Schedule of Notional Amounts of Derivative Positions (Details) - USD ($)
|
3 Months Ended |
6 Months Ended |
Jun. 30, 2022 |
Jun. 30, 2021 |
Jun. 30, 2022 |
Jun. 30, 2021 |
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
$ 18,878,215,000
|
$ 19,137,094,000
|
$ 17,159,801,000
|
$ 23,932,603,000
|
| Additions |
10,850,144,000
|
28,743,856,000
|
36,295,849,000
|
53,628,663,000
|
| Settlement, Termination, Expiration or Exercise |
(26,750,332,000)
|
(24,786,024,000)
|
(50,477,623,000)
|
(54,466,340,000)
|
| End of Period Notional Amount |
2,978,027,000
|
23,094,926,000
|
2,978,027,000
|
23,094,926,000
|
| Average Notional Amount |
(9,067,363,000)
|
(21,581,299,000)
|
(13,409,480,000)
|
(20,689,127,000)
|
| Realized Gain (Loss), net |
140,712,000
|
42,218,000
|
(110,195,000)
|
(198,490,000)
|
| Inverse Interest-Only Securities [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
0
|
0
|
0
|
0
|
| Settlement, Termination, Expiration or Exercise |
(14,367,000)
|
(19,124,000)
|
(29,250,000)
|
(36,689,000)
|
| Realized Gain (Loss), net |
(1,875,000)
|
(25,000)
|
(3,640,000)
|
37,000
|
| Interest Rate Swap [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
6,653,204,000
|
1,080,356,000
|
17,445,009,000
|
4,192,863,000
|
| Settlement, Termination, Expiration or Exercise |
(16,102,515,000)
|
(655,000,000)
|
(22,981,973,000)
|
(1,192,251,000)
|
| Realized Gain (Loss), net |
219,025,000
|
8,642,000
|
162,761,000
|
47,000
|
| Interest Rate Swaption [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
0
|
(201,000,000)
|
(1,000,000,000)
|
(201,000,000)
|
| Settlement, Termination, Expiration or Exercise |
1,081,000,000
|
0
|
1,081,000,000
|
(3,750,000,000)
|
| Realized Gain (Loss), net |
27,186,000
|
0
|
27,186,000
|
2,245,000
|
| TBAs [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
21,697,000,000
|
20,912,000,000
|
42,215,000,000
|
41,714,000,000
|
| Settlement, Termination, Expiration or Exercise |
(20,002,000,000)
|
(18,858,000,000)
|
(40,014,000,000)
|
(40,057,000,000)
|
| Realized Gain (Loss), net |
(103,893,000)
|
23,426,000
|
(294,658,000)
|
(140,097,000)
|
| Futures [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
(17,500,060,000)
|
6,952,500,000
|
(22,366,160,000)
|
7,922,800,000
|
| Settlement, Termination, Expiration or Exercise |
8,289,550,000
|
(5,253,900,000)
|
11,468,600,000
|
(9,430,400,000)
|
| Realized Gain (Loss), net |
2,493,000
|
10,175,000
|
380,000
|
(60,722,000)
|
| Options on U.S. Treasury Futures [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
0
|
|
2,000,000
|
|
| Settlement, Termination, Expiration or Exercise |
(2,000,000)
|
|
(2,000,000)
|
|
| Realized Gain (Loss), net |
(2,224,000)
|
|
(2,224,000)
|
|
| Net Long Position [Member] | Inverse Interest-Only Securities [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
232,218,000
|
300,597,000
|
247,101,000
|
318,162,000
|
| End of Period Notional Amount |
217,851,000
|
281,473,000
|
217,851,000
|
281,473,000
|
| Average Notional Amount |
(225,537,000)
|
(291,985,000)
|
(232,750,000)
|
(301,143,000)
|
| Net Long Position [Member] | Interest Rate Swap [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
24,299,647,000
|
15,221,597,000
|
20,387,300,000
|
12,646,341,000
|
| End of Period Notional Amount |
14,850,336,000
|
15,646,953,000
|
14,850,336,000
|
15,646,953,000
|
| Average Notional Amount |
(20,461,467,000)
|
(15,198,601,000)
|
(22,478,619,000)
|
(14,342,217,000)
|
| Net Long Position [Member] | Interest Rate Swaption [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
|
0
|
|
3,750,000,000
|
| Average Notional Amount |
|
(65,934,000)
|
|
(127,072,000)
|
| Net Long Position [Member] | TBAs [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
4,622,000,000
|
4,800,000,000
|
4,116,000,000
|
5,197,000,000
|
| End of Period Notional Amount |
6,317,000,000
|
6,854,000,000
|
6,317,000,000
|
6,854,000,000
|
| Average Notional Amount |
(5,568,560,000)
|
(6,251,516,000)
|
(4,595,387,000)
|
(5,780,657,000)
|
| Net Long Position [Member] | Futures [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| End of Period Notional Amount |
|
513,500,000
|
|
513,500,000
|
| Average Notional Amount |
|
(94,869,000)
|
|
(138,038,000)
|
| Net Long Position [Member] | Options on U.S. Treasury Futures [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
2,000,000
|
|
0
|
|
| End of Period Notional Amount |
0
|
|
0
|
|
| Average Notional Amount |
(1,055,000)
|
|
(840,000)
|
|
| Net Short Position [Member] | Interest Rate Swaption [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
2,761,000,000
|
|
1,761,000,000
|
|
| End of Period Notional Amount |
1,680,000,000
|
201,000,000
|
1,680,000,000
|
201,000,000
|
| Average Notional Amount |
(1,901,286,000)
|
|
(2,071,862,000)
|
|
| Net Short Position [Member] | Futures [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
7,516,650,000
|
$ 1,185,100,000
|
5,829,600,000
|
$ 2,021,100,000
|
| End of Period Notional Amount |
16,727,160,000
|
|
16,727,160,000
|
|
| Average Notional Amount |
$ (15,287,970,000)
|
|
$ (11,826,254,000)
|
|