Quarterly report pursuant to Section 13 or 15(d)

Schedule of Notional Amounts of Derivative Positions (Details)

v3.3.0.814
Schedule of Notional Amounts of Derivative Positions (Details) - USD ($)
$ in Thousands
 3 Months Ended 9 Months Ended
Sep. 30, 2015
Sep. 30, 2014
Sep. 30, 2015
Sep. 30, 2014
Derivative [Line Items]        
Derivative, Notional Amount, Beginning Balance $ 27,401,335 $ 43,379,217 $ 48,115,523 $ 37,366,610
Derivative, Notional Amount, Additions 6,930,287 38,371,670 30,475,551 68,977,405
Derivative, Notional Amount, Settlement Termination Expiration or Exercise 6,014,042 24,734,906 50,273,494 49,328,034
Derivative, Notional Amount, Ending Balance 28,317,580 57,015,981 28,317,580 57,015,981
Derivative, Average Notional Amount 27,222,458 55,307,546 32,531,397 46,500,488
Gain (Loss) on Sale of Derivatives (78,283) (49,047) (160,665) (86,237)
Inverse Interest-Only Securities [Member]        
Derivative [Line Items]        
Derivative, Notional Amount, Beginning Balance 1,049,743 1,323,650 1,168,226 1,525,845
Derivative, Notional Amount, Additions 0 0 12,563 0
Derivative, Notional Amount, Settlement Termination Expiration or Exercise 63,842 111,685 194,888 313,880
Derivative, Notional Amount, Ending Balance 985,901 1,211,965 985,901 1,211,965
Derivative, Average Notional Amount 1,020,199 1,261,098 1,081,376 1,367,332
Gain (Loss) on Sale of Derivatives 0 221 64 414
Interest Rate Swap [Member]        
Derivative [Line Items]        
Derivative, Notional Amount, Beginning Balance 16,225,523 23,628,148 18,584,000 19,619,000
Derivative, Notional Amount, Additions 5,280,000 12,206,450 22,393,227 23,615,598
Derivative, Notional Amount, Settlement Termination Expiration or Exercise 7,480,000 8,063,943 26,951,704 15,463,943
Derivative, Notional Amount, Ending Balance 14,025,523 27,770,655 14,025,523 27,770,655
Derivative, Average Notional Amount 15,371,175 28,607,951 16,753,347 23,778,725
Gain (Loss) on Sale of Derivatives (24,948) 4,197 (92,816) 1,193
Credit Default Swap [Member]        
Derivative [Line Items]        
Derivative, Notional Amount, Beginning Balance 125,000 125,000 125,000 427,073
Derivative, Notional Amount, Additions 0 0 0 0
Derivative, Notional Amount, Settlement Termination Expiration or Exercise 0 0 0 302,073
Derivative, Notional Amount, Ending Balance 125,000 125,000 125,000 125,000
Derivative, Average Notional Amount 125,000 125,000 125,000 142,940
Gain (Loss) on Sale of Derivatives 0 0 0 (13,705)
Interest Rate Swaption [Member]        
Derivative [Line Items]        
Derivative, Notional Amount, Beginning Balance 9,410,000 11,450,000 12,410,000 5,130,000
Derivative, Notional Amount, Additions 0 2,710,000 7,050,000 9,860,000
Derivative, Notional Amount, Settlement Termination Expiration or Exercise (600,000) (6,500,000) 9,450,000 (7,330,000)
Derivative, Notional Amount, Ending Balance 10,010,000 7,660,000 10,010,000 7,660,000
Derivative, Average Notional Amount 9,481,739 7,972,500 10,862,930 9,117,546
Gain (Loss) on Sale of Derivatives (36,960) (49,509) (32,168) (52,905)
Forward Contracts [Member]        
Derivative [Line Items]        
Derivative, Notional Amount, Beginning Balance 1,024,000 372,000 1,325,000 603,000
Derivative, Notional Amount, Additions 468,000 3,316,000 11,330,000 6,240,000
