XML 96 R85.htm IDEA: XBRL DOCUMENT v3.8.0.1
Derivative Instruments and Hedging Activities - Derivative Instruments Not Designated as Hedges (Details) - Not Designated as Hedging Instrument - USD ($)
$ in Thousands
 9 Months Ended
Sep. 30, 2017
Sep. 30, 2016
TBA securities    
Derivative Instruments and Hedging Activities Disclosures [Roll Forward]    
Beginning balance $ 149,000 $ 222,000
Additions 1,466,000 2,925,000
Settlement, Expiration or Exercise (1,440,000) (2,866,000)
Ending balance 175,000 281,000
U.S. Treasury futures    
Derivative Instruments and Hedging Activities Disclosures [Roll Forward]    
Beginning balance 17,100 0
Additions 123,900 189,800
Settlement, Expiration or Exercise (135,500) (146,400)
Ending balance 5,500 43,400
Interest rate swap futures    
Derivative Instruments and Hedging Activities Disclosures [Roll Forward]    
Beginning balance (151,700) (137,200)
Additions 413,800 718,700
Settlement, Expiration or Exercise (349,000) (700,300)
Ending balance (86,900) (118,800)
Eurodollar futures    
Derivative Instruments and Hedging Activities Disclosures [Roll Forward]    
Beginning balance (2,575,000) (2,769,000)
Additions 5,989,000 4,134,000
Settlement, Expiration or Exercise (5,054,000) (4,838,000)
Ending balance (1,640,000) (3,473,000)
Options on U.S. Treasury futures    
Derivative Instruments and Hedging Activities Disclosures [Roll Forward]    
Beginning balance 0 28,000
Additions 5,000 91,000
Settlement, Expiration or Exercise (5,000) (114,000)
Ending balance 0 5,000
Swaptions    
Derivative Instruments and Hedging Activities Disclosures [Roll Forward]    
Beginning balance 154,000 159,000
Additions 0 0
Settlement, Expiration or Exercise 0 (5,000)
Ending balance 154,000 154,000
Interest rate swaps    
Derivative Instruments and Hedging Activities Disclosures [Roll Forward]    
Beginning balance 15,000 10,000
Additions 0 5,000
Settlement, Expiration or Exercise 0 0
Ending balance $ 15,000 $ 15,000