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 9 Months Ended
Sep. 30, 2020
Sep. 30, 2019
Sep. 30, 2020
Sep. 30, 2019
Derivative Instruments, Gain (Loss) [Line Items]        
Amount of Gain (Loss) Recognized in Income $ 66,997 $ 156,476 $ (287,383) $ 169,384
TBAs [Member] | Gain on other derivative instruments        
Derivative Instruments, Gain (Loss) [Line Items]        
Amount of Gain (Loss) Recognized in Income 60,993 82,964 (29,385) 221,439
Short US Treasuries [Member] | Gain 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 on other derivative instruments        
Derivative Instruments, Gain (Loss) [Line Items]        
Amount of Gain (Loss) Recognized in Income 4,448 (359) 26,956 46,089
Put and Call Options for TBAs [Member] | Gain 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] | Gain (loss) on interest rate swap, cap and swaption agreements        
Derivative Instruments, Gain (Loss) [Line Items]        
Amount of Gain (Loss) Recognized in Income 8,269 (172,856) (1,151,119) (834,426)
Interest Rate Swap [Member] | Short [Member] | Gain (loss) on interest rate swap, cap and swaption agreements        
Derivative Instruments, Gain (Loss) [Line Items]        
Amount of Gain (Loss) Recognized in Income (7,879) 211,086 904,492 664,313
Interest Rate Swaption [Member] | Gain (loss) on interest rate swap, cap and swaption agreements        
Derivative Instruments, Gain (Loss) [Line Items]        
Amount of Gain (Loss) Recognized in Income 1,011 32,390 (49,490) 76,383
Interest Rate Cap [Member] | Gain (loss) on interest rate swap, cap and swaption agreements        
Derivative Instruments, Gain (Loss) [Line Items]        
Amount of Gain (Loss) Recognized in Income 0 0 0 (7,684)
Markit IOS Total Return Swap [Member] | Gain on other derivative instruments        
Derivative Instruments, Gain (Loss) [Line Items]        
Amount of Gain (Loss) Recognized in Income 0 (888) (2,430) (1,365)
Inverse Interest-Only Securities [Member] | Gain on other derivative instruments        
Derivative Instruments, Gain (Loss) [Line Items]        
Amount of Gain (Loss) Recognized in Income $ 155 $ 4,139 $ 13,593 $ 19,102