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Derivatives (Details) - USD ($) $ in Thousands |  | 3 Months Ended | 6 Months Ended | 9 Months Ended |
--- | --- | --- | --- | --- | ---
Dec. 31, 2019 | Sep. 30, 2021 | Sep. 30, 2020 | Jun. 30, 2021 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020
Derivative [Line Items] |  |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net |  | $ 9,603 | $ 7,974 |  | $ 64,463 | $ (196,156) |
Derivative assets, fair value |  | 70,098 |  |  | 70,098 |  | $ 11,342
Derivative liabilities, fair value |  | (12,584) |  |  | (12,584) |  | (1,634)
Interest rate swaps |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  |  | 911 |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  | 0 |  |  | 0 | (182,941) |
Interest rate swaption |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  | 3,985 | 411 |  | 42,686 |  |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  |  |  |  |  | (162) |
Derivative assets, fair value |  | 9,939 |  |  | 9,939 |  | 1,253
Derivative instrument, cost basis |  | 13,100 |  |  | 13,100 |  | 13,000
Derivative Asset, Notional Amount |  | $ 750,000 |  |  | $ 750,000 |  | $ 1,250,000
Derivative, Average Fixed Interest Rate |  | 1.46% |  |  | 1.46% |  | 1.07%
U.S. Treasury futures |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  | $ 11,209 |  |  | $ 43,673 |  |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  |  | (6,517) |  |  | (25,140) |
Derivative assets, fair value |  | 60,159 |  |  | 60,159 |  | $ 0
Options on U.S. Treasury futures |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net |  | 3,226 | 5,655 |  | 2,141 | 23,815 |
Long position | TBA securities |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  |  | 18,824 |  |  | 45,943 |
Derivative Instruments Not Designated as Hedging Instruments, Loss |  | (2,365) |  |  | (19,755) |  |
Short position | TBA securities |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |
Derivative Instruments Not Designated as Hedging Instruments, Gain |  |  | $ 0 |  |  |  |
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 |  | 9,939 |  |  | 9,939 |  | 1,360
Derivative liabilities, fair value |  |  |  |  |  |  | (107)
Not Designated as Hedging Instrument, Economic Hedge | Interest rate swaption | 3 months or less |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |
Derivative assets, fair value |  | 4,453 |  |  | 4,453 |  |
Derivative instrument, cost basis |  | 3,725 |  |  | 3,725 |  |
Derivative Asset, Notional Amount |  | $ 250,000 |  |  | $ 250,000 |  |
Derivative, Average Fixed Interest Rate |  | 1.19% |  |  | 1.19% |  |
Average Term in Years |  |  |  |  | 10 years |  |
Not Designated as Hedging Instrument, Economic Hedge | Interest rate swaption | 9-12 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 | Interest rate swaption | 6 months or less |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |
Derivative assets, fair value |  |  |  |  |  |  | $ 1,161
Derivative instrument, cost basis |  |  |  |  |  |  | 6,312
Derivative Asset, Notional Amount |  |  |  |  |  |  | $ 750,000
Derivative, Average Fixed Interest Rate |  |  |  |  |  |  | 1.02%
Average Term in Years |  |  |  |  | 10 years |  |
Not Designated as Hedging Instrument, Economic Hedge | Interest rate swaption | 9 -12 months |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |
Derivative assets, fair value |  | $ 5,486 |  |  | $ 5,486 |  |
Derivative instrument, cost basis |  | 9,375 |  |  | 9,375 |  |
Derivative Asset, Notional Amount |  | $ 500,000 |  |  | $ 500,000 |  |
Derivative, Average Fixed Interest Rate |  | 1.60% |  |  | 1.60% |  |
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 |  | $ 0 |  |  | $ 0 |  | $ 1,094
Derivative Asset, Notional Amount |  | 0 |  |  | 0 |  | 500,000
Derivative, Average Remaining Maturity | 1 month |  |  |  |  |  |
Not Designated as Hedging Instrument, Economic Hedge | Short position | U.S. Treasury futures |  |  |  |  |  |  |
Derivative [Line Items] |  |  |  |  |  |  |
Derivative liabilities, fair value |  | 0 |  |  | 0 |  | (1,527)
Derivative Liability, Notional Amount |  | 3,540,000 |  |  | $ 3,540,000 |  | 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 |  | 0 |  |  | $ 0 |  | $ 8,888
Derivative liabilities, fair value |  | $ (12,584) |  |  | $ (12,584) |  |

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