Derivative Instruments - TBA securities (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Dec. 31, 2019
Currency swaps and forwards
Derivative assets	$ 33,675	$ 5,111
Derivative liability, at fair value	(43,967)	(6,370)
Changes in notional amount
Beginning balance	1,000,000
Derivative, notional amount, additions	4,478,800
Terminated and settled	4,700,600
Ending balance	778,200
Derivative instruments not accounted as hedges under GAAP
Currency swaps and forwards
Derivative assets	33,675	5,111
Derivative liability, at fair value	(43,967)	(6,370)
Fair Value	(10,292)	(1,259)
TBAs | Derivative instruments not accounted as hedges under GAAP
Currency swaps and forwards
Notional amount, assets	778,200	1,000,000
Derivative assets	17,923	1,146
Notional amount, liabilities	(778,200)	(1,000,000)
Derivative liability, at fair value	(21,847)	(2,074)
Fair Value	(3,924)	(928)
Changes in notional amount
Beginning balance	0
Ending balance	0
TBAs | Derivative instruments not accounted as hedges under GAAP | Long
Currency swaps and forwards
Notional amount, assets	778,200	1,000,000
Derivative assets	17,923	1,146
Notional amount, liabilities	(778,200)	(1,000,000)
Derivative liability, at fair value	$ (21,847)	$ (2,074)