Quarterly report pursuant to Section 13 or 15(d)

Schedule of Notional Amounts of Derivative Positions (Details)

v3.21.1
Schedule of Notional Amounts of Derivative Positions (Details) - USD ($)
 3 Months Ended
Mar. 31, 2021
Mar. 31, 2020
Derivative, Notional Amount [Roll Forward]    
Beginning of Period Notional Amount $ 23,932,603,000 $ 48,445,497,000
Additions 24,884,807,000 45,534,111,000
Settlement, Termination, Expiration or Exercise (29,680,316,000) (33,430,301,000)
End of Period Notional Amount 19,137,094,000 60,549,307,000
Average Notional Amount (19,986,874,000) (51,015,819,000)
Realized Gain (Loss), net (240,708,000) 291,480,000
Inverse Interest-Only Securities [Member]    
Derivative, Notional Amount [Roll Forward]    
Additions 0 0
Settlement, Termination, Expiration or Exercise (17,565,000) (17,898,000)
Realized Gain (Loss), net 62,000 0
Interest Rate Swap [Member]    
Derivative, Notional Amount [Roll Forward]    
Additions 3,112,507,000 24,383,111,000
Settlement, Termination, Expiration or Exercise (537,251,000) (7,927,513,000)
Realized Gain (Loss), net (8,595,000) 408,053,000
Interest Rate Swaption [Member]    
Derivative, Notional Amount [Roll Forward]    
Additions 0 430,000,000
Settlement, Termination, Expiration or Exercise (3,750,000,000) (311,000,000)
Realized Gain (Loss), net 2,245,000 (46,200,000)
TBAs [Member]    
Derivative, Notional Amount [Roll Forward]    
Additions 20,802,000,000 12,491,000,000
Settlement, Termination, Expiration or Exercise (21,199,000,000) (18,157,000,000)
Realized Gain (Loss), net (163,523,000) (98,795,000)
U.S. Treasury Futures [Member]    
Derivative, Notional Amount [Roll Forward]    
Additions 970,300,000 8,230,000,000
Settlement, Termination, Expiration or Exercise (4,176,500,000) (6,975,000,000)
Realized Gain (Loss), net (70,897,000) 30,499,000
Markit IOS Total Return Swap [Member]    
Derivative, Notional Amount [Roll Forward]    
Additions 0 0
Settlement, Termination, Expiration or Exercise 0 (41,890,000)
Realized Gain (Loss), net 0 (2,077,000)
Net Long Position [Member] | Inverse Interest-Only Securities [Member]    
Derivative, Notional Amount [Roll Forward]    
Beginning of Period Notional Amount 318,162,000 397,137,000
End of Period Notional Amount 300,597,000 379,239,000
Average Notional Amount (310,289,000) (388,891,000)
Net Long Position [Member] | Interest Rate Swap [Member]    
Derivative, Notional Amount [Roll Forward]    
Beginning of Period Notional Amount 12,646,341,000 39,702,470,000
End of Period Notional Amount 15,221,597,000 56,158,068,000
Average Notional Amount (13,476,318,000) (42,667,316,000)
Net Long Position [Member] | Interest Rate Swaption [Member]    
Derivative, Notional Amount [Roll Forward]    
Beginning of Period Notional Amount 3,750,000,000 1,257,000,000
End of Period Notional Amount 0 1,376,000,000
Average Notional Amount (322,222,000) (2,055,484,000)
Net Long Position [Member] | TBAs [Member]    
Derivative, Notional Amount [Roll Forward]    
Beginning of Period Notional Amount 5,197,000,000 7,427,000,000
End of Period Notional Amount 4,800,000,000 1,761,000,000
Average Notional Amount (5,304,567,000) (4,939,769,000)
Net Long Position [Member] | U.S. Treasury Futures [Member]    
Derivative, Notional Amount [Roll Forward]    
Beginning of Period Notional Amount 2,021,100,000  
End of Period Notional Amount   875,000,000
Average Notional Amount (573,478,000) (923,571,000)
Net Long Position [Member] | Markit IOS Total Return Swap [Member]    
Derivative, Notional Amount [Roll Forward]    
Beginning of Period Notional Amount 0 41,890,000
End of Period Notional Amount 0 0
Average Notional Amount 0 (40,788,000)
Net Short Position [Member] | U.S. Treasury Futures [Member]    
Derivative, Notional Amount [Roll Forward]    
Beginning of Period Notional Amount   $ 380,000,000
End of Period Notional Amount $ 1,185,100,000