Quarterly report pursuant to Section 13 or 15(d)

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

v3.19.3
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance (Details) - USD ($)
$ in Thousands
 3 Months Ended 9 Months Ended
Sep. 30, 2019
Sep. 30, 2018
Sep. 30, 2019
Sep. 30, 2018
Derivative Instruments, Gain (Loss) [Line Items]        
Amount of Gain (Loss) Recognized in Income $ 156,476 $ 44,394 $ 169,384 $ 239,800
TBAs [Member] | Gain (loss) on other derivative instruments        
Derivative Instruments, Gain (Loss) [Line Items]        
Amount of Gain (Loss) Recognized in Income 82,964 (45,231) 221,439 (55,766)
Short US Treasuries [Member] | Gain (loss) on other derivative instruments        
Derivative Instruments, Gain (Loss) [Line Items]        
Amount of Gain (Loss) Recognized in Income 0 1,606 (6,801) 1,606
U.S. Treasury Futures [Member] | Gain (loss) on other derivative instruments        
Derivative Instruments, Gain (Loss) [Line Items]        
Amount of Gain (Loss) Recognized in Income (359) 0 46,089 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 13,489 (7,666) 43,328
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 (172,856) 105,195 (834,426) 412,291
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 211,086 (54,653) 664,313 (252,375)
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 32,390 24,629 76,383 94,933
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 0 686 (7,684) 686
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 (888) (302) (1,365) 371
Inverse Interest-Only Securities [Member] | Gain (loss) on other derivative instruments        
Derivative Instruments, Gain (Loss) [Line Items]        
Amount of Gain (Loss) Recognized in Income $ 4,139 $ (1,025) $ 19,102 $ (5,274)