Schedule of Notional Amounts of Derivative Positions (Details) - USD ($)
|
3 Months Ended |
6 Months Ended |
Jun. 30, 2021 |
Jun. 30, 2020 |
Jun. 30, 2021 |
Jun. 30, 2020 |
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
$ 19,137,094,000
|
$ 60,549,307,000
|
$ 23,932,603,000
|
$ 48,445,497,000
|
| Additions |
28,743,856,000
|
32,273,324,000
|
53,628,663,000
|
77,807,435,000
|
| Settlement, Termination, Expiration or Exercise |
(24,786,024,000)
|
(84,745,698,000)
|
(54,466,340,000)
|
(118,175,999,000)
|
| End of Period Notional Amount |
23,094,926,000
|
8,076,933,000
|
23,094,926,000
|
8,076,933,000
|
| Average Notional Amount |
(21,581,299,000)
|
(48,601,803,000)
|
(20,689,127,000)
|
(49,922,003,000)
|
| Realized Gain (Loss), net |
42,218,000
|
(781,238,000)
|
(198,490,000)
|
(489,758,000)
|
| Inverse Interest-Only Securities [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
0
|
0
|
0
|
0
|
| Settlement, Termination, Expiration or Exercise |
(19,124,000)
|
(17,306,000)
|
(36,689,000)
|
(35,204,000)
|
| Realized Gain (Loss), net |
(25,000)
|
0
|
37,000
|
0
|
| Interest Rate Swap [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
1,080,356,000
|
24,104,324,000
|
4,192,863,000
|
48,487,435,000
|
| Settlement, Termination, Expiration or Exercise |
(655,000,000)
|
(75,783,392,000)
|
(1,192,251,000)
|
(83,710,905,000)
|
| Realized Gain (Loss), net |
8,642,000
|
(742,555,000)
|
47,000
|
(334,502,000)
|
| Interest Rate Swaption [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
(201,000,000)
|
587,000,000
|
(201,000,000)
|
1,017,000,000
|
| Settlement, Termination, Expiration or Exercise |
0
|
(1,963,000,000)
|
(3,750,000,000)
|
(2,274,000,000)
|
| Realized Gain (Loss), net |
0
|
(4,500,000)
|
2,245,000
|
(50,700,000)
|
| TBAs [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
20,912,000,000
|
7,582,000,000
|
41,714,000,000
|
20,073,000,000
|
| Settlement, Termination, Expiration or Exercise |
(18,858,000,000)
|
(6,107,000,000)
|
(40,057,000,000)
|
(24,264,000,000)
|
| Realized Gain (Loss), net |
23,426,000
|
(26,688,000)
|
(140,097,000)
|
(125,483,000)
|
| U.S. Treasury and Eurodollar Futures [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
|
|
2,000,000,000.0
|
|
| Additions |
6,952,500,000
|
0
|
7,922,800,000
|
8,230,000,000
|
| Settlement, Termination, Expiration or Exercise |
(5,253,900,000)
|
(875,000,000)
|
(9,430,400,000)
|
(7,850,000,000)
|
| End of Period Notional Amount |
513,500,000
|
|
513,500,000
|
|
| Realized Gain (Loss), net |
10,175,000
|
(7,495,000)
|
(60,722,000)
|
23,004,000
|
| Markit IOS Total Return Swap [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
|
|
|
0
|
| Settlement, Termination, Expiration or Exercise |
|
|
|
(41,890,000)
|
| Realized Gain (Loss), net |
|
|
|
(2,077,000)
|
| Net Long Position [Member] | Inverse Interest-Only Securities [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
300,597,000
|
379,239,000
|
318,162,000
|
397,137,000
|
| End of Period Notional Amount |
281,473,000
|
361,933,000
|
281,473,000
|
361,933,000
|
| Average Notional Amount |
(291,985,000)
|
(371,585,000)
|
(301,143,000)
|
(380,238,000)
|
| Net Long Position [Member] | Interest Rate Swap [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
15,221,597,000
|
56,158,068,000
|
12,646,341,000
|
39,702,470,000
|
| End of Period Notional Amount |
15,646,953,000
|
4,479,000,000
|
15,646,953,000
|
4,479,000,000
|
| Average Notional Amount |
(15,198,601,000)
|
(45,825,536,000)
|
(14,342,217,000)
|
(44,346,426,000)
|
| Net Long Position [Member] | Interest Rate Swaption [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
0
|
1,376,000,000
|
3,750,000,000
|
1,257,000,000
|
| End of Period Notional Amount |
|
0
|
|
0
|
| Average Notional Amount |
|
(582,429,000)
|
(127,072,000)
|
(1,318,956,000)
|
| Net Long Position [Member] | TBAs [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
4,800,000,000
|
1,761,000,000
|
5,197,000,000
|
7,427,000,000
|
| End of Period Notional Amount |
6,854,000,000
|
3,236,000,000
|
6,854,000,000
|
3,236,000,000
|
| Average Notional Amount |
(6,251,516,000)
|
(1,717,868,000)
|
(5,780,657,000)
|
(3,328,819,000)
|
| Net Long Position [Member] | U.S. Treasury and Eurodollar Futures [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
|
875,000,000
|
2,021,100,000
|
|
| End of Period Notional Amount |
513,500,000
|
0
|
513,500,000
|
0
|
| Average Notional Amount |
|
(104,385,000)
|
(138,038,000)
|
(527,170,000)
|
| Net Long Position [Member] | Markit IOS Total Return Swap [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
|
|
|
41,890,000
|
| End of Period Notional Amount |
|
$ 0
|
|
0
|
| Average Notional Amount |
|
|
|
(20,394,000)
|
| Net Short Position [Member] | Interest Rate Swaption [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| End of Period Notional Amount |
201,000,000
|
|
$ 201,000,000
|
|
| Average Notional Amount |
(65,934,000)
|
|
|
|
| Net Short Position [Member] | U.S. Treasury and Eurodollar Futures [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
1,185,100,000
|
|
|
$ 380,000,000
|
| Average Notional Amount |
$ (94,869,000)
|
|
|
|