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Derivatives (Details) - USD ($) $ in Thousands |  |  | 3 Months Ended | 9 Months Ended
--- | --- | --- | --- | ---
Sep. 30, 2020 | Dec. 31, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019
Derivative [Line Items] |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net |  |  | $ 7,974 | $ (50,709) | $ (196,156) | $ (229,941)
Derivative assets, fair value | $ 4,266 | $ 4,290 | 4,266 |  | 4,266 |
Derivative liabilities, fair value | (5,164) | (974) | (5,164) |  | (5,164) |
Derivative Asset, Fair Value, Gross Asset | 4,266 | 4,290 | 4,266 |  | 4,266 |
Derivative Liability, Fair Value, Gross Liability | 5,164 | 974 | 5,164 |  | 5,164 |
Interest rate swaps |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  |  | 911 |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  |  |  | 52,908 | 182,941 | 248,886
Interest rate swaption |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  |  | 411 |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  |  |  | 4,329 | 162 | 4,329
Derivative Asset, Fair Value, Gross Asset |  | 573 |  |  |  |
U.S. Treasury futures |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  |  |  | 1,712 |  | 1,501
Derivative Instruments Not Designated as Hedging Instruments, Loss |  |  | 6,517 |  | 25,140 |
Derivative Liability, Fair Value, Gross Liability | (5,164) |  | (5,164) |  | (5,164) |
Options on U.S. Treasury futures |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  |  | 5,655 | 0 | 23,815 | 0
Derivative Asset, Fair Value, Gross Asset |  | 2,883 |  |  |  |
Long position | TBA securities |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  |  | 18,824 | 4,652 | 45,943 | 21,609
Derivative Asset, Fair Value, Gross Asset | $ 3,469 | 834 | 3,469 |  | 3,469 |
Short position | TBA securities |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  |  | $ 0 | $ 164 |  | $ 164
Derivative Instruments Not Designated as Hedging Instruments, Loss |  |  |  |  | $ 10,041 |
Derivative Liability, Fair Value, Gross Liability |  | 974 |  |  |  |
Not Designated as Hedging Instrument, Economic Hedge | Interest rate swaps |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative, Average Fixed Interest Rate | 1.35% |  | 1.35% |  | 1.35% |
Variation margin | $ 297 |  | $ 297 |  | $ 297 |
Derivative Asset, Notional Amount | 50,000 | 4,225,000 | 50,000 |  | 50,000 |
Not Designated as Hedging Instrument, Economic Hedge | Interest rate swaption |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative assets, fair value | 411 | 573 | 411 |  | 411 |
Derivative instrument, cost basis | $ 4,150 | $ 6,180 | $ 4,150 |  | $ 4,150 |
Derivative, Average Fixed Interest Rate | 1.01% | 2.07% | 1.01% |  | 1.01% |
Derivative Asset, Notional Amount | $ 500,000 | $ 750,000 | $ 500,000 |  | $ 500,000 |
Derivative, Average Remaining Maturity | 6 months | 1 month |  |  |  |
Not Designated as Hedging Instrument, Economic Hedge | U.S. Treasury futures |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative liabilities, fair value | $ (5,164) | $ 0 | (5,164) |  | (5,164) |
Derivative, Average Remaining Maturity | 3 months |  |  |  |  |
Derivative Liability, Notional Amount | $ 1,025,000 | 0 | 1,025,000 |  | 1,025,000 |
Not Designated as Hedging Instrument, Economic Hedge | Options on U.S. Treasury futures |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative assets, fair value | 386 | 2,883 | 386 |  | 386 |
Derivative instrument, cost basis |  | 2,883 |  |  |  |
Derivative Asset, Notional Amount | $ 1,225,000 | $ 1,350,000 | 1,225,000 |  | 1,225,000 |
Derivative, Average Remaining Maturity | 1 month | 2 months |  |  |  |
Not Designated as Hedging Instrument, Economic Hedge | Short position | TBA securities |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative liabilities, fair value | $ 0 | $ (974) | 0 |  | 0 |
Derivative Liability, Notional Amount | 0 | 500,000 | 0 |  | 0 |
Not Designated as Hedging Instrument, Trading | Long position | TBA securities |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |
Derivative assets, fair value | 3,469 | 834 | 3,469 |  | 3,469 |
Derivative Asset, Notional Amount | $ 1,125,000 | $ 435,000 | $ 1,125,000 |  | $ 1,125,000 |

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