Quarterly report pursuant to Section 13 or 15(d)

Schedule of Notional Amounts of Derivative Positions (Details)

v3.20.2
Schedule of Notional Amounts of Derivative Positions (Details) - USD ($)
3 Months Ended 9 Months Ended
Sep. 30, 2020
Sep. 30, 2019
Sep. 30, 2020
Sep. 30, 2019
Derivative, Notional Amount [Roll Forward]        
Beginning of Period Notional Amount $ 8,076,933,000 $ 55,549,424,000 $ 48,445,497,000 $ 36,528,169,000
Additions 37,826,318,000 62,788,435,000 115,633,753,000 173,902,068,000
Settlement, Termination, Expiration or Exercise (20,067,187,000) (64,111,654,000) (138,243,186,000) (156,204,032,000)
End of Period Notional Amount 25,836,064,000 54,226,205,000 25,836,064,000 54,226,205,000
Average Notional Amount (13,932,642,000) (54,069,162,000) (37,837,985,000) (52,960,859,000)
Realized Gain (Loss), net 85,781,000 196,853,000 (403,977,000) 329,957,000
Inverse Interest-Only Securities [Member]        
Derivative, Notional Amount [Roll Forward]        
Additions 0 0 0 0
Settlement, Termination, Expiration or Exercise (23,287,000) (20,668,000) (58,491,000) (60,356,000)
Realized Gain (Loss), net 0 0 0 0
Interest Rate Swap [Member]        
Derivative, Notional Amount [Roll Forward]        
Additions 7,915,818,000 17,874,435,000 56,403,253,000 32,373,068,000
Settlement, Termination, Expiration or Exercise 0 (16,511,217,000) (83,710,905,000) (20,063,178,000)
Realized Gain (Loss), net 0 38,044,000 (334,502,000) 41,975,000
Interest Rate Cap [Member]        
Derivative, Notional Amount [Roll Forward]        
Additions   0   0
Settlement, Termination, Expiration or Exercise   0   (2,500,000,000)
Realized Gain (Loss), net   0   (8,690,000)
Interest Rate Swaption [Member]        
Derivative, Notional Amount [Roll Forward]        
Additions 6,000,000,000 1,000,000,000 7,017,000,000 14,200,000,000
Settlement, Termination, Expiration or Exercise 0 (3,125,000,000) (2,274,000,000) (12,513,000,000)
Realized Gain (Loss), net 0 37,365,000 (50,700,000) 63,139,000
TBAs [Member]        
Derivative, Notional Amount [Roll Forward]        
Additions 21,358,000,000 40,347,000,000 41,431,000,000 119,252,000,000
Settlement, Termination, Expiration or Exercise (18,358,000,000) (39,906,000,000) (42,622,000,000) (115,873,000,000)
Realized Gain (Loss), net 82,490,000 94,505,000 (42,993,000) 242,102,000
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 2,552,500,000 3,567,000,000 10,782,500,000 8,077,000,000
Settlement, Termination, Expiration or Exercise (1,685,900,000) (4,547,000,000) (9,535,900,000) (7,757,000,000)
End of Period Notional Amount 866,600,000   866,600,000  
Realized Gain (Loss), net 3,291,000 26,939,000 26,295,000 47,565,000
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 0
Settlement, Termination, Expiration or Exercise   (1,769,000) (41,890,000) (4,498,000)
Realized Gain (Loss), net   0 (2,077,000) 0
Net Long Position [Member] | Inverse Interest-Only Securities [Member]        
Derivative, Notional Amount [Roll Forward]        
Beginning of Period Notional Amount 361,933,000 436,611,000 397,137,000 476,299,000
End of Period Notional Amount 338,646,000 415,943,000 338,646,000 415,943,000
Average Notional Amount (350,876,000) (427,222,000) (370,379,000) (447,082,000)
Net Long Position [Member] | Interest Rate Swap [Member]        
Derivative, Notional Amount [Roll Forward]        
Beginning of Period Notional Amount 4,479,000,000 40,470,277,000 39,702,470,000 29,523,605,000
End of Period Notional Amount 12,394,818,000 41,833,495,000 12,394,818,000 41,833,495,000
Average Notional Amount (7,595,385,000) (41,180,308,000) (32,006,660,000) (38,402,820,000)
Net Long Position [Member] | Interest Rate Cap [Member]        
Derivative, Notional Amount [Roll Forward]        
Beginning of Period Notional Amount   0   2,500,000,000
End of Period Notional Amount   0   0
Average Notional Amount   0   (1,417,216,000)
Net Long Position [Member] | Interest Rate Swaption [Member]        
Derivative, Notional Amount [Roll Forward]        
Beginning of Period Notional Amount 0 3,875,000,000 1,257,000,000 63,000,000
End of Period Notional Amount 6,000,000,000 1,750,000,000 6,000,000,000 1,750,000,000
Average Notional Amount (239,130,000) (2,650,815,000) (956,387,000) (3,259,802,000)
Net Long Position [Member] | TBAs [Member]        
Derivative, Notional Amount [Roll Forward]        
Beginning of Period Notional Amount 3,236,000,000 9,422,000,000 7,427,000,000 6,484,000,000
End of Period Notional Amount 6,236,000,000 9,863,000,000 6,236,000,000 9,863,000,000
Average Notional Amount (4,760,456,000) (9,107,707,000) (3,809,515,000) (8,905,264,000)
Net Long Position [Member] | U.S. Treasury Futures [Member]        
Derivative, Notional Amount [Roll Forward]        
Beginning of Period Notional Amount 0 1,300,000,000   0
End of Period Notional Amount 866,600,000 320,000,000 866,600,000 320,000,000
Average Notional Amount (986,795,000) (657,022,000) (681,497,000) (691,414,000)
Net Long Position [Member] | Markit IOS Total Return Swap [Member]        
Derivative, Notional Amount [Roll Forward]        
Beginning of Period Notional Amount   45,536,000 41,890,000 48,265,000
End of Period Notional Amount $ 0 43,767,000 0 43,767,000
Average Notional Amount   (46,088,000) (13,547,000) (45,964,000)
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   0
Average Notional Amount       (61,097,000)
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   0
Average Notional Amount       $ (147,606,000)