Valuation Schedule of Fair Value Measurements (Details) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Financial derivatives-assets, at fair value | [1] | $ 6,106 | $ 6,008 |
Financial derivatives–liabilities, at fair value | [1] | (2,686) | (1,975) |
Derivative Financial Instruments, Assets [Member] | Futures [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Financial derivatives-assets, at fair value | | 166 | 72 |
Fair Value, Measurements, Recurring [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Mortgage-backed securities, at fair value | | 1,653,029 | 1,226,994 |
Financial derivatives-assets, at fair value | | 6,106 | 6,008 |
Total mortgage-backed securities and financial derivatives–assets, at fair value | | 1,659,135 | 1,233,002 |
Financial derivatives–liabilities, at fair value | | (2,686) | (1,975) |
Total U.S. Treasury securities and financial derivatives-liabilities, at fair value | | (75,448) | (76,169) |
Fair Value, Measurements, Recurring [Member] | TBA securities [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Financial derivatives-assets, at fair value | | 1,936 | 1,045 |
Financial derivatives–liabilities, at fair value | | (329) | (554) |
Fair Value, Measurements, Recurring [Member] | Interest Rate Swap [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Financial derivatives-assets, at fair value | | 4,004 | 4,891 |
Financial derivatives–liabilities, at fair value | | (2,357) | (1,421) |
Fair Value, Measurements, Recurring [Member] | Futures [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Financial derivatives-assets, at fair value | | 166 | 72 |
Fair Value, Measurements, Recurring [Member] | Agency RMBS [Member] | 15-year fixed rate mortgages [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Mortgage-backed securities, at fair value | | 181,932 | 148,363 |
Fair Value, Measurements, Recurring [Member] | Agency RMBS [Member] | 20-year fixed rate mortgages [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Mortgage-backed securities, at fair value | | 10,359 | 11,185 |
Fair Value, Measurements, Recurring [Member] | Agency RMBS [Member] | 30-year fixed rate mortgages [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Mortgage-backed securities, at fair value | | 1,342,379 | 940,457 |
Fair Value, Measurements, Recurring [Member] | Agency RMBS [Member] | Adjustable Rate Mortgages | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Mortgage-backed securities, at fair value | | 28,591 | 33,138 |
Fair Value, Measurements, Recurring [Member] | Agency RMBS [Member] | Reverse mortgages [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Mortgage-backed securities, at fair value | | 58,256 | 62,058 |
Fair Value, Measurements, Recurring [Member] | Agency RMBS [Member] | Interest-Only [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Mortgage-backed securities, at fair value | | 10,882 | 12,347 |
Fair Value, Measurements, Recurring [Member] | Non-Agency RMBS [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Mortgage-backed securities, at fair value | | 20,630 | 19,446 |
Fair Value, Measurements, Recurring [Member] | US Treasury Securities [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
U.S. Treasury securities sold short, at fair value | | (72,762) | (74,194) |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Mortgage-backed securities, at fair value | | 0 | 0 |
Financial derivatives-assets, at fair value | | 166 | 72 |
Total mortgage-backed securities and financial derivatives–assets, at fair value | | 166 | 72 |
Financial derivatives–liabilities, at fair value | | 0 | 0 |
Total U.S. Treasury securities and financial derivatives-liabilities, at fair value | | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | TBA securities [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Financial derivatives-assets, at fair value | | 0 | 0 |
Financial derivatives–liabilities, at fair value | | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Interest Rate Swap [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Financial derivatives-assets, at fair value | | 0 | 0 |
Financial derivatives–liabilities, at fair value | | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Futures [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Financial derivatives-assets, at fair value | | 166 | 72 |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Agency RMBS [Member] | 15-year fixed rate mortgages [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Mortgage-backed securities, at fair value | | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Agency RMBS [Member] | 20-year fixed rate mortgages [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Mortgage-backed securities, at fair value | | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Agency RMBS [Member] | 30-year fixed rate mortgages [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Mortgage-backed securities, at fair value | | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Agency RMBS [Member] | Adjustable Rate Mortgages | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Mortgage-backed securities, at fair value | | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Agency RMBS [Member] | Reverse mortgages [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Mortgage-backed securities, at fair value | | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Agency RMBS [Member] | Interest-Only [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Mortgage-backed securities, at fair value | | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Non-Agency RMBS [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Mortgage-backed securities, at fair value | | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | US Treasury Securities [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
