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Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019
--- | --- | ---
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |
Derivative asset | $ 4,266 | $ 4,290 |
Derivative liabilities | 5,164 | 974 |
Mortgage loans held for investment (includes 6,920,907 and $8,857 at fair value, respectively); see Note 1 | 6,921 | 8,857 |
Fair Value, Measurements, Recurring |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |
Mortgage-backed securities | 2,995,660 | 5,188,163 |
Assets, Fair Value Disclosure | 3,006,847 | 5,201,310 |
Financial Liabilities Fair Value Disclosure | 5,164 | 974 |
Mortgage loans held for investment (includes 6,920,907 and $8,857 at fair value, respectively); see Note 1 | 6,921 | 8,857 | [1]
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 | 386 | 2,883 |
Financial Liabilities Fair Value Disclosure | 5,164 | 0 |
Mortgage loans held for investment (includes 6,920,907 and $8,857 at fair value, respectively); see Note 1 | 0 | 0 |
Fair Value, Measurements, Recurring | Level 2 |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |
Mortgage-backed securities | 2,994,262 | 5,186,473 |
Assets, Fair Value Disclosure | 2,998,142 | 5,187,880 |
Financial Liabilities Fair Value Disclosure | 0 | 974 |
Mortgage loans held for investment (includes 6,920,907 and $8,857 at fair value, respectively); see Note 1 | 0 | 0 |
Fair Value, Measurements, Recurring | Level 3 |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |
Mortgage-backed securities | 1,398 | 1,690 |
Assets, Fair Value Disclosure | 8,319 | 10,547 |
Financial Liabilities Fair Value Disclosure | 0 | 0 |
Mortgage loans held for investment (includes 6,920,907 and $8,857 at fair value, respectively); see Note 1 | 6,921 | 8,857 | [1]
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 | 386 | 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 | 386 | 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 | 411 | 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 | 411 | 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 | 0 | 974 |
Fair Value, Measurements, Recurring | TBA securities | Long position |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |
Derivative asset | 3,469 | 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 | 0 | 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 | 3,469 | 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 | 5,164 | 0 |
Fair Value, Measurements, Recurring | Futures | Level 1 |  |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |  |
Derivative liabilities | 5,164 | 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 |
[1] | Mortgage loans held for investment were carried at amortized cost of $9,405 on the Company’s consolidated balance sheet as of December 31, 2019.

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