XML 109 R94.htm IDEA: XBRL DOCUMENT v3.10.0.1
Derivative Instruments and Hedging Activities - Derivative Instruments Not Designated as Hedges (Details) - Not Designated as Hedging Instrument - USD ($)
$ in Thousands
 12 Months Ended
Dec. 31, 2018
Dec. 31, 2017
TBA Securities    
Derivative Instruments and Hedging Activities Disclosures [Roll Forward]    
Beginning Balance $ 0 $ 149,000
Additions   1,881,000
Settlement, Expiration or Exercise   (2,030,000)
Ending Balance   0
U.S. Treasury futures    
Derivative Instruments and Hedging Activities Disclosures [Roll Forward]    
Beginning Balance 0 17,100
Additions   129,100
Settlement, Expiration or Exercise   (146,200)
Ending Balance   0
Interest rate swap futures    
Derivative Instruments and Hedging Activities Disclosures [Roll Forward]    
Beginning Balance 0 (151,700)
Additions   500,700
Settlement, Expiration or Exercise   (349,000)
Ending Balance   0
Eurodollar futures    
Derivative Instruments and Hedging Activities Disclosures [Roll Forward]    
Beginning Balance 0 (2,575,000)
Additions   7,819,000
Settlement, Expiration or Exercise   (5,244,000)
Ending Balance   0
Options on U.S. Treasury futures    
Derivative Instruments and Hedging Activities Disclosures [Roll Forward]    
Beginning Balance 0 0
Additions   5,000
Settlement, Expiration or Exercise   (5,000)
Ending Balance   0
Swaptions    
Derivative Instruments and Hedging Activities Disclosures [Roll Forward]    
Beginning Balance 0 154,000
Additions   0
Settlement, Expiration or Exercise   (154,000)
Ending Balance   0
Interest rate swaps    
Derivative Instruments and Hedging Activities Disclosures [Roll Forward]    
Beginning Balance 345,500 15,000
Additions 150,000 345,500
Settlement, Expiration or Exercise 0 (15,000)
Ending Balance $ 495,500 $ 345,500