U.S. Treasury securities sold short, at fair value | | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Mortgage-backed securities, at fair value | | 1,644,054 | 1,208,149 |
Financial derivatives-assets, at fair value | | 5,940 | 5,936 |
Total mortgage-backed securities and financial derivatives–assets, at fair value | | 1,649,994 | 1,214,085 |
Financial derivatives–liabilities, at fair value | | (2,686) | (1,975) |
Total U.S. Treasury securities and financial derivatives-liabilities, at fair value | | (75,448) | (76,169) |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | TBA securities [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Financial derivatives-assets, at fair value | | 1,936 | 1,045 |
Financial derivatives–liabilities, at fair value | | (329) | (554) |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Interest Rate Swap [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Financial derivatives-assets, at fair value | | 4,004 | 4,891 |
Financial derivatives–liabilities, at fair value | | (2,357) | (1,421) |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Futures [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Financial derivatives-assets, at fair value | | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Agency RMBS [Member] | 15-year fixed rate mortgages [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Mortgage-backed securities, at fair value | | 181,932 | 148,363 |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Agency RMBS [Member] | 20-year fixed rate mortgages [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Mortgage-backed securities, at fair value | | 10,359 | 11,185 |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Agency RMBS [Member] | 30-year fixed rate mortgages [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Mortgage-backed securities, at fair value | | 1,342,379 | 940,457 |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Agency RMBS [Member] | Adjustable Rate Mortgages | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Mortgage-backed securities, at fair value | | 28,591 | 33,138 |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Agency RMBS [Member] | Reverse mortgages [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Mortgage-backed securities, at fair value | | 58,256 | 62,058 |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Agency RMBS [Member] | Interest-Only [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Mortgage-backed securities, at fair value | | 8,357 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Non-Agency RMBS [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Mortgage-backed securities, at fair value | | 14,180 | 12,948 |
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | US Treasury Securities [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
U.S. Treasury securities sold short, at fair value | | (72,762) | (74,194) |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Mortgage-backed securities, at fair value | | 8,975 | 18,845 |
Financial derivatives-assets, at fair value | | 0 | 0 |
Total mortgage-backed securities and financial derivatives–assets, at fair value | | 8,975 | 18,845 |
Financial derivatives–liabilities, at fair value | | 0 | 0 |
Total U.S. Treasury securities and financial derivatives-liabilities, at fair value | | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | TBA securities [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Financial derivatives-assets, at fair value | | 0 | 0 |
Financial derivatives–liabilities, at fair value | | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Interest Rate Swap [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Financial derivatives-assets, at fair value | | 0 | 0 |
Financial derivatives–liabilities, at fair value | | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Futures [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Financial derivatives-assets, at fair value | | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Agency RMBS [Member] | 15-year fixed rate mortgages [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Mortgage-backed securities, at fair value | | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Agency RMBS [Member] | 20-year fixed rate mortgages [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Mortgage-backed securities, at fair value | | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Agency RMBS [Member] | 30-year fixed rate mortgages [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Mortgage-backed securities, at fair value | | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Agency RMBS [Member] | Adjustable Rate Mortgages | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Mortgage-backed securities, at fair value | | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Agency RMBS [Member] | Reverse mortgages [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Mortgage-backed securities, at fair value | | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Agency RMBS [Member] | Interest-Only [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Mortgage-backed securities, at fair value | | 2,525 | 12,347 |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Non-Agency RMBS [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
Mortgage-backed securities, at fair value | | 6,450 | 6,498 |
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | US Treasury Securities [Member] | | | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | | | |
U.S. Treasury securities sold short, at fair value | | $ 0 | $ 0 |
| |
[1] | In the Company's Consolidated Balance Sheet, all balances associated with the repurchase agreements and financial derivatives are presented on a gross basis. | |