XML 17 R69.htm IDEA: XBRL DOCUMENT v3.19.3
Other Assets (Derivative Instruments) (Details) - USD ($)
$ in Thousands
3 Months Ended 9 Months Ended
Sep. 30, 2019
Sep. 30, 2018
Sep. 30, 2019
Sep. 30, 2018
Dec. 31, 2018
AOCI from derivative hedging instruments:          
Balance at beginning of period $ (28,114) $ 16,160 $ 3,121 $ (11,424)  
Net (loss)/gain on Swaps (233) 5,390 (30,384) 32,974  
Amortization of de-designated hedging instruments, net (685) 0 (1,769) 0  
Balance at end of period (29,032) 21,550 (29,032) 21,550  
Interest Rate Contract          
Derivative [Line Items]          
Assets pledged 25,728   25,728   $ 32,803
Swaps, at fair value          
Derivative [Line Items]          
Aggregate notional amount of derivatives $ 3,152,000   $ 3,152,000   $ 3,217,000
Weighted average fixed-pay rate 2.25%   2.25%   2.42%
Weighted Average Variable Interest Rate 2.09%   2.09%   2.56%
Interest (expense)/income attributable to Swaps $ (322) $ (547) $ 1,561 $ (4,187)  
Weighted average Swap rate paid 2.29% 2.19% 2.32% 2.09%  
Weighted average Swap rate received 2.24% 2.09% 2.40% 1.86%  
Swaps, at fair value | Within 30 days          
Derivative [Line Items]          
Aggregate notional amount of derivatives $ 0   $ 0   $ 0
Weighted average fixed-pay rate 0.00%   0.00%   0.00%
Weighted Average Variable Interest Rate 0.00%   0.00%   0.00%
Swaps, at fair value | Over 30 days to 3 months          
Derivative [Line Items]          
Aggregate notional amount of derivatives $ 0   $ 0   $ 100,000
Weighted average fixed-pay rate 0.00%   0.00%   1.71%
Weighted Average Variable Interest Rate 0.00%   0.00%   2.50%
Swaps, at fair value | Over 3 months to 6 months          
Derivative [Line Items]          
Aggregate notional amount of derivatives $ 0   $ 0   $ 100,000
Weighted average fixed-pay rate 0.00%   0.00%   1.71%
Weighted Average Variable Interest Rate 0.00%   0.00%   2.50%
Swaps, at fair value | Over 6 months to 12 months          
Derivative [Line Items]          
Aggregate notional amount of derivatives $ 1,630,000   $ 1,630,000   $ 0
Weighted average fixed-pay rate 2.27%   2.27%   0.00%
Weighted Average Variable Interest Rate 2.06%   2.06%   0.00%
Swaps, at fair value | Over 12 months to 24 months          
Derivative [Line Items]          
Aggregate notional amount of derivatives $ 800,000   $ 800,000   $ 1,630,000
Weighted average fixed-pay rate 1.73%   1.73%   2.27%
Weighted Average Variable Interest Rate 2.12%   2.12%   2.50%
Swaps, at fair value | Over 24 months to 36 months          
Derivative [Line Items]          
Aggregate notional amount of derivatives $ 500,000   $ 500,000   $ 800,000
Weighted average fixed-pay rate 2.73%   2.73%   2.57%
Weighted Average Variable Interest Rate 2.13%   2.13%   2.64%
Swaps, at fair value | Over 36 months to 48 months          
Derivative [Line Items]          
Aggregate notional amount of derivatives $ 182,000   $ 182,000   $ 0
Weighted average fixed-pay rate 2.83%   2.83%   0.00%
Weighted Average Variable Interest Rate 2.09%   2.09%   0.00%
Swaps, at fair value | Over 48 months to 60 months          
Derivative [Line Items]          
Aggregate notional amount of derivatives $ 40,000   $ 40,000   $ 417,000
Weighted average fixed-pay rate 3.11%   3.11%   2.88%
Weighted Average Variable Interest Rate 2.27%   2.27%   2.63%
Swaps, at fair value | Over 84 months          
Derivative [Line Items]          
Aggregate notional amount of derivatives $ 0   $ 0   $ 170,000
Weighted average fixed-pay rate 0.00%   0.00%   3.00%
Weighted Average Variable Interest Rate 0.00%   0.00%   2.66%
Swaps, at fair value | Hedging          
Derivative [Line Items]          
Aggregate notional amount of derivatives $ 3,200,000   $ 3,200,000    
Average maturity term of swaps     18 months    
Swaps, at fair value | Minimum | LIBOR          
Derivative [Line Items]          
Derivative, variable interest rate, term     1 month    
Swaps, at fair value | Maximum | Hedging          
Derivative [Line Items]          
Maximum maturity term of swaps     50 months    
Swaps, at fair value | Maximum | LIBOR          
Derivative [Line Items]          
Derivative, variable interest rate, term     3 months    
Swap | Non-Hedging          
Derivative [Line Items]          
Loss on derivative 929,000 $ 4,000 $ 17,300 $ 4,400  
Realized loss 3,700   17,700    
Agency MBS, at fair value | Interest Rate Contract          
Derivative [Line Items]          
Assets pledged 2,333   2,333   $ 2,735
Restricted cash | Interest Rate Contract          
Derivative [Line Items]          
Assets pledged $ 23,395   $ 23,395   $ 30,068