XML 72 R58.htm IDEA: XBRL DOCUMENT v3.6.0.2
Other Assets - Derivative Instruments (Details 2)
$ in Thousands
3 Months Ended 12 Months Ended
Dec. 31, 2016
USD ($)
Sep. 30, 2016
USD ($)
Jun. 30, 2016
USD ($)
Mar. 31, 2016
USD ($)
Dec. 31, 2015
USD ($)
Sep. 30, 2015
USD ($)
Jun. 30, 2015
USD ($)
Mar. 31, 2015
USD ($)
Dec. 31, 2016
USD ($)
derivative
Dec. 31, 2015
USD ($)
derivative
Dec. 31, 2014
USD ($)
Dec. 31, 2016
USD ($)
Dec. 31, 2015
USD ($)
Derivative [Line Items]                          
Assets Pledged                       $ 10,620,406 $ 11,410,397
Number of terminated derivatives | derivative                 0 0      
Net unrealized gains (losses) $ (46,721)     $ (69,399) $ (69,399)     $ (59,062) $ (69,399) $ (59,062) $ (15,217) (46,721) (69,399)
Interest expense attributable to Swaps 49,868 $ 48,167 $ 47,720 47,600 46,456 $ 43,703 $ 42,849 43,940 193,355 176,948 159,808    
AOCI from derivative hedging instruments:                          
Balance at beginning of period       $ (69,399)       $ (59,062) (69,399) (59,062) (15,217)    
Unrealized gain/(loss) on Swaps, net                 22,678 (10,337) (44,292)    
Balance at end of period (46,721)       $ (69,399)       $ (46,721) (69,399) (59,062)    
Interest Rate Contract                          
Derivative [Line Items]                          
Aggregate fair value of assets needed to immediately settle                       48,000  
Associated accrued interest payable                       1,000  
Assets Pledged                       86,317 109,142
Interest Rate Contract | Agency MBS, at fair value                          
Derivative [Line Items]                          
Assets Pledged                       32,468 38,569
Interest Rate Contract | Restricted cash                          
Derivative [Line Items]                          
Assets Pledged                       53,849 70,573
Swaps, at fair value                          
Derivative [Line Items]                          
Aggregate notional amount of derivatives                       $ 2,900,000 $ 3,050,000
Average maturity term of swaps                 35 months        
Weighted average fixed-pay rate                       1.87% 1.82%
Weighted Average Variable Interest Rate                       0.72% 0.34%
Interest expense attributable to Swaps                 $ 40,898 $ 53,759 $ 69,842    
Weighted average Swap rate paid                 1.82% 1.86% 1.93%    
Weighted average Swap rate received                 0.48% 0.19% 0.16%    
Swaps, at fair value | Within 30 days                          
Derivative [Line Items]                          
Aggregate notional amount of derivatives                       $ 0 $ 50,000
Weighted average fixed-pay rate                       0.00% 2.13%
Weighted Average Variable Interest Rate                       0.00% 0.42%
Swaps, at fair value | Over 30 days to 3 months                          
Derivative [Line Items]                          
Aggregate notional amount of derivatives                       $ 50,000 $ 0
Weighted average fixed-pay rate                       0.67% 0.00%
Weighted Average Variable Interest Rate                       0.64% 0.00%
Swaps, at fair value | Over 3 months to 6 months                          
Derivative [Line Items]                          
Aggregate notional amount of derivatives                       $ 300,000 $ 0
Weighted average fixed-pay rate                       0.57% 0.00%
Weighted Average Variable Interest Rate                       0.66% 0.00%
Swaps, at fair value | Over 6 months to 12 months                          
Derivative [Line Items]                          
Aggregate notional amount of derivatives                       $ 0 $ 100,000
Weighted average fixed-pay rate                       0.00% 0.48%
Weighted Average Variable Interest Rate                       0.00% 0.32%
Swaps, at fair value | Over 12 months to 24 months                          
Derivative [Line Items]                          
Aggregate notional amount of derivatives                       $ 550,000 $ 350,000
Weighted average fixed-pay rate                       1.49% 0.58%
Weighted Average Variable Interest Rate                       0.71% 0.27%
Swaps, at fair value | Over 24 months to 36 months                          
Derivative [Line Items]                          
Aggregate notional amount of derivatives                       $ 200,000 $ 550,000
Weighted average fixed-pay rate                       1.71% 1.49%
Weighted Average Variable Interest Rate                       0.76% 0.32%
Swaps, at fair value | Over 36 months to 48 months                          
Derivative [Line Items]                          
Aggregate notional amount of derivatives                       $ 1,500,000 $ 200,000
Weighted average fixed-pay rate                       2.22% 1.71%
Weighted Average Variable Interest Rate                       0.74% 0.42%
Swaps, at fair value | Over 48 months to 60 months                          
Derivative [Line Items]                          
Aggregate notional amount of derivatives                       $ 200,000 $ 1,500,000
Weighted average fixed-pay rate                       2.20% 2.22%
Weighted Average Variable Interest Rate                       0.75% 0.36%
Swaps, at fair value | Over 60 months to 72 months                          
Derivative [Line Items]                          
Aggregate notional amount of derivatives                       $ 0 $ 200,000
Weighted average fixed-pay rate                       0.00% 2.20%
Weighted Average Variable Interest Rate                       0.00% 0.30%
Swaps, at fair value | Over 72 months to 84 months                          
Derivative [Line Items]                          
Aggregate notional amount of derivatives                       $ 100,000 $ 0
Weighted average fixed-pay rate                       2.75% 0.00%
Weighted Average Variable Interest Rate                       0.74% 0.00%
Swaps, at fair value | Over 84 months                          
Derivative [Line Items]                          
Aggregate notional amount of derivatives                       $ 0 $ 100,000
Weighted average fixed-pay rate                       0.00% 2.75%
Weighted Average Variable Interest Rate                       0.00% 0.40%
Swaps, at fair value | Hedging                          
Derivative [Line Items]                          
Net unrealized gains (losses) (46,700)               $ (46,700)     $ (46,700)  
AOCI from derivative hedging instruments:                          
Balance at end of period $ (46,700)               $ (46,700)        
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                 80 months        
Swaps, at fair value | Maximum | LIBOR                          
Derivative [Line Items]                          
Derivative, variable interest rate, term                 3 months        
New Swaps:                          
Derivative [Line Items]                          
Aggregate notional amount                 $ 0        
Weighted average fixed-pay rate                       0.00%  
Number of new Swaps | derivative                 0        
Swaps amortized/expired:                          
Derivative [Line Items]                          
Aggregate notional amount                 $ 150,000        
Swaps amortized/expired: | YTD                          
Derivative [Line Items]                          
Weighted average fixed-pay rate                       1.03%