Quarterly report pursuant to Section 13 or 15(d)

Schedule of Notional Amounts of Derivative Positions (Details)

v3.20.1
Schedule of Notional Amounts of Derivative Positions (Details) - USD ($)
3 Months Ended
Mar. 31, 2020
Mar. 31, 2019
Derivative, Notional Amount [Roll Forward]    
Beginning of Period Notional Amount $ 48,445,497,000 $ 36,528,169,000
Additions 45,534,111,000 60,537,633,000
Settlement, Termination, Expiration or Exercise (33,430,301,000) (38,288,019,000)
End of Period Notional Amount 60,549,307,000 58,777,783,000
Average Notional Amount (51,015,819,000) (47,549,415,000)
Realized Gain (Loss), net 291,480,000 (19,717,000)
Inverse Interest-Only Securities [Member]    
Derivative, Notional Amount [Roll Forward]    
Additions 0 0
Settlement, Termination, Expiration or Exercise (17,898,000) (19,866,000)
Realized Gain (Loss), net 0 0
Interest Rate Swap [Member]    
Derivative, Notional Amount [Roll Forward]    
Additions 24,383,111,000 10,594,633,000
Settlement, Termination, Expiration or Exercise (7,927,513,000) (1,721,961,000)
Realized Gain (Loss), net 408,053,000 (10,183,000)
Interest Rate Cap [Member]    
Derivative, Notional Amount [Roll Forward]    
Additions   0
Settlement, Termination, Expiration or Exercise   0
Realized Gain (Loss), net   0
Interest Rate Swaption [Member]    
Derivative, Notional Amount [Roll Forward]    
Additions 430,000,000 5,900,000,000
Settlement, Termination, Expiration or Exercise (311,000,000) (63,000,000)
Realized Gain (Loss), net (46,200,000) (24,315,000)
TBAs [Member]    
Derivative, Notional Amount [Roll Forward]    
Additions 12,491,000,000 42,733,000,000
Settlement, Termination, Expiration or Exercise (18,157,000,000) (39,049,000,000)
Realized Gain (Loss), net (98,795,000) 70,915,000
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 8,230,000,000 1,310,000,000
Settlement, Termination, Expiration or Exercise (6,975,000,000) 0
End of Period Notional Amount 875,000,000.0  
Realized Gain (Loss), net 30,499,000 0
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
Settlement, Termination, Expiration or Exercise (41,890,000) (1,192,000)
Realized Gain (Loss), net (2,077,000) 0
Net Long Position [Member] | Inverse Interest-Only Securities [Member]    
Derivative, Notional Amount [Roll Forward]    
Beginning of Period Notional Amount 397,137,000 476,299,000
End of Period Notional Amount 379,239,000 456,433,000
Average Notional Amount (388,891,000) (466,911,000)
Net Long Position [Member] | Interest Rate Swap [Member]    
Derivative, Notional Amount [Roll Forward]    
Beginning of Period Notional Amount 39,702,470,000 29,523,605,000
End of Period Notional Amount 56,158,068,000 38,396,277,000
Average Notional Amount (42,667,316,000) (35,057,414,000)
Net Long Position [Member] | Interest Rate Cap [Member]    
Derivative, Notional Amount [Roll Forward]    
Beginning of Period Notional Amount   2,500,000,000
End of Period Notional Amount   2,500,000,000
Average Notional Amount   (2,500,000,000)
Net Long Position [Member] | Interest Rate Swaption [Member]    
Derivative, Notional Amount [Roll Forward]    
Beginning of Period Notional Amount 1,257,000,000 63,000,000
End of Period Notional Amount 1,376,000,000 5,900,000,000
Average Notional Amount (2,055,484,000) (1,152,511,000)
Net Long Position [Member] | TBAs [Member]    
Derivative, Notional Amount [Roll Forward]    
Beginning of Period Notional Amount 7,427,000,000 6,484,000,000
End of Period Notional Amount 1,761,000,000 10,168,000,000
Average Notional Amount (4,939,769,000) (8,814,300,000)
Net Long Position [Member] | U.S. Treasury Futures [Member]    
Derivative, Notional Amount [Roll Forward]    
Beginning of Period Notional Amount   0
End of Period Notional Amount 875,000,000 1,310,000,000
Average Notional Amount (923,571,000) (143,889,000)
Net Long Position [Member] | Markit IOS Total Return Swap [Member]    
Derivative, Notional Amount [Roll Forward]    
Beginning of Period Notional Amount 41,890,000 48,265,000
End of Period Notional Amount 0 47,073,000
Average Notional Amount (40,788,000) (47,456,000)
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
Average Notional Amount   (185,327,000)
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
Average Notional Amount   $ (447,739,000)