Quarterly report pursuant to Section 13 or 15(d)

Schedule of Notional Amounts of Derivative Positions (Details)

v3.22.1
Schedule of Notional Amounts of Derivative Positions (Details) - USD ($)
 3 Months Ended
Mar. 31, 2022
Mar. 31, 2021
Derivative, Notional Amount [Roll Forward]    
Beginning of Period Notional Amount $ 17,159,801,000 $ 23,932,603,000
Additions 25,445,705,000 24,884,807,000
Settlement, Termination, Expiration or Exercise (23,727,291,000) (29,680,316,000)
End of Period Notional Amount 18,878,215,000 19,137,094,000
Average Notional Amount 16,360,137,000 19,986,874,000
Realized Gain (Loss), net (250,907,000) (240,708,000)
Inverse Interest-Only Securities [Member]    
Derivative, Notional Amount [Roll Forward]    
Additions 0 0
Settlement, Termination, Expiration or Exercise (14,883,000) (17,565,000)
Realized Gain (Loss), net (1,765,000) 62,000
Interest Rate Swap [Member]    
Derivative, Notional Amount [Roll Forward]    
Additions 10,791,805,000 3,112,507,000
Settlement, Termination, Expiration or Exercise (6,879,458,000) (537,251,000)
Realized Gain (Loss), net (56,264,000) (8,595,000)
Interest Rate Swaption [Member]    
Derivative, Notional Amount [Roll Forward]    
Additions (1,000,000,000) 0
Settlement, Termination, Expiration or Exercise 0 (3,750,000,000)
Realized Gain (Loss), net 0 2,245,000
TBAs [Member]    
Derivative, Notional Amount [Roll Forward]    
Additions 20,518,000,000 20,802,000,000
Settlement, Termination, Expiration or Exercise (20,012,000,000) (21,199,000,000)
Realized Gain (Loss), net (190,765,000) (163,523,000)
U.S. Treasury and Eurodollar Futures [Member]    
Derivative, Notional Amount [Roll Forward]    
Additions (4,866,100,000) 970,300,000
Settlement, Termination, Expiration or Exercise 3,179,050,000 (4,176,500,000)
Realized Gain (Loss), net (2,113,000) (70,897,000)
Options on U.S. Treasury Futures [Member]    
Derivative, Notional Amount [Roll Forward]    
Additions 2,000,000  
Settlement, Termination, Expiration or Exercise 0  
Realized Gain (Loss), net 0  
Net Long Position [Member] | Inverse Interest-Only Securities [Member]    
Derivative, Notional Amount [Roll Forward]    
Beginning of Period Notional Amount 247,101,000 318,162,000
End of Period Notional Amount 232,218,000 300,597,000
Average Notional Amount 240,044,000 310,289,000
Net Long Position [Member] | Interest Rate Swap [Member]    
Derivative, Notional Amount [Roll Forward]    
Beginning of Period Notional Amount 20,387,300,000 12,646,341,000
End of Period Notional Amount 24,299,647,000 15,221,597,000
Average Notional Amount 24,538,895,000 13,476,318,000
Net Long Position [Member] | Interest Rate Swaption [Member]    
Derivative, Notional Amount [Roll Forward]    
Beginning of Period Notional Amount   3,750,000,000
End of Period Notional Amount   0
Average Notional Amount   322,222,000
Net Long Position [Member] | TBAs [Member]    
Derivative, Notional Amount [Roll Forward]    
Beginning of Period Notional Amount 4,116,000,000 5,197,000,000
End of Period Notional Amount 4,622,000,000 4,800,000,000
Average Notional Amount 3,611,400,000 5,304,567,000
Net Long Position [Member] | U.S. Treasury and Eurodollar Futures [Member]    
Derivative, Notional Amount [Roll Forward]    
End of Period Notional Amount   1,185,100,000
Average Notional Amount   573,478,000
Net Long Position [Member] | Options on U.S. Treasury Futures [Member]    
Derivative, Notional Amount [Roll Forward]    
Beginning of Period Notional Amount 0  
End of Period Notional Amount 2,000,000  
Average Notional Amount 622,000  
Net Short Position [Member] | Interest Rate Swaption [Member]    
Derivative, Notional Amount [Roll Forward]    
Beginning of Period Notional Amount 1,761,000,000  
End of Period Notional Amount 2,761,000,000  
Average Notional Amount 2,244,333,000  
Net Short Position [Member] | U.S. Treasury and Eurodollar Futures [Member]    
Derivative, Notional Amount [Roll Forward]    
Beginning of Period Notional Amount 5,829,600,000 $ 2,021,100,000
End of Period Notional Amount 7,516,650,000  
Average Notional Amount $ 9,786,491,000