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Derivatives (Details) - USD ($) $ in Thousands |  | 12 Months Ended
--- | --- | ---
Dec. 31, 2019 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018
Derivative [Line Items] |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net |  | $ (172,290) | $ (186,949) | $ (3,461)
Derivative liabilities, fair value | $ (974) | (1,634) | (974) |
Derivative Asset, Fair Value, Gross Asset | 4,290 | 11,342 | 4,290 |
Derivative Liability, Fair Value, Gross Liability | 974 | 1,634 | 974 |
Derivative assets, fair value | 4,290 | 11,342 | 4,290 |
Interest rate swaps |  |  |  |
Derivative [Line Items] |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  |  |  | 10,363
Derivative Instruments Not Designated as Hedging Instruments, Loss |  | (182,942) | (202,450) |
Interest rate swaption |  |  |  |
Derivative [Line Items] |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  | 680 |  |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  |  | (5,607) | 0
Derivative instrument, cost basis |  | 13,000 |  |
Derivative Asset, Fair Value, Gross Asset | 573 |  | 573 |
Derivative Liability, Fair Value, Gross Liability |  | $ (107) |  |
Derivative, Average Fixed Interest Rate |  | 1.07% |  |
Derivative Asset, Notional Amount |  | $ 1,250,000 |  |
Derivative assets, fair value |  | 1,253 |  |
U.S. Treasury futures |  |  |  |
Derivative [Line Items] |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  |  | 2,250 |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  | (15,046) |  | (2,722)
Derivative Liability, Fair Value, Gross Liability |  | (1,527) |  |
Options on U.S. Treasury futures |  |  |  |
Derivative [Line Items] |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  | (26,186) | (1,422) | (658)
Derivative Asset, Fair Value, Gross Asset | 2,883 |  | 2,883 |
Long position | TBA securities |  |  |  |
Derivative [Line Items] |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  | 61,245 | 20,020 |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  |  |  | (10,737)
Derivative Asset, Fair Value, Gross Asset | 834 | 8,888 | 834 |
Short position | TBA securities |  |  |  |
Derivative [Line Items] |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  |  | 260 | $ 293
Derivative Instruments Not Designated as Hedging Instruments, Loss |  | (10,041) |  |
Derivative Liability, Fair Value, Gross Liability | 974 |  | 974 |
Not Designated as Hedging Instrument, Economic Hedge | Interest rate swaps |  |  |  |
Derivative [Line Items] |  |  |  |
Derivative Asset, Notional Amount | 4,225,000 | 0 | 4,225,000 |
Not Designated as Hedging Instrument, Economic Hedge | Interest rate swaption |  |  |  |
Derivative [Line Items] |  |  |  |
Derivative liabilities, fair value |  | (107) |  |
Derivative Asset, Notional Amount | 750,000 | 1,250,000 | 750,000 |
Derivative assets, fair value | 573 | 1,360 | 573 |
Not Designated as Hedging Instrument, Economic Hedge | Interest rate swaption | 6 months or less |  |  |  |
Derivative [Line Items] |  |  |  |
Derivative liabilities, fair value | 0 |  | 0 |
Derivative instrument, cost basis | $ 6,180 | $ 6,312 | $ 6,180 |
Derivative, Average Fixed Interest Rate | 2.07% | 1.02% | 2.07% |
Derivative Asset, Notional Amount | $ 750,000 | $ 750,000 | $ 750,000 |
Derivative, Average Remaining Maturity |  | 3 months | 1 month |
Derivative assets, fair value | 573 | $ 1,161 | $ 573 |
Not Designated as Hedging Instrument, Economic Hedge | Interest rate swaption | Greater than 6 months |  |  |  |
Derivative [Line Items] |  |  |  |
Derivative instrument, cost basis |  | $ 6,688 |  |
Derivative, Average Fixed Interest Rate |  | 1.16% |  |
Derivative Asset, Notional Amount |  | $ 500,000 |  |
Derivative, Average Remaining Maturity |  | 8 months |  |
Derivative assets, fair value |  | $ 92 |  |
Not Designated as Hedging Instrument, Economic Hedge | U.S. Treasury futures |  |  |  |
Derivative [Line Items] |  |  |  |
Derivative liabilities, fair value | 0 |  | 0 |
Not Designated as Hedging Instrument, Economic Hedge | Options on U.S. Treasury futures |  |  |  |
Derivative [Line Items] |  |  |  |
Derivative instrument, cost basis | 2,883 |  | 2,883 |
Derivative Asset, Notional Amount | $ 1,350,000 | $ 500,000 | 1,350,000 |
Derivative, Average Remaining Maturity | 2 months | 1 month |  |
Derivative assets, fair value | $ 2,883 | $ 1,094 | 2,883 |
Not Designated as Hedging Instrument, Economic Hedge | Short position | U.S. Treasury futures |  |  |  |
Derivative [Line Items] |  |  |  |
Derivative liabilities, fair value |  | $ (1,527) |  |
Derivative, Average Remaining Maturity |  | 2 months |  |
Derivative Liability, Notional Amount | 0 | $ 825,000 | 0 |
Not Designated as Hedging Instrument, Economic Hedge | Short position | TBA securities |  |  |  |
Derivative [Line Items] |  |  |  |
Derivative liabilities, fair value | (974) | 0 | (974) |
Derivative Liability, Notional Amount | 500,000 | 0 | 500,000 |
Not Designated as Hedging Instrument, Trading | Long position | TBA securities |  |  |  |
Derivative [Line Items] |  |  |  |
Derivative Asset, Notional Amount | 435,000 | 1,515,000 | 435,000 |
Derivative assets, fair value | $ 834 | $ 8,888 | $ 834 |

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