XML 34 R62.htm IDEA: XBRL DOCUMENT v3.19.3.a.u2
Repurchase Agreements Balances, Weighted Average Interest Rates and Remaining Weighted Average Maturities (Detail) - USD ($)
$ in Thousands
12 Months Ended
Dec. 31, 2019
Dec. 31, 2018
Assets Sold Under Agreements To Repurchase [Line Items]    
Repurchase agreements $ 3,657,873 $ 3,811,627
Agency MBS    
Assets Sold Under Agreements To Repurchase [Line Items]    
Weighted average maturity 30 days 35 days
Repurchase agreements $ 3,230,000 $ 3,235,000
Weighted average interest rate 1.97% 2.52%
Agency MBS | Collateral Pledged    
Assets Sold Under Agreements To Repurchase [Line Items]    
MBS pledged as collateral under the repurchase agreements and interest rate swaps $ 3,419,375 $ 3,433,252
Agency MBS | Less than 30 days    
Assets Sold Under Agreements To Repurchase [Line Items]    
Repurchase agreements $ 1,680,000 $ 1,510,000
Weighted average interest rate 2.04% 2.46%
Agency MBS | 30 days to 90 days    
Assets Sold Under Agreements To Repurchase [Line Items]    
Repurchase agreements $ 1,550,000 $ 1,725,000
Weighted average interest rate 1.89% 2.57%
Non-Agency MBS    
Assets Sold Under Agreements To Repurchase [Line Items]    
Weighted average maturity 11 days 13 days
Repurchase agreements $ 427,873 $ 576,627
Weighted average interest rate 2.80% 3.55%
Non-Agency MBS | Collateral Pledged    
Assets Sold Under Agreements To Repurchase [Line Items]    
MBS pledged as collateral under the repurchase agreements and interest rate swaps $ 535,315 $ 726,428
Non-Agency MBS | Less than 30 days    
Assets Sold Under Agreements To Repurchase [Line Items]    
Repurchase agreements $ 427,873 $ 576,627
Weighted average interest rate 2.80% 3.55%
MBS    
Assets Sold Under Agreements To Repurchase [Line Items]    
Weighted average maturity 28 days 32 days
Weighted average interest rate after adjusting for interest rate swaps 2.13% 2.23%
Weighted average maturity after adjusting for interest rate swaps 978 days 1217 days
Repurchase agreements $ 3,657,873 $ 3,811,627
Weighted average interest rate 2.07% 2.67%
MBS | Collateral Pledged    
Assets Sold Under Agreements To Repurchase [Line Items]    
MBS pledged as collateral under the repurchase agreements and interest rate swaps $ 3,954,690 $ 4,159,680
MBS | Less than 30 days    
Assets Sold Under Agreements To Repurchase [Line Items]    
Repurchase agreements $ 2,107,873 $ 2,086,627
Weighted average interest rate 2.20% 2.76%
MBS | 30 days to 90 days    
Assets Sold Under Agreements To Repurchase [Line Items]    
Repurchase agreements $ 1,550,000 $ 1,725,000
Weighted average interest rate 1.89% 2.57%