indicated.
(3) 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 date indicated.
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, 2018 |  | Additions |  | Settlements, Terminations, or Pair-Offs |  | Notional Amount as of June 30, 2019
Interest rate swaps |  | $ | 4,515,000 |  |  | $ | 2,955,000 |  |  | $ | (3,970,000 | ) |  | $ | 3,500,000 |
Eurodollar futures |  | — |  |  | 3,000,000 |  |  | — |  |  | 3,000,000 |
TBA dollar roll positions |  | 860,000 |  |  | 4,830,000 |  |  | (5,320,000 | ) |  | 370,000 |
U.S. Treasury futures |  | 50,000 |  |  | — |  |  | (50,000 | ) |  | — |
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
June 30, 2019 |  |  |  |  |  |  |  |  |  |  |
TBA securities | 342 |  |  | — |  |  | 342 |  |  | — |  |  | — |  |  | 342 |
Derivative assets | $ | 342 |  |  | $ | — |  |  | $ | 342 |  |  | $ | — |  |  | $ | — |  |  | $ | 342 |
December 31, 2018 |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps | $ | 324 |  |  | $ | — |  |  | $ | 324 |  |  | $ | — |  |  | $ | — |  |  | $ | 324 |
TBA securities | 6,239 |  |  | — |  |  | 6,239 |  |  | — |  |  | (1,719 | ) |  | 4,520 |
Derivative assets | $ | 6,563 |  |  | $ | — |  |  | $ | 6,563 |  |  | $ | — |  |  | $ | (1,719 | ) |  | $ | 4,844 |
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
June 30, 2019 |  |  |  |  |  |  |  |  |  |  |
TBA securities | 105 |  |  | — |  |  | 105 |  |  | — |  |  | (47 | ) |  | 58 |
Eurodollar Futures | 102 |  |  | — |  |  | 102 |  |  | — |  |  | — |  |  | 102 |
Derivative liabilities | $ | 207 |  |  | $ | — |  |  | $ | 207 |  |  | $ | — |  |  | $ | (47 | ) |  | $ | 160 |
December 31, 2018 |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury futures | 1,218 |  |  | — |  |  | 1,218 |  |  | — |  |  | (1,218 | ) |  | — |
Derivative liabilities | $ | 1,218 |  |  | $ | — |  |  | $ | 1,218 |  |  | $ | — |  |  | $ | (1,218 | ) |  | $ | — |
(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 derivative 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. Please refer to the consolidated balance sheets for the total cash posted as collateral, which is recorded as "restricted cash", and the total fair value of financial instruments pledged as collateral for derivatives and repurchase agreements, which is shown parenthetically.

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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://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5624163-113959 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1B -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5580258-113959 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=109980867&loc=d3e41620-113959 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5579245-113959 Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=109980867&loc=d3e41638-113959 Reference 6: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 8 -URI http://asc.fasb.org/extlink&oid=109980867&loc=d3e41678-113959 Reference 7: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 5 -URI http://asc.fasb.org/extlink&oid=109980867&loc=d3e41641-113959 Reference 8: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5624171-113959 Reference 9: http://fasb.org/us-gaap/role/ref/legacyRef -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 Reference 10: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5579240-113959 + Details
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