Quarterly report pursuant to Section 13 or 15(d)

Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance (Details)

v3.19.2
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance (Details) - USD ($)
$ in Thousands
 3 Months Ended 6 Months Ended
Jun. 30, 2019
Jun. 30, 2018
Jun. 30, 2019
Jun. 30, 2018
Derivative Instruments, Gain (Loss) [Line Items]        
Amount of Gain (Loss) Recognized in Income $ (8,111) $ 36,808 $ 12,908 $ 195,406
TBAs [Member] | Gain on other derivative instruments        
Derivative Instruments, Gain (Loss) [Line Items]        
Amount of Gain (Loss) Recognized in Income 28,964 12,131 138,475 (10,535)
Short US Treasuries [Member] | Gain on other derivative instruments        
Derivative Instruments, Gain (Loss) [Line Items]        
Amount of Gain (Loss) Recognized in Income 0 0 (6,801) 0
U.S. Treasury Futures [Member] | Gain on other derivative instruments        
Derivative Instruments, Gain (Loss) [Line Items]        
Amount of Gain (Loss) Recognized in Income 42,721 0 46,448 0
Put and Call Options for TBAs [Member] | Gain on other derivative instruments        
Derivative Instruments, Gain (Loss) [Line Items]        
Amount of Gain (Loss) Recognized in Income 0 (2,396) (7,666) 29,839
Interest Rate Swap [Member] | Long [Member] | (Loss) gain on interest rate swap, cap and swaption agreements        
Derivative Instruments, Gain (Loss) [Line Items]        
Amount of Gain (Loss) Recognized in Income (422,602) 63,991 (661,570) 307,096
Interest Rate Swap [Member] | Short [Member] | (Loss) gain on interest rate swap, cap and swaption agreements        
Derivative Instruments, Gain (Loss) [Line Items]        
Amount of Gain (Loss) Recognized in Income 289,626 (43,907) 453,227 (197,722)
Interest Rate Swaption [Member] | (Loss) gain on interest rate swap, cap and swaption agreements        
Derivative Instruments, Gain (Loss) [Line Items]        
Amount of Gain (Loss) Recognized in Income 48,525 9,049 43,993 70,304
Interest Rate Cap [Member] | (Loss) gain on interest rate swap, cap and swaption agreements        
Derivative Instruments, Gain (Loss) [Line Items]        
Amount of Gain (Loss) Recognized in Income (4,324) 0 (7,684) 0
Markit IOS Total Return Swap [Member] | Gain on other derivative instruments        
Derivative Instruments, Gain (Loss) [Line Items]        
Amount of Gain (Loss) Recognized in Income 103 (220) (477) 673
Inverse Interest-Only Securities [Member] | Gain on other derivative instruments        
Derivative Instruments, Gain (Loss) [Line Items]        
Amount of Gain (Loss) Recognized in Income $ 8,876 $ (1,840) $ 14,963 $ (4,249)