Annual report pursuant to Section 13 and 15(d)

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

v3.6.0.2
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance (Details) - USD ($)
$ in Thousands
 12 Months Ended
Dec. 31, 2016
Dec. 31, 2015
Dec. 31, 2014
Derivative Instruments, Gain (Loss) [Line Items]      
Gain (Loss) on Interest Rate Derivative Instruments Not Designated as Hedging Instruments $ 45,371 $ (210,621) $ (345,647)
Derivative Instruments, Gain (Loss) Recognized in Income, Net 99,379 (5,049) (17,529)
Gain (Loss) on Mortgage Loans Held-for-Sale 16,085 14,285 17,297
Trading Activity, Gains and Losses, Net 147,168 (217,338) (358,447)
Agency To-be-Announced Securities, Non-Risk Management [Member]      
Derivative Instruments, Gain (Loss) [Line Items]      
Derivative Instruments, Gain (Loss) Recognized in Income, Net 0 0 (4,701)
Inverse Interest-Only Securities [Member]      
Derivative Instruments, Gain (Loss) [Line Items]      
Derivative Instruments, Gain (Loss) Recognized in Income, Net 18,579 36,066 55,028
Loan Purchase Commitments [Member]      
Derivative Instruments, Gain (Loss) [Line Items]      
Gain (Loss) on Mortgage Loans Held-for-Sale 2,418 (1,668) 4,729
Interest Rate Risk Associated with the Investment Portfolio [Member] | Forward Contracts [Member]      
Derivative Instruments, Gain (Loss) [Line Items]      
Derivative Instruments, Gain (Loss) Recognized in Income, Net 51,816 (39,748) (69,921)
Interest Rate Risk Associated with the Investment Portfolio [Member] | Short US Treasury Securities [Member]      
Derivative Instruments, Gain (Loss) [Line Items]      
Derivative Instruments, Gain (Loss) Recognized in Income, Net 0 125 (8)
Interest Rate Risk Associated with the Investment Portfolio [Member] | Options Held [Member]      
Derivative Instruments, Gain (Loss) [Line Items]      
Derivative Instruments, Gain (Loss) Recognized in Income, Net 64,920 6,846 (14,070)
Interest Rate Risk Associated with the Investment Portfolio [Member] | Treasury Lock [Member]      
Derivative Instruments, Gain (Loss) [Line Items]      
Derivative Instruments, Gain (Loss) Recognized in Income, Net 0 (837) 0
Interest Rate Risk Associated with the Investment Portfolio [Member] | Swap [Member]      
Derivative Instruments, Gain (Loss) [Line Items]      
Derivative Instruments, Gain (Loss) Recognized in Income, Net 0 6,164 6,340
Interest Rate Risk Associated with the Investment Portfolio [Member] | Interest Rate Swaption [Member]      
Derivative Instruments, Gain (Loss) [Line Items]      
Gain (Loss) on Interest Rate Derivative Instruments Not Designated as Hedging Instruments 11,209 (63,797) (242,795)
Interest Rate Risk Associated with the Investment Portfolio [Member] | Total Return Swap [Member]      
Derivative Instruments, Gain (Loss) [Line Items]      
Derivative Instruments, Gain (Loss) Recognized in Income, Net (36,898) (13,371) 8,061
Interest Rate Risk Associated with the Investment Portfolio [Member] | Short [Member] | Interest Rate Swap [Member]      
Derivative Instruments, Gain (Loss) [Line Items]      
Gain (Loss) on Interest Rate Derivative Instruments Not Designated as Hedging Instruments 37,272 52,785 201,536
Interest Rate Risk Associated with the Investment Portfolio [Member] | Long [Member] | Interest Rate Swap [Member]      
Derivative Instruments, Gain (Loss) [Line Items]      
Gain (Loss) on Interest Rate Derivative Instruments Not Designated as Hedging Instruments (19,986) (69,495) (114,121)
Interest Rate Risk Associated with Borrowings [Member] | Long [Member] | Interest Rate Swap [Member]      
Derivative Instruments, Gain (Loss) [Line Items]      
Gain (Loss) on Interest Rate Derivative Instruments Not Designated as Hedging Instruments 16,876 (130,114) (190,267)
Credit Risk Associated with Non-Agency RMBS and Mortgage Loans Held-for-Sale [Member] | Credit Default Swap, Selling Protection [Member]      
Derivative Instruments, Gain (Loss) [Line Items]      
Derivative Instruments, Gain (Loss) Recognized in Income, Net $ 962 $ (294) $ 1,742