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Derivatives (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended |
--- | --- | --- | ---
Jun. 30, 2019 | Jun. 30, 2018 | Jun. 30, 2019 | Jun. 30, 2018 | Dec. 31, 2018
Derivative [Line Items] |  |  |  |  |  |
Variation margin |  | $ (50,907) |  | $ (50,907) |  | $ 8,424
Derivative assets, fair value |  | 342 |  | 342 |  | 6,563
Derivative liabilities, fair value |  | (207) |  | (207) |  | $ (1,218)
Gain (loss) on derivative instruments, net |  | $ (117,535) | $ 20,667 | $ (179,233) | $ 59,021 |
Derivative, Average Fixed Interest Rate, Current Effective |  | 2.04% |  | 2.04% |  | 2.29%
Interest rate swaps |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  |  | 20,571 |  | 68,814 |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  | $ (124,213) |  | $ (195,978) |  |
Forward starting interest rate swap |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative, Notional Amount |  | 0 |  | 0 |  | $ (775,000)
Eurodollar futures |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  |  | 170 |  | 2,075 |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  | (102) |  | (102) |  |
U.S. Treasury futures |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  | 0 | 0 | (109) | 0 |
Options on U.S. Treasury futures |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  |  | 891 |  | 891 |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  | 0 |  | 0 |  |
Long [Member] | TBA securities |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  | 6,780 |  | 16,956 |  |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  |  | (965) |  | (13,052) |
Short [Member] | TBA securities |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  | 0 | $ 0 | 0 | $ 293 |
Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest rate swaps |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative assets, fair value | [1] | 0 |  | 0 |  | 324
Derivative, Notional Amount | [2] | $ (3,500,000) |  | (3,500,000) |  | $ (4,515,000)
Notional Amount of Derivative Instruments Added |  |  |  | 2,955,000 |  |
Notional Amount of Derivative Instruments Maturing, Settled, Terminated, or Paired-Off |  |  |  | $ (3,970,000) |  |
Derivative, Average Fixed Interest Rate | [3] | 2.04% |  | 2.04% |  | 2.35%
Derivative, Average Remaining Maturity |  |  |  | 5 years 10 months 24 days | 5 years 6 months |
Not Designated as Hedging Instrument, Economic Hedge [Member] | Eurodollar futures |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative liabilities, fair value |  | $ (102) |  | $ (102) |  | $ 0
Derivative, Notional Amount |  | (3,000,000) |  | (3,000,000) |  | 0
Notional Amount of Derivative Instruments Added |  |  |  | 3,000,000 |  |
Notional Amount of Derivative Instruments Maturing, Settled, Terminated, or Paired-Off |  |  |  | 0 |  |
Not Designated as Hedging Instrument, Economic Hedge [Member] | U.S. Treasury futures |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative liabilities, fair value |  | 0 |  | 0 |  | (1,218)
Derivative, Notional Amount |  | 0 |  | 0 |  | (50,000)
Notional Amount of Derivative Instruments Added |  |  |  | 0 |  |
Notional Amount of Derivative Instruments Maturing, Settled, Terminated, or Paired-Off |  |  |  | (50,000) |  |
Not Designated as Hedging Instrument, Trading | Long [Member] | TBA securities |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative assets, fair value |  | 342 |  | 342 |  | 6,239
Derivative liabilities, fair value |  | (105) |  | (105) |  | 0
Derivative, Notional Amount |  | (370,000) |  | (370,000) |  | (860,000)
Notional Amount of Derivative Instruments Added |  |  |  | 4,830,000 |  |
Notional Amount of Derivative Instruments Maturing, Settled, Terminated, or Paired-Off |  |  |  | (5,320,000) |  |
Maturity in three years or less | Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest rate swaps |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative, Notional Amount | [2] | $ (1,150,000) |  | $ (1,150,000) |  | $ (1,560,000)
Derivative, Average Fixed Interest Rate |  | 1.76% |  | 1.76% |  | 1.96%
Derivative, Average Remaining Maturity |  |  |  | 1 year 3 months 18 days | 1 year 4 months 24 days |
Maturity between 3 and 6 years | Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest rate swaps |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative, Notional Amount | [2] | $ (910,000) |  | $ (910,000) |  | $ (1,230,000)
Derivative, Average Fixed Interest Rate |  | 2.15% |  | 2.15% |  | 2.23%
Derivative, Average Remaining Maturity |  |  |  | 3 years 6 months | 4 years 4 months 24 days |
Maturity between 6 and 10 years | Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest rate swaps |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative, Notional Amount | [2] | $ (1,320,000) |  | $ (1,320,000) |  | $ (1,505,000)
Derivative, Average Fixed Interest Rate |  | 2.14% |  | 2.14% |  | 2.80%
Derivative, Average Remaining Maturity |  |  |  | 9 years 6 months | 8 years 3 months 18 days |
Maturity greater than 10 years [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest rate swaps |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative, Notional Amount | [2] | $ (120,000) |  | $ (120,000) |  | $ (220,000)
Derivative, Average Fixed Interest Rate |  | 2.84% |  | 2.84% |  | 2.81%
Derivative, Average Remaining Maturity |  |  |  | 28 years 2 months 12 days | 21 years 10 months 24 days |
[1] | Amounts shown as of June 30, 2019 and December 31, 2018 are net of $(50,907) paid and $8,424 received, respectively, in variation margin which is recorded on the Company’s consolidated balance sheets within “restricted cash”. As of June 30, 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.
[2] | 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.
[3] | 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.

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