Schedule of Notional Amounts of Derivative Positions (Details) - USD ($)
|
3 Months Ended |
9 Months Ended |
Sep. 30, 2019 |
Sep. 30, 2018 |
Sep. 30, 2019 |
Sep. 30, 2018 |
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
$ (55,549,424,000)
|
$ (28,618,861,000)
|
$ (36,528,169,000)
|
$ (31,226,878,000)
|
| Additions |
62,788,435,000
|
34,758,820,000
|
173,902,068,000
|
81,185,452,000
|
| Settlement, Termination, Expiration or Exercise |
(64,111,654,000)
|
(22,047,398,000)
|
(156,204,032,000)
|
(71,082,047,000)
|
| End of Period Notional Amount |
(54,226,205,000)
|
(41,330,283,000)
|
(54,226,205,000)
|
(41,330,283,000)
|
| Average Notional Amount |
(54,069,162,000)
|
(37,022,610,000)
|
(52,960,859,000)
|
(27,181,648,000)
|
| Realized Gain (Loss), net |
196,853,000
|
(62,539,000)
|
329,957,000
|
42,171,000
|
| Inverse Interest-Only Securities [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
0
|
0
|
0
|
0
|
| Settlement, Termination, Expiration or Exercise |
(20,668,000)
|
(30,230,000)
|
(60,356,000)
|
(89,420,000)
|
| Realized Gain (Loss), net |
0
|
0
|
0
|
0
|
| Interest Rate Swap [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
17,874,435,000
|
12,544,820,000
|
32,373,068,000
|
37,894,452,000
|
| Settlement, Termination, Expiration or Exercise |
(16,511,217,000)
|
(8,088,318,000)
|
(20,063,178,000)
|
(35,872,811,000)
|
| Realized Gain (Loss), net |
38,044,000
|
(50,240,000)
|
41,975,000
|
(46,101,000)
|
| Interest Rate Cap [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
|
|
(2,500,000,000)
|
0
|
| Additions |
|
2,500,000,000
|
0
|
2,500,000,000
|
| Settlement, Termination, Expiration or Exercise |
|
0
|
(2,500,000,000)
|
0
|
| Average Notional Amount |
|
|
|
(567,766,000)
|
| Realized Gain (Loss), net |
|
0
|
(8,690,000)
|
0
|
| Interest Rate Swaption [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
1,000,000,000
|
1,164,000,000
|
14,200,000,000
|
(74,000,000)
|
| Settlement, Termination, Expiration or Exercise |
(3,125,000,000)
|
(262,000,000)
|
(12,513,000,000)
|
(2,428,000,000)
|
| Realized Gain (Loss), net |
37,366,000
|
10,374,000
|
63,139,000
|
78,266,000
|
| TBAs [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
40,347,000,000
|
21,060,000,000
|
119,252,000,000
|
38,773,000,000
|
| Settlement, Termination, Expiration or Exercise |
(39,906,000,000)
|
(14,785,000,000)
|
(115,873,000,000)
|
(28,876,000,000)
|
| Realized Gain (Loss), net |
94,504,000
|
(23,067,000)
|
242,102,000
|
(28,681,000)
|
| Short US Treasuries [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
|
(800,000,000)
|
0
|
800,000,000
|
| Settlement, Termination, Expiration or Exercise |
|
0
|
800,000,000
|
0
|
| Realized Gain (Loss), net |
|
0
|
(23,172,000)
|
0
|
| U.S. Treasury Futures [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
3,567,000,000
|
|
8,077,000,000
|
|
| Settlement, Termination, Expiration or Exercise |
(4,547,000,000)
|
|
(7,757,000,000)
|
|
| End of Period Notional Amount |
(300,000,000)
|
|
(300,000,000)
|
|
| Realized Gain (Loss), net |
26,939,000
|
|
47,565,000
|
|
| Put and Call Options for TBAs [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
|
(1,710,000,000)
|
0
|
2,892,000,000
|
| Settlement, Termination, Expiration or Exercise |
|
1,120,000,000
|
1,767,000,000
|
(3,802,000,000)
|
| Realized Gain (Loss), net |
|
910,000
|
(32,962,000)
|
39,452,000
|
