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v3.19.3.a.u2

(Derivative Instruments) (Details) - USD ($) $ in Thousands | 12 Months Ended
--- | ---
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017
Interest Rate Contract |  |  |
Derivative [Line Items] |  |  |
Assets Pledged | $ 19,018 | $ 32,803 |
Swaps, at fair value |  |  |
Derivative [Line Items] |  |  |
Notional Amount | $ 3,172,000 | $ 3,217,000 |
Average maturity term of swaps | 16 months |  |
Weighted average fixed-pay rate | 2.24% | 2.42% |
Weighted Average Variable Interest Rate | 1.81% | 2.56% |
Interest expense attributable to Swaps | $ 927 | $ 3,780 | $ 24,524
Weighted average Swap rate paid | 2.28% | 2.12% | 1.98%
Weighted average Swap rate received | 2.24% | 1.96% | 1.07%
Swaps, at fair value | Within 30 days |  |  |
Derivative [Line Items] |  |  |
Notional Amount | $ 0 | $ 0 |
Weighted average fixed-pay rate | 0.00% | 0.00% |
Weighted Average Variable Interest Rate | 0.00% | 0.00% |
Swaps, at fair value | Over 30 days to 3 months |  |  |
Derivative [Line Items] |  |  |
Notional Amount | $ 0 | $ 100,000 |
Weighted average fixed-pay rate | 0.00% | 1.71% |
Weighted Average Variable Interest Rate | 0.00% | 2.50% |
Swaps, at fair value | Over 3 months to 6 months |  |  |
Derivative [Line Items] |  |  |
Notional Amount | $ 200,000 | $ 100,000 |
Weighted average fixed-pay rate | 2.05% | 1.71% |
Weighted Average Variable Interest Rate | 1.70% | 2.50% |
Swaps, at fair value | Over 6 months to 12 months |  |  |
Derivative [Line Items] |  |  |
Notional Amount | $ 1,430,000 | $ 0 |
Weighted average fixed-pay rate | 2.30% | 0.00% |
Weighted Average Variable Interest Rate | 1.77% | 0.00% |
Swaps, at fair value | Over 12 months to 24 months |  |  |
Derivative [Line Items] |  |  |
Notional Amount | $ 1,300,000 | $ 1,630,000 |
Weighted average fixed-pay rate | 2.11% | 2.27% |
Weighted Average Variable Interest Rate | 1.86% | 2.50% |
Swaps, at fair value | Over 24 months to 36 months |  |  |
Derivative [Line Items] |  |  |
Notional Amount | $ 20,000 | $ 800,000 |
Weighted average fixed-pay rate | 1.38% | 2.57% |
Weighted Average Variable Interest Rate | 1.90% | 2.64% |
Swaps, at fair value | Over 36 months to 48 months |  |  |
Derivative [Line Items] |  |  |
Notional Amount | $ 222,000 | $ 0 |
Weighted average fixed-pay rate | 2.88% | 0.00% |
Weighted Average Variable Interest Rate | 1.84% | 0.00% |
Swaps, at fair value | Over 48 months to 60 months |  |  |
Derivative [Line Items] |  |  |
Notional Amount | $ 0 | $ 417,000 |
Weighted average fixed-pay rate | 0.00% | 2.88% |
Weighted Average Variable Interest Rate | 0.00% | 2.63% |
Swaps, at fair value | Over 84 months |  |  |
Derivative [Line Items] |  |  |
Notional Amount | $ 0 | $ 170,000 |
Weighted average fixed-pay rate | 0.00% | 3.00% |
Weighted Average Variable Interest Rate | 0.00% | 2.66% |
Swaps, at fair value | Hedging |  |  |
Derivative [Line Items] |  |  |
Notional Amount | $ 3,200,000 |  |
Swaps, at fair value | Minimum | LIBOR |  |  |
Derivative [Line Items] |  |  |
Derivative, variable interest rate, term | 1 month |  |
Swaps, at fair value | Maximum |  |  |
Derivative [Line Items] |  |  |
Maximum maturity term of swaps | 47 months |  |
Swaps, at fair value | Maximum | LIBOR |  |  |
Derivative [Line Items] |  |  |
Derivative, variable interest rate, term | 3 months |  |
Swaps | Non-Hedging |  |  |
Derivative [Line Items] |  |  |
Loss on derivative | $ 16,500 | $ 9,600 |
Realized loss | 17,700 |  |
Agency MBS, at fair value | Interest Rate Contract |  |  |
Derivative [Line Items] |  |  |
Assets Pledged | 2,241 | 2,735 |
Restricted cash | Interest Rate Contract |  |  |
Derivative [Line Items] |  |  |
Assets Pledged | $ 16,777 | $ 30,068 |

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