Schedule of Notional Amounts of Derivative Positions (Details) - USD ($)
|
3 Months Ended |
9 Months Ended |
Sep. 30, 2021 |
Sep. 30, 2020 |
Sep. 30, 2021 |
Sep. 30, 2020 |
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
$ 23,094,926,000
|
$ 8,076,933,000
|
$ 23,932,603,000
|
$ 48,445,497,000
|
| Additions |
28,152,492,000
|
37,826,318,000
|
81,781,155,000
|
115,633,753,000
|
| Settlement, Termination, Expiration or Exercise |
(31,059,909,000)
|
(20,067,187,000)
|
(85,526,249,000)
|
(138,243,186,000)
|
| End of Period Notional Amount |
20,187,509,000
|
25,836,064,000
|
20,187,509,000
|
25,836,064,000
|
| Average Notional Amount |
(21,137,615,000)
|
(13,932,642,000)
|
(20,840,267,000)
|
(37,837,985,000)
|
| Realized Gain (Loss), net |
65,839,000
|
85,781,000
|
(132,651,000)
|
(403,977,000)
|
| Inverse Interest-Only Securities [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
0
|
0
|
0
|
0
|
| Settlement, Termination, Expiration or Exercise |
(18,459,000)
|
(23,287,000)
|
(55,148,000)
|
(58,491,000)
|
| Realized Gain (Loss), net |
(323,000)
|
0
|
(286,000)
|
0
|
| Interest Rate Swap [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
1,909,792,000
|
7,915,818,000
|
6,102,655,000
|
56,403,253,000
|
| Settlement, Termination, Expiration or Exercise |
(520,150,000)
|
0
|
(1,712,401,000)
|
(83,710,905,000)
|
| Realized Gain (Loss), net |
5,220,000
|
0
|
5,267,000
|
(334,502,000)
|
| Interest Rate Swaption [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
(740,000,000)
|
6,000,000,000
|
(941,000,000)
|
7,017,000,000
|
| Settlement, Termination, Expiration or Exercise |
0
|
0
|
(3,750,000,000)
|
(2,274,000,000)
|
| Realized Gain (Loss), net |
0
|
0
|
2,245,000
|
(50,700,000)
|
| TBAs [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
27,671,000,000
|
21,358,000,000
|
69,385,000,000
|
41,431,000,000
|
| Settlement, Termination, Expiration or Exercise |
(25,783,000,000)
|
(18,358,000,000)
|
(65,840,000,000)
|
(42,622,000,000)
|
| Realized Gain (Loss), net |
32,588,000
|
82,490,000
|
(107,509,000)
|
(42,993,000)
|
| Put and Call Options for TBAs [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
1,000,000,000
|
|
1,000,000,000
|
|
| Settlement, Termination, Expiration or Exercise |
0
|
|
0
|
|
| End of Period Notional Amount |
1,000,000,000
|
|
1,000,000,000
|
|
| Realized Gain (Loss), net |
0
|
|
0
|
|
| U.S. Treasury and Eurodollar Futures [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
|
|
2,000,000,000
|
|
| Additions |
(1,688,300,000)
|
2,552,500,000
|
6,234,500,000
|
10,782,500,000
|
| Settlement, Termination, Expiration or Exercise |
(4,738,300,000)
|
(1,685,900,000)
|
(14,168,700,000)
|
(9,535,900,000)
|
| End of Period Notional Amount |
5,900,000,000
|
|
5,900,000,000
|
|
| Realized Gain (Loss), net |
28,354,000
|
3,291,000
|
(32,368,000)
|
26,295,000
|
| 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 |
281,473,000
|
361,933,000
|
318,162,000
|
397,137,000
|
| End of Period Notional Amount |
263,014,000
|
338,646,000
|
263,014,000
|
338,646,000
|
| Average Notional Amount |
(272,815,000)
|
(350,876,000)
|
(291,597,000)
|
(370,379,000)
|
| Net Long Position [Member] | Interest Rate Swap [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
15,646,953,000
|
4,479,000,000
|
12,646,341,000
|
39,702,470,000
|
| End of Period Notional Amount |
17,036,595,000
|
12,394,818,000
|
17,036,595,000
|
12,394,818,000
|
| Average Notional Amount |
(15,906,528,000)
|
(7,595,385,000)
|
(14,869,384,000)
|
(32,006,660,000)
|
| Net Long Position [Member] | Interest Rate Swaption [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
|
0
|
3,750,000,000
|
1,257,000,000
|
| End of Period Notional Amount |
|
6,000,000,000
|
|
6,000,000,000
|
| Average Notional Amount |
|
(239,130,000)
|
(13,802,000)
|
(956,387,000)
|
| Net Long Position [Member] | TBAs [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
6,854,000,000
|
3,236,000,000
|
5,197,000,000
|
7,427,000,000
|
| End of Period Notional Amount |
8,742,000,000
|
6,236,000,000
|
8,742,000,000
|
6,236,000,000
|
| Average Notional Amount |
(7,934,239,000)
|
(4,760,456,000)
|
(6,506,407,000)
|
(3,809,515,000)
|
| Net Long Position [Member] | Put and Call Options for TBAs [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
0
|
|
0
|
|
| End of Period Notional Amount |
1,000,000,000
|
|
1,000,000,000
|
|
| Average Notional Amount |
(10,869,000)
|
|
(3,663,000)
|
|
| Net Long Position [Member] | U.S. Treasury and Eurodollar Futures [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
513,500,000
|
0
|
2,021,100,000
|
|
| End of Period Notional Amount |
|
866,600,000
|
|
866,600,000
|
| Average Notional Amount |
|
(986,795,000)
|
|
(681,497,000)
|
| 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 |
|
|
|
(13,547,000)
|
| Net Short Position [Member] | Interest Rate Swaption [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
201,000,000
|
|
|
|
| End of Period Notional Amount |
941,000,000
|
|
941,000,000
|
|
| Average Notional Amount |
(209,043,000)
|
|
|
|
| Net Short Position [Member] | U.S. Treasury and Eurodollar Futures [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
|
|
|
$ 380,000,000
|
| End of Period Notional Amount |
5,913,100,000
|
|
5,913,100,000
|
|
| Average Notional Amount |
$ (2,777,793,000)
|
|
$ (844,586,000)
|
|