TWO Quarterly report pursuant to Section 13 or 15(d)

Quarterly report pursuant to Section 13 or 15(d)

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

Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2022	Jun. 30, 2021	Jun. 30, 2022	Jun. 30, 2021
Derivative Instruments, Gain (Loss) [Line Items]
Amount of Gain (Loss) Recognized in Income	$ (68,539)	$ 75,960	$ (208,342)	$ (215,650)
TBAs [Member] \| (Loss) gain on other derivative instruments
Derivative Instruments, Gain (Loss) [Line Items]
Amount of Gain (Loss) Recognized in Income	(109,442)	31,817	(308,278)	(156,129)
Futures [Member] \| (Loss) gain on other derivative instruments
Derivative Instruments, Gain (Loss) [Line Items]
Amount of Gain (Loss) Recognized in Income	11,312	18,264	117,407	(66,877)
Options on U.S. Treasury Futures [Member] \| (Loss) gain on other derivative instruments
Derivative Instruments, Gain (Loss) [Line Items]
Amount of Gain (Loss) Recognized in Income	(158)	0	(2,224)	0
Interest Rate Swap [Member] \| Long [Member] \| Gain (loss) on interest rate swap and swaption agreements
Derivative Instruments, Gain (Loss) [Line Items]
Amount of Gain (Loss) Recognized in Income	235,234	(23,019)	672,394	57,294
Interest Rate Swap [Member] \| Short [Member] \| Gain (loss) on interest rate swap and swaption agreements
Derivative Instruments, Gain (Loss) [Line Items]
Amount of Gain (Loss) Recognized in Income	(204,550)	54,229	(681,689)	(52,144)
Interest Rate Swaption [Member] \| Gain (loss) on interest rate swap and swaption agreements
Derivative Instruments, Gain (Loss) [Line Items]
Amount of Gain (Loss) Recognized in Income	2,050	(6,562)	3,988	3,899
Inverse Interest-Only Securities [Member] \| (Loss) gain on other derivative instruments
Derivative Instruments, Gain (Loss) [Line Items]
Amount of Gain (Loss) Recognized in Income	$ (2,985)	$ 1,231	$ (9,940)	$ (1,693)