Schedule of Notional Amounts of Derivative Positions (Details) - USD ($)
|
3 Months Ended |
6 Months Ended |
Jun. 30, 2019 |
Jun. 30, 2018 |
Jun. 30, 2019 |
Jun. 30, 2018 |
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
$ (58,777,783,000)
|
$ (18,429,288,000)
|
$ (36,528,169,000)
|
$ (31,226,878,000)
|
| Additions |
(50,576,000,000)
|
(12,731,752,000)
|
(111,113,633,000)
|
(46,426,632,000)
|
| Settlement, Termination, Expiration or Exercise |
(53,804,359,000)
|
(2,542,179,000)
|
(92,092,378,000)
|
(49,034,649,000)
|
| End of Period Notional Amount |
(55,549,424,000)
|
(28,618,861,000)
|
(55,549,424,000)
|
(28,618,861,000)
|
| Average Notional Amount |
57,194,079,000
|
24,263,348,000
|
52,476,177,000
|
22,037,434,000
|
| Realized Gain (Loss), net |
152,822,000
|
(34,137,000)
|
133,104,000
|
104,709,000
|
| Inverse Interest-Only Securities [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
0
|
0
|
0
|
0
|
| Settlement, Termination, Expiration or Exercise |
(19,822,000)
|
(29,886,000)
|
(39,688,000)
|
(59,190,000)
|
| Realized Gain (Loss), net |
0
|
0
|
0
|
0
|
| Interest Rate Swap [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
(3,904,000,000)
|
(7,740,752,000)
|
(14,498,633,000)
|
(25,349,632,000)
|
| Settlement, Termination, Expiration or Exercise |
(1,830,000,000)
|
(5,292,313,000)
|
(3,551,961,000)
|
(27,784,493,000)
|
| Realized Gain (Loss), net |
14,114,000
|
(35,568,000)
|
3,931,000
|
4,138,000
|
| Interest Rate Cap [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
0
|
|
0
|
|
| Settlement, Termination, Expiration or Exercise |
(2,500,000,000)
|
|
(2,500,000,000)
|
|
| Realized Gain (Loss), net |
(8,690,000)
|
|
(8,690,000)
|
|
| Interest Rate Swaption [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
(7,300,000,000)
|
23,000,000
|
(13,200,000,000)
|
1,238,000,000
|
| Settlement, Termination, Expiration or Exercise |
(9,325,000,000)
|
5,460,000,000
|
(9,388,000,000)
|
(2,166,000,000)
|
| Realized Gain (Loss), net |
50,089,000
|
15,119,000
|
25,774,000
|
67,892,000
|
| TBAs [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
(36,172,000,000)
|
(6,482,000,000)
|
(78,905,000,000)
|
(17,713,000,000)
|
| Settlement, Termination, Expiration or Exercise |
(36,918,000,000)
|
(3,878,000,000)
|
(75,967,000,000)
|
(14,091,000,000)
|
| Realized Gain (Loss), net |
76,683,000
|
6,222,000
|
147,597,000
|
(5,614,000)
|
| Short US Treasuries [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
|
|
0
|
|
| Settlement, Termination, Expiration or Exercise |
|
|
800,000,000
|
|
| Realized Gain (Loss), net |
|
|
(23,172,000)
|
|
| U.S. Treasury Futures [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
(3,200,000,000)
|
|
(4,510,000,000)
|
|
| Settlement, Termination, Expiration or Exercise |
(3,210,000,000)
|
|
(3,210,000,000)
|
|
| Realized Gain (Loss), net |
20,626,000
|
|
20,626,000
|
|
| Put and Call Options for TBAs [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
|
1,468,000,000
|
0
|
(4,602,000,000)
|
| Settlement, Termination, Expiration or Exercise |
|
1,208,000,000
|
1,767,000,000
|
(4,922,000,000)
|
| Realized Gain (Loss), net |
|
(19,661,000)
|
(32,962,000)
|
38,542,000
|
| Markit IOS Total Return Swap [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
|
|
(48,265,000)
|
|
| Additions |
0
|
0
|
0
|
0
|
| Settlement, Termination, Expiration or Exercise |
(1,537,000)
|
(9,980,000)
|
(2,729,000)
|
(11,966,000)
|
| End of Period Notional Amount |