Derivative, Notional Amount, Settlement Termination Expiration or Exercise 2,274,000 (2,998,000) 13,437,000 (4,947,000)
Derivative, Notional Amount, Ending Balance 782,000 690,000 782,000 690,000
Derivative, Average Notional Amount (343,272) (830,435) (729,916) (673,509)
Gain (Loss) on Sale of Derivatives (13,615) (5,177) (38,461) (19,854)
Short US Treasury Securities [Member]        
Derivative [Line Items]        
Derivative, Notional Amount, Beginning Balance 0 0 0 0
Derivative, Notional Amount, Additions 0 0 (50,000) (125,000)
Derivative, Notional Amount, Settlement Termination Expiration or Exercise 0 0 50,000 125,000
Derivative, Notional Amount, Ending Balance 0 0 0 0
Derivative, Average Notional Amount 0 0 0 458
Gain (Loss) on Sale of Derivatives 0 0 125 2
Options Held [Member]        
Derivative [Line Items]        
Derivative, Notional Amount, Beginning Balance 0 0 2,000,000 0
Derivative, Notional Amount, Additions 1,000,000 2,000,000 1,250,000 3,500,000
Derivative, Notional Amount, Settlement Termination Expiration or Exercise 0 0 2,250,000 (1,500,000)
Derivative, Notional Amount, Ending Balance 1,000,000 2,000,000 1,000,000 2,000,000
Derivative, Average Notional Amount 163,043 336,957 (183,150) 498,168
Gain (Loss) on Sale of Derivatives 0 (1,016) 7,796 (6,348)
Treasury Lock [Member]        
Derivative [Line Items]        
Derivative, Notional Amount, Beginning Balance 0   0  
Derivative, Notional Amount, Additions 0   500,000  
Derivative, Notional Amount, Settlement Termination Expiration or Exercise 0   500,000  
Derivative, Notional Amount, Ending Balance 0   0  
Derivative, Average Notional Amount 0   916  
Gain (Loss) on Sale of Derivatives 0   (837)  
Swap [Member]        
Derivative [Line Items]        
Derivative, Notional Amount, Beginning Balance 0 6,000,000 14,000,000 10,000,000
Derivative, Notional Amount, Additions 0 24,000,000 6,000,000 36,000,000
Derivative, Notional Amount, Settlement Termination Expiration or Exercise 0 12,000,000 20,000,000 28,000,000
Derivative, Notional Amount, Ending Balance 0 18,000,000 0 18,000,000
Derivative, Average Notional Amount 0 15,032,609 3,018,315 10,219,780
Gain (Loss) on Sale of Derivatives 0 344 7,694 2,771
Total Return Swap [Member]        
Derivative [Line Items]        
Derivative, Notional Amount, Beginning Balance 988,409 576,478 598,459 49,629
Derivative, Notional Amount, Additions 176,807 49,669 1,601,350 586,550
Derivative, Notional Amount, Settlement Termination Expiration or Exercise 277,252 14,162 1,311,845 24,194
Derivative, Notional Amount, Ending Balance 887,964 611,985 887,964 611,985
Derivative, Average Notional Amount 828,323 593,092 968,223 381,913
Gain (Loss) on Sale of Derivatives (2,368) 0 (11,296) 0
Forward Purchase Commitments [Member]        
Derivative [Line Items]        
Derivative, Notional Amount, Beginning Balance 626,660 647,941 554,838 12,063
Derivative, Notional Amount, Additions 941,480 721,551 3,048,411 1,780,257
Derivative, Notional Amount, Settlement Termination Expiration or Exercise 1,066,948 1,043,116 3,102,057 1,465,944
Derivative, Notional Amount, Ending Balance 501,192 326,376 501,192 326,376
Derivative, Average Notional Amount 576,251 547,904 634,356 320,117
Gain (Loss) on Sale of Derivatives $ (392) $ 1,893 $ (766) $ 2,195