XML 75 R37.htm IDEA: XBRL DOCUMENT v3.19.3.a.u2
Fair Value of Financial Instruments (Details) - USD ($)
$ in Thousands
Dec. 31, 2019
Dec. 31, 2018
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Derivative asset $ 4,290 $ 6,563
Derivative liabilities 974 1,218
Fair Value, Measurements, Recurring    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities 5,188,163 3,749,464
Assets, Fair Value Disclosure 5,192,453 3,756,027
Financial Liabilities Fair Value Disclosure 974 1,218
Fair Value, Measurements, Recurring | Level 1    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities 0 0
Assets, Fair Value Disclosure 2,883 0
Financial Liabilities Fair Value Disclosure 0 1,218
Fair Value, Measurements, Recurring | Level 2    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities 5,186,473 3,747,190
Assets, Fair Value Disclosure 5,187,880 3,753,753
Financial Liabilities Fair Value Disclosure 974 0
Fair Value, Measurements, Recurring | Level 3    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities 1,690 2,274
Assets, Fair Value Disclosure 1,690 2,274
Financial Liabilities Fair Value Disclosure 0 0
Fair Value, Measurements, Recurring | Interest rate swaps    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Derivative asset 0 324
Fair Value, Measurements, Recurring | Interest rate swaps | Level 1    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Derivative asset 0 0
Fair Value, Measurements, Recurring | Interest rate swaps | Level 2    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Derivative asset 0 324
Fair Value, Measurements, Recurring | Interest rate swaps | Level 3    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Derivative asset 0 0
Fair Value, Measurements, Recurring | Interest rate swaption    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Derivative asset 573 0
Fair Value, Measurements, Recurring | Interest rate swaption | Level 1    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Derivative asset 0 0
Fair Value, Measurements, Recurring | Interest rate swaption | Level 2    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Derivative asset 573 0
Fair Value, Measurements, Recurring | Interest rate swaption | Level 3    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Derivative asset 0 0
Fair Value, Measurements, Recurring | Options on U.S. Treasury futures    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Derivative asset   0
Fair Value, Measurements, Recurring | Options on U.S. Treasury futures | Level 1    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Derivative asset 2,883 0
Fair Value, Measurements, Recurring | Options on U.S. Treasury futures | Level 2    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Derivative asset 0 0
Fair Value, Measurements, Recurring | Options on U.S. Treasury futures | Level 3    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Derivative asset 0 0
Fair Value, Measurements, Recurring | TBA securities    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Derivative asset 834 6,239
Derivative liabilities 974 0
Fair Value, Measurements, Recurring | TBA securities | Level 1    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Derivative asset 0 0
Derivative liabilities 0 0
Fair Value, Measurements, Recurring | TBA securities | Level 2    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Derivative asset 834 6,239
Derivative liabilities 974 0
Fair Value, Measurements, Recurring | TBA securities | Level 3    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Derivative asset 0 0
Derivative liabilities 0 0
Fair Value, Measurements, Recurring | Futures    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Derivative liabilities 0 1,218
Fair Value, Measurements, Recurring | Futures | Level 1    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Derivative liabilities 0 1,218
Fair Value, Measurements, Recurring | Futures | Level 2    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Derivative liabilities 0 0
Fair Value, Measurements, Recurring | Futures | Level 3    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Derivative liabilities $ 0 $ 0