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Derivatives (Tables) | 12 Months Ended
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Dec. 31, 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 |  | December 31, 2019 |  | December 31, 2018
Interest rate swaps (1) |  | Derivative assets |  | Economic hedging |  | $ | — |  |  | $ | 324 |
Interest rate swaptions |  | Derivative assets |  | Economic hedging |  | 573 |  |  | — |
Options on U.S. Treasury futures |  | Derivative assets |  | Economic hedging |  | 2,883 |  |  | — |
TBA securities - long positions |  | Derivative assets |  | Investing |  | 834 |  |  | 6,239 |
|  |  |  |  |  | $ | 4,290 |  |  | $ | 6,563 |
TBA securities - short positions |  | Derivative liabilities |  | Economic hedging |  | $ | (974) |  |  | $ | — |
U.S. Treasury futures |  | Derivative liabilities |  | Economic hedging |  | — |  |  | (1,218) |
|  |  |  |  |  | $ | (974) |  |  | $ | (1,218) |
(1) Amounts shown as of December 31, 2019 and December 31, 2018 are net of $(9,265) paid and $8,424 received, respectively, in variation margin which is recorded on the Company’s consolidated balance sheets within “restricted cash.” As of December 31, 2019, all 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 amount shown as of December 31, 2018 is the unsettled fair value of the instruments subject to bilateral agreements and not centrally cleared through the CME as of that date.
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:
|  | Year Ended |  |  |  |  |
|  | December 31, |  |  |  |  |
Type of Derivative Instrument |  | 2019 |  | 2018 |  | 2017 |
Interest rate swaps |  | $ | (202,450) |  |  | $ | 10,363 |  |  | $ | (2,632) |  |
Interest rate swaptions |  | (5,607) |  |  | — |  |  | — |  |
Eurodollar futures |  | 2,359 |  |  | 1,887 |  |  | 821 |  |
U.S. Treasury futures |  | (109) |  |  | (4,609) |  |  | — |  |
Options on U.S. Treasury futures |  | (1,422) |  |  | (658) |  |  | — |  |
TBA securities - long positions |  | 20,020 |  |  | (10,737) |  |  | 5,757 |  |
TBA securities - short positions |  | 260 |  |  | 293 |  |  | (902) |  |
(Loss) gain on derivative instruments, net |  | $ | (186,949) |  |  | $ | (3,461) |  |  | $ | 3,044 |  |
Schedule of Derivative Instruments | The following tables present information about the Company’s interest rate swaps as of the dates indicated:
|  | December 31, 2019 |  |  |  |
|  |  |  | Weighted-Average |  |
Years to Maturity: |  | Notional Amount |  | Pay Rate |  | Life Remaining (in Years)
< 3 years |  | $ | 2,860,000 |  |  | 1.58 | % |  | 1.5
>3 and < 6 years |  | 700,000 |  |  | 1.43 | % |  | 4.7
>6 and < 10 years |  | 545,000 |  |  | 1.78 | % |  | 9.4
>10 years |  | 120,000 |  |  | 2.84 | % |  | 27.7
Total |  | $ | 4,225,000 |  |  | 1.62 | % |  | 3.8
|  | December 31, 2018 |  |  |  |
|  |  |  | Weighted-Average |  |
Years to Maturity: |  | Notional Amount |  | Pay Rate |  | 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
Options The following table presents information about the Company’s options outstanding as of December 31, 2019:(1)
| December 31, 2019 |  |  |  |  |  |  |  |  |  |
| Option |  |  |  |  |  | Underlying Instrument |  |  |  |
| Cost Basis |  | Fair Value |  | Maturity Date |  | Notional Amount |  | Rate (2) |  | Term in Years
Pay-fixed interest rate swaptions | $ | 6,180 |  |  | $ | 573 |  |  | January 16, 2020 |  | $ | 750,000 |  |  | 2.07 | % |  | 10.0
Options on U.S. Treasury futures | 4,359 |  |  | 2,883 |  |  | Febuary 21, 2020 |  | 1,350,000 |  |  | n/a |  |  | 10.0
Total | $ | 10,539 |  |  | $ | 3,456 |  |  |  |  | $ | 2,100,000 |  |  |  |  |
(1) The Company did not have any options as of December 31, 2018. (2) Weighted average based on notional amount of the underlying instrument. TBA Securities The following table summarizes information about the Company's TBA securities as of the dates indicated:
| December 31, 2019 |  |  |  | December 31, 2018 |  |
| Long Positions |  |  | Short Positions |  |  | Long Positions |  |  | Short Positions |
Implied market value (1) | $ | 442,161 |  |  | $ | (520,117) |  |  | $ | 888,469 |  |  | $ | — |
Implied cost basis (2) | 441,327 |  |  | (519,143) |  |  | 882,230 |  |  | — |
Net carrying value (3) | $ | 834 |  |  | $ | (974) |  |  | $ | 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 December 31, 2019
Interest rate swaps |  | $ | 4,515,000 |  |  | $ | 6,560,000 |  |  | $ | (6,850,000) |  |  | $ | 4,225,000 |
Interest rate swaptions |  | — |  |  | 1,500,000 |  |  | (750,000) |  |  | 750,000 |
Eurodollar futures |  | — |  |  | 9,000,000 |  |  | (9,000,000) |  |  | — |
U.S. Treasury futures |  | 50,000 |  |  | — |  |  | (50,000) |  |  | — |
Options on U.S. Treasury futures |  | — |  |  | 1,350,000 |  |  | — |  |  | 1,350,000 |
TBA long positions |  | 860,000 |  |  | 7,615,000 |  |  | (8,040,000) |  |  | 435,000 |
TBA short positions |  | — |  |  | 1,800,000 |  |  | (2,300,000) |  |  | (500,000) |
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 |  |
December 31, 2019 |  |  |  |  |  |  |  |  |  |  |
Interest rate swaptions | $ | 573 |  |  | $ | — |  |  | $ | 573 |  |  | $ | — |  |  | $ | — |  |  | $ | 573 |
Options on U.S. Treasury future | 2,883 |  |  | — |  |  | 2,883 |  |  | — |  |  | — |  |  | 2,883 |
TBA securities-long positions | 834 |  |  | — |  |  | 834 |  |  | (380) |  |  | — |  |  | 454 |
Derivative assets | $ | 4,290 |  |  | $ | — |  |  | $ | 4,290 |  |  | $ | (380) |  |  | $ | — |  |  | $ | 3,910 |
December 31, 2018 |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps | $ | 324 |  |  | $ | — |  |  | $ | 324 |  |  | $ | — |  |  | $ | — |  |  | $ | 324 |
TBA securities-long positions | 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 |  |
December 31, 2019 |  |  |  |  |  |  |  |  |  |  |
TBA securities-short positions | (974) |  |  | — |  |  | (974) |  |  | 380 |  |  | — |  |  | (594) |
Derivative liabilities | $ | (974) |  |  | $ | — |  |  | $ | (974) |  |  | $ | 380 |  |  | $ | — |  |  | $ | (594) |
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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