Annual report pursuant to Section 13 and 15(d)

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

v3.20.4
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance (Details) - USD ($)
$ in Thousands
 12 Months Ended
Dec. 31, 2020
Dec. 31, 2019
Dec. 31, 2018
Derivative Instruments, Gain (Loss) [Line Items]      
Amount of Gain (Loss) Recognized in Income $ (220,783) $ 151,709 $ (38,814)
TBAs [Member] | Gain (loss) on other derivative instruments      
Derivative Instruments, Gain (Loss) [Line Items]      
Amount of Gain (Loss) Recognized in Income 60,798 214,414 (12,521)
Short US Treasuries [Member] | Gain (loss) on other derivative instruments      
Derivative Instruments, Gain (Loss) [Line Items]      
Amount of Gain (Loss) Recognized in Income 0 (6,801) (26,988)
U.S. Treasury Futures [Member] | Gain (loss) on other derivative instruments      
Derivative Instruments, Gain (Loss) [Line Items]      
Amount of Gain (Loss) Recognized in Income 18,143 44,474 0
Put and Call Options for TBAs [Member] | Gain (loss) on other derivative instruments      
Derivative Instruments, Gain (Loss) [Line Items]      
Amount of Gain (Loss) Recognized in Income 0 (7,666) (18,457)
Interest Rate Swap [Member] | Long [Member] | (Loss) gain on interest rate swap, cap and swaption agreements      
Derivative Instruments, Gain (Loss) [Line Items]      
Amount of Gain (Loss) Recognized in Income (1,128,788) (637,307) 48,995
Interest Rate Swap [Member] | Short [Member] | (Loss) gain on interest rate swap, cap and swaption agreements      
Derivative Instruments, Gain (Loss) [Line Items]      
Amount of Gain (Loss) Recognized in Income 879,289 461,801 (74,407)
Interest Rate Swaption [Member] | (Loss) gain on interest rate swap, cap and swaption agreements      
Derivative Instruments, Gain (Loss) [Line Items]      
Amount of Gain (Loss) Recognized in Income (61,307) 74,901 45,954
Interest Rate Cap [Member] | (Loss) gain on interest rate swap, cap and swaption agreements      
Derivative Instruments, Gain (Loss) [Line Items]      
Amount of Gain (Loss) Recognized in Income 0 (7,684) (4,499)
Markit IOS Total Return Swap [Member] | Gain (loss) on other derivative instruments      
Derivative Instruments, Gain (Loss) [Line Items]      
Amount of Gain (Loss) Recognized in Income (2,430) (1,213) 125
Inverse Interest-Only Securities [Member] | Gain (loss) on other derivative instruments      
Derivative Instruments, Gain (Loss) [Line Items]      
Amount of Gain (Loss) Recognized in Income $ 13,512 $ 16,790 $ 2,984