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Derivatives (Details) - USD ($) | 3 Months Ended | 12 Months Ended
--- | --- | ---
Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017
Derivative [Line Items] |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative assets, fair value |  | $ 4,290,000 |  |  |  | $ 6,563,000 |  |  |  |  | $ 4,290,000 | $ 6,563,000 |  |
Derivative liabilities, fair value |  | (974,000) |  |  |  | (1,218,000) |  |  |  |  | (974,000) | (1,218,000) |  |
Variation margin |  | (9,265,000) |  |  |  | 8,424,000 |  |  |  |  | (9,265,000) | 8,424,000 |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net |  | $ 42,992,000 | $ (50,709,000) | $ (117,535,000) | $ (61,697,000) | (81,981,000) |  | $ 19,499,000 | $ 20,667,000 | $ 38,354,000 | $ (186,949,000) | (3,461,000) |  | $ 3,044,000
Derivative, Swaption Interest Rate | [1] | 2.07% |  |  |  |  |  |  |  |  | 2.07% |  |  |
Interest rate swaps |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  |  |  |  |  |  |  |  |  |  |  | 10,363,000 |  |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  |  |  |  |  |  |  |  |  |  | $ (202,450,000) |  |  | (2,632,000)
Interest rate swaption |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  |  |  |  |  |  |  |  |  |  | $ (5,607,000) | 0 |  | 0
Derivative, Maturity Date |  |  |  |  |  |  |  |  |  |  | Jan. 16, 2020 |  |  |
Eurodollar futures |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  |  |  |  |  |  |  |  |  |  | $ 2,359,000 | 1,887,000 |  | 821,000
U.S. Treasury futures |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  |  |  |  |  |  |  |  |  |  | (109,000) | (4,609,000) |  | 0
Options on U.S. Treasury futures |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  |  |  |  |  |  |  |  |  |  | (1,422,000) | (658,000) |  | 0
Long position | TBA securities |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  |  |  |  |  |  |  |  |  |  | 20,020,000 |  |  | 5,757,000
Derivative Instruments Not Designated as Hedging Instruments, Loss |  |  |  |  |  |  |  |  |  |  |  | (10,737,000) |  |
Short position | TBA securities |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  |  |  |  |  |  |  |  |  |  | 260,000 | 293,000 |  |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  |  |  |  |  |  |  |  |  |  |  |  |  | $ (902,000)
Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest rate swaps |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative assets, fair value | [2] | $ 0 |  |  |  | 324,000 |  |  |  |  | 0 | 324,000 |  |
Derivative, Notional Amount |  | $ 4,225,000,000 |  |  |  | $ 4,515,000,000 |  |  |  |  | $ 4,225,000,000 | $ 4,515,000,000 |  |
Derivative, Average Fixed Interest Rate |  | 1.62% |  |  |  | 2.35% | [3] |  |  |  | 1.62% | 2.35% | [3] |
Derivative, Average Remaining Maturity |  |  |  |  |  |  |  |  |  |  | 3 years 9 months 18 days | 5 years 6 months |  |
Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest rate swaption |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative assets, fair value |  |  |  |  |  | $ 0 |  |  |  |  |  | $ 0 |  |
Derivative, Notional Amount |  | $ 750,000,000 |  |  |  | 0 |  |  |  |  | $ 750,000,000 | 0 |  |
Derivative instrument, cost basis |  | 6,180,000 |  |  |  |  |  |  |  |  | 6,180,000 |  |  |
Not Designated as Hedging Instrument, Economic Hedge [Member] | Eurodollar futures |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative, Notional Amount |  | 0 |  |  |  | 0 |  |  |  |  | 0 | 0 |  |
Not Designated as Hedging Instrument, Economic Hedge [Member] | U.S. Treasury futures |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative liabilities, fair value |  | 0 |  |  |  | (1,218,000) |  |  |  |  | 0 | (1,218,000) |  |
Derivative, Notional Amount |  | 0 |  |  |  | 50,000,000 |  |  |  |  | 0 | 50,000,000 |  |
Not Designated as Hedging Instrument, Economic Hedge [Member] | Options on U.S. Treasury futures |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative assets, fair value |  |  |  |  |  | 0 |  |  |  |  |  | 0 |  |
