Quarterly report pursuant to Section 13 or 15(d)

Schedule of Notional Amounts of Derivative Positions (Details)

v3.22.2.2
Schedule of Notional Amounts of Derivative Positions (Details) - USD ($)
3 Months Ended 9 Months Ended
Sep. 30, 2022
Sep. 30, 2021
Sep. 30, 2022
Sep. 30, 2021
Derivative, Notional Amount [Roll Forward]        
Beginning of Period Notional Amount $ 2,978,027,000 $ 23,094,926,000 $ 17,159,801,000 $ 23,932,603,000
Additions (6,098,001,000) 28,152,492,000 30,197,848,000 81,781,155,000
Settlement, Termination, Expiration or Exercise (7,816,352,000) (31,059,909,000) (58,293,975,000) (85,526,249,000)
End of Period Notional Amount 10,936,326,000 20,187,509,000 10,936,326,000 20,187,509,000
Average Notional Amount (5,106,042,000) (21,137,615,000) (7,176,645,000) (20,840,267,000)
Realized Gain (Loss), net 55,986,000 65,839,000 (54,209,000) (132,651,000)
Inverse Interest-Only Securities [Member]        
Derivative, Notional Amount [Roll Forward]        
Additions 0 0 0 0
Settlement, Termination, Expiration or Exercise (11,627,000) (18,459,000) (40,877,000) (55,148,000)
Realized Gain (Loss), net 3,640,000 (323,000) 0 (286,000)
Interest Rate Swap [Member]        
Derivative, Notional Amount [Roll Forward]        
Additions 4,953,139,000 1,909,792,000 22,398,148,000 6,102,655,000
Settlement, Termination, Expiration or Exercise (19,803,475,000) (520,150,000) (42,785,448,000) (1,712,401,000)
Realized Gain (Loss), net (133,218,000) 5,220,000 29,543,000 5,267,000
Interest Rate Swaption [Member]        
Derivative, Notional Amount [Roll Forward]        
Additions 0 (740,000,000) (1,000,000,000) (941,000,000)
Settlement, Termination, Expiration or Exercise 1,680,000,000 0 2,761,000,000 (3,750,000,000)
Realized Gain (Loss), net (13,532,000) 0 13,654,000 2,245,000
TBAs [Member]        
Derivative, Notional Amount [Roll Forward]        
Additions 18,421,000,000 27,671,000,000 60,636,000,000 69,385,000,000
Settlement, Termination, Expiration or Exercise (20,584,000,000) (25,783,000,000) (60,598,000,000) (65,840,000,000)
Realized Gain (Loss), net (134,107,000) 32,588,000 (428,765,000) (107,509,000)
Futures [Member]        
Derivative, Notional Amount [Roll Forward]        
Additions (29,472,140,000) (1,688,300,000) (51,838,300,000) 6,234,500,000
Settlement, Termination, Expiration or Exercise 30,902,750,000 (4,738,300,000) 42,371,350,000 (14,168,700,000)
Realized Gain (Loss), net 333,203,000 28,354,000 333,583,000 (32,368,000)
Options on U.S. Treasury Futures [Member]        
Derivative, Notional Amount [Roll Forward]        
Additions     2,000,000  
Settlement, Termination, Expiration or Exercise     (2,000,000)  
Realized Gain (Loss), net     (2,224,000)  
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
Realized Gain (Loss), net   0   0
Net Long Position [Member] | Inverse Interest-Only Securities [Member]        
Derivative, Notional Amount [Roll Forward]        
Beginning of Period Notional Amount 217,851,000 281,473,000 247,101,000 318,162,000
End of Period Notional Amount 206,224,000 263,014,000 206,224,000 263,014,000
Average Notional Amount (212,507,000) (272,815,000) (225,928,000) (291,597,000)
Net Long Position [Member] | Interest Rate Swap [Member]        
Derivative, Notional Amount [Roll Forward]        
Beginning of Period Notional Amount 14,850,336,000 15,646,953,000 20,387,300,000 12,646,341,000
End of Period Notional Amount 0 17,036,595,000 0 17,036,595,000
Average Notional Amount (5,047,637,000) (15,906,528,000) (16,611,270,000) (14,869,384,000)
Net Long Position [Member] | Interest Rate Swaption [Member]        
Derivative, Notional Amount [Roll Forward]        
Beginning of Period Notional Amount       3,750,000,000
Average Notional Amount       (13,802,000)
Net Long Position [Member] | TBAs [Member]        
Derivative, Notional Amount [Roll Forward]        
Beginning of Period Notional Amount 6,317,000,000 6,854,000,000 4,116,000,000 5,197,000,000
End of Period Notional Amount 4,154,000,000 8,742,000,000 4,154,000,000 8,742,000,000
Average Notional Amount (5,681,978,000) (7,934,239,000) (4,961,564,000) (6,506,407,000)
Net Long Position [Member] | Futures [Member]        
Derivative, Notional Amount [Roll Forward]        
Beginning of Period Notional Amount   513,500,000   2,021,100,000
Net Long Position [Member] | Options on U.S. Treasury Futures [Member]        
Derivative, Notional Amount [Roll Forward]        
Beginning of Period Notional Amount     0  
End of Period Notional Amount 0   0  
Average Notional Amount     (557,000)  
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 Short Position [Member] | Interest Rate Swaption [Member]        
Derivative, Notional Amount [Roll Forward]        
Beginning of Period Notional Amount 1,680,000,000 201,000,000 1,761,000,000  
End of Period Notional Amount 0 941,000,000 0 941,000,000
Average Notional Amount (978,696,000) (209,043,000) (1,703,469,000)  
Net Short Position [Member] | Futures [Member]        
Derivative, Notional Amount [Roll Forward]        
Beginning of Period Notional Amount 16,727,160,000   5,829,600,000  
End of Period Notional Amount 15,296,550,000 5,913,100,000 15,296,550,000 5,913,100,000
Average Notional Amount $ (15,069,468,000) $ (2,777,793,000) $ (12,919,205,000) $ (844,586,000)