| Markit IOS Total Return Swap [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
|
|
(48,265,000)
|
|
| Additions |
0
|
0
|
0
|
0
|
| Settlement, Termination, Expiration or Exercise |
(1,769,000)
|
(1,850,000)
|
(4,498,000)
|
(13,816,000)
|
| End of Period Notional Amount |
(43,767,000)
|
|
(43,767,000)
|
|
| Realized Gain (Loss), net |
0
|
(516,000)
|
0
|
(765,000)
|
| Net Long Position [Member] | Inverse Interest-Only Securities [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
(436,611,000)
|
(529,056,000)
|
(476,299,000)
|
(588,246,000)
|
| End of Period Notional Amount |
(415,943,000)
|
(498,826,000)
|
(415,943,000)
|
(498,826,000)
|
| Average Notional Amount |
(427,222,000)
|
(514,879,000)
|
(447,082,000)
|
(544,691,000)
|
| Net Long Position [Member] | Interest Rate Swap [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
(40,470,277,000)
|
(26,047,264,000)
|
(29,523,605,000)
|
(28,482,125,000)
|
| End of Period Notional Amount |
(41,833,495,000)
|
(30,503,766,000)
|
(41,833,495,000)
|
(30,503,766,000)
|
| Average Notional Amount |
(41,180,308,000)
|
(30,144,641,000)
|
(38,402,820,000)
|
(25,588,646,000)
|
| 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
|
(2,500,000,000)
|
0
|
(2,500,000,000)
|
| Average Notional Amount |
|
(1,684,783,000)
|
(1,417,216,000)
|
|
| Net Long Position [Member] | Interest Rate Swaption [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
(3,875,000,000)
|
|
(63,000,000)
|
(2,666,000,000)
|
| End of Period Notional Amount |
(1,750,000,000)
|
(164,000,000)
|
(1,750,000,000)
|
(164,000,000)
|
| Average Notional Amount |
(2,650,815,000)
|
|
(3,259,802,000)
|
|
| Net Long Position [Member] | TBAs [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
(9,422,000,000)
|
(3,049,000,000)
|
(6,484,000,000)
|
|
| End of Period Notional Amount |
(9,863,000,000)
|
(9,324,000,000)
|
(9,863,000,000)
|
(9,324,000,000)
|
| Average Notional Amount |
(9,107,707,000)
|
(6,430,924,000)
|
(8,905,264,000)
|
(3,210,355,000)
|
| Net Long Position [Member] | U.S. Treasury Futures [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
(1,300,000,000)
|
|
0
|
|
| End of Period Notional Amount |
(320,000,000)
|
|
(320,000,000)
|
|
| Average Notional Amount |
(657,022,000)
|
|
(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)
|
(51,541,000)
|
(48,265,000)
|
(63,507,000)
|
| End of Period Notional Amount |
(43,767,000)
|
(49,691,000)
|
(43,767,000)
|
(49,691,000)
|
| Average Notional Amount |
(46,088,000)
|
(50,296,000)
|
(45,964,000)
|
(57,303,000)
|
| Net Short Position [Member] | Interest Rate Swaption [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
|
(738,000,000)
|
|
|
| Average Notional Amount |
|
(157,663,000)
|
|
(2,015,260,000)
|
| Net Short Position [Member] | TBAs [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
|
|
|
(573,000,000)
|
| Net Short Position [Member] | Short US Treasuries [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
|
0
|
(800,000,000)
|
0
|
| End of Period Notional Amount |
0
|
(800,000,000)
|
0
|
(800,000,000)
|
| Average Notional Amount |
|
(539,130,000)
|
(61,097,000)
|
(181,685,000)
|
| Net Short Position [Member] | Put and Call Options for TBAs [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
|
(320,000,000)
|
(1,767,000,000)
|
0
|
| End of Period Notional Amount |
$ 0
|
(910,000,000)
|
0
|
(910,000,000)
|
| Average Notional Amount |
|
$ (1,106,120,000)
|
$ (147,606,000)
|
$ (590,168,000)
|