Schedule of Notional Amounts of Derivative Positions (Details) - USD ($)
|
3 Months Ended |
9 Months Ended |
Sep. 30, 2022 |
Sep. 30, 2021 |
Sep. 30, 2022 |
Sep. 30, 2021 |
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
$ 2,978,027,000
|
$ 23,094,926,000
|
$ 17,159,801,000
|
$ 23,932,603,000
|
| Additions |
(6,098,001,000)
|
28,152,492,000
|
30,197,848,000
|
81,781,155,000
|
| Settlement, Termination, Expiration or Exercise |
(7,816,352,000)
|
(31,059,909,000)
|
(58,293,975,000)
|
(85,526,249,000)
|
| End of Period Notional Amount |
10,936,326,000
|
20,187,509,000
|
10,936,326,000
|
20,187,509,000
|
| Average Notional Amount |
(5,106,042,000)
|
(21,137,615,000)
|
(7,176,645,000)
|
(20,840,267,000)
|
| Realized Gain (Loss), net |
55,986,000
|
65,839,000
|
(54,209,000)
|
(132,651,000)
|
| Inverse Interest-Only Securities [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
0
|
0
|
0
|
0
|
| Settlement, Termination, Expiration or Exercise |
(11,627,000)
|
(18,459,000)
|
(40,877,000)
|
(55,148,000)
|
| Realized Gain (Loss), net |
3,640,000
|
(323,000)
|
0
|
(286,000)
|
| Interest Rate Swap [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
4,953,139,000
|
1,909,792,000
|
22,398,148,000
|
6,102,655,000
|
| Settlement, Termination, Expiration or Exercise |
(19,803,475,000)
|
(520,150,000)
|
(42,785,448,000)
|
(1,712,401,000)
|
| Realized Gain (Loss), net |
(133,218,000)
|
5,220,000
|
29,543,000
|
5,267,000
|
| Interest Rate Swaption [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
0
|
(740,000,000)
|
(1,000,000,000)
|
(941,000,000)
|
| Settlement, Termination, Expiration or Exercise |
1,680,000,000
|
0
|
2,761,000,000
|
(3,750,000,000)
|
| Realized Gain (Loss), net |
(13,532,000)
|
0
|
13,654,000
|
2,245,000
|
| TBAs [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
18,421,000,000
|
27,671,000,000
|
60,636,000,000
|
69,385,000,000
|
| Settlement, Termination, Expiration or Exercise |
(20,584,000,000)
|
(25,783,000,000)
|
(60,598,000,000)
|
(65,840,000,000)
|
| Realized Gain (Loss), net |
(134,107,000)
|
32,588,000
|
(428,765,000)
|
(107,509,000)
|
| Futures [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
(29,472,140,000)
|
(1,688,300,000)
|
(51,838,300,000)
|
6,234,500,000
|
| Settlement, Termination, Expiration or Exercise |
30,902,750,000
|
(4,738,300,000)
|
42,371,350,000
|
(14,168,700,000)
|
| Realized Gain (Loss), net |
333,203,000
|
28,354,000
|
333,583,000
|
(32,368,000)
|
| Options on U.S. Treasury Futures [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
|
|
2,000,000
|
|
| Settlement, Termination, Expiration or Exercise |
|
|
(2,000,000)
|
|
| Realized Gain (Loss), net |
|
|
(2,224,000)
|
|
| Put and Call Options for TBAs [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
|
1,000,000,000
|
|
1,000,000,000
|
| Settlement, Termination, Expiration or Exercise |
|
0
|
|
0
|
| Realized Gain (Loss), net |
|
0
|
|
0
|
| Net Long Position [Member] | Inverse Interest-Only Securities [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
217,851,000
|
281,473,000
|
247,101,000
|
318,162,000
|
| End of Period Notional Amount |
206,224,000
|
263,014,000
|
206,224,000
|
263,014,000
|
| Average Notional Amount |
(212,507,000)
|
(272,815,000)
|
(225,928,000)
|
(291,597,000)
|
| Net Long Position [Member] | Interest Rate Swap [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
14,850,336,000
|
15,646,953,000
|
20,387,300,000
|
12,646,341,000
|
| End of Period Notional Amount |
0
|
17,036,595,000
|
0
|
17,036,595,000
|
| Average Notional Amount |
(5,047,637,000)
|
(15,906,528,000)
|
(16,611,270,000)
|
(14,869,384,000)
|
| Net Long Position [Member] | Interest Rate Swaption [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
|
|
|
3,750,000,000
|
| Average Notional Amount |
|
|
|
(13,802,000)
|
| Net Long Position [Member] | TBAs [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
6,317,000,000
|
6,854,000,000
|
4,116,000,000
|
5,197,000,000
|
| End of Period Notional Amount |
4,154,000,000
|
8,742,000,000
|
4,154,000,000
|
8,742,000,000
|
| Average Notional Amount |
(5,681,978,000)
|
(7,934,239,000)
|
(4,961,564,000)
|
(6,506,407,000)
|
| Net Long Position [Member] | Futures [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
|
513,500,000
|
|
2,021,100,000
|
| Net Long Position [Member] | Options on U.S. Treasury Futures [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
|
|
0
|
|
| End of Period Notional Amount |
0
|
|
0
|
|
| Average Notional Amount |
|
|
(557,000)
|
|
| Net Long Position [Member] | Put and Call Options for TBAs [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
|
0
|
|
0
|
| End of Period Notional Amount |
|
1,000,000,000
|
|
1,000,000,000
|
| Average Notional Amount |
|
(10,869,000)
|
|
(3,663,000)
|
| Net Short Position [Member] | Interest Rate Swaption [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
1,680,000,000
|
201,000,000
|
1,761,000,000
|
|
| End of Period Notional Amount |
0
|
941,000,000
|
0
|
941,000,000
|
| Average Notional Amount |
(978,696,000)
|
(209,043,000)
|
(1,703,469,000)
|
|
| Net Short Position [Member] | Futures [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
16,727,160,000
|
|
5,829,600,000
|
|
| End of Period Notional Amount |
15,296,550,000
|
5,913,100,000
|
15,296,550,000
|
5,913,100,000
|
| Average Notional Amount |
$ (15,069,468,000)
|
$ (2,777,793,000)
|
$ (12,919,205,000)
|
$ (844,586,000)
|