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Derivatives (Details) - USD ($) $ in Thousands |  | 3 Months Ended | 6 Months Ended |
--- | --- | --- | --- | ---
Dec. 31, 2019 | Jun. 30, 2021 | Mar. 31, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | Dec. 31, 2020
Derivative [Line Items] |  |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net |  | $ (52,940) |  | $ (8,563) | $ 54,861 | $ (204,130) |
Derivative assets, fair value |  | 16,854 |  |  | 16,854 |  | $ 11,342
Derivative liabilities, fair value |  | (27,325) |  |  | (27,325) |  | (1,634)
Interest rate swaps |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  | 0 |  | (1,672) | 0 | (183,852) |
Interest rate swaption |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  | 19,062 |  | 0 | 38,701 |  |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  | (19,062) |  |  |  | (573) |
Derivative assets, fair value |  |  |  |  |  |  | 1,253
Derivative instrument, cost basis |  |  |  |  |  |  | 13,000
Derivative Asset, Notional Amount |  |  |  |  |  |  | $ 1,250,000
Derivative, Average Fixed Interest Rate |  |  |  |  |  |  | 1.07%
U.S. Treasury futures |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  |  |  |  | 32,464 |  |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  | (63,184) |  | (10,928) |  | (19,377) |
Options on U.S. Treasury futures |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  |  |  |  | 1,086 |  |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  | (11,531) |  | (6,680) |  | (17,406) |
Long position | TBA securities |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  | 40,837 |  | 8,688 |  | 27,119 |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  |  |  |  | (17,390) |  |
Short position | TBA securities |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  |  |  | $ 2,029 |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  | 0 |  |  | 0 | $ (10,041) |
Not Designated as Hedging Instrument, Economic Hedge | Interest rate swaption |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |
Derivative assets, fair value |  |  |  |  |  |  | $ 1,360
Derivative liabilities, fair value |  |  |  |  |  |  | (107)
Not Designated as Hedging Instrument, Economic Hedge | Interest rate swaption | 6 months or less |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |
Derivative assets, fair value |  | 8,781 |  |  | 8,781 |  | 1,161
Derivative instrument, cost basis |  | 6,688 |  |  | 6,688 |  | 6,312
Derivative Asset, Notional Amount |  | $ 500,000 |  |  | $ 500,000 |  | $ 750,000
Derivative, Average Fixed Interest Rate |  | 1.16% |  |  | 1.16% |  | 1.02%
Average Term in Years |  |  |  |  | 10 years |  |
Not Designated as Hedging Instrument, Economic Hedge | Interest rate swaption | 6-9 months |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |
Derivative assets, fair value |  |  |  |  |  |  | $ 92
Derivative instrument, cost basis |  |  |  |  |  |  | 6,688
Derivative Asset, Notional Amount |  |  |  |  |  |  | $ 500,000
Derivative, Average Fixed Interest Rate |  |  |  |  |  |  | 1.16%
Average Term in Years |  |  |  |  | 10 years |  |
Not Designated as Hedging Instrument, Economic Hedge | Options on U.S. Treasury futures |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |
Derivative assets, fair value |  | $ 3,227 |  |  | $ 3,227 |  | $ 1,094
Derivative Asset, Notional Amount |  | 850,000 |  |  | $ 850,000 |  | 500,000
Derivative, Average Remaining Maturity | 1 month |  |  |  | 3 months |  |
Not Designated as Hedging Instrument, Economic Hedge | Short position | U.S. Treasury futures |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |
Derivative liabilities, fair value |  | (27,140) |  |  | $ (27,140) |  | (1,527)
Derivative Liability, Notional Amount |  | 3,250,000 |  |  | $ 3,250,000 |  | 825,000
Derivative, Average Remaining Maturity |  |  | 2 months |  | 3 months |  |
Not Designated as Hedging Instrument, Trading | Long position | TBA securities |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |
Derivative assets, fair value |  | 4,846 |  |  | $ 4,846 |  | $ 8,888
Derivative liabilities, fair value |  | $ (185) |  |  | $ (185) |  |

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