Derivative Instruments (Tables)

3 Months Ended

Mar. 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 March 31, 2019 and December 31, 2018.



			March 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	$	9,508,200	Derivatives, at fair value, net	$	—	Derivatives, at fair value, net	$	—
Swaptions	53,000		Derivatives, at fair value, net	946		Derivatives, at fair value, net	—
Treasury Futures	619,700		Derivatives, at fair value, net	—		Derivatives, at fair value, net	—
Total	$	10,180,900		$	946		$	—



			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 quarters ended
Derivative Instruments	Location on Consolidated Statements of Operations and Comprehensive Income	March 31, 2019			March 31, 2018
		(dollars in thousands)
Interest Rate Swaps	Net unrealized gains (losses) on derivatives	$	(94,075	)	$	84,964
Interest Rate Swaps	Net realized gains (losses) on derivatives ⁽¹⁾	(102,584		)	(2,612		)
Treasury Futures	Net unrealized gains (losses) on derivatives	5,325			(6,587		)
Treasury Futures	Net realized gains (losses) on derivatives	(12,579		)	16,424
Swaptions	Net unrealized gains (losses) on derivatives	(565		)	3,042
Swaptions	Net realized gains (losses) on derivatives	(160		)	(727		)
Total		$	(204,638	)	$	94,504

(1) Includes loss on termination of interest rate swaps of $108 million during the quarter ended March 31, 2019. There were no swaps terminations during the quarter ended March 31, 2018.