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Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019
--- | --- | ---
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Derivative asset | $ 3,031 | $ 4,290
Derivative liabilities | 13,640 | 974
Fair Value, Measurements, Recurring |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Mortgage-backed securities | 3,719,706 | 5,188,163
Assets, Fair Value Disclosure | 3,730,659 | 5,192,453
Financial Liabilities Fair Value Disclosure | 13,640 | 974
Loans Receivable, Fair Value Disclosure | 7,922 | 0
Fair Value, Measurements, Recurring | Level 1 |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Mortgage-backed securities | 0 | 0
Assets, Fair Value Disclosure | 3,031 | 2,883
Financial Liabilities Fair Value Disclosure | 8,438 | 0
Loans Receivable, Fair Value Disclosure | 0 | 0
Fair Value, Measurements, Recurring | Level 2 |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Mortgage-backed securities | 3,718,144 | 5,186,473
Assets, Fair Value Disclosure | 3,718,144 | 5,187,880
Financial Liabilities Fair Value Disclosure | 5,202 | 974
Loans Receivable, Fair Value Disclosure | 0 | 0
Fair Value, Measurements, Recurring | Level 3 |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Mortgage-backed securities | 1,562 | 1,690
Assets, Fair Value Disclosure | 9,484 | 1,690
Financial Liabilities Fair Value Disclosure | 0 | 0
Loans Receivable, Fair Value Disclosure | 7,922 | 0
Fair Value, Measurements, Recurring | Options on U.S. Treasury futures |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Derivative asset | 3,031 | 2,883
Fair Value, Measurements, Recurring | Options on U.S. Treasury futures | Level 1 |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Derivative asset | 3,031 | 2,883
Fair Value, Measurements, Recurring | Options on U.S. Treasury futures | Level 2 |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Derivative asset | 0 | 0
Fair Value, Measurements, Recurring | Options on U.S. Treasury futures | Level 3 |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Derivative asset | 0 | 0
Fair Value, Measurements, Recurring | Interest rate swaption |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Derivative asset | 0 | 573
Fair Value, Measurements, Recurring | Interest rate swaption | Level 1 |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Derivative asset | 0 | 0
Fair Value, Measurements, Recurring | Interest rate swaption | Level 2 |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Derivative asset | 0 | 573
Fair Value, Measurements, Recurring | Interest rate swaption | Level 3 |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Derivative asset | 0 | 0
Fair Value, Measurements, Recurring | TBA securities | Short position |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Derivative liabilities | 5,202 | 974
Fair Value, Measurements, Recurring | TBA securities | Long position |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Derivative asset | 0 | 834
Fair Value, Measurements, Recurring | TBA securities | Level 1 | Short position |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Derivative liabilities | 0 | 0
Fair Value, Measurements, Recurring | TBA securities | Level 1 | Long position |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Derivative asset | 0 | 0
Fair Value, Measurements, Recurring | TBA securities | Level 2 | Short position |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Derivative liabilities | 5,202 | 974
Fair Value, Measurements, Recurring | TBA securities | Level 2 | Long position |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Derivative asset | 0 | 834
Fair Value, Measurements, Recurring | TBA securities | Level 3 | Short position |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Derivative liabilities | 0 | 0
Fair Value, Measurements, Recurring | TBA securities | Level 3 | Long position |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Derivative asset | 0 | 0
Fair Value, Measurements, Recurring | Futures |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Derivative liabilities | 8,438 | 0
Fair Value, Measurements, Recurring | Futures | Level 1 |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Derivative liabilities | 8,438 | 0
Fair Value, Measurements, Recurring | Futures | Level 2 |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Derivative liabilities | 0 | 0
Fair Value, Measurements, Recurring | Futures | Level 3 |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Derivative liabilities | $ 0 | $ 0

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- Definition Fair value of financial obligations, including, but not limited to, debt instruments, derivative liabilities, federal funds purchased and sold under agreements to repurchase, securities loaned or sold under agreements to repurchase, financial instruments sold not yet purchased, guarantees, line of credit, loans and notes payable, servicing liability, and trading liabilities. + References No definition available. + Details
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