Schedule of Notional Amounts of Derivative Positions (Details) - USD ($)
|
3 Months Ended |
6 Months Ended |
Jun. 30, 2020 |
Jun. 30, 2019 |
Jun. 30, 2020 |
Jun. 30, 2019 |
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
$ 60,549,307,000
|
$ 58,777,783,000
|
$ 48,445,497,000
|
$ 36,528,169,000
|
| Additions |
32,273,324,000
|
50,576,000,000
|
77,807,435,000
|
111,113,633,000
|
| Settlement, Termination, Expiration or Exercise |
(84,745,698,000)
|
(53,804,359,000)
|
(118,175,999,000)
|
(92,092,378,000)
|
| End of Period Notional Amount |
8,076,933,000
|
55,549,424,000
|
8,076,933,000
|
55,549,424,000
|
| Average Notional Amount |
(48,601,803,000)
|
(57,194,079,000)
|
(49,922,003,000)
|
(52,476,177,000)
|
| Realized Gain (Loss), net |
(781,238,000)
|
152,822,000
|
(489,758,000)
|
133,104,000
|
| Inverse Interest-Only Securities [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
0
|
0
|
0
|
0
|
| Settlement, Termination, Expiration or Exercise |
(17,306,000)
|
(19,822,000)
|
(35,204,000)
|
(39,688,000)
|
| Realized Gain (Loss), net |
0
|
0
|
0
|
0
|
| Interest Rate Swap [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
24,104,324,000
|
3,904,000,000
|
48,487,435,000
|
14,498,633,000
|
| Settlement, Termination, Expiration or Exercise |
(75,783,392,000)
|
(1,830,000,000)
|
(83,710,905,000)
|
(3,551,961,000)
|
| Realized Gain (Loss), net |
(742,555,000)
|
14,114,000
|
(334,502,000)
|
3,931,000
|
| 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 |
587,000,000
|
7,300,000,000
|
1,017,000,000
|
13,200,000,000
|
| Settlement, Termination, Expiration or Exercise |
(1,963,000,000)
|
(9,325,000,000)
|
(2,274,000,000)
|
(9,388,000,000)
|
| Realized Gain (Loss), net |
(4,500,000)
|
50,089,000
|
(50,700,000)
|
25,774,000
|
| TBAs [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
7,582,000,000
|
36,172,000,000
|
20,073,000,000
|
78,905,000,000
|
| Settlement, Termination, Expiration or Exercise |
(6,107,000,000)
|
(36,918,000,000)
|
(24,264,000,000)
|
(75,967,000,000)
|
| Realized Gain (Loss), net |
(26,688,000)
|
76,683,000
|
(125,483,000)
|
147,597,000
|
| 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] |
|
|
|
|
| Beginning of Period Notional Amount |
|
|
380,000,000.0
|
|
| Additions |
0
|
3,200,000,000
|
8,230,000,000
|
4,510,000,000
|
| Settlement, Termination, Expiration or Exercise |
(875,000,000)
|
(3,210,000,000)
|
(7,850,000,000)
|
(3,210,000,000)
|
| Realized Gain (Loss), net |
(7,495,000)
|
20,626,000
|
23,004,000
|
20,626,000
|
| Put and Call Options for TBAs [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
|
|
|
0
|
| Settlement, Termination, Expiration or Exercise |
|
|
|
1,767,000,000
|
| Realized Gain (Loss), net |
|
|
|
(32,962,000)
|
| Markit IOS Total Return Swap [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
|
|
41,890,000
|
|
| Additions |
0
|
0
|
0
|
0
|
| Settlement, Termination, Expiration or Exercise |
0
|
(1,537,000)
|
(41,890,000)
|
(2,729,000)
|
| Realized Gain (Loss), net |
0
|
0
|
(2,077,000)
|
0
|
| Net Long Position [Member] | Inverse Interest-Only Securities [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
379,239,000
|
456,433,000
|
397,137,000
|
476,299,000
|
| End of Period Notional Amount |
361,933,000
|
436,611,000
|
361,933,000
|
436,611,000
|
| Average Notional Amount |
(371,585,000)
|
(447,550,000)
|
(380,238,000)
|
(457,177,000)
|
| Net Long Position [Member] | Interest Rate Swap [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
56,158,068,000
|
38,396,277,000
|
39,702,470,000
|
29,523,605,000
|
| End of Period Notional Amount |
4,479,000,000
|
40,470,277,000
|
4,479,000,000
|
40,470,277,000
|
| Average Notional Amount |
(45,825,536,000)
|
(38,903,453,000)
|
(44,346,426,000)
|
(36,991,058,000)
|
| 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 |
1,376,000,000
|
5,900,000,000
|
1,257,000,000
|
63,000,000
|
| End of Period Notional Amount |
0
|
3,875,000,000
|
0
|
3,875,000,000
|
| Average Notional Amount |
(582,429,000)
|
(5,959,615,000)
|
(1,318,956,000)
|
(3,569,343,000)
|
| Net Long Position [Member] | TBAs [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
1,761,000,000
|
10,168,000,000
|
7,427,000,000
|
6,484,000,000
|
| End of Period Notional Amount |
3,236,000,000
|
9,422,000,000
|
3,236,000,000
|
9,422,000,000
|
| Average Notional Amount |
(1,717,868,000)
|
(8,790,560,000)
|
(3,328,819,000)
|
(8,802,365,000)
|
| Net Long Position [Member] | U.S. Treasury Futures [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
875,000,000
|
1,310,000,000
|
|
0
|
| End of Period Notional Amount |
0
|
1,300,000,000
|
0
|
1,300,000,000
|
| Average Notional Amount |
(104,385,000)
|
(1,267,692,000)
|
(527,170,000)
|
(708,895,000)
|
| Net Long Position [Member] | Markit IOS Total Return Swap [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
0
|
47,073,000
|
41,890,000
|
48,265,000
|
| End of Period Notional Amount |
0
|
45,536,000
|
0
|
45,536,000
|
| Average Notional Amount |
$ 0
|
(46,088,000)
|
(20,394,000)
|
(46,768,000)
|
| 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] | U.S. Treasury Futures [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
|
|
$ 380,000,000
|
|
| Net Short Position [Member] | Put and Call Options for TBAs [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
|
|
|
1,767,000,000
|
| End of Period Notional Amount |
|
$ 0
|
|
0
|
| Average Notional Amount |
|
|
|
$ (222,633,000)
|