Quarterly report pursuant to Section 13 or 15(d)

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

v3.20.2
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance (Details) - USD ($)
$ in Thousands
 3 Months Ended 6 Months Ended
Jun. 30, 2020
Jun. 30, 2019
Jun. 30, 2020
Jun. 30, 2019
Derivative Instruments, Gain (Loss) [Line Items]        
Amount of Gain (Loss) Recognized in Income $ 29,684 $ (8,111) $ (354,380) $ 12,908
TBAs [Member] | Gain (loss) on other derivative instruments        
Derivative Instruments, Gain (Loss) [Line Items]        
Amount of Gain (Loss) Recognized in Income 75,680 28,964 (90,378) 138,475
Short US Treasuries [Member] | Gain (loss) on other derivative instruments        
Derivative Instruments, Gain (Loss) [Line Items]        
Amount of Gain (Loss) Recognized in Income 0 0 0 (6,801)
U.S. Treasury Futures [Member] | Gain (loss) on other derivative instruments        
Derivative Instruments, Gain (Loss) [Line Items]        
Amount of Gain (Loss) Recognized in Income (3,464) 42,721 22,508 46,448
Put and Call Options for TBAs [Member] | Gain (loss) on other derivative instruments        
Derivative Instruments, Gain (Loss) [Line Items]        
Amount of Gain (Loss) Recognized in Income 0 0 0 (7,666)
Interest Rate Swap [Member] | Long [Member] | Loss on interest rate swap, cap and swaption agreements        
Derivative Instruments, Gain (Loss) [Line Items]        
Amount of Gain (Loss) Recognized in Income (122,053) (422,602) (1,159,388) (661,570)
Interest Rate Swap [Member] | Short [Member] | Loss on interest rate swap, cap and swaption agreements        
Derivative Instruments, Gain (Loss) [Line Items]        
Amount of Gain (Loss) Recognized in Income 12,418 289,626 912,371 453,227
Interest Rate Swaption [Member] | Loss on interest rate swap, cap and swaption agreements        
Derivative Instruments, Gain (Loss) [Line Items]        
Amount of Gain (Loss) Recognized in Income 62,713 48,525 (50,501) 43,993
Interest Rate Cap [Member] | Loss on interest rate swap, cap and swaption agreements        
Derivative Instruments, Gain (Loss) [Line Items]        
Amount of Gain (Loss) Recognized in Income 0 (4,324) 0 (7,684)
Markit IOS Total Return Swap [Member] | Gain (loss) on other derivative instruments        
Derivative Instruments, Gain (Loss) [Line Items]        
Amount of Gain (Loss) Recognized in Income 0 103 (2,430) (477)
Inverse Interest-Only Securities [Member] | Gain (loss) on other derivative instruments        
Derivative Instruments, Gain (Loss) [Line Items]        
Amount of Gain (Loss) Recognized in Income $ 4,390 $ 8,876 $ 13,438 $ 14,963