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Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | Mar. 31, 2018 | Dec. 31, 2017
--- | --- | ---
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value | $ 6,883 | $ 7,243
Mortgage-backed securities | 2,864,822 | 3,026,989
U.S. Treasuries | 204,535 | 146,530
Derivative asset | 4,754 | 2,940
Total assets carried at fair value | 3,074,111 | 3,176,459
Derivative liabilities | 0 | 269
Total liabilities carried at fair value | 0 | 269
Level 1 |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Mortgage-backed securities | 0 | 0
U.S. Treasuries | 204,535 | 146,530
Total assets carried at fair value | 206,209 | 147,196
Total liabilities carried at fair value | 0 | 0
Level 2 |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Mortgage-backed securities | 2,857,939 | 3,019,746
U.S. Treasuries | 0 | 0
Total assets carried at fair value | 2,861,019 | 3,022,020
Total liabilities carried at fair value | 0 | 269
Level 3 |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Mortgage-backed securities | 6,883 | 7,243
U.S. Treasuries | 0 | 0
Total assets carried at fair value | 6,883 | 7,243
Total liabilities carried at fair value | 0 | 0
Interest rate swaps |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Derivative asset | 1,081 | 791
Interest rate swaps | Level 1 |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Derivative asset | 0 | 0
Interest rate swaps | Level 2 |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Derivative asset | 1,081 | 791
Interest rate swaps | Level 3 |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Derivative asset | 0 | 0
Eurodollar futures |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Derivative asset | 1,674 | 666
Eurodollar futures | Level 1 |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Derivative asset | 1,674 | 666
Eurodollar futures | Level 2 |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Derivative asset | 0 | 0
Eurodollar futures | Level 3 |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Derivative asset | 0 | 0
TBA securities |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Derivative asset | 1,999 | 1,483
Derivative liabilities |  | 269
TBA securities | Level 1 |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Derivative asset | 0 | 0
Derivative liabilities |  | 0
TBA securities | Level 2 |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Derivative asset | 1,999 | 1,483
Derivative liabilities |  | 269
TBA securities | Level 3 |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Derivative asset | $ 0 | 0
Derivative liabilities |  | $ 0

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- Definition Fair value of financial instrument classified as an asset measured using unobservable inputs that reflect the entity's own assumption about the assumptions market participants would use in pricing. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19207-110258 + Details
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- Definition The fair value as of the balance sheet date of firm holdings in debt obligations issued by the US government including short-term Treasury bills, medium-term Treasury notes, and long-term Treasury bonds, as well as debt issued by agencies. Includes both pledged (to counterparties as collateral for financing transactions) and unpledged holdings. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 940 -SubTopic 320 -Section 45 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=35711157&loc=d3e42546-110969 + Details
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