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SECURED BORROWINGS - Schedule of Secured Borrowings (Details) - USD ($)
$ in Thousands
Mar. 31, 2020
Dec. 31, 2019
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Agency securities pledged $ 8,500,000 $ 10,830,000
Borrowings outstanding [1],[2] 8,387,646 10,286,011
Agency Securities [Member]    
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Agency securities pledged 8,497,912 10,829,627
Accrued interest receivable 24,693 31,568
Cash pledged 359,168  
Borrowings outstanding $ 8,379,422 $ 10,275,413
Average borrowing rates 1.22% 2.10%
Agency Securities [Member] | Borrowings with Maturities of 30 Days or Less [Member]    
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Agency securities pledged $ 4,879,606 $ 9,484,275
Accrued interest receivable 13,875 27,826
Cash pledged 59,471  
Borrowings outstanding $ 4,654,152 $ 9,002,527
Average borrowing rates 1.08% 2.12%
Agency Securities [Member] | Borrowings with Maturities of 31 to 90 Days [Member]    
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Agency securities pledged $ 3,517,414 $ 1,344,437
Accrued interest receivable 10,818 3,742
Cash pledged 299,697  
Borrowings outstanding $ 3,724,378 $ 1,271,971
Average borrowing rates 1.40% 1.98%
Agency Securities [Member] | Similar Borrowings [Member]    
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Agency securities pledged $ 892 $ 915
Borrowings outstanding $ 892 $ 915
Average borrowing rates 7.86% 7.99%
[1] Amounts include accrued interest payable of $9.1 million and $11.5 million on borrowings under repurchase arrangements as of March 31, 2020 and December 31, 2019, respectively.
[2] Included in gross amounts of recognized liabilities at March 31, 2020 is the fair value of non-exchange traded swap agreements (Counterparty 1) and exchange-traded swap agreements (Counterparty 4), calculated including accrued interest.  Included in gross amounts offset in the balance sheet are variation margin amounts associated with exchange-traded swap agreements at March 31, 2020.