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Derivatives (Details) - USD ($) | 3 Months Ended | 12 Months Ended
--- | --- | ---
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019
Derivative [Line Items] |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net |  | $ (195,567,000) |  | $ (61,697,000) |  |
Derivative assets, fair value |  | 3,031,000 |  |  | $ 4,290,000 |
Derivative liabilities, fair value |  | (13,640,000) |  |  | (974,000) |
Derivative Asset, Fair Value, Gross Asset |  | 3,031,000 |  |  | 4,290,000 |
Derivative Liability, Fair Value, Gross Liability |  | 13,640,000 |  |  | 974,000 |
Variation margin |  | 1,557,000 |  |  | 9,265,000 |
Derivative Liability, Notional Amount |  | 1,177,500,000 |  |  |  |
Interest rate swaps |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  | (182,181,000) |  | (71,764,000) |  |
Interest rate swaption |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  | (573,000) |  | 0 |  |
Derivative Asset, Fair Value, Gross Asset |  |  |  |  | 573,000 |
U.S. Treasury futures |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  | (8,447,000) |  | (109,000) |  |
Derivative Liability, Fair Value, Gross Liability |  | (8,438,000) |  |  |  |
Options on U.S. Treasury futures |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  | (10,727,000) |  | 0 |  |
Derivative Asset, Fair Value, Gross Asset |  | 3,031,000 |  |  | 2,883,000 |
Long position | TBA securities |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  | 18,432,000 |  | 10,176,000 |  |
Derivative Asset, Fair Value, Gross Asset |  |  |  |  | 834,000 |
Short position | TBA securities |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  |  |  | $ 0 |  |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  | (12,071,000) |  |  |  |
Derivative Liability, Fair Value, Gross Liability |  | $ 5,202,000 |  |  | $ 974,000 |
Not Designated as Hedging Instrument, Economic Hedge | Interest rate swaps |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative, Average Fixed Interest Rate |  | 1.34% |  |  | 1.62% |
Derivative, Average Remaining Maturity |  | 3 years 7 months 6 days |  |  | 3 years 9 months 18 days |
Derivative Asset, Notional Amount |  | $ 230,000,000 |  |  | $ 4,225,000,000 |
Not Designated as Hedging Instrument, Economic Hedge | Interest rate swaption |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative assets, fair value |  | 0 |  |  | 573,000 |
Derivative instrument, cost basis | [1] |  |  |  | 6,180,000 |
Derivative Asset, Fair Value, Gross Asset | [1] |  |  |  | 573,000 |
Derivative Asset, Notional Amount |  | 0 |  |  | 750,000,000 | [1]
Not Designated as Hedging Instrument, Economic Hedge | U.S. Treasury futures |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative liabilities, fair value |  | (8,438,000) | [2] |  | 0 |
Derivative Liability, Notional Amount |  | 1,177,500,000 |  |  | 0 |
Not Designated as Hedging Instrument, Economic Hedge | Options on U.S. Treasury futures |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative assets, fair value |  | 3,031,000 |  |  | 2,883,000 |
Derivative instrument, cost basis |  | 14,884,000 | [2] |  | 4,359,000 | [1]
Derivative Asset, Fair Value, Gross Asset |  | 3,031,000 | [2] |  | 2,883,000 | [1]
Derivative Asset, Notional Amount |  | 1,700,000,000 | [2] |  | 1,350,000,000 | [1]
Not Designated as Hedging Instrument, Economic Hedge | Short position | TBA securities |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative liabilities, fair value |  | (5,202,000) |  |  | (974,000) |
Derivative Liability, Notional Amount |  | 515,000,000 |  |  | 500,000,000 |
Not Designated as Hedging Instrument, Trading | Long position | TBA securities |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative assets, fair value |  | 0 |  |  | 834,000 |
Derivative Asset, Notional Amount |  | $ 0 |  |  | $ 435,000,000 |
Maturity in three years or less | Not Designated as Hedging Instrument, Economic Hedge | Interest rate swaps |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative, Average Fixed Interest Rate |  | 1.61% |  |  | 1.58% |
Derivative, Average Remaining Maturity |  | 3 months 18 days |  |  | 1 year 6 months |
Derivative Asset, Notional Amount |  | $ 150,000,000 |  |  | $ 2,860,000,000 |
Maturity between 3 and 6 years | Not Designated as Hedging Instrument, Economic Hedge | Interest rate swaps |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative, Average Fixed Interest Rate |  |  |  |  | 1.43% |
Derivative, Average Remaining Maturity |  |  |  |  | 4 years 8 months 12 days |
Derivative Asset, Notional Amount |  |  |  |  | $ 700,000,000 |
Maturity between 6 and 10 years | Not Designated as Hedging Instrument, Economic Hedge | Interest rate swaps |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative, Average Fixed Interest Rate |  | 0.83% |  |  | 1.78% |
Derivative, Average Remaining Maturity |  | 9 years 10 months 24 days |  |  | 9 years 4 months 24 days |
Derivative Asset, Notional Amount |  | $ 80,000,000 |  |  | $ 545,000,000 |
Maturity greater than 10 years [Member] | Not Designated as Hedging Instrument, Economic Hedge | Interest rate swaps |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative, Average Fixed Interest Rate |  |  |  |  | 2.84% |
Derivative, Average Remaining Maturity |  |  |  |  | 27 years 8 months 12 days |
Derivative Asset, Notional Amount |  |  |  |  | $ 120,000,000 |
[1] | All options outstanding as of December 31, 2019 expired during the first quarter of 2020.
[2] | All futures and options outstanding as of March 31, 2020 will expire in June of 2020

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