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Other Assets (Derivative Instruments) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended |
--- | --- | --- | ---
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | Dec. 31, 2018
AOCI from derivative hedging instruments: |  |  |  |  |
Balance at beginning of period | $ (28,114) | $ 16,160 | $ 3,121 | $ (11,424) |
Net (loss)/gain on Swaps | (233) | 5,390 | (30,384) | 32,974 |
Amortization of de-designated hedging instruments, net | (685) | 0 | (1,769) | 0 |
Balance at end of period | (29,032) | 21,550 | (29,032) | 21,550 |
Interest Rate Contract |  |  |  |  |
Derivative [Line Items] |  |  |  |  |
Assets pledged | 25,728 |  | 25,728 |  | $ 32,803
Swaps, at fair value |  |  |  |  |
Derivative [Line Items] |  |  |  |  |
Aggregate notional amount of derivatives | $ 3,152,000 |  | $ 3,152,000 |  | $ 3,217,000
Weighted average fixed-pay rate | 2.25% |  | 2.25% |  | 2.42%
Weighted Average Variable Interest Rate | 2.09% |  | 2.09% |  | 2.56%
Interest (expense)/income attributable to Swaps | $ (322) | $ (547) | $ 1,561 | $ (4,187) |
Weighted average Swap rate paid | 2.29% | 2.19% | 2.32% | 2.09% |
Weighted average Swap rate received | 2.24% | 2.09% | 2.40% | 1.86% |
Swaps, at fair value | Within 30 days |  |  |  |  |
Derivative [Line Items] |  |  |  |  |
Aggregate notional amount of derivatives | $ 0 |  | $ 0 |  | $ 0
Weighted average fixed-pay rate | 0.00% |  | 0.00% |  | 0.00%
Weighted Average Variable Interest Rate | 0.00% |  | 0.00% |  | 0.00%
Swaps, at fair value | Over 30 days to 3 months |  |  |  |  |
Derivative [Line Items] |  |  |  |  |
Aggregate notional amount of derivatives | $ 0 |  | $ 0 |  | $ 100,000
Weighted average fixed-pay rate | 0.00% |  | 0.00% |  | 1.71%
Weighted Average Variable Interest Rate | 0.00% |  | 0.00% |  | 2.50%
Swaps, at fair value | Over 3 months to 6 months |  |  |  |  |
Derivative [Line Items] |  |  |  |  |
Aggregate notional amount of derivatives | $ 0 |  | $ 0 |  | $ 100,000
Weighted average fixed-pay rate | 0.00% |  | 0.00% |  | 1.71%
Weighted Average Variable Interest Rate | 0.00% |  | 0.00% |  | 2.50%
Swaps, at fair value | Over 6 months to 12 months |  |  |  |  |
Derivative [Line Items] |  |  |  |  |
Aggregate notional amount of derivatives | $ 1,630,000 |  | $ 1,630,000 |  | $ 0
Weighted average fixed-pay rate | 2.27% |  | 2.27% |  | 0.00%
Weighted Average Variable Interest Rate | 2.06% |  | 2.06% |  | 0.00%
Swaps, at fair value | Over 12 months to 24 months |  |  |  |  |
Derivative [Line Items] |  |  |  |  |
Aggregate notional amount of derivatives | $ 800,000 |  | $ 800,000 |  | $ 1,630,000
Weighted average fixed-pay rate | 1.73% |  | 1.73% |  | 2.27%
Weighted Average Variable Interest Rate | 2.12% |  | 2.12% |  | 2.50%
Swaps, at fair value | Over 24 months to 36 months |  |  |  |  |
Derivative [Line Items] |  |  |  |  |
Aggregate notional amount of derivatives | $ 500,000 |  | $ 500,000 |  | $ 800,000
Weighted average fixed-pay rate | 2.73% |  | 2.73% |  | 2.57%
Weighted Average Variable Interest Rate | 2.13% |  | 2.13% |  | 2.64%
Swaps, at fair value | Over 36 months to 48 months |  |  |  |  |
Derivative [Line Items] |  |  |  |  |
Aggregate notional amount of derivatives | $ 182,000 |  | $ 182,000 |  | $ 0
Weighted average fixed-pay rate | 2.83% |  | 2.83% |  | 0.00%
Weighted Average Variable Interest Rate | 2.09% |  | 2.09% |  | 0.00%
Swaps, at fair value | Over 48 months to 60 months |  |  |  |  |
Derivative [Line Items] |  |  |  |  |
Aggregate notional amount of derivatives | $ 40,000 |  | $ 40,000 |  | $ 417,000
Weighted average fixed-pay rate | 3.11% |  | 3.11% |  | 2.88%
Weighted Average Variable Interest Rate | 2.27% |  | 2.27% |  | 2.63%
Swaps, at fair value | Over 84 months |  |  |  |  |
Derivative [Line Items] |  |  |  |  |
Aggregate notional amount of derivatives | $ 0 |  | $ 0 |  | $ 170,000
Weighted average fixed-pay rate | 0.00% |  | 0.00% |  | 3.00%
Weighted Average Variable Interest Rate | 0.00% |  | 0.00% |  | 2.66%
Swaps, at fair value | Hedging |  |  |  |  |
Derivative [Line Items] |  |  |  |  |
Aggregate notional amount of derivatives | $ 3,200,000 |  | $ 3,200,000 |  |
Average maturity term of swaps |  |  | 18 months |  |
Swaps, at fair value | Minimum | LIBOR |  |  |  |  |
Derivative [Line Items] |  |  |  |  |
Derivative, variable interest rate, term |  |  | 1 month |  |
Swaps, at fair value | Maximum | Hedging |  |  |  |  |
Derivative [Line Items] |  |  |  |  |
Maximum maturity term of swaps |  |  | 50 months |  |
Swaps, at fair value | Maximum | LIBOR |  |  |  |  |
Derivative [Line Items] |  |  |  |  |
Derivative, variable interest rate, term |  |  | 3 months |  |
Swap | Non-Hedging |  |  |  |  |
Derivative [Line Items] |  |  |  |  |
Loss on derivative | 929,000 | $ 4,000 | $ 17,300 | $ 4,400 |
Realized loss | 3,700 |  | 17,700 |  |
Agency MBS, at fair value | Interest Rate Contract |  |  |  |  |
Derivative [Line Items] |  |  |  |  |
Assets pledged | 2,333 |  | 2,333 |  | $ 2,735
Restricted cash | Interest Rate Contract |  |  |  |  |
Derivative [Line Items] |  |  |  |  |
Assets pledged | $ 23,395 |  | $ 23,395 |  | $ 30,068

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