Schedule of Notional Amounts of Derivative Positions (Details) - USD ($)
|
3 Months Ended |
9 Months Ended |
Sep. 30, 2020 |
Sep. 30, 2019 |
Sep. 30, 2020 |
Sep. 30, 2019 |
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
$ 8,076,933,000
|
$ 55,549,424,000
|
$ 48,445,497,000
|
$ 36,528,169,000
|
| Additions |
37,826,318,000
|
62,788,435,000
|
115,633,753,000
|
173,902,068,000
|
| Settlement, Termination, Expiration or Exercise |
(20,067,187,000)
|
(64,111,654,000)
|
(138,243,186,000)
|
(156,204,032,000)
|
| End of Period Notional Amount |
25,836,064,000
|
54,226,205,000
|
25,836,064,000
|
54,226,205,000
|
| Average Notional Amount |
(13,932,642,000)
|
(54,069,162,000)
|
(37,837,985,000)
|
(52,960,859,000)
|
| Realized Gain (Loss), net |
85,781,000
|
196,853,000
|
(403,977,000)
|
329,957,000
|
| Inverse Interest-Only Securities [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
0
|
0
|
0
|
0
|
| Settlement, Termination, Expiration or Exercise |
(23,287,000)
|
(20,668,000)
|
(58,491,000)
|
(60,356,000)
|
| Realized Gain (Loss), net |
0
|
0
|
0
|
0
|
| Interest Rate Swap [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
7,915,818,000
|
17,874,435,000
|
56,403,253,000
|
32,373,068,000
|
| Settlement, Termination, Expiration or Exercise |
0
|
(16,511,217,000)
|
(83,710,905,000)
|
(20,063,178,000)
|
| Realized Gain (Loss), net |
0
|
38,044,000
|
(334,502,000)
|
41,975,000
|
| Interest Rate Cap [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
|
0
|
|
0
|
| Settlement, Termination, Expiration or Exercise |
|
0
|
|
(2,500,000,000)
|
| Realized Gain (Loss), net |
|
0
|
|
(8,690,000)
|
| Interest Rate Swaption [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
6,000,000,000
|
1,000,000,000
|
7,017,000,000
|
14,200,000,000
|
| Settlement, Termination, Expiration or Exercise |
0
|
(3,125,000,000)
|
(2,274,000,000)
|
(12,513,000,000)
|
| Realized Gain (Loss), net |
0
|
37,365,000
|
(50,700,000)
|
63,139,000
|
| TBAs [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
21,358,000,000
|
40,347,000,000
|
41,431,000,000
|
119,252,000,000
|
| Settlement, Termination, Expiration or Exercise |
(18,358,000,000)
|
(39,906,000,000)
|
(42,622,000,000)
|
(115,873,000,000)
|
| Realized Gain (Loss), net |
82,490,000
|
94,505,000
|
(42,993,000)
|
242,102,000
|
| 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 |
2,552,500,000
|
3,567,000,000
|
10,782,500,000
|
8,077,000,000
|
| Settlement, Termination, Expiration or Exercise |
(1,685,900,000)
|
(4,547,000,000)
|
(9,535,900,000)
|
(7,757,000,000)
|
| End of Period Notional Amount |
866,600,000
|
|
866,600,000
|
|
| Realized Gain (Loss), net |
3,291,000
|
26,939,000
|
26,295,000
|
47,565,000
|
| 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
|
0
|
| Settlement, Termination, Expiration or Exercise |
|
(1,769,000)
|
(41,890,000)
|
(4,498,000)
|
| Realized Gain (Loss), net |
|
0
|
(2,077,000)
|
0
|
| Net Long Position [Member] | Inverse Interest-Only Securities [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
361,933,000
|
436,611,000
|
397,137,000
|
476,299,000
|
| End of Period Notional Amount |
338,646,000
|
415,943,000
|
338,646,000
|
415,943,000
|
| Average Notional Amount |
(350,876,000)
|
(427,222,000)
|
(370,379,000)
|
(447,082,000)
|
| Net Long Position [Member] | Interest Rate Swap [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
4,479,000,000
|
40,470,277,000
|
39,702,470,000
|
29,523,605,000
|
| End of Period Notional Amount |
12,394,818,000
|
41,833,495,000
|
12,394,818,000
|
41,833,495,000
|
| Average Notional Amount |
(7,595,385,000)
|
(41,180,308,000)
|
(32,006,660,000)
|
(38,402,820,000)
|
| Net Long Position [Member] | Interest Rate Cap [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
|
0
|
|
2,500,000,000
|
| End of Period Notional Amount |
|
0
|
|
0
|
| Average Notional Amount |
|
0
|
|
(1,417,216,000)
|
| Net Long Position [Member] | Interest Rate Swaption [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
0
|
3,875,000,000
|
1,257,000,000
|
63,000,000
|
| End of Period Notional Amount |
6,000,000,000
|
1,750,000,000
|
6,000,000,000
|
1,750,000,000
|
| Average Notional Amount |
(239,130,000)
|
(2,650,815,000)
|
(956,387,000)
|
(3,259,802,000)
|
| Net Long Position [Member] | TBAs [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
3,236,000,000
|
9,422,000,000
|
7,427,000,000
|
6,484,000,000
|
| End of Period Notional Amount |
6,236,000,000
|
9,863,000,000
|
6,236,000,000
|
9,863,000,000
|
| Average Notional Amount |
(4,760,456,000)
|
(9,107,707,000)
|
(3,809,515,000)
|
(8,905,264,000)
|
| Net Long Position [Member] | U.S. Treasury Futures [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
0
|
1,300,000,000
|
|
0
|
| End of Period Notional Amount |
866,600,000
|
320,000,000
|
866,600,000
|
320,000,000
|
| Average Notional Amount |
(986,795,000)
|
(657,022,000)
|
(681,497,000)
|
(691,414,000)
|
| Net Long Position [Member] | Markit IOS Total Return Swap [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
|
45,536,000
|
41,890,000
|
48,265,000
|
| End of Period Notional Amount |
$ 0
|
43,767,000
|
0
|
43,767,000
|
| Average Notional Amount |
|
(46,088,000)
|
(13,547,000)
|
(45,964,000)
|
| 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
|
|
0
|
| Average Notional Amount |
|
|
|
(61,097,000)
|
| 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
|
|
0
|
| Average Notional Amount |
|
|
|
$ (147,606,000)
|