Schedule of Notional Amounts of Derivative Positions (Details) - USD ($)
|
3 Months Ended |
Mar. 31, 2020 |
Mar. 31, 2019 |
| Derivative, Notional Amount [Roll Forward] |
|
|
| Beginning of Period Notional Amount |
$ 48,445,497,000
|
$ 36,528,169,000
|
| Additions |
45,534,111,000
|
60,537,633,000
|
| Settlement, Termination, Expiration or Exercise |
(33,430,301,000)
|
(38,288,019,000)
|
| End of Period Notional Amount |
60,549,307,000
|
58,777,783,000
|
| Average Notional Amount |
(51,015,819,000)
|
(47,549,415,000)
|
| Realized Gain (Loss), net |
291,480,000
|
(19,717,000)
|
| Inverse Interest-Only Securities [Member] |
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
| Additions |
0
|
0
|
| Settlement, Termination, Expiration or Exercise |
(17,898,000)
|
(19,866,000)
|
| Realized Gain (Loss), net |
0
|
0
|
| Interest Rate Swap [Member] |
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
| Additions |
24,383,111,000
|
10,594,633,000
|
| Settlement, Termination, Expiration or Exercise |
(7,927,513,000)
|
(1,721,961,000)
|
| Realized Gain (Loss), net |
408,053,000
|
(10,183,000)
|
| Interest Rate Cap [Member] |
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
| Additions |
|
0
|
| Settlement, Termination, Expiration or Exercise |
|
0
|
| Realized Gain (Loss), net |
|
0
|
| Interest Rate Swaption [Member] |
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
| Additions |
430,000,000
|
5,900,000,000
|
| Settlement, Termination, Expiration or Exercise |
(311,000,000)
|
(63,000,000)
|
| Realized Gain (Loss), net |
(46,200,000)
|
(24,315,000)
|
| TBAs [Member] |
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
| Additions |
12,491,000,000
|
42,733,000,000
|
| Settlement, Termination, Expiration or Exercise |
(18,157,000,000)
|
(39,049,000,000)
|
| Realized Gain (Loss), net |
(98,795,000)
|
70,915,000
|
| Short US Treasuries [Member] |
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
| Additions |
|
0
|
| Settlement, Termination, Expiration or Exercise |
|
800,000,000
|
| Realized Gain (Loss), net |
|
(23,172,000)
|
| U.S. Treasury Futures [Member] |
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
| Beginning of Period Notional Amount |
380,000,000.0
|
|
| Additions |
8,230,000,000
|
1,310,000,000
|
| Settlement, Termination, Expiration or Exercise |
(6,975,000,000)
|
0
|
| End of Period Notional Amount |
875,000,000.0
|
|
| Realized Gain (Loss), net |
30,499,000
|
0
|
| Put and Call Options for TBAs [Member] |
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
| Additions |
|
0
|
| Settlement, Termination, Expiration or Exercise |
|
1,767,000,000
|
| Realized Gain (Loss), net |
|
(32,962,000)
|
| Markit IOS Total Return Swap [Member] |
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
| Beginning of Period Notional Amount |
41,890,000
|
|
| Additions |
0
|
0
|
| Settlement, Termination, Expiration or Exercise |
(41,890,000)
|
(1,192,000)
|
| Realized Gain (Loss), net |
(2,077,000)
|
0
|
| Net Long Position [Member] | Inverse Interest-Only Securities [Member] |
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
| Beginning of Period Notional Amount |
397,137,000
|
476,299,000
|
| End of Period Notional Amount |
379,239,000
|
456,433,000
|
| Average Notional Amount |
(388,891,000)
|
(466,911,000)
|
| Net Long Position [Member] | Interest Rate Swap [Member] |
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
| Beginning of Period Notional Amount |
39,702,470,000
|
29,523,605,000
|
| End of Period Notional Amount |
56,158,068,000
|
38,396,277,000
|
| Average Notional Amount |
(42,667,316,000)
|
(35,057,414,000)
|
| Net Long Position [Member] | Interest Rate Cap [Member] |
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
| Beginning of Period Notional Amount |
|
2,500,000,000
|
| End of Period Notional Amount |
|
2,500,000,000
|
| Average Notional Amount |
|
(2,500,000,000)
|
| Net Long Position [Member] | Interest Rate Swaption [Member] |
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
| Beginning of Period Notional Amount |
1,257,000,000
|
63,000,000
|
| End of Period Notional Amount |
1,376,000,000
|
5,900,000,000
|
| Average Notional Amount |
(2,055,484,000)
|
(1,152,511,000)
|
| Net Long Position [Member] | TBAs [Member] |
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
| Beginning of Period Notional Amount |
7,427,000,000
|
6,484,000,000
|
| End of Period Notional Amount |
1,761,000,000
|
10,168,000,000
|
| Average Notional Amount |
(4,939,769,000)
|
(8,814,300,000)
|
| Net Long Position [Member] | U.S. Treasury Futures [Member] |
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
| Beginning of Period Notional Amount |
|
0
|
| End of Period Notional Amount |
875,000,000
|
1,310,000,000
|
| Average Notional Amount |
(923,571,000)
|
(143,889,000)
|
| Net Long Position [Member] | Markit IOS Total Return Swap [Member] |
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
| Beginning of Period Notional Amount |
41,890,000
|
48,265,000
|
| End of Period Notional Amount |
0
|
47,073,000
|
| Average Notional Amount |
(40,788,000)
|
(47,456,000)
|
| Net Short Position [Member] | Short US Treasuries [Member] |
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
| Beginning of Period Notional Amount |
|
800,000,000
|
| End of Period Notional Amount |
|
0
|
| Average Notional Amount |
|
(185,327,000)
|
| Net Short Position [Member] | U.S. Treasury Futures [Member] |
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
| Beginning of Period Notional Amount |
$ 380,000,000
|
|
| Net Short Position [Member] | Put and Call Options for TBAs [Member] |
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
| Beginning of Period Notional Amount |
|
1,767,000,000
|
| End of Period Notional Amount |
|
0
|
| Average Notional Amount |
|
$ (447,739,000)
|