Derivative, Notional Amount |  | 1,350,000,000 |  |  |  | 0 |  |  |  |  | $ 1,350,000,000 | 0 |  |
Derivative, Maturity Date |  |  |  |  |  |  |  |  |  |  | Feb. 21, 2020 |  |  |
Derivative instrument, cost basis |  | 4,359,000 |  |  |  |  |  |  |  |  | $ 4,359,000 |  |  |
Not Designated as Hedging Instrument, Economic Hedge [Member] | Short position | TBA securities |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative liabilities, fair value |  |  |  |  |  | 0 |  |  |  |  |  | 0 |  |
Derivative, Notional Amount |  | 500,000,000 |  |  |  | 0 |  |  |  |  | 500,000,000 | 0 |  |
Not Designated as Hedging Instrument, Trading | Long position | TBA securities |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative assets, fair value |  |  |  |  |  | 6,239,000 |  |  |  |  |  | 6,239,000 |  |
Derivative, Notional Amount |  | 435,000,000 |  |  |  | 860,000,000 |  |  |  |  | 435,000,000 | 860,000,000 |  |
Maturity in three years or less | Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest rate swaps |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative, Notional Amount |  | $ 2,860,000,000 |  |  |  | $ 1,560,000,000 |  |  |  |  | $ 2,860,000,000 | $ 1,560,000,000 |  |
Derivative, Average Fixed Interest Rate |  | 1.58% |  |  |  | 1.96% |  |  |  |  | 1.58% | 1.96% |  |
Derivative, Average Remaining Maturity |  |  |  |  |  |  |  |  |  |  | 1 year 6 months | 1 year 4 months 24 days |  |
Maturity between 3 and 6 years | Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest rate swaps |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative, Notional Amount |  | $ 700,000,000 |  |  |  | $ 1,230,000,000 |  |  |  |  | $ 700,000,000 | $ 1,230,000,000 |  |
Derivative, Average Fixed Interest Rate |  | 1.43% |  |  |  | 2.23% |  |  |  |  | 1.43% | 2.23% |  |
Derivative, Average Remaining Maturity |  |  |  |  |  |  |  |  |  |  | 4 years 8 months 12 days | 4 years 4 months 24 days |  |
Maturity between 6 and 10 years | Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest rate swaps |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative, Notional Amount |  | $ 545,000,000 |  |  |  | $ 1,505,000,000 |  |  |  |  | $ 545,000,000 | $ 1,505,000,000 |  |
Derivative, Average Fixed Interest Rate |  | 1.78% |  |  |  | 2.80% |  |  |  |  | 1.78% | 2.80% |  |
Derivative, Average Remaining Maturity |  |  |  |  |  |  |  |  |  |  | 9 years 4 months 24 days | 8 years 3 months 18 days |  |
Maturity greater than 10 years [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest rate swaps |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative, Notional Amount |  | $ 120,000,000 |  |  |  | $ 220,000,000 |  |  |  |  | $ 120,000,000 | $ 220,000,000 |  |
Derivative, Average Fixed Interest Rate |  | 2.84% |  |  |  | 2.81% |  |  |  |  | 2.84% | 2.81% |  |
Derivative, Average Remaining Maturity |  |  |  |  |  |  |  |  |  |  | 27 years 8 months 12 days | 21 years 10 months 24 days |  |
[1] | Weighted average based on notional amount of the underlying instrument.
[2] | Amounts shown as of December 31, 2019 and December 31, 2018 are net of $(9,265) paid and $8,424 received, respectively, in variation margin which is recorded on the Company’s consolidated balance sheets within “restricted cash.” As of December 31, 2019, all of the Company’s interest rate swap agreements are centrally cleared through the CME. Please refer to Note 1 for information regarding the exchange of variation margin being legally considered as settlement of the derivative as opposed to a pledge of collateral. The amount shown as of December 31, 2018 is the unsettled fair value of the instruments subject to bilateral agreements and not centrally cleared through the CME as of that date.
[3] | Implied cost basis represents the forward price to be paid for the underlying Agency MBS as if settled as of the date indicated.

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