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Derivative Instruments | 12 Months Ended
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Dec. 31, 2018
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative Instruments | Derivative Instruments Interest Rate Derivatives—We are exposed to risks arising from our business operations, economic conditions and financial markets. To manage these risks, we primarily use interest rate derivatives to hedge our debt and our cash flows. The interest rate derivatives include interest rate caps and interest rate floors, which are subject to master netting settlement arrangements. All derivatives are recorded at fair value. During the years ended December 31, 2018, 2017 and 2016, we entered into interest rate derivatives as summarized in the table below (in thousands):
| Year Ended December 31,
Interest rate caps | 2018 |  | 2017 |  | 2016
Notional amount (in thousands) | $ | 727,000 |  |  | $ | 844,200 |  |  | $ | 224,500 |
Strike rate low end of range | 2.43 | % |  | 3.00 | % |  | 5.43 | %
Strike rate high end of range | 7.80 | % |  | 11.61 | % |  | 5.78 | %
Effective date range | February 2018 - December 2018 |  |  | January 2017 - December 2017 |  |  | March 2016 - December 2016 |
Termination date range | March 2019 - June 2020 |  |  | March 2018 - September 2019 |  |  | March 2017 - December 2017 |
Total cost of interest rate caps (in thousands) | $ | 362 |  |  | $ | 375 |  |  | $ | 13 |
Interest rate floors |  |  |  |  |
Notional amount (in thousands) | $ | 4,000,000 |  |  | $ | 3,850,000 |  |  | $ | — |
Strike rate low end of range | 1.38 | % |  | 1.00 | % |  | — | %
Strike rate high end of range | 2.00 | % |  | 1.50 | % |  | — | %
Effective date | July 2018 |  |  | September 2017 - December 2017 |  |  | n/a |
Termination date range | June 2019 - September 2019 |  |  | March 2019 - June 2019 |  |  | n/a |
Total cost of interest rate floors (in thousands) | $ | 138 |  |  | $ | 140 |  |  | $ | — |
_______________ No instruments were designated as cash flow hedges Interest rate derivatives consisted of the following (in thousands):
Interest rate caps (1) | December 31, 2018 |  | December 31, 2017
Notional amount (in thousands) | $ | 1,292,500 |  |  | $ | 887,700 |
Strike rate minimum | 2.43 | % |  | 2.00 | %
Strike rate maximum | 11.61 | % |  | 11.61 | %
Effective date range | January 2017 - December 2018 |  |  | December 2015 - December 2017 |
Termination date range | January 2019 - June 2020 |  |  | January 2018 - September 2019 |
Aggregate principal balance on corresponding mortgage loans (in thousands) | $ | 805,500 |  |  | $ | 818,138 |
Interest rate floors (1) (2) |  |  |
Notional amount (in thousands) | $ | 10,850,000 |  |  | $ | 6,850,000 |
Strike rate low end of range | (0.25 | )% |  | (0.25 | )%
Strike rate high end of range | 2.00 | % |  | 1.50 | %
Effective date range | July 2015 - July 2018 |  |  | July 2015 - December 2017 |
Termination date range | March 2019 - July 2020 |  |  | March 2019 - July 2020 |
_______________
(1) | No instruments were designated as cash flow hedges
(2) | Cash collateral is posted by us as well as our counterparties. We offset the fair value of the derivative and the obligation/right to return/reclaim cash collateral.
Credit Default Swap Derivatives—We use credit default swaps, tied to the CMBX index, to hedge financial and capital market risk. A credit default swap is a derivative contract that functions like an insurance policy against the credit risk of an entity or obligation. The seller of protection assumes the credit risk of the reference obligation from the buyer (us) of protection in exchange for annual premium payments. If a default or a loss, as defined in the credit default swap agreements, occurs on the underlying bonds, then the buyer of protection is protected against those losses. The only liability for us, the buyer, is the annual premium and any change in value of the underlying CMBX index (if the trade is terminated prior to maturity). For all CMBX trades completed to date, we were the buyer of protection. Credit default swaps are subject to master-netting settlement arrangements and credit support annexes. As of December 31, 2018, we held a credit default swap with a notional amount of $50.0 million, an effective date of August 2017 and an expected maturity date of October 2026. Assuming the underlying bonds pay off at par over their remaining average life, our estimated total exposure for these trades was approximately $2.5 million as of December 31, 2018. Cash collateral is posted by us as well as our counterparties. We offset the fair value of the derivative and the obligation/right to return/reclaim cash collateral. The change in market value of credit default swaps is settled net through posting cash collateral or reclaiming cash collateral between us and our counterparties when such change in market value is over $250,000. Options on Futures Contracts—During the year ended December 31, 2016, we purchased an option on Eurodollar futures for a total cost of $124,000 and a maturity date of June 2017. During the years ended December 31, 2018 and 2017, we made no such purchases.

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- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI http://asc.fasb.org/topic&trid=2229140 + Details
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