Schedule of Notional Amounts of Derivative Positions (Details) - USD ($)
|
3 Months Ended |
9 Months Ended |
Sep. 30, 2023 |
Sep. 30, 2022 |
Sep. 30, 2023 |
Sep. 30, 2022 |
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
$ 3,194,493,000
|
$ (6,098,001,000)
|
$ 17,344,426,000
|
$ 30,197,848,000
|
| Settlement, Termination, Expiration or Exercise |
(5,737,177,000)
|
(7,816,352,000)
|
(240,408,000)
|
(58,293,975,000)
|
| Realized Gain (Loss), net |
48,704,000
|
55,986,000
|
(95,704,000)
|
(54,209,000)
|
| Inverse Interest-Only Securities [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
0
|
0
|
0
|
0
|
| Settlement, Termination, Expiration or Exercise |
(8,035,000)
|
(11,627,000)
|
(24,949,000)
|
(40,877,000)
|
| Realized Gain (Loss), net |
0
|
3,640,000
|
0
|
0
|
| Interest Rate Swap [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
1,307,773,000
|
4,953,139,000
|
11,873,556,000
|
22,398,148,000
|
| Settlement, Termination, Expiration or Exercise |
(1,739,522,000)
|
(19,803,475,000)
|
(3,327,591,000)
|
(42,785,448,000)
|
| Realized Gain (Loss), net |
(5,096,000)
|
(133,218,000)
|
(23,676,000)
|
29,543,000
|
| Interest Rate Swaption [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
(200,000,000)
|
0
|
(400,000,000)
|
(1,000,000,000)
|
| Settlement, Termination, Expiration or Exercise |
200,000,000
|
1,680,000,000
|
200,000,000
|
2,761,000,000
|
| Realized Gain (Loss), net |
(80,000)
|
(13,532,000)
|
(80,000)
|
13,654,000
|
| TBAs [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
9,704,000,000
|
18,421,000,000
|
35,490,000,000
|
60,636,000,000
|
| Settlement, Termination, Expiration or Exercise |
(10,561,000,000)
|
(20,584,000,000)
|
(37,122,000,000)
|
(60,598,000,000)
|
| Realized Gain (Loss), net |
(88,858,000)
|
(134,107,000)
|
(194,716,000)
|
(428,765,000)
|
| Futures [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
(7,617,280,000)
|
(29,472,140,000)
|
(29,619,130,000)
|
(51,838,300,000)
|
| Settlement, Termination, Expiration or Exercise |
6,371,380,000
|
30,902,750,000
|
40,034,132,000
|
42,371,350,000
|
| Realized Gain (Loss), net |
143,517,000
|
333,203,000
|
123,547,000
|
333,583,000
|
| Options on Futures [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
0
|
0
|
0
|
2,000,000
|
| Settlement, Termination, Expiration or Exercise |
0
|
0
|
0
|
(2,000,000)
|
| Realized Gain (Loss), net |
(779,000)
|
0
|
(779,000)
|
(2,224,000)
|
| Net Long Position [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
5,383,706,000
|
2,978,027,000
|
|
17,159,801,000
|
| End of Period Notional Amount |
2,841,022,000
|
|
2,841,022,000
|
|
| Average Notional Amount |
4,568,757,000
|
|
666,376,000
|
7,176,645,000
|
| Net Long Position [Member] | Inverse Interest-Only Securities [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
179,542,000
|
217,851,000
|
196,456,000
|
247,101,000
|
| End of Period Notional Amount |
171,507,000
|
206,224,000
|
171,507,000
|
206,224,000
|
| Average Notional Amount |
175,850,000
|
212,507,000
|
184,172,000
|
225,928,000
|
| Net Long Position [Member] | Interest Rate Swap [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
8,977,714,000
|
14,850,336,000
|
0
|
20,387,300,000
|
| End of Period Notional Amount |
8,545,965,000
|
0
|
8,545,965,000
|
0
|
| Average Notional Amount |
8,869,676,000
|
5,047,637,000
|
6,874,280,000
|
16,611,270,000
|
| Net Long Position [Member] | TBAs [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
3,051,000,000
|
6,317,000,000
|
3,826,000,000
|
4,116,000,000
|
| End of Period Notional Amount |
2,194,000,000
|
4,154,000,000
|
2,194,000,000
|
4,154,000,000
|
| Average Notional Amount |
2,713,272,000
|
5,681,978,000
|
3,394,330,000
|
4,961,564,000
|
| Net Long Position [Member] | Options on Futures [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
0
|
0
|
0
|
0
|
| End of Period Notional Amount |
0
|
0
|
0
|
0
|
| Average Notional Amount |
0
|
0
|
0
|
557,000
|
| Net Short Position [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
|
|
14,262,996,000
|
|
| End of Period Notional Amount |
|
10,936,326,000
|
|
10,936,326,000
|
| Average Notional Amount |
|
5,106,042,000
|
|
|
| Net Short Position [Member] | Interest Rate Swaption [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
200,000,000
|
1,680,000,000
|
0
|
1,761,000,000
|
| End of Period Notional Amount |
200,000,000
|
0
|
200,000,000
|
0
|
| Average Notional Amount |
186,957,000
|
978,696,000
|
148,718,000
|
1,703,469,000
|
| Net Short Position [Member] | Futures [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
6,624,550,000
|
16,727,160,000
|
18,285,452,000
|
5,829,600,000
|
| End of Period Notional Amount |
7,870,450,000
|
15,296,550,000
|
7,870,450,000
|
15,296,550,000
|
| Average Notional Amount |
$ 7,003,084,000
|
$ 15,069,468,000
|
$ 9,637,688,000
|
$ 12,919,205,000
|