(45,536,000)
|
|
(45,536,000)
|
|
| Realized Gain (Loss), net |
0
|
(249,000)
|
0
|
(249,000)
|
| Net Long Position [Member] | Inverse Interest-Only Securities [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
(456,433,000)
|
(558,942,000)
|
(476,299,000)
|
(588,246,000)
|
| End of Period Notional Amount |
(436,611,000)
|
(529,056,000)
|
(436,611,000)
|
(529,056,000)
|
| Average Notional Amount |
447,550,000
|
545,159,000
|
457,177,000
|
559,844,000
|
| Net Long Position [Member] | Interest Rate Swap [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
(38,396,277,000)
|
(23,598,825,000)
|
(29,523,605,000)
|
(28,482,125,000)
|
| End of Period Notional Amount |
(40,470,277,000)
|
(26,047,264,000)
|
(40,470,277,000)
|
(26,047,264,000)
|
| Average Notional Amount |
38,903,453,000
|
25,377,155,000
|
36,991,058,000
|
23,272,892,000
|
| Net Long Position [Member] | Interest Rate Cap [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
(2,500,000,000)
|
|
(2,500,000,000)
|
|
| End of Period Notional Amount |
0
|
|
0
|
|
| Average Notional Amount |
1,779,121,000
|
|
2,137,569,000
|
|
| Net Long Position [Member] | Interest Rate Swaption [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
(5,900,000,000)
|
|
(63,000,000)
|
(2,666,000,000)
|
| End of Period Notional Amount |
(3,875,000,000)
|
|
(3,875,000,000)
|
|
| Average Notional Amount |
5,959,615,000
|
|
3,569,343,000
|
|
| Net Long Position [Member] | TBAs [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
(10,168,000,000)
|
(445,000,000)
|
(6,484,000,000)
|
|
| End of Period Notional Amount |
(9,422,000,000)
|
(3,049,000,000)
|
(9,422,000,000)
|
(3,049,000,000)
|
| Average Notional Amount |
8,790,560,000
|
2,341,879,000
|
8,802,365,000
|
1,563,801,000
|
| Net Long Position [Member] | U.S. Treasury Futures [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
(1,310,000,000)
|
|
0
|
|
| End of Period Notional Amount |
(1,300,000,000)
|
|
(1,300,000,000)
|
|
| Average Notional Amount |
1,267,692,000
|
|
708,895,000
|
|
| Net Long Position [Member] | Put and Call Options for TBAs [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Average Notional Amount |
|
203,429,000
|
|
|
| Net Long Position [Member] | Markit IOS Total Return Swap [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
(47,073,000)
|
(61,521,000)
|
(48,265,000)
|
(63,507,000)
|
| End of Period Notional Amount |
(45,536,000)
|
(51,541,000)
|
(45,536,000)
|
(51,541,000)
|
| Average Notional Amount |
46,088,000
|
59,594,000
|
46,768,000
|
60,864,000
|
| Net Short Position [Member] | Interest Rate Swaption [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
|
(6,175,000,000)
|
|
|
| End of Period Notional Amount |
|
(738,000,000)
|
|
(738,000,000)
|
| Average Notional Amount |
|
4,263,868,000
|
|
3,092,050,000
|
| Net Short Position [Member] | TBAs [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
|
|
|
(573,000,000)
|
| Net Short Position [Member] | Short US Treasuries [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
|
|
(800,000,000)
|
|
| End of Period Notional Amount |
0
|
|
0
|
|
| Average Notional Amount |
|
|
14,365,000
|
|
| Net Short Position [Member] | Put and Call Options for TBAs [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
|
(60,000,000)
|
(1,767,000,000)
|
0
|
| End of Period Notional Amount |
$ 0
|
$ (320,000,000)
|
0
|
(320,000,000)
|
| Average Notional Amount |
|
|
$ 222,633,000
|
$ 327,917,000
|