Derivative Instruments (Tables)

12 Months Ended

Dec. 31, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of location and fair value of the derivatives

The table below summarizes the location and fair value of the derivatives reported in the Consolidated Statements of Financial Condition after counterparty netting and posting of cash collateral as of December 31, 2019 and 2018.

			December 31, 2019
			Derivative Assets			Derivative Liabilities
Derivative Instruments	Notional Amount Outstanding		Location on Consolidated Statements of Financial Condition	Net Estimated Fair Value/Carrying Value		Location on Consolidated Statements of Financial Condition	Net Estimated Fair Value/Carrying Value
			(dollars in thousands)
Interest Rate Swaps	$	4,111,300	Derivatives, at fair value, net	$	—	Derivatives, at fair value, net	$	—
Swaptions	—		Derivatives, at fair value, net	—		Derivatives, at fair value, net	—
Treasury Futures	619,700		Derivatives, at fair value, net	3,611		Derivatives, at fair value, net	—
Total	$	4,731,000		$	3,611		$	—

			December 31, 2018
			Derivative Assets			Derivative Liabilities
Derivative Instruments	Notional Amount Outstanding		Location on Consolidated Statements of Financial Condition	Net Estimated Fair Value/Carrying Value		Location on Consolidated Statements of Financial Condition	Net Estimated Fair Value/Carrying Value
			(dollars in thousands)
Interest Rate Swaps	$	10,906,700	Derivatives, at fair value, net	$	35,798	Derivatives, at fair value, net	$	—
Swaptions	53,000		Derivatives, at fair value, net	1,670		Derivatives, at fair value, net	—
Treasury Futures	619,700		Derivatives, at fair value, net	—		Derivatives, at fair value, net	—
Total	$	11,579,400		$	37,468		$	—

Schedule of derivative instruments effects on operating results

The effect of the Company’s derivatives on the Consolidated Statements of Operations is presented below.

		Net gains (losses) on derivatives for the year ended
Derivative Instruments	Location on Consolidated Statements of Operations and Comprehensive Income	December 31, 2019			December 31, 2018			December 31, 2017
		(dollars in thousands)
Interest Rate Swaps	Net unrealized gains (losses) on derivatives	$	(122,272	)	$	(125,595	)	$	43,697
Interest Rate Swaps	Net realized gains (losses) on derivatives (1)	(356,713		)	(1,488		)	(31,593		)
Treasury Futures	Net unrealized gains (losses) on derivatives	16,986			(16,928		)	1,768
Treasury Futures	Net realized gains (losses) on derivatives	(37,032		)	21,333			(4,061		)
Swaptions	Net unrealized gains (losses) on derivatives	(923		)	1,361			2,511
Swaptions	Net realized gains (losses) on derivatives	(404		)	(1,476		)	(6,134		)
Total		$	(500,358	)	$	(122,793	)	$	6,188

(1) Includes loss on termination of interest rate swaps of $360 million and $16 million during the year ended December 31, 2019 and 2017, respectively. There were no swaps terminations during the year ended December 31, 2018.