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Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | Jun. 30, 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 | $ 6,573 | $ 7,243
Mortgage-backed securities | 2,759,894 | 3,026,989
U.S. Treasuries | 57,923 | 146,530
Derivative asset | 7,642 | 2,940
Total assets carried at fair value | 2,825,459 | 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 | 57,923 | 146,530
Total assets carried at fair value | 62,546 | 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 | 2,753,321 | 3,019,746
U.S. Treasuries | 0 | 0
Total assets carried at fair value | 2,756,340 | 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 | 6,573 | 7,243
U.S. Treasuries | 0 | 0
Total assets carried at fair value | 6,573 | 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 | 985 | 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 | 985 | 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 | 967 | 666
Eurodollar futures | Level 1 |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Derivative asset | 967 | 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 | 2,034 | 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 | 2,034 | 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
Options on U.S. Treasury futures |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Derivative asset | 3,656 |
Options on U.S. Treasury futures | Level 1 |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Derivative asset | 3,656 |
Options on U.S. Treasury futures | Level 2 |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Derivative asset | 0 |
Options on U.S. Treasury futures | Level 3 |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Derivative asset | $ 0 |

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- Definition Fair value, after the effects of master netting arrangements, of a financial asset or other contract with one or more underlyings, notional amount or payment provision or both, and the contract can be net settled by means outside the contract or delivery of an asset. Includes assets not subject to a master netting arrangement and not elected to be offset. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 210 -SubTopic 20 -Section 50 -Paragraph 3 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=51824906&loc=SL20225862-175312 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 45 -Paragraph 6 -URI http://asc.fasb.org/extlink&oid=6945355&loc=d3e41271-113958 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 10 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=77997519&loc=d3e13433-108611 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 45 -Paragraph 5 -URI http://asc.fasb.org/extlink&oid=6945355&loc=d3e41228-113958 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 15 -URI http://asc.fasb.org/extlink&oid=77997519&loc=d3e13495-108611 Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 210 -SubTopic 20 -Section 55 -Paragraph 10 -URI http://asc.fasb.org/extlink&oid=82849420&loc=SL20226008-175313 + Details
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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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