Quarterly report pursuant to Section 13 or 15(d)

Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance (Details)

v3.5.0.2
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance (Details) - USD ($)
$ in Thousands
 3 Months Ended 6 Months Ended
Jun. 30, 2016
Jun. 30, 2015
Jun. 30, 2016
Jun. 30, 2015
Derivative Instruments, Gain (Loss) [Line Items]        
Gain (Loss) on Interest Rate Derivative Instruments Not Designated as Hedging Instruments $ (12,708) $ 44,952 $ (138,192) $ (81,491)
Derivative Instruments, Gain (Loss) Recognized in Income, Net (48,051) (5,484) (32,036) (2,517)
Gain (Loss) on Mortgage Loans Held-for-Sale 7,734 (6,832) 18,537 2,260
Trading Activity, Gains and Losses, Net (59,809) 34,338 (167,880) (88,168)
Inverse Interest-Only Securities [Member]        
Derivative Instruments, Gain (Loss) [Line Items]        
Derivative Instruments, Gain (Loss) Recognized in Income, Net 7,733 4,909 20,715 24,170
Loan Purchase Commitments [Member]        
Derivative Instruments, Gain (Loss) [Line Items]        
Gain (Loss) on Mortgage Loans Held-for-Sale 950 (5,130) 2,348 (4,160)
Interest Rate Risk Associated with the Investment Portfolio [Member] | Forward Contracts [Member]        
Derivative Instruments, Gain (Loss) [Line Items]        
Derivative Instruments, Gain (Loss) Recognized in Income, Net 1,562 5,262 26,891 (22,696)
Interest Rate Risk Associated with the Investment Portfolio [Member] | Short US Treasury Securities [Member]        
Derivative Instruments, Gain (Loss) [Line Items]        
Derivative Instruments, Gain (Loss) Recognized in Income, Net 0 125 0 125
Interest Rate Risk Associated with the Investment Portfolio [Member] | Options Held [Member]        
Derivative Instruments, Gain (Loss) [Line Items]        
Derivative Instruments, Gain (Loss) Recognized in Income, Net (44,052) 5,671 (45,033) 8,206
Interest Rate Risk Associated with the Investment Portfolio [Member] | Treasury Lock [Member]        
Derivative Instruments, Gain (Loss) [Line Items]        
Derivative Instruments, Gain (Loss) Recognized in Income, Net 0 (837) 0 (837)
Interest Rate Risk Associated with the Investment Portfolio [Member] | Swap [Member]        
Derivative Instruments, Gain (Loss) [Line Items]        
Derivative Instruments, Gain (Loss) Recognized in Income, Net 0 74 0 6,164
Interest Rate Risk Associated with the Investment Portfolio [Member] | Interest Rate Swaption [Member]        
Derivative Instruments, Gain (Loss) [Line Items]        
Gain (Loss) on Interest Rate Derivative Instruments Not Designated as Hedging Instruments 22,252 19,752 5,997 1,246
Interest Rate Risk Associated with the Investment Portfolio [Member] | Total Return Swap [Member]        
Derivative Instruments, Gain (Loss) [Line Items]        
Derivative Instruments, Gain (Loss) Recognized in Income, Net (13,267) (20,658) (34,991) (17,526)
Interest Rate Risk Associated with the Investment Portfolio [Member] | Short [Member] | Interest Rate Swap [Member]        
Derivative Instruments, Gain (Loss) [Line Items]        
Gain (Loss) on Interest Rate Derivative Instruments Not Designated as Hedging Instruments 37,172 (42,470) 149,846 (144)
Interest Rate Risk Associated with the Investment Portfolio [Member] | Long [Member] | Interest Rate Swap [Member]        
Derivative Instruments, Gain (Loss) [Line Items]        
Gain (Loss) on Interest Rate Derivative Instruments Not Designated as Hedging Instruments (30,932) 20,713 (112,016) (31,846)
Interest Rate Risk Associated with Borrowings [Member] | Long [Member] | Interest Rate Swap [Member]        
Derivative Instruments, Gain (Loss) [Line Items]        
Gain (Loss) on Interest Rate Derivative Instruments Not Designated as Hedging Instruments (41,200) 46,957 (182,019) (50,747)
Credit Risk Associated with Non-Agency RMBS and Mortgage Loans Held-for-Sale [Member] | Credit Default Swap, Selling Protection [Member]        
Derivative Instruments, Gain (Loss) [Line Items]        
Derivative Instruments, Gain (Loss) Recognized in Income, Net $ (27) $ (30) $ 382 $ (123)