XML 44 R26.htm IDEA: XBRL DOCUMENT v3.8.0.1
Interest Rate Swap (Details) - USD ($)
$ in Thousands
3 Months Ended 9 Months Ended 12 Months Ended
Sep. 30, 2017
Sep. 30, 2016
Sep. 30, 2017
Sep. 30, 2016
Dec. 31, 2016
Derivative [Line Items]          
Derivative assets, fair value $ 368   $ 368   $ 28,534 [1]
Derivative liabilities, fair value (133)   (133)   (6,922) [1]
Derivative asset, net of variation margin         104
Derivative liability, net of variation margin         $ (576)
Loss on derivative instruments, net $ (5,993) $ (2,409) $ 9,634 $ 62,153  
Derivative, Average Fixed Interest Rate, Current Effective 1.34%   1.34%   0.73%
Other Footnotes Disclosing Derivative-Related Information, Cross-Reference     Please refer to Note 1 for information related to the Company's accounting policy for its derivative instruments.    
Forward starting interest rate swap          
Derivative [Line Items]          
Derivative, Notional Amount $ 2,425,000   $ 2,425,000   $ 2,725,000
TBA security          
Derivative [Line Items]          
Derivative, Notional Amount 650,000   650,000   0
Derivative Instruments Not Designated as Hedging Instruments, Gain 6,703 0 8,419 0  
Eurodollar Future          
Derivative [Line Items]          
Derivative Instruments Not Designated as Hedging Instruments, Gain   2,830      
Derivative Instruments Not Designated as Hedging Instruments, Loss 0   0 (13,542)  
Receive-fixed interest rate swap | Interest Rate Swap          
Derivative [Line Items]          
Derivative, Notional Amount 100,000   100,000   425,000
Derivative Instruments Not Designated as Hedging Instruments, Gain     746 11,301  
Derivative Instruments Not Designated as Hedging Instruments, Loss (99) (2,976)      
Pay-fixed interest rate swap | Interest Rate Swap          
Derivative [Line Items]          
Derivative, Notional Amount 5,545,000   5,545,000   3,455,000
Derivative Instruments Not Designated as Hedging Instruments, Gain   $ 2,555      
Derivative Instruments Not Designated as Hedging Instruments, Loss (611)   (18,799) $ (59,912)  
Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest Rate Swap          
Derivative [Line Items]          
Derivative assets, fair value 368   368   28,534 [1]
Derivative liabilities, fair value 0   0   (6,922) [1]
Derivative, Notional Amount [2] $ 5,445,000   $ 5,445,000   $ 3,030,000
Derivative, Average Fixed Interest Rate [3] 1.68%   1.68%   1.58%
Derivative, Average Remaining Maturity     3 years 2 months 12 days   5 years 3 months 18 days
Derivative, Fair Value, Net $ 368   $ 368   $ 21,612
Not Designated as Hedging Instrument, Trading [Member] | TBA security          
Derivative [Line Items]          
Derivative liabilities, fair value (133)   (133)   0
Maturity in three years or less | Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest Rate Swap          
Derivative [Line Items]          
Derivative, Notional Amount [2] $ 3,110,000   $ 3,110,000   $ 595,000
Derivative, Average Fixed Interest Rate 1.39%   1.39%   0.73%
Derivative, Average Remaining Maturity     10 months 24 days   2 years 3 months 18 days
Derivative, Fair Value, Net $ 368   $ 368   $ 4,348
Maturity between 3 and 6 years | Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest Rate Swap          
Derivative [Line Items]          
Derivative, Notional Amount [2] $ 1,160,000   $ 1,160,000   $ 1,185,000
Derivative, Average Fixed Interest Rate 1.66%   1.66%   1.47%
Derivative, Average Remaining Maturity     4 years 2 months 12 days   4 years 3 months 18 days
Derivative, Fair Value, Net $ 0   $ 0   $ 8,631
Maturity between 6 and 10 years | Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest Rate Swap          
Derivative [Line Items]          
Derivative, Notional Amount [2] $ 1,175,000   $ 1,175,000   $ 1,250,000
Derivative, Average Fixed Interest Rate 2.45%   2.45%   2.42%
Derivative, Average Remaining Maturity     8 years 1 month 6 days   8 years 10 months 24 days
Derivative, Fair Value, Net $ 0   $ 0   $ 8,633
[1] Refer to Note 1 regarding information on a change in the CME rulebook. Amounts reported on the consolidated balance sheet as of September 30, 2017 for its interest rate swaps reflect the netting of the derivative asset or liability with the related collateral received or posted, respectively. The net amounts comparable to September 30, 2017 for the derivative asset and derivative liabilities as of December 31, 2016 were $104 and $(576), respectively.
[2] The net notional amounts included in the tables above represent pay-fixed interest rate swaps, net of receive-fixed interest rate swaps and include $2,425,000 and $2,725,000 of pay-fixed forward starting interest rate swaps as of September 30, 2017 and December 31, 2016, respectively.
[3] Excluding forward starting pay-fixed interest rate swaps, the weighted average pay rate was 1.34% and 0.73% as of September 30, 2017 and December 31, 2016, respectively.