XML 43 R28.htm IDEA: XBRL DOCUMENT v3.19.2
Derivatives Volume of Activity (Details)
$ in Thousands
6 Months Ended
Jun. 30, 2019
USD ($)
Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest rate swaps  
Derivative [Line Items]  
Beginning of Period Notional Amount $ 4,515,000 [1]
Notional Amount of Derivative Instruments Added 2,955,000
Notional Amount of Derivative Instruments Maturing, Settled, Terminated, or Paired-Off (3,970,000)
End of Period Notional Amount 3,500,000 [1]
Not Designated as Hedging Instrument, Economic Hedge [Member] | Eurodollar futures  
Derivative [Line Items]  
Beginning of Period Notional Amount 0
Notional Amount of Derivative Instruments Added 3,000,000
Notional Amount of Derivative Instruments Maturing, Settled, Terminated, or Paired-Off 0
End of Period Notional Amount 3,000,000
Not Designated as Hedging Instrument, Economic Hedge [Member] | U.S. Treasury futures  
Derivative [Line Items]  
Beginning of Period Notional Amount 50,000
Notional Amount of Derivative Instruments Added 0
Notional Amount of Derivative Instruments Maturing, Settled, Terminated, or Paired-Off (50,000)
End of Period Notional Amount 0
Not Designated as Hedging Instrument, Trading | TBA securities | Long [Member]  
Derivative [Line Items]  
Beginning of Period Notional Amount 860,000
Notional Amount of Derivative Instruments Added 4,830,000
Notional Amount of Derivative Instruments Maturing, Settled, Terminated, or Paired-Off (5,320,000)
End of Period Notional Amount $ 370,000
[1]
The notional amounts include $0 and $775,000 of forward starting pay-fixed interest rate swaps as of June 30, 2019 and December 31, 2018, respectively.